Cover Page
Cover Page - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2020 | Feb. 28, 2021 | Jun. 30, 2020 | |
Document and Entity Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2020 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 000-51404 | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||
Entity Incorporation, State or Country Code | X1 | ||
Entity Tax Identification Number | 35-6001443 | ||
Entity Address, Address Line One | 8250 Woodfield Crossing Blvd. | ||
Entity Address, City or Town | Indianapolis | ||
Entity Address, State or Province | IN | ||
Entity Address, Postal Zip Code | 46240 | ||
City Area Code | 317 | ||
Local Phone Number | 465-0200 | ||
Title of 12(g) Security | Class B capital stock, par value $100 per share | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 2.5 | ||
Entity Central Index Key | 0001331754 | ||
Document Fiscal Year Focus | 2020 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Class A | |||
Document and Entity Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 0 | ||
Class B | |||
Document and Entity Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 24,441,185 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Assets: | |||
Cash and due from banks (Note 3) | $ 1,811,544 | $ 220,294 | |
Interest-bearing deposits (Note 4) | 100,026 | 809,141 | |
Securities purchased under agreements to resell (Note 4) | 2,500,000 | 1,500,000 | |
Federal funds sold (Note 4) | 1,215,000 | 2,550,000 | |
Trading securities: | 5,094,703 | 5,016,649 | |
Available-for-sale securities (Note 4) | 10,144,899 | 8,484,478 | |
Held-to-maturity securities (Note 4) | 4,701,302 | 5,216,401 | |
Advances (Note 5) | [1] | 31,347,486 | 32,480,108 |
Mortgage loans held for portfolio, net (Note 6) | [2] | 8,515,645 | 10,815,037 |
Accrued interest receivable | 103,076 | 131,822 | |
Premises, software, and equipment, net (Note 7) | 33,993 | 36,549 | |
Derivative assets, net (Note 8) | 283,082 | 208,008 | |
Other assets | 74,000 | 42,288 | |
Total assets | 65,924,756 | 67,510,775 | |
Liabilities: | |||
Deposits (Note 9) | 1,375,206 | 960,304 | |
Consolidated obligations (Note 10): | |||
Bonds | 43,332,946 | 44,715,224 | |
Total consolidated obligations, net | 59,950,025 | 62,392,017 | |
Accrued interest payable | 63,581 | 178,981 | |
Affordable Housing Program payable (Note 11) | 34,402 | 38,084 | |
Derivative liabilities, net (Note 8) | 22,979 | 3,206 | |
Mandatorily redeemable capital stock (Note 12) | 250,768 | 322,902 | |
Other liabilities | 777,493 | 458,521 | |
Total liabilities | 62,474,454 | 64,354,015 | |
Commitments and contingencies (Note 17) | |||
Retained earnings: | |||
Unrestricted | 868,904 | 864,454 | |
Restricted | 268,426 | 250,854 | |
Total retained earnings | 1,137,330 | 1,115,308 | |
Total accumulated other comprehensive income | 105,402 | 67,376 | |
Total capital | 3,450,302 | 3,156,760 | |
Total liabilities and capital | 65,924,756 | 67,510,775 | |
Short-term Debt | |||
Consolidated obligations (Note 10): | |||
Discount notes | 16,617,079 | 17,676,793 | |
Class B | |||
Capital stock (putable at par value of $100 per share): | |||
Class B issued and outstanding | $ 2,207,570 | $ 1,974,076 | |
[1] | (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and net charge-offs, and excludes accrued interest receivable at December 31, 2020 and 2019 of $14,961 and $27,019, respectively. | ||
[2] | Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,151 and $47,722, respectively. |
Statements of Condition Parenth
Statements of Condition Parenthetical - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | ||
Amortized cost | [1] | $ 10,007,978 | $ 8,394,665 | |
HTM securities, fair value | $ 4,723,796 | $ 5,216,206 | [2] | |
Common stock putable (in USD per share) | $ 100 | $ 100 | ||
Class B | ||||
Common stock issued (in shares) | 22,075,696 | 19,740,755 | ||
Common stock outstanding (in shares) | 22,075,696 | 19,740,755 | ||
[1] | (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at December 31, 2020 and 2019 totaled $16,300 and $5,773, respectively. The applicable fair-value hedging basis adjustments at December 31, 2020 and 2019 totaled $627,619 and $150,372, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,616 and $32,963, respectively. Carrying value equals estimated fair value. | |||
[2] | Total HTM securities as of December 31, 2019 in an unrealized loss position for less than 12 months had an estimated fair value of $1,494,740 and unrealized losses of $8,923 , while those in an unrealized loss position for 12 months or more had an estimated fair value of $1,298,228 and unrealized losses of $8,337 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Interest Income: | |||
Advances | $ 329,675 | $ 813,152 | $ 726,243 |
Interest-bearing deposits | 5,652 | 22,050 | 21,004 |
Securities purchased under agreements to resell | 11,644 | 79,100 | 58,940 |
Federal funds sold | 10,793 | 62,235 | 54,602 |
Trading securities | 90,860 | 53,213 | 0 |
Available-for-sale securities | 103,658 | 214,558 | 197,600 |
Held-to-maturity securities | 70,019 | 150,822 | 152,581 |
Mortgage loans held for portfolio | 231,152 | 357,231 | 354,091 |
Other interest income, net | 0 | 0 | 17 |
Total interest income | 853,453 | 1,752,361 | 1,565,078 |
Interest Expense: | |||
Consolidated obligation discount notes | 116,680 | 440,305 | 392,281 |
Consolidated obligation bonds | 461,953 | 1,050,015 | 865,298 |
Deposits | 2,856 | 12,899 | 11,021 |
Mandatorily redeemable capital stock | 8,594 | 11,863 | 8,391 |
Other interest expense | 0 | 37 | 0 |
Total interest expense | 590,083 | 1,515,119 | 1,276,991 |
Net interest income | 263,370 | 237,242 | 288,087 |
Provision for (reversal of) credit losses | 140 | (289) | (231) |
Net interest income after provision for credit losses | 263,230 | 237,531 | 288,318 |
Other Income: | |||
Net realized gains from sale of available-for-sale securities | 504 | 0 | 32,407 |
Net realized losses from sale of held-to-maturity securities | 0 | 0 | (45) |
Net gains (losses) on trading securities | (14,484) | 32,996 | 0 |
Net losses on derivatives and hedging activities | (48,362) | (18,983) | (13,350) |
Other, net | 5,577 | 4,817 | (107) |
Total other income (loss) | (55,516) | 20,309 | 20,509 |
Other Expenses: | |||
Compensation and benefits | 60,789 | 55,494 | 49,938 |
Other operating expenses | 31,609 | 29,526 | 28,476 |
Federal Housing Finance Agency | 4,989 | 4,189 | 3,633 |
Office of Finance | 5,005 | 4,907 | 4,503 |
Other | 6,742 | 4,878 | 4,971 |
Total other expenses | 109,134 | 98,994 | 91,521 |
Income before assessments | 98,580 | 158,846 | 217,306 |
Affordable Housing Program assessments | 10,717 | 17,071 | 22,570 |
Net income | 87,863 | 141,775 | 194,736 |
Service fees | |||
Other Income: | |||
Fees | 559 | 776 | 995 |
Standby letters of credit fees | |||
Other Income: | |||
Fees | $ 690 | $ 703 | $ 609 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Comprehensive Income [Abstract] | |||
Net income | $ 87,863 | $ 141,775 | $ 194,736 |
Other Comprehensive Income: | |||
Net change in unrealized gains (losses) on available-for-sale securities | 47,108 | 36,827 | (39,533) |
Net non-credit portion of other-than-temporary impairment losses | 0 | 0 | (29,271) |
Pension benefits, net (Note 14) | (9,082) | (11,138) | (915) |
Total other comprehensive income (loss) | 38,026 | 25,689 | (69,719) |
Total comprehensive income | $ 125,889 | $ 167,464 | $ 125,017 |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | $ 3,156,760 | $ 3,050,449 | $ 2,945,506 |
Total comprehensive income | 125,889 | 167,464 | 125,017 |
Proceeds from issuance of capital stock | 266,906 | 194,102 | 104,432 |
Redemption/repurchase of capital stock | (621) | (32) | |
Shares reclassified to mandatorily redeemable capital stock, net | (32,791) | (150,978) | (31,214) |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | ||
Cash dividends on capital stock | (76,415) | (104,277) | (93,260) |
Ending Balance | $ 3,450,302 | $ 3,156,760 | $ 3,050,449 |
Capital Stock | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance (in shares) | 19,741 | 19,310 | 18,578 |
Beginning Balance | $ 1,974,076 | $ 1,930,952 | $ 1,857,766 |
Proceeds from issuance of capital stock (in shares) | 2,669 | 1,941 | 1,044 |
Proceeds from issuance of capital stock | $ 266,906 | $ 194,102 | $ 104,432 |
Redemption/repurchase of capital stock (in shares) | (6) | ||
Redemption/repurchase of capital stock | $ (621) | $ (32) | |
Shares reclassified to mandatorily redeemable capital stock, net (in shares) | (328) | (1,510) | (312) |
Shares reclassified to mandatorily redeemable capital stock, net | $ (32,791) | $ (150,978) | $ (31,214) |
Ending Balance | $ 2,207,570 | $ 1,974,076 | $ 1,930,952 |
Ending Balance (in shares) | 22,076 | 19,741 | 19,310 |
Retained Earnings Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | $ 1,115,308 | $ 1,077,810 | $ 976,334 |
Total comprehensive income | 87,863 | 141,775 | 194,736 |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | ||
Cash dividends on capital stock | (76,415) | (104,277) | (93,260) |
Ending Balance | 1,137,330 | 1,115,308 | 1,077,810 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 864,454 | 855,311 | 792,783 |
Total comprehensive income | 70,291 | 113,420 | 155,788 |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | ||
Cash dividends on capital stock | (76,415) | (104,277) | (93,260) |
Ending Balance | 868,904 | 864,454 | 855,311 |
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 250,854 | 222,499 | 183,551 |
Total comprehensive income | 17,572 | 28,355 | 38,948 |
Ending Balance | 268,426 | 250,854 | 222,499 |
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 67,376 | 41,687 | 111,406 |
Total comprehensive income | 38,026 | 25,689 | (69,719) |
Ending Balance | $ 105,402 | $ 67,376 | $ 41,687 |
Statements of Capital Parenthet
Statements of Capital Parenthetical | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Statement of Stockholders' Equity [Abstract] | |||
Annualized cash dividend rate on capital stock (percent) | 3.66% | 5.31% | 5.00% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Operating Activities: | ||||
Net income | $ 87,863 | $ 141,775 | $ 194,736 | |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||
Amortization and depreciation | 74,130 | 44,492 | 74,366 | |
Changes in net derivative and hedging activities | (420,090) | (287,098) | 45,201 | |
Loss on disposition of equipment | 0 | 0 | 37 | |
Provision for (reversal of) credit losses | 140 | (289) | (231) | |
Net losses (gains) on trading securities | 14,484 | (32,996) | 0 | |
Net realized gains from sale of available-for-sale securities | (504) | 0 | (32,407) | |
Net realized losses from sale of held-to-maturity securities | 0 | 0 | 45 | |
Changes in: | ||||
Accrued interest receivable | 28,855 | (7,660) | (19,387) | |
Other assets | (28,853) | (6,538) | 541 | |
Accrued interest payable | (115,401) | (986) | 44,192 | |
Other liabilities | 41,255 | 20,684 | 46,224 | |
Total adjustments, net | (405,984) | (270,391) | 158,581 | |
Net cash provided by (used in) operating activities | (318,121) | (128,616) | 353,317 | |
Net change in: | ||||
Interest-bearing deposits | 169,514 | 65,727 | (547,189) | |
Securities purchased under agreements to resell | (1,000,000) | 1,712,726 | (607,266) | |
Federal funds sold | 1,335,000 | 535,000 | (1,805,000) | |
Trading securities: | ||||
Proceeds from maturities | 4,160,000 | 0 | 0 | |
Proceeds from sales | 0 | 249,844 | 0 | |
Purchases | (4,252,538) | (5,233,497) | 0 | |
Available-for-sale securities: | ||||
Proceeds from maturities | 593,550 | 510,500 | 102,522 | |
Proceeds from sales | 96,779 | 0 | 203,841 | |
Purchases | (1,851,436) | (785,129) | (972,799) | |
Held-to-maturity securities: | ||||
Proceeds from maturities | 1,428,899 | 1,114,938 | 961,778 | |
Proceeds from sale of HTM securities | 0 | 0 | 41,226 | |
Purchases | (744,501) | (663,607) | (780,272) | |
Advances: | ||||
Principal repayments | 255,014,417 | 351,631,834 | 343,131,228 | |
Disbursements to members | (253,433,610) | (351,074,140) | (341,791,120) | |
Mortgage loans held for portfolio: | ||||
Principal collections | 4,398,392 | 1,879,313 | 1,191,873 | |
Purchases from members | (2,082,767) | (1,307,159) | (2,255,741) | |
Purchases of premises, software, and equipment | (4,641) | (6,230) | (6,765) | |
Loans to other Federal Home Loan Banks: | ||||
Principal repayments | 90,000 | 0 | 400,000 | |
Disbursements | (90,000) | 0 | (400,000) | |
Net cash provided by (used in) investing activities | 3,827,058 | (1,369,880) | (3,133,684) | |
Net Change In: | ||||
Changes in deposits | 414,531 | 375,975 | (68,140) | |
Net payments on derivative contracts with financing elements | (3,694) | 1,824 | (340) | |
Net proceeds from issuance of consolidated obligations: | ||||
Discount notes | 355,337,396 | 342,745,604 | 352,096,048 | |
Bonds | 48,663,468 | 40,241,691 | 17,386,007 | |
Payments for matured and retired consolidated obligations: | ||||
Discount notes | (356,372,123) | (345,937,042) | (351,576,032) | |
Bonds | (50,052,784) | (35,902,870) | (14,996,190) | |
Loans from other Federal Home Loan Banks: | ||||
Proceeds from borrowings | 0 | 250,000 | 0 | |
Principal repayments | 0 | (250,000) | 0 | |
Proceeds from issuance of capital stock | 266,906 | 194,102 | 104,432 | |
Proceeds from issuance of mandatorily redeemable capital stock | [1] | 0 | 3,704 | 0 |
Payments for redemption/repurchase of capital stock | (621) | 0 | (32) | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (104,925) | (656) | (26,660) | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | 10,574 | 0 | 0 | |
Dividend payments on capital stock | (76,415) | (104,277) | (93,260) | |
Net cash provided by (used in) financing activities | (1,917,687) | 1,618,055 | 2,825,833 | |
Net increase in cash and due from banks | 1,591,250 | 119,559 | 45,466 | |
Cash and due from banks at beginning of year | 220,294 | 100,735 | 55,269 | |
Cash and due from banks at end of year | 1,811,544 | 220,294 | 100,735 | |
Supplemental Disclosures: | ||||
Interest payments | 804,173 | 1,501,471 | 1,193,500 | |
Affordable Housing Program payments | [2] | 14,399 | 19,734 | 13,989 |
Purchases of investment securities, traded but not yet settled | 236,507 | 84,086 | 0 | |
Capitalized interest on certain held-to-maturity securities | 1,412 | 4,624 | 4,984 | |
Par value of shares reclassified to mandatorily redeemable capital stock, net | $ 32,791 | $ 150,978 | $ 31,214 | |
[1] | Represents a purchase of capital stock by a captive insurance company member, which is considered mandatorily redeemable as a result of the Final Membership Rule. | |||
[2] | (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | These Notes to Financial Statements should be read in conjunction with the Statements of Condition as of December 31, 2020 and 2019, and the Statements of Income, Comprehensive Income, Capital, and Cash Flows for the years ended December 31, 2020, 2019, and 2018. We use acronyms and terms throughout these Notes to Financial Statements that are defined herein or in the Defined Terms . Unless the context otherwise requires, the terms "Bank," "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management. Background Information The Federal Home Loan Bank of Indianapolis, a federally chartered corporation, is one of 11 regional wholesale FHLBanks in the United States. The FHLBanks are GSEs that were organized under the Bank Act to serve the public by enhancing the availability of credit for residential mortgages and targeted community development. Even though we are part of the FHLBank System, we operate as a separate entity with our own management, employees and board of directors. Each FHLBank is a financial cooperative that provides a readily available, competitively-priced source of funds to its member institutions. Regulated financial depositories and non-captive insurance companies engaged in residential housing finance that have their principal place of business located in, or are domiciled in, our district states of Michigan or Indiana are eligible for membership in our Bank. Additionally, qualified CDFIs are eligible to be members. Housing Associates, including state and local housing authorities, that meet certain statutory and regulatory criteria may also borrow from us. While eligible to borrow, Housing Associates are not members and, as such, are not allowed to hold our capital stock. Each member must purchase a minimum amount of our capital stock based on the amount of its total assets. A member may be required to purchase additional activity-based capital stock as it engages in certain business activities with us. Members and former members own all of our capital stock. Former members (including certain non-member institutions that own our capital stock as a result of a merger with or acquisition of a member) hold our capital stock solely to support credit products or mortgage loans still outstanding on our statement of condition. All owners of our capital stock, to the extent declared by our board of directors, receive dividends on their capital stock, subject to the applicable regulations as discussed in Note 12 - Capital . For more information about transactions with related parties, see Note 18 - Related Party and Other Transactions . The FHLBanks' Office of Finance was established to facilitate the issuance and servicing of the debt instruments of the FHLBanks, known as consolidated obligations, consisting of bonds and discount notes, and to prepare and publish the FHLBanks' combined quarterly and annual financial reports. Proceeds from the issuance of consolidated obligations are the primary source of funds for the FHLBanks. Deposits, other borrowings and capital stock issued to members provide additional funds. We primarily use these funds to: • disburse advances to members; • acquire mortgage loans from PFIs through our MPP; • maintain liquidity; and • invest in other opportunities to support the residential housing market. We also provide correspondent services, such as wire transfer, security safekeeping, and settlement services, to our members. The Finance Agency is the independent federal regulator of the FHLBanks, Freddie Mac, and Fannie Mae. The Finance Agency's stated mission is to ensure that the housing GSEs operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. Note 1 - Summary of Significant Accounting Policies Basis of Presentation. The accompanying financial statements have been prepared in accordance with GAAP and SEC requirements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank's financial position, results of operations and cash flows for the periods presented. All such adjustments were of a normal recurring nature. Use of Estimates. When preparing financial statements in accordance with GAAP, we are required 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. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to derivatives and hedging activities, as discussed in Note 8 - Derivatives and Hedging Activities, and the fair values of financial instruments. Estimated Fair Value. The estimated fair value amounts, recorded on the statement of condition and presented in the accompanying disclosures, reflect appropriate valuation methods and have been determined based on the assumptions that we believe market participants would use in pricing the asset or liability. Although we use our best judgment in estimating fair value, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions on the reporting dates. For more information, see Note 16 - Estimated Fair Values . Reclassifications. We have reclassified certain amounts reported in prior periods to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income or net cash flows. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. Securities purchased under agreements to resell are treated as short-term, collateralized financings. These securities are held in safekeeping in the Bank's name by third-party custodians approved by us. If the market value of the underlying assets declines below the market value required as collateral, the counterparty must (i) place an equivalent amount of additional securities in safekeeping in the Bank's name, and/or (ii) remit an equivalent amount of cash, or the dollar value of the resale agreement will be reduced accordingly. Federal funds sold are treated as short-term, unsecured loans. Allowance for Credit Losses. As a result of adopting new accounting guidance on January 1, 2020, these investments are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We use the collateral maintenance provision practical expedient for securities purchased under agreements to resell whereby a credit loss is recognized only if there is a collateral shortfall which we do not believe the counterparty is willing or able to replenish in accordance with the contractual terms. The credit loss would be limited to the difference between the estimated fair value of the collateral and the investment’s amortized cost. Prior to January 1, 2020, we recorded an allowance for credit losses on these investments only if it was probable a loss had been incurred as of the statement of condition date and the amount of loss could be reasonably estimated. For more information on the allowance methodology related to these investments, see Note 4 - Investments. Investment Securities. Purchases and sales of securities are recorded on a trade date basis. We classify investments as trading, HTM or AFS at the date of acquisition. Trading Securities. Securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these securities through other income as net gains (losses) on trading securities. Finance Agency regulation and our risk management policies prohibit the speculative use of these instruments and limit the credit risk arising from these securities. HTM Securities. Securities for which we have both the positive intent and ability to hold to maturity are classified as HTM. The carrying value includes adjustments made to the cost basis of the security for purchase discount and related accretion, purchase premium and related amortization, and collection of principal. Certain changes in circumstances may cause us to change our intent to hold a particular security to maturity without necessarily calling into question our 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 may also cause us to sell or transfer an HTM security without necessarily calling into question our intent to hold other debt securities to maturity, but such events must be isolated, non-recurring, unusual, and could not have been reasonably anticipated. In addition, sales of HTM debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date, if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and any changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after we have already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments or to scheduled payments payable in equal installments (both principal and interest) over its term. AFS Securities. Securities that are not classified as trading or HTM are classified as AFS and carried at estimated fair value. We record changes in the fair value of these securities in OCI as net change in unrealized gains (losses) on AFS securities, except for AFS securities in hedge relationships that qualify as fair-value hedges. For those securities, beginning January 1, 2019, we record the portion of the change in fair value attributable to the risk being hedged in interest income together with the related change in the fair value of the derivative, and record the remainder of the change in the fair value in OCI as net unrealized gains (losses) on AFS securities. Prior to January 1, 2019, we recorded the portion of the change in the fair value of the investment related to the risk being hedged in other income as net gains (losses) on derivatives and hedging activities together with the related change in the fair value of the derivative. Allowance for Credit Losses. Our HTM securities are evaluated quarterly for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. We individually evaluate our AFS securities for impairment on a quarterly basis. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows contractually due. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security with its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance is limited by the amount of the unrealized loss and excludes any uncollectible accrued interest receivable, which is measured separately. If we do not intend to sell an impaired AFS security and it is not more likely than not that we will be required to sell the security before recovery of its amortized cost basis, any remaining difference between the security’s estimated fair value and amortized cost is recorded to net unrealized gains (losses) on AFS securities within OCI. If we intend to sell an impaired AFS security, or more likely than not will be required to sell the security before recovery of its amortized cost basis, any allowance for credit losses is reversed and the amortized cost basis is written down to the security’s estimated fair value at the reporting date with any such impairment reported in earnings as net gains (losses) on investment securities. For more information on the allowance methodology related to our HTM and AFS securities, see Note 4 - Investments. Amortization of Purchase Premiums and Discounts. Since we hold a large number of similar loans underlying our MBS and ABS, for which prepayments are probable and the timing and amount of prepayments can be reasonably estimated, we amortize or accrete premiums and discounts on MBS and ABS to interest income over the estimated cash flows of each security using a level-yield under the retrospective interest method. This method requires that we estimate prepayments over the estimated life of the securities and retrospectively adjust the effective yield each time the estimated remaining cash flows change as if the new estimate had been used since the original acquisition date. Changes in interest rates are a significant assumption used in estimating the timing and amount of prepayments. We amortize the purchased premium on callable non-MBS debt securities at an individual security level using a level-yield methodology to the earliest call date. For all other non-MBS investments, we amortize or accrete premiums and discounts at an individual security level using a level-yield methodology over the contractual life of the securities. Prepayments on all non-MBS investments are not estimated but only taken into account as they actually occur. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income as net realized gains (losses) from sale of securities. Investment Securities - Other-Than-Temporary Impairment. On January 1, 2020, the accounting guidance related to OTTI for investments was superseded. Under prior guidance, on a quarterly basis, we evaluated our individual AFS and HTM securities that had been previously OTTI or were in an unrealized loss position to determine if any such securities were OTTI. A security was in an unrealized loss position (i.e., impaired) when its estimated fair value was less than its amortized cost. We considered an impaired debt security to be OTTI under any of the following conditions: • we intended to sell the debt security; • based on available evidence, we believed it was more likely than not that we will be required to sell the debt security before the anticipated recovery of its remaining amortized cost; or • we did not expect to recover the entire amortized cost of the debt security. Recognition of OTTI. If either of the first two conditions above were met, we recognized an OTTI loss in earnings equal to the entire difference between the debt security's amortized cost and its estimated fair value as of the statement of condition date. For those impaired securities that met neither of these two conditions, we performed a cash flow analysis to determine whether we expected to recover the entire amortized cost of each security. If the present value of the cash flows expected to be collected was less than the amortized cost of the debt security, a credit loss equal to that difference was recorded, and the carrying value of the debt security was adjusted to its estimated fair value. However, rather than recognizing the entire difference between the amortized cost and estimated fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) was recognized in earnings, while the remaining amount, if any, related to all other factors (i.e., the non-credit component) was recognized in OCI. The credit loss on a debt security was capped at the amount of that security's unrealized loss. The new amortized cost basis of the OTTI security, which reflected the credit loss, would not be adjusted for any subsequent recoveries of fair value. The total OTTI loss was included in other income with an offset for the portion recognized in OCI. The remaining amount represented the credit loss. Additional OTTI. Subsequent to any recognition of OTTI, if the present value of cash flows expected to be collected was less than the amortized cost basis (which reflected previous credit losses), we recorded an additional credit loss equal to that difference as additional OTTI. The total amount of additional OTTI (both credit and non-credit component, if any) was determined as the difference between the security's amortized cost, less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI, and its fair value. For certain AFS or HTM securities that were previously impaired and subsequently incurred additional credit losses, an amount equal to the additional credit losses, up to the amount of non-credit losses remaining in AOCI, was reclassified out of AOCI and into other income. Subsequent increases and decreases (if not an additional OTTI) in the estimated fair value of OTTI AFS securities were netted against the non-credit component of OTTI recognized previously in AOCI. For HTM securities, the OTTI in AOCI was accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future projected cash flows (with no effect on earnings unless the security was subsequently sold, matured or additional OTTI was recognized). For debt securities classified as AFS, we did not accrete the OTTI in AOCI to the carrying value because the subsequent measurement basis for these securities was the estimated fair value. Interest Income Recognition. As of the initial OTTI measurement date, a new accretable yield was calculated for the OTTI debt security. This yield was then used to calculate the portion of the credit losses included in the amortized cost of the security to be recognized into interest income each period over the remaining life of the security so as to match the amount and timing of future cash flows expected to be collected. On a quarterly basis, we re-evaluated the estimated cash flows and accretable yield. If there was no additional OTTI and there was either (i) a significant increase in the security's expected cash flows or (ii) a favorable change in the timing and amount of the security's expected cash flows, we adjusted the accretable yield on a prospective basis. Advances. We record advances at amortized cost, adjusted to include swap termination fees associated with modified advances, net of deferred prepayment fees, and fair-value hedging basis adjustments. We amortize such fees and hedging basis adjustments t o interest income using a level-yield methodology over the contractual life of the advance. When an advance is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments to amortized cost. We record interest on advances to interest income as earned. Prepayment Fees. We charge a borrower a prepayment fee when the borrower repays certain advances prior to maturity. We report prepayment fees, net of any associated swap termination fees and hedging basis adjustments, in interest income on advances. Advance Modifications. When we fund a new advance concurrent with, or within a short period of time after, the prepayment of an original advance, we determine whether the transaction is effectively either (i) two separate transactions (the prepayment of the original advance and the disbursement of a new advance), defined as an advance extinguishment, or (ii) the continuation of the original advance as modified, defined as an advance modification. We account for the transaction as an extinguishment if both of the following criteria are met: (i) the effective yield of the new advance is at least equal to the effective yield for a comparable advance to a member with similar collection risks who is not prepaying, and (ii) modifications of the original advance are determined to be more than minor, i.e., if the present value of the cash flows under the terms of the new advance is at least 10% different from the present value of the remaining cash flows under the original advance or through an evaluation of qualitative factors, which may include changes in the interest-rate exposure to the member by moving from a fixed to an adjustable-rate advance. In all other instances, the transaction is accounted for as an advance modification. If the transaction is determined to be an advance extinguishment, we recognize income from nonrefundable prepayment fees, net of associated swap termination fees, in the period that the extinguishment occurs. Alternatively, if no prepayment fees are received (e.g., the member requests that we embed the prepayment fee into the rate of the new advance), the excess of the present value of the cash flows of the new advance over those of an advance with a current market rate and otherwise comparable terms is immediately recognized in income, and the basis of the new advance is adjusted accordingly. If the transaction is determined to be an advance modification, the nonrefundable prepayment fees, net of swap termination fees, associated with the modification of the original advance are not immediately recognized in income but are (i) included in the carrying value of the modified advance and amortized into interest income over the life of the new advance using a level-yield methodology or (ii) embedded into the rate of the modified advance and recorded as an adjustment to the interest accrual. Allowance for Credit Losses. As a result of adopting new accounting guidance on January 1, 2020, our advances are evaluated quarterly for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. If any credit losses are expected, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, we recorded an allowance for credit losses on advances only if it was probable a loss had been incurred as of the statement of condition date and the amount of loss could be reasonably estimated. For more information on the allowance methodology related to advances, see Note 5 - Advances. Mortgage Loans Held for Portfolio. We classify mortgage loans, for which we have the positive intent and ability to hold for the foreseeable future or until maturity or payoff, as held for portfolio. Accordingly, these mortgage loans are reported at cost, adjusted to include premiums paid to and discounts received from PFIs, hedging basis adjustments, and the allowance for credit losses. We amortize or accrete premiums and discounts, certain loan fees or costs, and hedging basis adjustments to interest income using a level-yield methodology over the contractual life of the loans. When a loan is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments to the loan's amortized cost. Non-accrual Loans. We place a conventional mortgage loan on non-accrual status if it is determined that either (i) the collection of interest or principal is doubtful, or (ii) interest or principal is past due for 90 days or more, except when the loan is well secured and in the process of collection (e.g., through credit enhancements and monthly servicer remittances on a scheduled/scheduled basis). On loans with remittances on a scheduled/scheduled basis, we receive monthly principal and interest payments from the servicer regardless of whether the borrower has made payments to the servicer. Monthly servicer remittances on loans on an actual/actual basis may also be well secured; however, servicers on actual/actual remittance do not advance principal and interest due, regardless of borrower creditworthiness, until the payments are received from the borrower or when the loan is repaid. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. A government-guaranteed or -insured mortgage loan is not placed on non-accrual status when the collection of the contractual principal or interest is 90 days or more past due because of the contractual obligation of the loan servicer to pay defaulted interest at the contractual rate. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income (for any interest accrued in the current year) and/or the allowance for credit losses (for any interest accrued in the previous year). A loan on non-accrual status may be restored to accrual status when it becomes current (zero days past due) and three consecutive and timely monthly payments have been received. Otherwise, we record cash payments received on non-accrual loans as a direct reduction of the amortized cost of the loan. When the amortized cost has been fully collected, any additional amounts collected are recognized as interest income. REO. Our MPP was designed to require loan servicers to foreclose and liquidate in the servicer's name rather than in the Bank's name. Therefore, we do not take title to any foreclosed property or enter into any other legal agreement under which the borrower conveys all interest in the property to the Bank to satisfy the loan. Upon completion of a triggering event (short sale, deed in lieu of foreclosure, foreclosure sale or post-sale confirmation or ratification, as applicable), the servicer is required to remit to us the full UPB and accrued interest at the next feasible remittance. Upon full receipt, the mortgage loan is derecognized from the statement of condition. As a result of these factors, we do not classify as REO any foreclosed properties collateralizing MPP loans that were previously recorded on our statement of condition. In the case of a delay in receiving final payoff from the servicer beyond the second remittance cycle after a triggering event, we reclassify the amount owed from mortgage loans to a separate amount receivable from the servicer. The receivable is then evaluated for the amount expected to be recovered. Under the MPF Program, REO is recorded in other assets and includes assets that have been received in satisfaction of debt through foreclosures. REO is recorded at the lower of cost or fair value less estimated selling costs. We recognize a charge-off to the allowance for credit losses if the fair value of the REO less estimated selling costs is less than the amortized cost of the loan at the date of the transfer from mortgage loans to REO. Any subsequent gains, losses, and carrying costs are included in other expense. Loan Participations. We may sell participating interests in MPP loans acquired from our PFIs to other FHLBanks. The terms of the sale of these participating interests meet the accounting requirements for a sale and, therefore, the participating interests are derecognized from our reported mortgage loan balances and a pro-rata portion of the fixed LRA is assumed by the participating FHLBank for its use in loss mitigation. As a result, available funds remaining in our LRA are limited to our pro-rata portion of the fixed LRA that is associated with the participating interests retained by us. The portion of the participation fees received related to our upfront costs is recognized immediately into income, while the remaining portion related to our ongoing costs is deferred and amortized to income over the remaining life of the participated loans. Allowance for Credit Losses. As a result of adopting new accounting guidance on January 1, 2020, on a quarterly basis, we apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, current and historical economic conditions, and reasonable and supportable forecasts of expected economic conditions. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We estimate expected losses on our conventional 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 losses on an individual basis. In addition, we individually evaluate all TDRs, any remaining exposure to delinquent conventional MPP loans paid in full by servicers, and collateral-dependent loans. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, i.e., there is no other available and reliable source of repayment (including LRA and SMI). We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and reduce the allowance accordingly. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as we charge off accrued interest receivable by reversing interest income if a mortgage loan is placed on non-accrual status. Prior to January 1, 2020, we recorded an allowance for credit losses on mortgage loans only if it was probable a loss had been incurred as of the statement of condition date and the amount of loss over a loss emergence period of 24 months could be reasonably estimated. For more information on the allowance methodology related to mortgage loans, see Note 6 - Mortgage Loans Held for Portfolio. Troubled Debt Restructuring. A TDR related to MPP loans typically occurs when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties that would not have been otherwise considered. Although we do not participate in government-sponsored loan modification programs, we do consider certain conventional loan modifications to be TDRs when the modification agreement permits the recapitalization of past due amounts, generally up to the original loan amount. If a borrower is having financial difficulty and a significant concession has been granted by the PFI with our approval, the loan modification is considered a TDR. No other terms of the original loan are modified, except for the possible extension of the contractual maturity date on a case-by-case basis. In no event does the borrower's original interest rate change. As a result of new accounting guidance effective in March 2020, we are currently excluding all qualifying COVID-19-related loan modifications considered to be formal, i.e. the legal terms of the loan were changed, from TDR classification and accounting. We do not consider any short-term, informal, i.e. the legal terms of the loan have not changed, modifications or payment deferrals alone to be a TDR. For more information on the impact of this guidance, see Note 2 - Recently Adopted and Issued Accounting Guidance. MPP loans discharged in Chapter 7 bankruptcy proceedings without a reaffirmation of the debt are considered TDRs unless they are covered by SMI policies. Loans discharged in Chapter 7 bankruptcy proceedings with SMI policies are also considered to be TDRs unless (i) we will not suffer more than an insignificant delay in receiving all prin |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Recently Adopted Accounting Guidance. Measurement of Credit Losses on Financial Instruments (ASU 2016-13). On June 16, 2016, the FASB issued guidance replacing the current incurred loss model. The guidance requires entities to measure expected credit losses based on consideration of a broad range of relevant information, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount of the financial instrument. Prior to the adoption of this guidance, we recorded an allowance for credit losses (or OTTI for investment securities) if it was probable that a loss had been incurred as of the statement of condition date and the amount of the loss could be reasonably estimated. This guidance was effective for the interim and annual periods beginning on January 1, 2020 and was applied using a modified-retrospective method. In spite of the requirement to measure expected credit losses over the estimated life of our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances, and mortgage loans held for portfolio, the adoption of this guidance had no effect on our allowance for credit losses given the specific terms, issuer guarantees, and/or collateralized/secured nature of the instruments, and therefore no cumulative-effect adjustment was recorded to retained earnings as of January 1, 2020. Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13). On August 28, 2018, the FASB issued guidance to update the disclosure requirements for fair value measurement. This guidance was issued as part of the FASB's disclosure framework project and is intended to improve disclosure effectiveness. The guidance was effective for the interim and annual periods beginning on January 1, 2020. The adoption of this guidance affected our fair-value disclosures, but had no effect on our financial condition, results of operations or cash flows. Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14). On August 28, 2018, the FASB issued guidance to modify the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans. This guidance was issued as part of the FASB's disclosure framework project and is intended to improve disclosure effectiveness. The guidance was effective for the annual period ended December 31, 2020. The adoption of this guidance required us to add a disclosure to describe the reasons for any significant gains and losses related to changes in our benefit obligation and remove an existing disclosure regarding amounts in AOCI expected to be recognized as components of net periodic benefit cost over the next fiscal year. The guidance had no effect on our financial condition, results of operations or cash flows. Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement that is a Service Contract (ASU 2018-15) . On August 29, 2018, the FASB issued guidance on implementation costs incurred in a hosting arrangement that is a service contract. The guidance aligns the requirements for capitalizing such costs with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software and hosting arrangements that include an internal-use software license. This guidance was effective for the interim and annual periods beginning on January 1, 2020. The adoption of this guidance on a prospective basis had no effect on our financial condition, results of operations, or cash flows. The CARES Act and Interagency Statement . On March 27, 2020, Section 4013 of the CARES Act was signed into law and provides optional, temporary relief from the accounting and reporting requirements for TDRs on certain conventional loan modifications related to COVID-19 that are offered by financial institutions, including a forbearance arrangement, an interest rate modification, a repayment plan, or any similar arrangement that defers or delays payment of principal or interest. To qualify for such relief, a loan must have been current as of December 31, 2019 and the modification must occur between March 1, 2020 and 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. In addition to the CARES Act, the Board of Governors of the Federal Reserve System, the FDIC, National Credit Union Administration, OCC, CFPB and the state banking regulators (collectively, the "Banking Agencies") issued a Revised Interagency Statement on Loan Modifications and Reporting for Financial Institutions Working with Customers Affected by the Coronavirus (the "Interagency Statement") in April 2020. The Interagency Statement primarily offers certain interpretations of existing GAAP relative to conventional loan modifications that occur in response to the COVID-19 pandemic. In the second quarter of 2020, we elected to apply the TDR relief that is provided by the CARES Act and further clarified by the Interagency Statement. As such, a ll qualifying COVID-19-related loan modifications considered to be formal, i.e. the legal terms of the loan were changed, are excluded from TDR classification and accounting and the payment status of the loan is returned to current. As of December 31, 2020, we had $12,309 of loans outstanding with such formal modifications. For all informal COVID-19-rel ated loan modifications, i.e. the legal terms of the loan were not changed, we continue to follow our existing past-due, non-accrual, TDR and charge-off accounting policies as disclosed in Note 1 - Summary of Significant Accounting Policies . Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). On March 12, 2020, the FASB issued optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance provides accounting relief related to the following: Contract modifications. Entities can elect not to apply certain modification accounting requirements to contracts affected by reference rate reform, if certain criteria are met. An entity that makes this election would not have to remeasure the contracts at the modification date or reassess a previous accounting determination. Hedging relationships. Entities can elect various optional expedients that would allow them to continue applying hedge accounting for hedging relationships affected by reference rate reform, if certain criteria are met. Sales or transfers of debt securities classified as HTM . Entities can make a one-time election to sell and/or reclassify HTM securities that reference an interest rate affected by reference rate reform and were classified as HTM prior to January 1, 2020. The guidance is effective from March 12, 2020 through December 31, 2022. We may elect to adopt the guidance for eligible contract modifications and hedging relationships existing as of January 1, 2020 and prospectively thereafter until the expiration date of the guidance. To date, we have not applied any of the optional expedients and exceptions provided by this guidance. On January 7, 2021, the FASB issued ASU 2021-01 which further clarified and broadened the scope of this guidance. Reference Rate Reform: Scope (ASU 2021-01). On October 16, 2020, CME and LCH, i.e., the clearinghouses used for all of our cleared derivative transactions, revised their rulebooks to change the discounting and price alignment interest for cleared U.S. dollar interest-rate derivatives from the EFFR to SOFR. On January 7, 2021, the FASB issued guidance, which among other changes, amended the scope of the guidance previously introduced by ASU 2020-04 to allow derivative instruments impacted by changes in the interest rate used for margining, discounting, or price alignment to qualify for the optional relief. The guidance was effective upon issuance and allows for retrospective or prospective application using the same date parameters as established by the ASU 2020-04 guidance. Upon issuance, we retrospectively adopted this guidance to support our reporting that, on the transition date, the discounting change from EFFR to SOFR did not result in the discontinuance of any impacted hedge relationship. |
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 | Note 3 - Cash and Due from Banks Compensating Balances. Periodically, we maintain cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions on the withdrawal of funds. The average cash balances for the years ended December 31, 2020, 2019, and 2018, were $65,945, $19,420, and $22,300, respectively. Pass-through Deposit Reserves. We act as a pass-through correspondent for member institutions required to deposit reserves with the Federal Reserve Banks. The amounts reported as cash and due from banks at December 31, 2020 and 2019 include pass-through reserves of $1,506 and $54,264, respectively. |
Investments
Investments | 12 Months Ended |
Dec. 31, 2020 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Note 4 - Investments Short-term Investments. We invest 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 maintain a credit rating of triple-B or higher (investment grade) by an NRSR O. At December 31, 2020, none of these investments were with counterparties rated below single-A and none were with unrated counterparties. The N RSRO ratings may differ from our internal ratings of the investments, if applicable. Allowance for Credit Losses. Interest-Bearing Deposits . Interest-bearing deposits are considered overnight investments given our ability to withdraw funds from these accounts at any ti me. As such, no allowance for credit losses was recorded for these investments at December 31, 2020 and 2019. The carrying values of interest-bearing deposits at December 31, 2020 and 2019 exclude accrued interest receivable of $13 and $1,080, respectively. Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with our counterparties, no allowance for credit losses was recorded for securities purchased under agreements to resell at December 31, 2020 and 2019. The carrying values of securities purchased under agreements to resell as of December 31, 2020 and 2019 exclude accrued interest receivable of $5 and $65, respectively. Federal Funds Sold . Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit an individual FHLBank may extend to a counterparty. All investments in federal funds sold at December 31, 2020 and 2019 were repaid according to the contractual terms and, therefore, no allowance for credit losses was recorded. The carrying values of federal funds sold at December 31, 2020 and 2019 exclude accrued interest receivable of $3 and $111 , respectively. Investment Securities. Trading Securities. Major Security Types. The following table presents our trading securities by type of security. Security Type December 31, 2020 December 31, 2019 Non-mortgage-backed securities: U.S. Treasury obligations $ 5,094,703 $ 5,016,649 Total trading securities at estimated fair value $ 5,094,703 $ 5,016,649 Net Gains (Losses) on Trading Securities. The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. Years Ended December 31, 2020 2019 2018 Net unrealized gains (losses) on trading securities held at year end $ (36,994) $ 30,705 $ — Net realized gains on trading securities that matured/sold during the year 22,510 2,291 — Net gains (losses) on trading securities $ (14,484) $ 32,996 $ — Available-for-Sale Securities . Major Security Types. The following table presents our AFS securities by type of security. Gross Gross Amortized Unrealized Unrealized Estimated December 31, 2020 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 3,462,885 $ 40,252 $ — $ 3,503,137 GSE MBS 6,545,093 98,263 (1,594) 6,641,762 Total AFS securities $ 10,007,978 $ 138,515 $ (1,594) $ 10,144,899 December 31, 2019 GSE and TVA debentures $ 3,885,012 $ 41,840 $ — $ 3,926,852 GSE MBS 4,509,653 51,200 (3,227) 4,557,626 Total AFS securities $ 8,394,665 $ 93,040 $ (3,227) $ 8,484,478 (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at December 31, 2020 and 2019 totaled $16,300 and $5,773, respectively. The applicable fair-value hedging basis adjustments at December 31, 2020 and 2019 totaled $627,619 and $150,372, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,616 and $32,963, respectively. Carrying value equals estimated fair value. Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized December 31, 2020 Fair Value Losses Fair Value Losses Fair Value Losses GSE MBS $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) Total impaired AFS securities $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) December 31, 2019 GSE MBS $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) Total impaired AFS securities $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) Realized Gains and Losses. During the year ended December 31, 2020, for strategic, economic and operational reasons, we sold certain of our GSE MBS. Proceeds from the AFS sales tot aled $96,779, resulting in net realized gains of $504, comprised of realized gains of $715 and realized losses of $211 determined by the specific identification method. There were no sales during the year ended December 31, 2019. During the year ended December 31, 2018, for strategic, economic and operational reasons, we sold all of our AFS investments in private-label RMBS and ABS. None of the OTTI AFS securities sold in 2018 were in an unrealized loss position. Proceeds from the AFS sales tot aled $203,841, resulting in realized gains of $32,407 determined by the specific identification method. Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. December 31, 2020 December 31, 2019 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 705,134 $ 705,442 $ 570,209 $ 571,588 Due after 1 year through 5 years 1,215,038 1,225,187 1,729,664 1,742,681 Due after 5 years through 10 years 1,542,713 1,572,508 1,489,144 1,514,978 Due after 10 years — — 95,995 97,605 Total non-MBS 3,462,885 3,503,137 3,885,012 3,926,852 Total MBS 6,545,093 6,641,762 4,509,653 4,557,626 Total AFS securities $ 10,007,978 $ 10,144,899 $ 8,394,665 $ 8,484,478 Held-to-Maturity Securities. Major Security Types. The following table presents our HTM securities by type of security. Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair December 31, 2020 Cost (1) Gains (2) Losses (2) Value MBS: Other U.S. obligations - guaranteed MBS $ 2,622,677 $ 6,920 $ (4,590) $ 2,625,007 GSE MBS 2,078,625 21,640 (1,476) 2,098,789 Total HTM securities $ 4,701,302 $ 28,560 $ (6,066) $ 4,723,796 December 31, 2019 MBS: Other U.S. obligations - guaranteed MBS $ 3,059,875 $ 6,948 $ (13,217) $ 3,053,606 GSE MBS 2,156,526 10,117 (4,043) 2,162,600 Total HTM securities (3) $ 5,216,401 $ 17,065 $ (17,260) $ 5,216,206 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2020 and 2019 totaled $7,101 and $8,418, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $2,689 and $7,156, respectively. (2) Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value. (3) Total HTM securities as of December 31, 2019 in an unrealized loss position for less than 12 months had an estimated fair value of $1,494,740 and unrealized losses of $8,923 , while those in an unrealized loss position for 12 months or more had an estimated fair value of $1,298,228 and unrealized losses of $8,337 . Realized Gains and Losses. There were no sales of HTM securities during the years ended December 31, 2020 or 2019. During the year ended December 31, 2018, for strategic, economic and operational reasons, we sold all of our HTM investments in private-label RMBS and ABS. The amortized cost of the HTM securities sold totaled $41,271. Proceeds from the HTM sales tot aled $41,226, resulting in realized losses of $45 determined by the specific identification method. For each of these HTM securities, we had previously collected at least 85% of the principal outstanding at the time of acquisition due to prepayments or scheduled payments over the term. As such, the sales were considered maturities for purposes of security classification. Contractual Maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. Allowance for Credit Losses on Investment Securities. At December 31, 2020 , 100% of our AFS and HTM securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ for any internal ratings of the securities, if applicable. AFS Securities. At December 31, 2020, certain of our AFS securities were in an unrealized loss position; however, we did not record an allowance for credit losses because these losses are considered temporary and we expect to recover the entire amortized cost basis on these securities based upon the following factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) the U.S., GSE, and other agency obligations carry an explicit or implicit government guarantee such that the we consider the risk of nonpayment to be zero, and (iv) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities before recovery of each security's remaining amortized cost basis. HTM Securities. At December 31, 2020, we did not establish an allowance for credit losses on any of our HTM securities based on the following factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) the U.S., GSE, and other agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero, and (iv) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities. Under the previous security impairment methodology for AFS and HTM securities, the Bank did not recognize any OTTI during the years ended December 31, 2019 or 2018. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2020 | |
Advances [Abstract] | |
Advances | Note 5 - Advances We offer a wide range of fixed- and adjustable-rate advance products with various maturities, interest rates, payment characteristics and optionality. Adjustable-rate advances have interest rates that reset periodically at a fixed spread to LIBOR or another specified index, including SOFR. Longer-term advances may be available subject to market conditions for both fixed-rate and adjustable-rate products. The following table presents advances outstanding by redemption term. December 31, 2020 December 31, 2019 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ 37 3.99 Due in 1 year or less 10,115,576 0.51 11,791,716 1.85 Due after 1 year through 2 years 2,149,839 1.57 2,106,315 2.12 Due after 2 years through 3 years 2,760,624 2.02 2,505,693 2.16 Due after 3 years through 4 years 3,725,103 1.36 2,625,446 2.44 Due after 4 years through 5 years 3,020,039 1.29 4,076,103 2.08 Thereafter 8,919,678 1.05 9,166,357 1.89 Total advances, par value 30,690,859 1.06 32,271,667 1.98 Fair-value hedging basis adjustments, net 645,946 207,111 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 10,681 1,330 Total advances (1) $ 31,347,486 $ 32,480,108 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and net charge-offs, and excludes accrued interest receivable at December 31, 2020 and 2019 of $14,961 and $27,019, respectively. We offer our members certain advances that provide them the right, at predetermined future dates, to call (i.e., prepay) the advance prior to maturity without incurring prepayment or termination fees. Borrowers typically exercise their call options for fixed-rate advances when interest rates decline. We also offer certain adjustable-rate advances that may be contractually prepaid by the borrower at the interest-rate reset date without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance. We also offer putable advances. Under the terms of a putable advance, we retain the right to extinguish or put the fixed-rate advance to the member on predetermined future dates and offer replacement funding at current market rates, subject to certain conditions. The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption Earlier of Redemption December 31, December 31, December 31, December 31, Overdrawn demand and overnight deposit accounts $ — $ 37 $ — $ 37 Due in 1 year or less 15,296,034 18,497,813 14,645,076 14,560,066 Due after 1 year through 2 years 1,797,049 1,514,015 3,107,339 3,329,315 Due after 2 years through 3 years 2,440,024 2,127,903 3,160,729 3,254,093 Due after 3 years through 4 years 2,246,102 2,117,546 3,824,603 3,025,551 Due after 4 years through 5 years 2,076,839 2,454,103 2,585,439 3,481,353 Thereafter 6,834,811 5,560,250 3,367,673 4,621,252 Total advances, par value $ 30,690,859 $ 32,271,667 $ 30,690,859 $ 32,271,667 Captive insurance companies that were admitted as FHLBank members prior to September 12, 2014, and did not meet the definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership under the Final Membership Rule, had their memberships terminated by February 19, 2021. However, the outstanding advances to these captive insurers totaling $288,000 are not required to be repaid prior to their various maturity dates through 2024. Advance Concentrations . At December 31, 2020 and 2019, our top five borrowers held 44% and 42%, respectively, of total advances outstanding at par. Allowance for Credit Losses on Advances. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our members' capital stock in our Bank serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. To ensure that we are sufficiently protected, we evaluate and determine whether a member may retain physical possession of its collateral that is pledged to us or must specifically deliver the collateral to us or our safekeeping agent. Our evaluation of credit losses on advances utilizes a basic framework that considers the adequacy of the advances' associated collateral and the associated members' willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem our Bank to be inadequately secured. We determine the estimated value of the collateral required to secure each member's advances by applying collateral discounts, or haircuts, to the market value or UPB of the collateral, as applicable. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. At December 31, 2020 and 2019, we had rights to collateral on a borrower-by-borrower basis with an estimated lendable value equal to or in excess of our advances outstanding. At December 31, 2020 and 2019, we did not have any advances that were past due, on non-accrual status, or considered impaired. In addition, there were no TDRs related to advances during the years ended December 31, 2020, 2019, or 2018. Based upon the collateral held as security, our credit extension and collateral policies, our credit analysis and the repayment history on advances, we have not recorded an allowance for credit losses on advances. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 6 - Mortgage Loans Held for Portfolio Mortgage loans held for portfolio consist substantially of residential loans acquired from our members through the MPP. Participating interests were purchased in 2012 - 2014 from the FHLBank of Topeka in residential loans that were originated by certain of its PFIs through their participation in the MPF Program offered by the FHLBank of Chicago. The balances also reflect the sale of a 90% participating interest in a $100 million MCC of certain newly acquired MPP loans to another FHLBank in 2016. The MPP and MPF Program loans are fixed rate and either credit enhanced by PFIs, if conventional, or guaranteed or insured by government agencies. The following tables present information on mortgage loans held for portfolio by term, type and product. Term December 31, 2020 December 31, 2019 Fixed-rate long-term mortgages $ 7,257,237 $ 9,677,008 Fixed-rate medium-term (1) mortgages 1,065,329 908,526 Total mortgage loans held for portfolio, UPB 8,322,566 10,585,534 Unamortized premiums 187,425 231,807 Unamortized discounts (1,638) (2,158) Hedging basis adjustments, net 7,642 154 Total mortgage loans held for portfolio 8,515,995 10,815,337 Allowance for credit losses (350) (300) Total mortgage loans held for portfolio, net (2) $ 8,515,645 $ 10,815,037 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,151 and $47,722, respectively. Type December 31, 2020 December 31, 2019 Conventional $ 8,069,274 $ 10,263,249 Government-guaranteed or -insured 253,292 322,285 Total mortgage loans held for portfolio, UPB $ 8,322,566 $ 10,585,534 Product December 31, 2020 December 31, 2019 MPP $ 8,163,902 $ 10,363,081 MPF Program 158,664 222,453 Total mortgage loans held for portfolio, UPB $ 8,322,566 $ 10,585,534 Conventional MPP. Our management of credit risk considers the several layers of loss protection that are defined in our agreements with the PFIs. Our loss protection consists of the following loss layers, in order of priority, (i) borrower equity; (ii) PMI up to coverage limits (when applicable for the acquisition of mortgages with an initial LTV ratio of over 80% at the time of purchase); (iii) available funds remaining in the LRA; and (iv) SMI coverage (as applicable) purchased by the seller from a third-party provider naming the Bank as the beneficiary, up to the policy limits. Any losses not absorbed by the loss protection are borne by the Bank. For conventional mortgage loans under our original MPP, credit enhancement is provided through allocating a portion of the periodic interest payments on the loans into an LRA. In addition, the PFI selling conventional loans to us is required to purchase SMI, paid through periodic interest payments, as an enhancement to cover credit losses over and above those covered by the LRA, but the covered losses are limited to the terms of the policy. Beginning with Advantage MPP, we discontinued the use of SMI for all loan purchases and replaced it with a fixed LRA. The fixed LRA is funded with a portion of each loan's purchase proceeds. The LRA is segregated by pools of loans and used to cover losses in a pool beyond those covered by an individual loan's PMI (as applicable), but is limited to covering losses of that specific pool only. Any excess funds are ultimately distributed to the member in accordance with a step-down schedule that is established upon execution of an MCC, subject to performance of the related pool. The following table presents the activity in the LRA, which is reported in other liabilities. LRA Activity 2020 2019 2018 Liability, beginning of year $ 186,585 $ 174,096 $ 148,715 Additions 24,298 15,435 26,662 Claims paid (329) (302) (508) Distributions to PFIs (3,249) (2,644) (773) Liability, end of year $ 207,305 $ 186,585 $ 174,096 Conventional MPF Program. Our management of credit risk in the MPF Program considers the several layers of loss protection that are defined in agreements among the FHLBank of Topeka and its PFIs. The availability of loss protection may differ slightly among MPF products. The loss layers, in order of priority, are (i) borrower equity; (ii) PMI up to coverage limits (when applicable for the purchase of mortgages with an initial LTV ratio of over 80% at the time of purchase); (iii) FLA, which represents the first layer or portion of credit losses that we absorb after the borrower's equity, PMI, and any recoverable CE fees; and (iv) the CE Obligation of a PFI, which absorbs losses in excess of the FLA in order to limit our loss exposure to that of an investor in an MBS deemed to be investment-grade. Any losses not absorbed by the loss protection are shared among the participating FHLBanks based upon the applicable percentage of participation. PFIs retain a portion of the credit risk on the loans they sell by providing credit enhancement through a direct liability to pay credit losses up to a specified amount. 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. To the extent the Bank is responsible for losses in a pool, it may be able to recapture CE fees paid to that PFI to offset those losses. All CE fees are paid monthly based on the remaining UPB of the loans in a pool. Government-Guaranteed or -Insured Mortgage Loans. These fixed-rate mortgage loans are guaranteed or insured by the FHA, Department of Veterans Affairs, Rural Housing Service of the Department of Agriculture, or HUD. The servicer provides and maintains a guaranty or insurance from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guaranty or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses incurred on these loans that are not recovered from the insurer or guarantor are absorbed by the servicers. Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. Payment status is the key credit quality indicator for conventional mortgage loans and allows us 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 non-accrual loans and loans in process of foreclosure. The tables below present the key credit quality indicators for our mortgage loans held for portfolio. Origination Year Payment Status as of December 31, 2020 Prior to 2016 2016 to 2020 Total Past due: 30-59 days $ 19,893 $ 22,130 $ 42,023 60-89 days 6,980 12,078 19,058 90 days or more 27,467 67,075 94,542 Total past due 54,340 101,283 155,623 Total current 2,468,908 5,635,070 8,103,978 Total conventional mortgage loans, amortized cost (1) $ 2,523,248 $ 5,736,353 $ 8,259,601 We have continued to apply our existing accounting policies for past due, non-accrual, and charge-offs for COVID-19-related loan modifications considered to be informal, i.e. the legal terms of the loan were not changed. Based on the most recent information received from our mortgage servicers, as of December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement totaled $111,516, or 1.4% of our total conventional loans outstanding. The payment status as of December 31, 2020 includes such loans 30 to 59 days past due of $10,214, 60-89 days past due of $12,661, and 90 days or more past due of $79,011, for total past due of $101,886. Such loans with a current payment status totaled $9,630. As of December 31, 2020, no formal or informal COVID-19-related loan modifications were classified as TDRs. For more information, see Note 2 - Recently Adopted and Issued Accounting Guidance . Payment Status as of December 31, 2019 Total Past due: 30-59 days $ 44,479 60-89 days 9,868 90 days or more 10,668 Total past due 65,015 Total current 10,470,495 Total conventional mortgage loans, recorded investment (1)(2) $ 10,535,510 Other Delinquency Statistics as of December 31, 2020 Conventional Government Total In process of foreclosure (3) $ 2,689 $ — $ 2,689 Serious delinquency rate (1)(4) 1.14 % 3.36 % 1.21 % Past due 90 days or more still accruing interest (1)(5) $ 36,585 $ 7,933 $ 44,518 On non-accrual status (6) $ 87,763 $ — $ 87,763 Other Delinquency Statistics as of December 31, 2019 In process of foreclosure (3) $ 2,071 $ — $ 2,071 Serious delinquency rate (1)(4) 0.10 % 0.94 % 0.13 % Past due 90 days or more still accruing interest (1)(5) $ 10,127 $ 3,069 $ 13,196 On non-accrual status $ 1,063 $ — $ 1,063 (1) Based on the amortized cost at December 31, 2020, which excludes accrued interest receivable. Based on the recorded investment at December 31, 2019, which includes accrued interest receivable. (2) The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance. (3) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status. (4) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. (5) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status. (6) As of December 31, 2020, $87,708 of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $59,306 of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic. Allowance for Credit Losses. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both current and historical information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure over the estimated life of the loans. One such key input is a 3-year forecast of housing prices before full reversion to historical inputs over 5 years. Additionally, the evaluation is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans 180 days or more past due and not charged-off are also collectively evaluated at the pool level based on loan-specific attribution data, including the use of loan-level property values from a third-party. Prior to January 1, 2020, our allowance was based on our best estimate of probable losses over a loss emergence period of 24 months. Individually Evaluated Mortgage Loans. Certain conventional mortgage loans, primarily TDRs, are specifically identified for purposes of calculating the allowance for credit losses. The measurement of our allowance for individually evaluated loans considers loan-specific attribution data similar to homogeneous pools of delinquent loans evaluated on a collective basis, including the use of loan-level property values from a third-party. We also individually evaluate any remaining exposure to delinquent MPP conventional loans paid in full by the servicers. An estimate of the loss, if any, is equal to the estimated cost associated with maintaining and disposing of the property (which includes the UPB, interest owed on the delinquent loan to date, and estimated costs associated with disposing of the collateral) less the estimated fair value of the collateral (net of estimated selling costs) and the amount of credit enhancements including the PMI, LRA and SMI. The estimated fair value of the collateral is obtained from HUD statements, sales listings or other evidence of current expected liquidation amounts. Qualitative Factors. We also assess qualitative factors in our estimation of credit losses. These factors represent a subjective management judgment based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and therefore may not otherwise be captured in our methodology. Components and Rollforward of Allowance for Credit Losses. The following table presents the components of the allowance for credit losses, including the credit enhancement waterfall for MPP. Components of Allowance December 31, 2020 December 31, 2019 MPP expected losses remaining after borrower's equity, before credit enhancements $ 10,305 $ 4,410 Portion of expected losses recoverable from credit enhancements: PMI (2,277) (667) LRA (1) (6,847) (2,581) SMI (963) (927) Total portion recoverable from credit enhancements (10,087) (4,175) Allowance for unrecoverable PMI/SMI 32 15 Allowance for MPP credit losses 250 250 Allowance for MPF Program credit losses 100 50 Allowance for credit losses $ 350 $ 300 (1) Amounts recoverable are limited to (i) the expected losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the total LRA balance is available to cover any losses not yet expected and to distribute any excess funds to the PFIs. The table below presents a rollforward of our allowance for credit losses. Rollforward of Allowance 2020 2019 2018 Balance, beginning of year $ 300 $ 600 $ 850 Charge-offs (140) (137) (444) Recoveries 50 126 425 Provision for (reversal of) credit losses 140 (289) (231) Balance, end of year $ 350 $ 300 $ 600 Government-Guaranteed or -Insured Mortgage Loans. Based on the U.S. government guarantee or insurance on these loans, our assessment of our servicers, and the collateral backing the loans, we did not establish an allowance for credit losses for government-guaranteed or -insured mortgage loans at December 31, 2020 or 2019. Furthermore, none of these mortgage loans have been placed on non-accrual status due to 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. |
Premises, Software and Equipmen
Premises, Software and Equipment | 12 Months Ended |
Dec. 31, 2020 | |
Property, Plant and Equipment [Abstract] | |
Premises, Software and Equipment | Note 7 - Premises, Software and Equipment The following table presents the types of our premises, software and equipment. Type December 31, 2020 December 31, 2019 Premises $ 15,769 $ 15,828 Computer software 48,952 45,049 Data processing equipment 6,048 4,975 Furniture and equipment 6,365 6,294 Other 756 703 Premises, software and equipment, in service 77,890 72,849 Accumulated depreciation and amortization (46,681) (41,133) Premises, software and equipment, in service, net 31,209 31,716 Capitalized assets in progress 2,784 4,833 Premises, software and equipment, net $ 33,993 $ 36,549 |
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 | Note 8 - Derivatives and Hedging Activities Nature of Business Activity. We are exposed to interest-rate risk primarily from the effect of changes in market interest rates on our interest-earning assets and our interest-bearing liabilities that finance those assets. The goal of our interest-rate risk management strategies is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, we have established policies and procedures, which include guidelines on the amount of exposure to interest rate changes that we are willing to accept. In addition, we monitor the risk to our interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. Consistent with Finance Agency regulation, we enter into derivatives to (i) manage the interest-rate risk exposures inherent in our otherwise unhedged assets and funding positions, (ii) achieve our risk management objectives, and (iii) act as an intermediary between our members and counterparties. Finance Agency regulation and our risk management policies prohibit trading in, or the speculative use of, these derivative instruments and limit credit risk arising from these instruments. However, the use of derivatives is an integral part of our financial management strategy. We use derivative financial instruments when they are considered to be the most cost-effective alternative to achieve our financial and risk management objectives. The most common ways in which we use derivatives are to: • reduce the interest-rate sensitivity and repricing gaps of assets and liabilities; • protect the value of existing asset and liability positions or of commitments and forecasted transactions; • mitigate the adverse earnings effects of the shortening or extension of the duration of certain assets (e.g., advances or mortgage assets) and liabilities; • reduce funding costs by executing a derivative concurrently with the issuance of a consolidated obligation as the cost of a combined funding structure can be lower than the cost of a comparable CO bond; • 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., CO bond used to fund advance); • manage embedded options in assets and liabilities; and • manage our overall asset/liability structure. We reevaluate our hedging strategies from time to time and, consequently, we may adopt new strategies or change our hedging techniques. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. We are not a derivatives dealer and thus do not trade derivatives for short-term profit. Over-the-counter derivative transactions may be either executed with a counterparty (uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) with a clearinghouse (cleared derivatives). Once a derivative transaction has been accepted for clearing by a clearinghouse, the derivative transaction is novated, and the executing counterparty is replaced with the clearinghouse. Types of Derivatives. We use the following derivative instruments to reduce funding costs and to manage our exposure to interest-rate risks inherent in the normal course of business. Interest-Rate Swaps. The variable rate we receive or pay in most interest-rate swaps is currently indexed to LIBOR, EFFR, or SOFR. Interest-Rate Cap and Floor Agreements. Caps and floors are used to protect against the interest rate on a variable-rate asset or liability falling below or rising above a certain level. Interest-Rate Swaptions. To protect against the adverse effects of sudden increases or decreases in interest rates, we utilize payer or receiver swaptions, respectively. Forward Contracts. Certain MDCs entered into by us are considered derivatives. We may hedge these MDCs by selling TBAs for forward settlement. Types of Hedged Items. We document at inception all relationships between the derivatives designated as hedging instruments and the hedged items, our risk management objectives and strategies for undertaking various hedge transactions, and our method of assessing effectiveness. For derivatives in shortcut hedge accounting relationships, we can assume the change in the fair value of the derivative is perfectly effective in offsetting the change in the fair value of the hedged item attributable to the hedged risk without performing a formal effectiveness assessment at the hedge's inception or on an on-going basis. For derivatives in long-haul hedge accounting relationships, we formally assess (both at the hedge's inception and at least quarterly), using regression analyses, whether the derivatives have been highly effective in offsetting changes in the fair value of the hedged items attributable to the hedged risk and whether those derivatives may be expected to remain highly effective in future periods. We have the following types of hedged items: Investments. We primarily invest in MBS, U.S. Treasury securities, and GSE and TVA debentures, which may be classified as trading, HTM or AFS securities. The interest-rate, prepayment and duration risks associated with these investment securities are managed through a combination of debt issuance and derivatives. We may manage those risks by funding investment securities with consolidated obligations that contain call features. We may also hedge the prepayment risk with caps or floors, callable swaps or swaptions. We may manage the risk and volatility arising from changing market prices of investment securities by matching the cash outflow on the derivatives with the cash inflow on the investment securities. Certain of these derivatives qualify as fair-value hedges while others are designated as economic hedges. Advances. We offer a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics, and optionality. We may use derivatives to manage the repricing and/or options characteristics of advances in order to more closely match the characteristics of our funding liabilities. In general, whenever a member executes a fixed-rate advance or an adjustable-rate advance with embedded options, we may simultaneously execute a derivative with terms that offset the terms and embedded options in the advance. For example, we may hedge a fixed-rate advance with an interest-rate swap where we pay a fixed-rate and receive a variable-rate, effectively converting the fixed-rate advance to an adjustable-rate advance. This type of hedge is typically treated as a fair-value hedge. In addition, we may hedge a callable, prepayable or putable advance by entering into a cancellable interest-rate swap. Mortgage Loans. We invest 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 loans, depending on changes in prepayment speeds. We manage the interest-rate and prepayment risks associated with mortgage loans through a combination of debt issuance and derivatives. We issue both callable and noncallable consolidated obligations to achieve cash flow patterns and liability durations similar to those expected on the mortgage loans. We may also purchase interest-rate caps and floors, swaptions, callable swaps, calls, and puts to minimize the prepayment risk embedded in the loans. Although these derivatives are effective economic hedges against the prepayment risk of the loans, they are not specifically linked to individual loans and, therefore, do not qualify for fair-value hedge accounting. These derivatives are marked to fair value through earnings. Consolidated Obligations. We may enter into derivatives to hedge the interest-rate risk associated with our debt issuances. We manage the risk and volatility arising from changing market prices of a consolidated obligation by matching the cash inflow on the derivative with the cash outflow on the consolidated obligation. In a typical transaction, we issue a fixed-rate consolidated obligation and simultaneously enter into a matching derivative in which the counterparty pays fixed cash flows to us designed to match in timing and amount the cash outflows we pay on the consolidated obligation. In turn, we pay a variable cash flow to the counterparty that closely matches the interest payments we receive on short-term or variable-rate advances (typically one- or three-month LIBOR or EFFR). These transactions are typically treated as fair-value hedges. Additionally, we may issue variable-rate CO bonds indexed to LIBOR, SOFR, or the United States prime rate and simultaneously execute interest-rate swaps to hedge the basis risk of the variable-rate debt. Firm Commitments. Certain MDCs are considered derivatives. We normally hedge these commitments by selling TBA MBS or other derivatives for forward settlement. The MDC and the TBA used in the firm commitment hedging strategy are treated as an economic hedge and are marked to fair value through earnings. When the MDC settles, the current fair value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies, CFTC regulations, and Finance Agency regulations. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. We require collateral agreements with our uncleared derivatives. The exposure thresholds above which collateral must be delivered vary; the threshold is zero in some cases. Additionally, collateral related to derivatives with member institutions includes collateral assigned to us as evidenced by a written security agreement and held by the member institution for our benefit. For certain of our uncleared derivatives, we have credit support agreements that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on uncleared derivative instruments in net liability positions. The aggregate estimated fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at December 31, 2020 was $1,177, for which we have posted collateral in cash, including accrued interest, of $894 in the normal course of business. If our credit rating had been lowered by an NRSRO (from an S&P equivalent of AA+ to AA), we would not have been required to deliver additional collateral to our uncleared derivative counterparties at December 31, 2020. Cleared Derivatives. For cleared derivatives, the clearinghouse is our counterparty. We use LCH and CME as clearinghouses for all cleared derivative transactions. Collateral is required to be posted daily for changes in the value of cleared derivatives to mitigate each counterparty's credit risk. The clearinghouse notifies the clearing agent of the required initial and variation margin, and the clearing agent notifies us. The requirement that we post initial and variation margin through the clearing agent for the benefit of the clearinghouse exposes us to institutional credit risk in the event that the clearing agent or clearinghouse fails to meet its obligations. At both clearinghouses, initial margin is considered cash collateral and variation margin is characterized as daily settlement payments. The clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At December 31, 2020, we were not required by our clearing agents to post any additional margin. Financial Statement Effect and Additional Financial Information. The notional amount of derivatives serves as a factor in determining periodic interest payments, or cash flows received and paid. The notional amount of derivatives also reflects the extent of our involvement in the various classes of financial instruments but represents neither the actual amounts exchanged nor our overall exposure 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. We record derivative instruments, related cash collateral received or pledged/posted and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met. The following table presents the notional amount and estimated fair value of derivative assets and liabilities. Estimated Fair Value Notional Derivative Derivative December 31, 2020 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 40,227,966 $ 13,018 $ 761,330 Total derivatives designated as hedging instruments 40,227,966 13,018 761,330 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 9,177,000 5,404 181 Swaptions — — — Interest-rate caps/floors 625,500 1,113 — Interest-rate forwards 180,900 — 1,486 MDCs 180,152 1,022 — Total derivatives not designated as hedging instruments 10,163,552 7,539 1,667 Total derivatives before adjustments $ 50,391,518 20,557 762,997 Netting adjustments and cash collateral (1) 262,525 (740,018) Total derivatives, net $ 283,082 $ 22,979 December 31, 2019 Derivatives designated as hedging instruments: Interest-rate swaps $ 41,108,749 $ 60,155 $ 318,815 Total derivatives designated as hedging instruments 41,108,749 60,155 318,815 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 7,634,000 450 27 Swaptions 850,000 16 — Interest-rate caps/floors 668,500 215 — Interest-rate forwards 70,200 — 216 MDCs 70,693 105 3 Total derivatives not designated as hedging instruments 9,293,393 786 246 Total derivatives before adjustments $ 50,402,142 60,941 319,061 Netting adjustments and cash collateral (1) 147,067 (315,855) Total derivatives, net $ 208,008 $ 3,206 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2020 and 2019, including accrued interest, totaled $1,003,437 and $464,187, respectively. Cash collateral received from counterparties and held at December 31, 2020 and 2019, including accrued interest, totaled $894 and $1,265, respectively. At December 31, 2020 and 2019, no securities were pledged as collateral. The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral. December 31, 2020 December 31, 2019 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 13,793 $ 755,118 $ 51,955 $ 318,023 Cleared 5,742 6,393 8,881 819 Total gross recognized amount 19,535 761,511 60,836 318,842 Gross amounts of netting adjustments and cash collateral Uncleared (13,793) (733,625) (36,954) (315,036) Cleared 276,318 (6,393) 184,021 (819) Total gross amounts of netting adjustments and cash collateral 262,525 (740,018) 147,067 (315,855) Net amounts after netting adjustments and cash collateral Uncleared — 21,493 15,001 2,987 Cleared 282,060 — 192,902 — Total net amounts after netting adjustments and cash collateral 282,060 21,493 207,903 2,987 Derivative instruments not meeting netting requirements (1) 1,022 1,486 105 219 Total derivatives, at estimated fair value $ 283,082 $ 22,979 $ 208,008 $ 3,206 (1) Includes MDCs and certain interest-rate forwards. The following table presents, by type of hedged item, the net gains (losses) on the derivatives and the related hedged items in qualifying fair-value hedging relationships and the impact on net interest income. Year Ended December 31, 2020 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 382,311 $ 493,613 $ (16,334) $ 859,590 Derivatives (385,680) (507,927) 21,632 (871,975) Net changes in estimated fair value before price alignment interest (3,369) (14,314) 5,298 (12,385) Price alignment interest (1) 800 524 (165) 1,159 Net interest settlements on derivatives (2) (135,342) (109,907) 51,091 (194,158) Amortization/accretion of gains (losses) on active hedging relationships (2) 3,229 2,753 5,980 Net gains (losses) on qualifying fair-value hedging relationships (137,913) (120,468) 58,977 (199,404) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (142) (2,361) (36) (2,539) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (138,055) $ (122,829) $ 58,941 $ (201,943) Year Ended December 31, 2019 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 318,284 $ 385,821 $ (104,226) $ 599,879 Derivatives (317,351) (405,391) 99,348 (623,394) Net changes in estimated fair value before price alignment interest 933 (19,570) (4,878) (23,515) Price alignment interest (1) 1,047 (729) (244) 74 Net interest settlements on derivatives (2) 61,614 31,242 (31,949) 60,907 Amortization/accretion of gains (losses) on active hedging relationships (5) 426 (5,727) (5,306) Net gains (losses) on qualifying fair-value hedging relationships 63,589 11,369 (42,798) 32,160 Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — (141) (141) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 63,589 $ 11,369 $ (42,939) $ 32,019 Year Ended December 31, 2018 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 22,557 $ (55,842) $ 24,419 $ (8,866) Derivatives (18,331) 47,268 (25,394) 3,543 Net changes in estimated fair value 4,226 (8,574) (975) (5,323) Net interest settlements on derivatives (2) 48,555 18,391 (40,907) 26,039 Amortization/accretion of gains (losses) on active hedging relationships (47) 276 (7,449) (7,220) Net gains (losses) on qualifying fair-value hedging relationships 52,734 10,093 (49,331) 13,496 Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — (137) (137) Less: net changes in fair value (4) (4,226) 8,574 975 5,323 Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 48,508 $ 18,667 $ (48,493) $ 18,682 (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes interest income/expense of the respective hedged items recorded in net interest income. (4) Net changes in fair value were not reported in net interest income for the year ended December 31, 2018 , but are presented herein to conform and provide comparability to the presentation of the current period amounts. As a result of hedge accounting guidance effective January 1, 2019, net gains (losses) related to fair-value hedge ineffectiveness previously presented in other income is presented in net interest income for the years ended December 31, 2020 and 2019. Amounts for the year ended December 31, 2018 have not been reclassified. The following table presents the components of net gains (losses) on derivatives and hedging activities reported in other income. Years Ended December 31, Type of Hedge 2020 2019 2018 Net gains (losses) related to fair-value hedge ineffectiveness: Interest-rate swaps $ — $ — $ (5,323) Total net gains (losses) related to fair-value hedge ineffectiveness — — (5,323) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 1,488 (6,950) 7,071 Swaptions (324) (1,308) (892) Interest-rate caps/floors 898 (784) (60) Interest-rate forwards (13,377) (1,647) 1,460 Net interest settlements (46,927) (9,856) (7,834) MDCs 9,880 1,562 (2,390) Total net gains (losses) on derivatives not designated as hedging instruments (48,362) (18,983) (2,645) Price alignment interest (1) — — (5,382) Net gains (losses) on derivatives and hedging activities in other income $ (48,362) $ (18,983) $ (13,350) (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. For the years ended December 31, 2020 and 2019, the portion related to derivatives not designated as hedging instruments is allocated to the applicable type of derivative. The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships. December 31, 2020 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 17,219,312 $ 9,882,225 $ 17,406,679 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 645,146 $ 501,865 $ 21,605 For discontinued fair-value hedging relationships 799 125,754 — Total cumulative fair-value hedging basis adjustments on hedged items $ 645,945 $ 627,619 $ 21,605 December 31, 2019 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 17,320,223 $ 8,394,665 $ 17,039,657 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 207,111 $ 150,372 $ 7,855 For discontinued fair-value hedging relationships — — (36) Total cumulative fair-value hedging basis adjustments on hedged items $ 207,111 $ 150,372 $ 7,819 (1) Includes only the portion of the amortized cost of the hedged items in qualifying fair-value hedging relationships. (2) Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Deposit Liabilities
Deposit Liabilities | 12 Months Ended |
Dec. 31, 2020 | |
Deposits [Abstract] | |
Deposit Liabilities | Note 9 - Deposit Liabilities We offer demand and overnight deposits to members and qualifying non-members. In addition, we offer short-term interest-bearing deposit programs to members. A member that services mortgage loans may deposit funds collected in connection with the mortgage loans, pending disbursement of such funds to the owners of the mortgage loans. We classify these items as other deposits. Demand, overnight, and other deposits pay interest based on a daily interest rate. Time deposits pay interest based on a fixed rate determined at the origination of the deposit. The following table presents the types of our interest-bearing and non-interest-bearing deposits. Type December 31, 2020 December 31, 2019 Interest-bearing: Demand and overnight $ 1,372,863 $ 905,382 Other 579 658 Total interest-bearing 1,373,442 906,040 Non-interest-bearing: Demand 258 — Other (1) 1,506 54,264 Total non-interest-bearing 1,764 54,264 Total deposits $ 1,375,206 $ 960,304 (1) Includes pass-through deposit reserves from members. |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 10 - Consolidated Obligations Consolidated obligations consist of CO bonds and discount notes. CO bonds may be issued to raise short-, intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Discount notes are issued primarily to raise short-term funds and have original maturities of up to one year. These notes generally sell at less than their face amount and are redeemed at par value when they mature. The FHLBanks issue consolidated obligations through the Office of Finance as their agent under the oversight of the Finance Agency and the United States Secretary of the Treasury. In connection with each debt issuance, each FHLBank specifies the amount of debt to be issued on its behalf. Each FHLBank records as a liability the specific portion of consolidated obligations issued on its behalf and for which it is the primary obligor. In addition to being the primary obligor for all consolidated obligations issued on our behalf, we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all of the FHLBanks' consolidated obligations outstanding. The par values of the FHLBanks' consolidated obligations outstanding at December 31, 2020 and 2019 totaled $746.8 billion and $1.0 trillion, respectively. As provided by the Bank Act and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation whether or not the consolidated obligation represents a primary liability of that FHLBank. Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if that event should occur, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement for any payments made on behalf of another FHLBank and other associated costs, including interest to be determined by the Finance Agency. If, however, the Finance Agency determines that such other FHLBank is unable to satisfy its repayment obligations to the paying FHLBank, then the Finance Agency may allocate the outstanding liability of such other FHLBank among the remaining FHLBanks on a pro-rata basis in proportion to their participation in all outstanding consolidated obligations, or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. We do not believe that it is probable that we will be asked or required to make principal or interest payments on behalf of another FHLBank. Discount Notes. The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes December 31, 2020 December 31, 2019 Book value $ 16,617,079 $ 17,676,793 Par value $ 16,620,486 $ 17,713,204 Weighted average effective interest rate 0.12 % 1.59 % CO Bonds. The following table presents our CO bonds outstanding by contractual maturity. December 31, 2020 December 31, 2019 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 31,126,310 0.29 $ 23,404,785 1.88 Due after 1 year through 2 years 4,109,700 0.70 6,881,120 1.93 Due after 2 years through 3 years 1,753,010 1.34 4,020,790 2.10 Due after 3 years through 4 years 767,250 1.93 1,234,375 2.18 Due after 4 years through 5 years 837,300 1.13 3,471,250 2.11 Thereafter 4,652,000 2.91 5,650,600 3.11 Total CO bonds, par value 43,245,570 0.70 44,662,920 2.09 Unamortized premiums 87,133 67,708 Unamortized discounts (12,703) (13,321) Unamortized concessions (8,659) (9,902) Fair-value hedging basis adjustments, net 21,605 7,819 Total CO bonds $ 43,332,946 $ 44,715,224 Consolidated obligations are issued with either fixed-rate or variable-rate coupon payment terms that may use a variety of indices for interest-rate resets, such as LIBOR or SOFR. To meet the specific needs of certain investors in CO bonds, both fixed-rate and variable-rate CO bonds may contain features that result in complex coupon payment terms and call options. When these CO bonds are issued, we may enter into derivatives containing features that offset the terms and embedded options, if any, of the CO bonds. CO bonds may also be callable. Such bonds may be redeemed in whole or in part, at our discretion, on predetermined call dates according to the terms of the offerings. The following tables present the par value of our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature December 31, 2020 December 31, 2019 Non-callable / non-putable $ 36,809,070 $ 28,829,420 Callable 6,436,500 15,833,500 Total CO bonds, par value $ 43,245,570 $ 44,662,920 Year of Contractual Maturity or Next Call Date December 31, 2020 December 31, 2019 Due in 1 year or less $ 34,272,810 $ 36,243,785 Due after 1 year through 2 years 4,159,700 4,484,620 Due after 2 years through 3 years 1,608,010 742,790 Due after 3 years through 4 years 443,750 516,375 Due after 4 years through 5 years 563,300 380,750 Thereafter 2,198,000 2,294,600 Total CO bonds, par value $ 43,245,570 $ 44,662,920 Interest-Rate Payment Types. In addition to CO bonds with fixed-rate or simple variable-rate interest payment terms, step-up CO bonds pay interest at increasing fixed rates for specified intervals over their lives and generally contain provisions enabling us to call them at our option on the step-up dates. The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type December 31, 2020 December 31, 2019 Fixed-rate $ 24,750,570 $ 27,565,920 Step-up 15,000 30,000 Simple variable-rate 18,480,000 17,067,000 Total CO bonds, par value $ 43,245,570 $ 44,662,920 |
Affordable Housing Program
Affordable Housing Program | 12 Months Ended |
Dec. 31, 2020 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program | Note 11 - Affordable Housing Program The Bank Act requires each FHLBank to establish an AHP, in which the FHLBank provides subsidies in the form of direct grants to members that use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must set aside for the AHP the greater of the aggregate of $100 million or 10% of each FHLBank's net earnings. For purposes of the AHP calculation, net earnings is defined in a Finance Agency Advisory Bulletin as income before assessments, plus interest expense related to MRCS. The following table summarizes the activity in our AHP funding obligation. AHP Activity 2020 2019 2018 Liability at beginning of year $ 38,084 $ 40,747 $ 32,166 Assessment (expense) 10,717 17,071 22,570 Subsidy usage, net (1) (14,399) (19,734) (13,989) Liability at end of year $ 34,402 $ 38,084 $ 40,747 (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. As a part of the AHP, each FHLBank may also provide advances to members at interest rates below then current market rates. |
Capital
Capital | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Note 12 - Capital We are a cooperative whose member and former member institutions own all of our capital stock. Former members (including certain non-member institutions that own our capital stock as a result of a merger with or acquisition of a member) own our capital stock solely to support credit products or mortgage loans still outstanding on our statement of condition. Member shares cannot be purchased or sold except between us and our members or, with our written approval, among our members, at the par value of one hundred dollars per share, as mandated by our capital plan and Finance Agency regulation. Classes of Capital Stock . We amended and restated our capital plan effective September 26, 2020. The amended plan, like the prior plan, divides our Class B stock into two sub-series: Class B-1 and Class B-2. However, under the amended plan, any Class B stock supporting activity requirements is classified as B-2, while all other Class B stock is classified as B-1. A member's Class B-1 stock is reclassified as B-2 as needed to help fulfill the member's activity-based stock requirement, and the member may be required to purchase additional Class B-2 stock to fully meet that requirement. Any excess stock is automatically classified as Class B-1. Under the amended capital plan, PFIs may opt in to an activity-based stock requirement in connection with their sales of mortgage loans to us under Advantage MPP. PFIs may elect this stock requirement each time they enter into an MDC with us based on the outstanding principal balance of loans purchased under the designated MDC. As of December 31, 2020, such Class B-2 stock issued and outstanding totaled $4,784. The amended capital plan also permits the board of directors to authorize the issuance of Class A stock although, as of December 31, 2020, the board of directors had not authorized such issuance. If authorized, a member may elect to purchase Class A stock, rather than Class B-2 stock, to satisfy the member’s activity-based stock requirement, subject to certain restrictions. Under our prior capital plan, Class B-1 was stock held by our members that was not subject to a redemption request. Class B-2 stock consisted solely of required stock that was subject to a redemption request. The following table presents the capital stock outstanding by sub-series under the prior and amended capital plans. December 31, 2020 December 31, 2019 Prior capital plan Class B-1 issued and outstanding shares: 19,737,727 $ — $ 1,973,773 Class B-2 issued and outstanding shares: 3,028 — 303 Amended capital plan Class B-1 issued and outstanding shares: 7,971,952 797,196 — Class B-2 issued and outstanding shares: 14,103,744 1,410,374 — Total Class B issued and outstanding shares: 22,075,696 and 19,740,755, respectively $ 2,207,570 $ 1,974,076 Dividends. Our board of directors may, but is not required to, declare and pay dividends on our Class B stock in either cash or capital stock or a combination thereof, as long as we are in compliance with Finance Agency regulations. The amount of the dividend to be paid is based on the average number of shares of each sub-series held by the member during the dividend payment period (applicable quarter). Under our prior capital plan (which was in effect through September 25, 2020), the Class B-2 dividend was calculate d at 80% of the amount of the Class B-1 dividend. The amended plan, however, does not mandate a specific difference between Class B-1 and Class B-2 dividend rates. Rather, the board of directors may declare a dividend rate on Class B-2 stock that is equal to or greater than the rate on Class B-1 stock. The plan also authorizes the board of directors to declare a dividend rate on Class A stock (if issued and outstanding) that is equal to or greater than the rate on Class B-1 stock. Stock Redemption and Repurchase. In accordance with the Bank Act, our capital stock is considered putable by the member. Members can redeem Class B stock, subject to certain restrictions, by giving five years' written notice. Our amended capital plan does not reclassify Class B-1 stock under redemption as Class B-2. Members can redeem Class A stock, subject to certain restrictions, by giving six months written notice. Any member that withdraws from membership or otherwise has had its membership terminated may not be readmitted as a member for a period of five years from the divestiture date for all capital stock that was held as a condition of membership, as set forth in our capital plan and Finance Agency regulations, unless the member has canceled or revoked its notice of withdrawal prior to the end of the applicable redemption period. This restriction does not apply if the member is transferring its membership from one FHLBank to another on an uninterrupted basis. We may repurchase, at our sole discretion, any member's capital stock that exceeds the required minimum amount, subject to significant statutory and regulatory restrictions on our right to repurchase, or obligation to redeem, the outstanding stock. As a result, whether or not a member may have its capital stock repurchased or redeemed will depend, in part, on whether we are in compliance with those restrictions. Consistent with our amended capital plan, we are not required to redeem required stock until the expiration of the notice of redemption, or until the activity to which the capital stock relates no longer remains outstanding, whichever is later. If activity-based stock becomes excess stock (i.e., the amount of stock held by a member or former member in excess of the stock ownership requirement for that institution) as a result of an activity no longer remaining outstanding, we may repurchase the excess stock at our discretion, subject to the statutory and regulatory restrictions. A member may cancel or revoke its written notice of redemption or its notice of withdrawal from membership prior to the conclusion of the applicable redemption period. However, our capital plan provides that we may charge a cancellation fee to a member that cancels or revokes its withdrawal notice. Through December 31, 2020, certain members had requested redemptions of their Class B stock, but the related stock outstanding at December 31, 2020 and 2019 totaling $314 and $935, respectively, was not considered mandatorily redeemable and reclassified to MRCS because the requesting members may revoke their requests, without substantial penalty, throughout the five-year waiting period. Therefore, these requests are not considered sufficiently substantive in nature. However, we consider redemption requests related to mergers, acquisitions or charter terminations, as well as involuntary terminations from membership, to be sufficiently substantive when made and, therefore, the related stock is considered mandatorily redeemable and reclassified to MRCS. Mandatorily Redeemable Capital Stock. The following table presents the activity in our MRCS. MRCS Activity 2020 2019 2018 Liability at beginning of year $ 322,902 $ 168,876 $ 164,322 Reclassification from capital stock 32,791 150,978 31,214 Proceeds from issuance (1) — 3,704 — Redemptions/repurchases (104,965) (1,255) (26,698) Accrued distributions 40 599 38 Liability at end of year $ 250,768 $ 322,902 $ 168,876 (1) Represents a purchase of capital stock by a captive insurance company member, which is considered mandatorily redeemable as a result of the Final Membership Rule. Captive insurance companies that were admitted as FHLBank members prior to September 12, 2014, and did not meet the definition of "insurance company" or fall within another category of institution that is eligible for FHLBank membership under the Final Membership Rule, had their memberships terminated by February 19, 2021. Upon termination, their outstanding excess Class B stock was repurchased or redeemed in accordance with the Final Membership Rule. The following table presents MRCS by contractual year of redemption. The year of redemption is the later of: (i) the final year of the five-year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption December 31, 2020 December 31, 2019 Year 1 (1) $ 9,274 $ 680 Year 2 — 8,649 Year 3 26,723 — Year 4 150,957 26,723 Year 5 32,791 150,958 Thereafter (2) 31,023 135,892 Total MRCS $ 250,768 $ 322,902 (1) Balances at December 31, 2020 and 2019 include $624 and $680, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Represents the five-year redemption period of Class B stock held by certain captive insurance companies which began immediately upon their respective terminations of membership on February 19, 2021. However, upon their respective terminations, we repurchased their excess stock, the balance of which at December 31, 2020 totaled $18,059 . When a member's membership status changes to a non-member, the member's capital stock is reclassified to MRCS. If such change occurs during a quarterly dividend period, but not at the beginning or the end of a quarterly period, any dividends for that quarterly period are allocated between distributions from retained earnings for the shares held as capital stock during that period and interest expense for the shares held as MRCS during that period. Therefore, the distributions from retained earnings represent dividends to former members for only the portion of the period that they were members. The amounts recorded to interest expense represent dividends to former members for the portion of that period and subsequent periods that they were not members. The following table presents the distributions related to MRCS. Years Ended December 31, MRCS Distributions 2020 2019 2018 Recorded as interest expense $ 8,594 $ 11,863 $ 8,391 Recorded as distributions from retained earnings 40 599 38 Total $ 8,634 $ 12,462 $ 8,429 Restricted Retained Earnings. In 2011, we entered into a JCE Agreement with all of the other FHLBanks to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, we allocate 20% of our net income to a separate restricted retained earnings account until the balance of that account, calculated as of the last day of each calendar quarter, equals at least 1% of the average balance of our outstanding consolidated obligations for the previous q uarter. These restricted retained earnings are not available from which to pay dividends except to the extent the restricted retained earnings balance exceeds 1.5% of the average balance of our outstanding consolidated obligations for the previous quarter. Capital Requirements. We are subject to three capital requirements under our capital plan and Finance Agency regulations: (i) Risk-based capital. We must maintain at all times permanent capital, defined as Class B stock (including MRCS) and retained earnings, in an amount at least equal to the sum of our credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with Finance Agency regulations. The Finance Agency may require us to maintain a greater amount of permanent capital than is required by the risk-based capital requirements as defined. (ii) Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least 4%. Total regulatory capital is the sum of permanent capital, 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. For regulatory capital purposes, AOCI is not considered capital. (iii) Leverage capital. We are required to maintain at all times a leverage capital-to-assets ratio of at least 5%. Leverage capital is defined as the sum of (i) permanent capital weighted 1.5 times and (ii) all other capital without a weighting factor. As presented in the following table, we were in compliance with these Finance Agency's capital requirements at December 31, 2020 and 2019. December 31, 2020 December 31, 2019 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 630,661 $ 3,595,668 $ 639,495 $ 3,412,286 Total regulatory capital $ 2,636,990 $ 3,595,668 $ 2,700,431 $ 3,412,286 Total regulatory capital-to-assets ratio 4.00% 5.45% 4.00% 5.05% Leverage capital $ 3,296,238 $ 5,393,502 $ 3,375,539 $ 5,118,429 Leverage ratio 5.00% 8.18% 5.00% 7.58% Partial Recovery of Prior Capital Distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 was enacted in August 1987, which, among other things, provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, FICO. The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in 1987, 1988 and 1989 that aggregated to $680 million in exchange for FICO nonvoting capital stock. Upon passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989, the Bank's previous investment in capital stock of FICO was determined to be non-redeemable and, therefore, the Bank charged-off its prior capital distributions to FICO directly against retained earnings. Upon the dissolution of FICO in October 2019, FICO determined that excess funds aggregating to $200 million were available for distribution to its sole stockholders, the FHLBanks. Specifically, the Bank received $10,574 during the year ended December 31, 2020 which was determined based on our proportionate ownership of FICO's nonvoting capital stock. The Bank treated the receipt of these funds as a partial recovery of the prior capital distributions made by the Bank to FICO. These funds were credited to unrestricted retained earnings. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2020 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income | Note 13 - Accumulated Other Comprehensive Income The following table presents a summary of the changes in the components of AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Non-Credit OTTI on AFS Securities Non-Credit OTTI on HTM Securities Pension Benefits Total AOCI Balance, December 31, 2017 $ 92,519 $ 29,322 $ (51) $ (10,384) $ 111,406 OCI before reclassifications: Net change in unrealized gains (losses) (39,533) 392 — — (39,141) Net change in fair value — 2,693 — — 2,693 Accretion of non-credit losses — — 51 — 51 Reclassifications from OCI to net income: Net realized gains from sale of AFS securities — (32,407) — — (32,407) Non-credit portion of OTTI losses — — — — — Pension benefits, net — — — (915) (915) Total other comprehensive income (loss) (39,533) (29,322) 51 (915) (69,719) Balance, December 31, 2018 $ 52,986 $ — $ — $ (11,299) $ 41,687 OCI before reclassifications: Net change in unrealized gains (losses) 36,827 — — — 36,827 Reclassifications from OCI to net income: Pension benefits, net — — — (11,138) (11,138) Total other comprehensive income (loss) 36,827 — — (11,138) 25,689 Balance, December 31, 2019 $ 89,813 $ — $ — $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains (losses) 47,108 — — — 47,108 Reclassifications from OCI to net income: Pension benefits, net — — — (9,082) (9,082) Total other comprehensive income (loss) 47,108 — — (9,082) 38,026 Balance, December 31, 2020 $ 136,921 $ — $ — $ (31,519) $ 105,402 |
Employee Retirement and Deferre
Employee Retirement and Deferred Compensation Plans | 12 Months Ended |
Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |
Employee Retirement and Deferred Compensation Plans | Note 14 - Employee and Director Retirement and Deferred Compensation Plans Qualified Defined Benefit Pension Plan. We participate in a tax-qualified, defined benefit pension plan for financial institutions administered by Pentegra Retirement Services. This DB 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 and the Internal Revenue Code. As a result, certain multiemployer plan disclosures are not applicable. Under the DB 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 to employees of that employer only. Also, in the event that a participating employer is unable to meet its contribution or funding requirements, the required contributions for the other participating employers (including us) could increase proportionately. Our contributions to the DB Plan for the fiscal years ended December 31, 2020, 2019 and 2018 were not more than 5% of the total contributions to the DB Plan by all participating employers for the plan years ended June 30, 2019, 2018 and 2017, respectively. Our DB Plan covers our officers and employees who meet certain eligibility requirements, including an employment date prior to February 1, 2010. The DB Plan operates on a fiscal year from July 1 through June 30 and files one Form 5500 on behalf of all participating employers. The most recent Form 5500 available for the DB Plan is for the plan year ended June 30, 2019. The Employer Identification Number is 13-5645888 and the three digit plan number is 333. There are no collective bargaining agreements in place. The DB Plan's annual valuation process includes calculating its funded status and separately calculating the funded status of each participating employer. The funded status is calculated as the market value of plan assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date utilizing the discount rate prescribed by statute). The calculation of the funding target as of July 1, 2020, 2019 and 2018 incorporated a higher discount rate in accordance with MAP-21, which resulted in a lower funding target and a higher funded status. Over time, the favorable impact of MAP-21 is expected to decline. As permitted by the Employee Retirement Income Security Act of 1974, the DB Plan accepts contributions for the prior plan year up to eig ht and a half months after the asset valuation date. As a result, the market value of plan assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The following table presents a summary of net pension costs charged to compensation and benefits expense and the DB Plan's funded status. DB Plan Net Pension Cost and Funded Status 2020 2019 2018 Net pension cost charged to compensation and benefits expense for the year ended December 31 (1) $ 3,211 $ 3,500 $ 2,750 DB Plan funded status as July 1 108 % (a) 109 % (b) 110 % Our funded status as of July 1 104 % 109 % 116 % (1) Includes voluntary contributions for the years ended December 31, 2020, 2019 and 2018 of $1,944, $2,856, and $2,240, respectively. (a) The DB Plan's funded status as of July 1, 2020 is preliminary and may increase because the participating employers are permitted to make designated contributions for the plan year ended June 30, 2020 through March 15, 2021. Any such contributions will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year ended June 30, 2021 is filed (no later than April 2022). (b) The DB Plan's final funded status as of July 1, 2019 will not be available until the Form 5500 for the plan year ended June 30, 2020 is filed (no later than April 2021). Qualified Defined Contribution Plan. The Bank participated in a tax-qualified multiple-employer retirement savings plan through October 1, 2020. Effective October 2, 2020, the Bank adopted a tax-qualified single-employer plan. The terms of such plans are substantially the same. This DC plan covers our officers and employees who meet certain eligibility requirements. The Bank makes a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. In addition, the Bank makes a non-elective contribution to the account of each participant who is not eligible to participate in the Bank's DB plan. During the years ended December 31, 2020, 2019 and 2018, we contribut ed $2,810, $2,778 , and $2,478, respectively. Nonqualified Defined Benefit Supplemental Retirement Plan. We participate in a nonqualified, single-employer, unfunded supplemental executive retirement plan. This SERP restores all of the defined benefits to participating employees who have had their qualified defined benefits limited by Internal Revenue Service regulations. Because the SERP is a nonqualified unfunded plan, no contributions are required to be made. However, we may elect to make contributions to a related grantor trust that we established to indirectly fund the SERP in order to maintain a desired funding level. Payments of benefits may be made from the related grantor trust or from our general assets. The following table presents the changes in our SERP benefit obligation. Change in benefit obligation 2020 2019 2018 Projected benefit obligation at beginning of year $ 42,719 $ 27,593 $ 23,176 Service cost 2,489 1,636 1,762 Interest cost 1,086 1,039 863 Actuarial loss 12,551 13,079 3,452 Benefits paid (515) (628) (1,660) Projected benefit obligation at end of year $ 58,330 $ 42,719 $ 27,593 The actuarial loss includes the impact of the changes in the discount rate, compensation, mortality, demographics and other components used to calculate the projected benefit obligation at December 31 of each year. The following table presents the key assumptions used in the actuarial calculations of the benefit obligation. December 31, 2020 2019 2018 Discount rate 1.54 % 2.55 % 3.64 % Compensation increases 5.50 % 5.50 % 5.50 % The discount rate represents a weighted average that was determined by a discounted cash-flow approach, which incorporates the timing of each expected future benefit payment. We estimate future benefit payments based on the census data of the SERP's participants, benefit formulas and provisions, and valuation assumptions reflecting the probability of decrement and survival. We then determine the present value of the future benefit payments by using duration-based interest-rate yields from the Financial Times Stock Exchange Group Pension Discount Curve as of the measurement date, and solving for the single discount rate that produces the same present value of the future benefit payments. The accumulated benefit obligation for the SERP, which excludes projected future salary increases as of December 31, 2020 and 2019 w as $42,739 and $31,595, respectively. The unfunded benefit obligation is reported in other liabilities. Although there are no plan assets, the assets in the related grantor trust, included as a component of other assets, had a total estimated fair v alue at December 31, 2020 and 2019 of $45,200 and $21,983, respectively. The following table presents the components of the net periodic benefit cost and the amounts recognized in OCI for the SERP. Years Ended December 31, 2020 2019 2018 Net periodic benefit cost: Service cost $ 2,489 $ 1,636 $ 1,762 Net periodic benefit cost recognized in compensation and benefits 2,489 1,636 1,762 Interest cost 1,086 1,039 863 Amortization of net actuarial loss 3,469 1,941 2,539 Net periodic benefit cost recognized in other expenses 4,555 2,980 3,402 Total net periodic benefit cost recognized in the statement of income 7,044 4,616 5,164 Amounts recognized in OCI: Actuarial loss 12,551 13,079 3,452 Amortization of net actuarial loss (3,469) (1,941) (2,539) Net loss recognized in OCI 9,082 11,138 913 Total recognized as net periodic benefit cost $ 16,126 $ 15,754 $ 6,077 The following table presents the key assumptions used in the actuarial calculations to determine net periodic benefit cost for the SERP. Years Ended December 31, 2020 2019 2018 Discount rate 2.55 % 3.64 % 3.00 % Compensation increases 5.50 % 5.50 % 5.50 % The following table presents the components of the pension benefits reported in AOCI related to the SERP. December 31, 2020 December 31, 2019 Net actuarial loss $ (31,519) $ (22,436) Net pension benefits reported in AOCI $ (31,519) $ (22,436) The net periodic benefit cost for the SERP, including the net amount to be amortized, for the year ending December 31, 2021 is projected to be approximately $7,903. The following table presents the estimated future benefit payments reflecting scheduled benefit payments for retired participants and the estimated payments to active participants, based on the actual form of payment elected by the participant and weighting the value of the participant's benefits based on the probability of the participant retiring. Actual payments may differ. For the Years Ending December 31, 2021 $ 5,712 2022 21,463 2023 3,561 2024 2,170 2025 2,552 2026 - 2030 16,644 Nonqualified Supplemental Executive Thrift Plan. Effective January 1, 2016, we offer the SETP, a voluntary, nonqualified, unfunded deferred compensation plan that permits certain officers and approved employees of the Bank to elect to defer certain components of their compensation. The SETP constitutes a deferred compensation arrangement that complies with Section 409A of the Internal Revenue Code, as amended. The SETP provides that, subject to certain limitations, the Bank will make matching contributions to the participant's deferred contribution account each plan year. For the years ended December 31, 2020, 2019 and 2018, we con tributed $125, $73 and $70 , respectively, to the SETP and our liability at December 31, 2020 and 2019 w as $2,988 and $1,973, respectively. Directors' Deferred Compensation Plan. Effective January 1, 2016, we offer the DDCP, a voluntary, nonqualified, unfunded deferred compensation plan that permits our directors to defer all or a portion of the fees payable to them for a calendar year for their services as directors. The DDCP constitutes a deferred compensation arrangement that complies with Section 409A of the Internal Revenue Code, as amended. Any duly elected and serving member of our board may participate in the DDCP. We make no matching contributions under the DDCP. Our liability under the DDCP at December 31, 2020 and 2019 was $2,845 and $2,080 , respectively. |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Segment Information | Note 15 - Segment Information We report based on two operating segments: • Traditional, which consists of credit products (including advances, standby letters of credit, and lines of credit), investments (including federal funds sold, securities purchased under agreements to resell, interest-bearing demand deposit accounts, and investment securities), and correspondent services and deposits; and • Mortgage loans, which consists of mortgage loans purchased from our members through our MPP and participating interests purchased in 2012 - 2014 from the FHLBank of Topeka in mortgage loans that were originated by certain of its PFIs under the MPF Program. These segments reflect our two primary mission asset activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways we provide services to members. We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Traditional net interest income is derived primarily from the difference, or spread, between the interest income earned on advances and investments and the borrowing costs related to those assets, net interest settlements and changes in fair value related to certain interest-rate swaps, and related premium and discount amortization. Traditional also includes the costs related to holding deposits for members and other miscellaneous borrowings. Mortgage loan net interest income is derived primarily from the difference, or spread, between the interest income earned on mortgage loans, including the premium and discount amortization, and the borrowing costs related to those loans. Direct other income and expense also affect each segment's results. The traditional segment includes the direct earnings impact of certain derivatives and hedging activities related to advances, investments and consolidated obligations as well as all other miscellaneous income and expense not associated with mortgage loans. The mortgage loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct compensation, benefits and other expenses (including an allocation for indirect overhead) associated with operating the MPP and MPF Program and volume-driven costs associated with master servicing and quality control fees. As a result of hedge accounting guidance effective January 1, 2019, net gains (losses) related to fair-value hedge ineffectiveness previously presented in other income is presented in net interest income for the years ended December 31, 2020 and 2019. Amounts for the year ended December 31, 2018 have not been reclassified. The assessments related to AHP have been allocated to each segment based upon its proportionate share of income before assessments. The following table presents our financial performance by operating segment. Year Ended December 31, 2020 Traditional Mortgage Loans Total Net interest income $ 253,683 $ 9,687 $ 263,370 Provision for (reversal of) credit losses — 140 140 Other income (loss) (52,262) (3,254) (55,516) Other expenses 92,953 16,181 109,134 Income before assessments 108,468 (9,888) 98,580 Affordable Housing Program assessments 11,706 (989) 10,717 Net income (loss) $ 96,762 $ (8,899) $ 87,863 Year Ended December 31, 2019 Net interest income $ 181,367 $ 55,875 $ 237,242 Provision for (reversal of) credit losses — (289) (289) Other income (loss) 20,166 143 20,309 Other expenses 84,638 14,356 98,994 Income before assessments 116,895 41,951 158,846 Affordable Housing Program assessments 12,876 4,195 17,071 Net income $ 104,019 $ 37,756 $ 141,775 Year Ended December 31, 2018 Net interest income $ 220,886 $ 67,201 $ 288,087 Provision for (reversal of) credit losses — (231) (231) Other income (loss) 22,253 (1,744) 20,509 Other expenses 77,526 13,995 91,521 Income before assessments 165,613 51,693 217,306 Affordable Housing Program assessments 17,401 5,169 22,570 Net income $ 148,212 $ 46,524 $ 194,736 We have not symmetrically allocated assets to each segment based upon financial results as it is impracticable to measure the performance of our segments from a total assets perspective. As a result, there is asymmetrical information presented in the tables above including, among other items, the allocation of depreciation without an allocation of the depreciable assets, derivatives and hedging earnings adjustments with no corresponding allocation to derivative assets, if any, and the recording of interest income with no allocation to accrued interest receivable. The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total December 31, 2020 $ 57,409,111 $ 8,515,645 $ 65,924,756 December 31, 2019 56,695,738 10,815,037 67,510,775 |
Estimated Fair Values
Estimated Fair Values | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Value | Note 16 - Estimated Fair Values We estimate fair value amounts by using available market and other pertinent information and the most appropriate valuation methods. Although we use our best judgment in estimating the fair values of financial instruments, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Certain estimates of the fair value of financial assets and liabilities are highly subjective and require judgments regarding significant factors such as the amount and timing of future cash flows, prepayment speeds, interest-rate volatility, and the discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Fair Value Hierarchy . GAAP establishes a fair value hierarchy and requires us to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring estimated fair value. The inputs are evaluated, and an overall level for the estimated fair value measurement is determined. This overall level is an indication of the extent of the market observability of the estimated 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 we 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 or contractual term, a level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active; (iii) 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 (iv) 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. We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in/out at estimated fair value as of the beginning of the quarter in which the changes occu r. There were no such reclassifications during the years ended December 31, 2020, 2019, or 2018. The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities. December 31, 2020 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 1,811,544 $ 1,811,544 $ 1,811,544 $ — $ — $ — Interest-bearing deposits 100,026 100,026 100,000 26 — — Securities purchased under agreements to resell 2,500,000 2,500,000 — 2,500,000 — — Federal funds sold 1,215,000 1,215,000 — 1,215,000 — — Trading securities 5,094,703 5,094,703 — 5,094,703 — — AFS securities 10,144,899 10,144,899 — 10,144,899 — — HTM securities 4,701,302 4,723,796 — 4,723,796 — — Advances 31,347,486 31,290,664 — 31,290,664 — — Mortgage loans held for portfolio, net 8,515,645 8,922,185 — 8,860,853 61,332 — Accrued interest receivable 103,076 103,076 — 103,076 — — Derivative assets, net 283,082 283,082 — 20,557 — 262,525 Grantor trust assets (2) 51,032 51,032 51,032 — — — Liabilities: Deposits 1,375,206 1,375,206 — 1,375,206 — — Consolidated obligations: Discount notes 16,617,079 16,617,976 — 16,617,976 — — Bonds 43,332,946 43,952,206 — 43,952,206 — — Accrued interest payable 63,581 63,581 — 63,581 — — Derivative liabilities, net 22,979 22,979 — 762,997 — (740,018) MRCS 250,768 250,768 250,768 — — — December 31, 2019 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 220,294 $ 220,294 $ 220,294 $ — $ — $ — Interest-bearing deposits 809,141 809,141 809,000 141 — — Securities purchased under agreements to resell 1,500,000 1,500,000 — 1,500,000 — — Federal funds sold 2,550,000 2,550,000 — 2,550,000 — — Trading securities 5,016,649 5,016,649 — 5,016,649 — — AFS securities 8,484,478 8,484,478 — 8,484,478 — — HTM securities 5,216,401 5,216,206 — 5,216,206 — — Advances 32,480,108 32,425,749 — 32,425,749 — — Mortgage loans held for portfolio, net 10,815,037 10,943,595 — 10,935,787 7,808 — Accrued interest receivable 131,822 131,822 — 131,822 — — Derivative assets, net 208,008 208,008 — 60,941 — 147,067 Grantor trust assets (2) 26,050 26,050 26,050 — — — Liabilities: Deposits 960,304 960,304 — 960,304 — — Consolidated obligations: Discount notes 17,676,793 17,679,210 — 17,679,210 — — Bonds 44,715,224 45,036,500 — 45,036,500 — — Accrued interest payable 178,981 178,981 — 178,981 — — Derivative liabilities, net 3,206 3,206 — 319,061 — (315,855) MRCS 322,902 322,902 322,902 — — — (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. (2) Included in other assets on the statement of condition. Summary of Valuation Techniques and Significant Inputs. The valuation techniques and significant inputs used to develop our measurement of estimated fair value for assets and liabilities that are measured at fair value on a recurring or non-recurring basis in the Statement Condition are listed below. Investment Securities - MBS. The estimated fair value incorporates prices from multiple third-party pricing vendors, when available. These 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. We conduct reviews of the pricing vendors' processes, methodologies and control procedures to confirm and further augment our understanding of the vendors' prices for our MBS. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by us. Our valuation technique for estimating the fair values of MBS initially requires the establishment of a "median" price for each security. All prices that are within a specified tolerance threshold of the median price are then included in the "cluster" of prices that are averaged to compute a "default" price. All prices that are outside the threshold (i.e., 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 so, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. In all cases, the final price is used to determine the estimated fair value of the security. As of December 31, 2020, we obtained two or three prices for substantially all of our MBS. Investment Securities - non-MBS. The estimated fair value is determined using market-observable price quotes from third-party pricing vendors, such as the Composite Bloomberg Bond Trader screen, thus falling under the market approach. Impaired Mortgage Loans Held for Portfolio. We record non-recurring fair value adjustments to reflect partial charge-offs on impaired mortgage loans. We estimate the fair value of these assets using a current property value obtained from a third-party. Derivative assets/liabilities. We base the estimated fair values of derivatives with similar terms on market prices when available. However, active markets do not exist for many of our derivatives. Consequently, fair values for these instruments are generally estimated using standard valuation techniques such as discounted cash-flow analysis and comparisons to similar instruments. In limited instances, fair value estimates for derivatives are obtained from dealers and are corroborated by using a pricing model and observable market data (e.g., the LIBOR or OIS curves). A discounted cash flow analysis 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: • LIBOR curve or the OIS curve, as applicable, to project cash flows for collateralized interest-rate swaps and the OIS curve only to discount those cash flows; and • Volatility assumption - market-based expectations of future interest-rate volatility implied from current market prices for similar options. TBAs: • TBA securities prices - market-based prices are determined by coupon, maturity and expected term until settlement. MDCs: • TBA securities prices - prices are then adjusted for differences in coupon, average loan rate and seasoning. The estimated fair values of our derivative assets and liabilities include accrued interest receivable/payable and related cash collateral. The estimated fair values of the accrued interest receivable/payable and cash collateral equal their carrying values due to their short-term nature. We adjust the estimated fair values of our derivatives for counterparty nonperformance risk, particularly credit risk, as appropriate. We compute our nonperformance risk adjustment by using observable credit default swap spreads and estimated probability default rates applied to our exposure after considering collateral held or placed. Grantor Trust Assets. Grantor trust assets, included as a component of other assets, are carried at estimated fair value based on quoted market prices as of the last business day of the reporting period. Estimated Fair Value Measurements . The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. Netting December 31, 2020 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,094,703 $ — $ 5,094,703 $ — $ — Total trading securities 5,094,703 — 5,094,703 — — AFS securities: GSE and TVA debentures 3,503,137 — 3,503,137 — — GSE MBS 6,641,762 — 6,641,762 — — Total AFS securities 10,144,899 — 10,144,899 — — Derivative assets: Interest-rate related 282,060 — 19,535 — 262,525 MDCs 1,022 — 1,022 — — Total derivative assets, net 283,082 — 20,557 — 262,525 Other assets: Grantor trust assets 51,032 51,032 — — — Total assets at recurring estimated fair value $ 15,573,716 $ 51,032 $ 15,260,159 $ — $ 262,525 Derivative liabilities: Interest-rate related $ 22,979 $ — $ 762,997 $ — $ (740,018) MDCs — — — — — Total derivative liabilities, net 22,979 — 762,997 — (740,018) Total liabilities at recurring estimated fair value $ 22,979 $ — $ 762,997 $ — $ (740,018) Mortgage loans held for portfolio (2) $ 1,460 $ — $ — $ 1,460 $ — Total assets at non-recurring estimated fair value $ 1,460 $ — $ — $ 1,460 $ — Netting December 31, 2019 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,016,649 $ — $ 5,016,649 $ — $ — Total trading securities 5,016,649 — 5,016,649 — — AFS securities: GSE and TVA debentures 3,926,852 — 3,926,852 — — GSE MBS 4,557,626 — 4,557,626 — — Total AFS securities 8,484,478 — 8,484,478 — — Derivative assets: Interest-rate related 207,903 — 60,836 — 147,067 MDCs 105 — 105 — — Total derivative assets, net 208,008 — 60,941 — 147,067 Other assets: Grantor trust assets 26,050 26,050 — — — Total assets at recurring estimated fair value $ 13,735,185 $ 26,050 $ 13,562,068 $ — $ 147,067 Derivative liabilities: Interest-rate related $ 3,203 $ — $ 319,058 $ — $ (315,855) MDCs 3 — 3 — — Total derivative liabilities, net 3,206 — 319,061 — (315,855) Total liabilities at recurring estimated fair value $ 3,206 $ — $ 319,061 $ — $ (315,855) Mortgage loans held for portfolio (3) $ 1,504 $ — $ — $ 1,504 $ — Total assets at non-recurring estimated fair value $ 1,504 $ — $ — $ 1,504 $ — (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. (2) Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2020. (3) Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2019. Level 3 Disclosures for All Assets and Liabilities that are Measured at Fair Value on a Recurring Basis. The table below presents a rollforward of our AFS private-label RMBS measured at estimated fair value on a recurring basis using level 3 significant inputs. The estimated fair values were determined using a pricing source, such as a dealer quote or comparable security price, for which the significant inputs used to determine the price were not readily observable. During the year ended December 31, 2018, for strategic, economic and operational reasons, we sold all of our AFS investments in private-label RMBS. AFS private-label RMBS Level 3 Rollforward 2018 Balance, beginning of year $ 218,534 Total realized and unrealized gains (losses): Net realized gains from sale of AFS securities 32,407 Accretion of credit losses in interest income 1,884 Net losses on changes in fair value in other income — Net change in fair value not in excess of cumulative non-credit losses in OCI 2,693 Unrealized gains in OCI 392 Reclassification of non-credit portion in OCI to other income — Purchases, issuances, sales and settlements: Sales (236,248) Settlements (19,662) Balance, end of year $ — Net gains included in earnings attributable to changes in fair value relating to assets still held at end of year $ — |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2020 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 17 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts. December 31, 2020 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 190,786 $ 165,441 $ 356,227 Unused lines of credit (1) 997,608 — 997,608 Commitments to fund or purchase mortgage loans, net (2) 180,152 — 180,152 Unsettled CO bonds, at par 150,000 — 150,000 Unsettled discount notes, at par 250,000 — 250,000 (1) Maximum line of credit amount per member is $50,000. (2) Generally for periods up to 91 days. Commitments to Extend Credit. A standby letter of credit is a financing arrangement between us and one of our members for which we charge the member a commitment fee. If we are required to make a payment for a beneficiary's draw, the payment amount is converted into a collateralized advance to the member. Substantially all of these standby letters of credit, including related commitments, range from 3 months to 20 years , although some are renewable at our option. The carrying value of guarantees (commitment fees) related to standby letters of credit is recorded in other liabilities and totaled $5,082 at December 31, 2020. Lines of credit allow members to fund short-term cash needs (up to one year ) without submitting a new application for each request for funds. We monitor the creditworthiness of our standby letters of credit and lines of credit based on an evaluation of the financial condition of our members. In addition, commitments to extend credit are fully collateralized at the time of issuance. We have established parameters for the measurement, review, classification, and monitoring of credit risk related to these two products. Based on credit analyses performed by us as well as collateral requirements, we have not deemed it necessary to record any additional liability for these commitments. Commitments to Fund or Purchase Mortgage Loans. Commitments that unconditionally obligate us to fund or purchase mortgage loans are generally for periods not to exceed 91 days. Such commitments are reported as derivative assets or derivative liabilities at their estimated fair value and are reported net of participating interests sold to other FHLBanks. Pledged Collateral. At December 31, 2020 and 2019, we had pledged cash collateral of $1,003,380 and $463,780, respectively, to counterparties and clearing ag ents. At December 31, 2020 and 2019, we had not pledged any securities as collateral. Liability for Credit Losses. We monitor the creditworthiness of our members that have standby letters of credit and lines of credit. As standby letters of credit and lines of credit are subject to the same collateralization and borrowing limits that apply to advances and are fully collateralized at the time of issuance, we have not recorded a liability for credit losses on these credit products. Legal Proceedings. We are subject to legal proceedings arising in the normal course of business. We record an accrual for a loss contingency when it is probable that a loss for which we could be liable 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 proceedings could have a material effect on our financial condition, results of operations or cash flows. Additional discussion of other commitments and contingencies is provided in Note 5 - Advances; Note 6 - Mortgage Loans Held for Portfolio; Note 8 - Derivatives and Hedging Activities; Note 10 - Consolidated Obligations; Note 12 - Capital; and Note 16 - Estimated Fair Values . |
Related Party and Other Transac
Related Party and Other Transactions | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transactions [Abstract] | |
Related Party and Other Transactions | Note 18 - Related Party and Other Transactions Transactions with Related Parties. We are a cooperative whose members and former members (or legal successors) own all of our outstanding capital stock. Former members (including certain non-members) are required to maintain their investment in our capital stock until their outstanding business transactions with us have matured or are paid off and their capital stock is redeemed in accordance with our capital plan and regulatory requirements. For more information, see Note 12 - Capital . Under GAAP, transactions with related parties include transactions with principal owners, i.e, owners of more than 10% of the voting interests of the entity. Due to the statutory limits on members' voting rights and the number of members in our Bank, no shareholder owned more than 10 percent of the total voting interests as of and for the three-year period ended December 31, 2020. Therefore, the Bank had no transactions with principal owners for any of the periods presented. Under GAAP, transactions with related parties also include transactions with management. Management is defined as persons who are responsible for achieving the objectives of the entity and who have the authority to establish policies and make decisions by which those objectives are to be pursued. For this purpose, management typically includes those who serve on our board of directors. The Bank provides, in the ordinary course of its business, products and services to members whose officers or directors may also serve as directors of the Bank, i.e., directors' financial institutions. However, Finance Agency regulations require that transactions with directors' financial institutions be made on the same terms as those with any other member. Therefore, all of our transactions with directors' financial institutions are subject to the same eligibility and credit criteria, as well as the same conditions, as comparable transactions with all other members. The following table presents the aggregate balances of capital stock and advances outstanding for directors' financial institutions and their balances as a percent of the total balances on our statement of condition. December 31, 2020 December 31, 2019 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 426,003 17 % $ 57,133 2 % Advances 5,397,433 18 % 698,699 2 % The par values at December 31, 2020 reflect changes in the composition of directors' financial institutions effective January 1, 2020, due to changes in board membership resulting from the 2019 director election. The following table presents our transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Years Ended December 31, Transactions with Directors' Financial Institutions 2020 2019 2018 Net capital stock issuances (redemptions and repurchases) $ 80,088 $ 6,729 $ 6,328 Net advances (repayments) 346,863 203,078 23,550 Mortgage loan purchases 48,394 30,610 40,038 Transactions with Members and Former Members. Substantially all advances are made to members, and all whole mortgage loans held for portfolio are purchased from members. We also maintain demand deposit accounts for members, primarily to facilitate settlement activities that are directly related to advances or mortgage loan purchases. Such transactions with members are entered into in the ordinary course of business. In addition, we may purchase investments in federal funds sold, securities purchased under agreements to resell, certificates of deposit, and MBS from members or their affiliates. All purchases are transacted at market prices without preference to the status of the counterparty or the issuer of the security as a member, nonmember, or affiliate thereof. Under our AHP, we provide subsidies to members, which may be in the form of direct grants or below-market-rate advances. All AHP subsidies are made in the ordinary course of business. Under our Community Investment Program and our Community Investment Cash Advances program, we provide subsidies in the form of below-market-rate advances to members or standby letters of credit to members for community lending and economic development projects. All Community Investment Cash Advances subsidies are made in the ordinary course of business. Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks. The following table presents the loans to/borrowings from other FHLBanks. Years Ended December 31, Loans to other FHLBanks 2020 2019 2018 Disbursements $ (90,000) $ — $ (400,000) Principal repayments 90,000 — 400,000 Borrowings from other FHLBanks Proceeds from borrowings $ — $ 250,000 $ — Principal repayments — (250,000) — There were no loans to or borrowings from other FHLBanks that remained outstanding at December 31, 2020 or 2019. Transactions with the Office of Finance. Our proportionate share of the cost of operating the Office of Finance is identified in our statement of income. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2020 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation. The accompanying financial statements have been prepared in accordance with GAAP and SEC requirements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank's financial position, results of operations and cash flows for the periods presented. All such adjustments were of a normal recurring nature. |
Use of Estimates | Use of Estimates. When preparing financial statements in accordance with GAAP, we are required 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. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to derivatives and hedging activities, as discussed in Note 8 - Derivatives and Hedging Activities, and the fair values of financial instruments. Estimated Fair Value. The estimated fair value amounts, recorded on the statement of condition and presented in the accompanying disclosures, reflect appropriate valuation methods and have been determined based on the assumptions that we believe market participants would use in pricing the asset or liability. Although we use our best judgment in estimating fair value, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions on the reporting dates. For more information, see Note 16 - Estimated Fair Values . |
Reclassifications | Reclassifications. We have reclassified certain amounts reported in prior periods to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income or net cash flows. |
Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold | Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. Securities purchased under agreements to resell are treated as short-term, collateralized financings. These securities are held in safekeeping in the Bank's name by third-party custodians approved by us. If the market value of the underlying assets declines below the market value required as collateral, the counterparty must (i) place an equivalent amount of additional securities in safekeeping in the Bank's name, and/or (ii) remit an equivalent amount of cash, or the dollar value of the resale agreement will be reduced accordingly. Federal funds sold are treated as short-term, unsecured loans. Allowance for Credit Losses. As a result of adopting new accounting guidance on January 1, 2020, these investments are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We use the collateral maintenance provision practical expedient for securities purchased under agreements to resell whereby a credit loss is recognized only if there is a collateral shortfall which we do not believe the counterparty is willing or able to replenish in accordance with the contractual terms. The credit loss would be limited to the difference between the estimated fair value of the collateral and the investment’s amortized cost. Prior to January 1, 2020, we recorded an allowance for credit losses on these investments only if it was probable a loss had been incurred as of the statement of condition date and the amount of loss could be reasonably estimated. For more information on the allowance methodology related to these investments, see Note 4 - Investments. |
Investment Securities | Investment Securities. Purchases and sales of securities are recorded on a trade date basis. We classify investments as trading, HTM or AFS at the date of acquisition. Trading Securities. Securities classified as trading are held for liquidity purposes and carried at fair value. We record changes in the fair value of these securities through other income as net gains (losses) on trading securities. Finance Agency regulation and our risk management policies prohibit the speculative use of these instruments and limit the credit risk arising from these securities. HTM Securities. Securities for which we have both the positive intent and ability to hold to maturity are classified as HTM. The carrying value includes adjustments made to the cost basis of the security for purchase discount and related accretion, purchase premium and related amortization, and collection of principal. Certain changes in circumstances may cause us to change our intent to hold a particular security to maturity without necessarily calling into question our 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 may also cause us to sell or transfer an HTM security without necessarily calling into question our intent to hold other debt securities to maturity, but such events must be isolated, non-recurring, unusual, and could not have been reasonably anticipated. In addition, sales of HTM debt securities that meet either of the following two conditions may be considered as maturities for purposes of the classification of securities: (i) the sale occurs near enough to its maturity date (or call date, if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and any changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after we have already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments or to scheduled payments payable in equal installments (both principal and interest) over its term. AFS Securities. Securities that are not classified as trading or HTM are classified as AFS and carried at estimated fair value. We record changes in the fair value of these securities in OCI as net change in unrealized gains (losses) on AFS securities, except for AFS securities in hedge relationships that qualify as fair-value hedges. For those securities, beginning January 1, 2019, we record the portion of the change in fair value attributable to the risk being hedged in interest income together with the related change in the fair value of the derivative, and record the remainder of the change in the fair value in OCI as net unrealized gains (losses) on AFS securities. Prior to January 1, 2019, we recorded the portion of the change in the fair value of the investment related to the risk being hedged in other income as net gains (losses) on derivatives and hedging activities together with the related change in the fair value of the derivative. Allowance for Credit Losses. Our HTM securities are evaluated quarterly for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. We individually evaluate our AFS securities for impairment on a quarterly basis. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows contractually due. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security with its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance is limited by the amount of the unrealized loss and excludes any uncollectible accrued interest receivable, which is measured separately. If we do not intend to sell an impaired AFS security and it is not more likely than not that we will be required to sell the security before recovery of its amortized cost basis, any remaining difference between the security’s estimated fair value and amortized cost is recorded to net unrealized gains (losses) on AFS securities within OCI. If we intend to sell an impaired AFS security, or more likely than not will be required to sell the security before recovery of its amortized cost basis, any allowance for credit losses is reversed and the amortized cost basis is written down to the security’s estimated fair value at the reporting date with any such impairment reported in earnings as net gains (losses) on investment securities. For more information on the allowance methodology related to our HTM and AFS securities, see Note 4 - Investments. Amortization of Purchase Premiums and Discounts. Since we hold a large number of similar loans underlying our MBS and ABS, for which prepayments are probable and the timing and amount of prepayments can be reasonably estimated, we amortize or accrete premiums and discounts on MBS and ABS to interest income over the estimated cash flows of each security using a level-yield under the retrospective interest method. This method requires that we estimate prepayments over the estimated life of the securities and retrospectively adjust the effective yield each time the estimated remaining cash flows change as if the new estimate had been used since the original acquisition date. Changes in interest rates are a significant assumption used in estimating the timing and amount of prepayments. We amortize the purchased premium on callable non-MBS debt securities at an individual security level using a level-yield methodology to the earliest call date. For all other non-MBS investments, we amortize or accrete premiums and discounts at an individual security level using a level-yield methodology over the contractual life of the securities. Prepayments on all non-MBS investments are not estimated but only taken into account as they actually occur. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income as net realized gains (losses) from sale of securities. |
Investment Securities - Other-Than-Temporary Impairment | Investment Securities - Other-Than-Temporary Impairment. On January 1, 2020, the accounting guidance related to OTTI for investments was superseded. Under prior guidance, on a quarterly basis, we evaluated our individual AFS and HTM securities that had been previously OTTI or were in an unrealized loss position to determine if any such securities were OTTI. A security was in an unrealized loss position (i.e., impaired) when its estimated fair value was less than its amortized cost. We considered an impaired debt security to be OTTI under any of the following conditions: • we intended to sell the debt security; • based on available evidence, we believed it was more likely than not that we will be required to sell the debt security before the anticipated recovery of its remaining amortized cost; or • we did not expect to recover the entire amortized cost of the debt security. Recognition of OTTI. If either of the first two conditions above were met, we recognized an OTTI loss in earnings equal to the entire difference between the debt security's amortized cost and its estimated fair value as of the statement of condition date. For those impaired securities that met neither of these two conditions, we performed a cash flow analysis to determine whether we expected to recover the entire amortized cost of each security. If the present value of the cash flows expected to be collected was less than the amortized cost of the debt security, a credit loss equal to that difference was recorded, and the carrying value of the debt security was adjusted to its estimated fair value. However, rather than recognizing the entire difference between the amortized cost and estimated fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) was recognized in earnings, while the remaining amount, if any, related to all other factors (i.e., the non-credit component) was recognized in OCI. The credit loss on a debt security was capped at the amount of that security's unrealized loss. The new amortized cost basis of the OTTI security, which reflected the credit loss, would not be adjusted for any subsequent recoveries of fair value. The total OTTI loss was included in other income with an offset for the portion recognized in OCI. The remaining amount represented the credit loss. Additional OTTI. Subsequent to any recognition of OTTI, if the present value of cash flows expected to be collected was less than the amortized cost basis (which reflected previous credit losses), we recorded an additional credit loss equal to that difference as additional OTTI. The total amount of additional OTTI (both credit and non-credit component, if any) was determined as the difference between the security's amortized cost, less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI, and its fair value. For certain AFS or HTM securities that were previously impaired and subsequently incurred additional credit losses, an amount equal to the additional credit losses, up to the amount of non-credit losses remaining in AOCI, was reclassified out of AOCI and into other income. Subsequent increases and decreases (if not an additional OTTI) in the estimated fair value of OTTI AFS securities were netted against the non-credit component of OTTI recognized previously in AOCI. For HTM securities, the OTTI in AOCI was accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future projected cash flows (with no effect on earnings unless the security was subsequently sold, matured or additional OTTI was recognized). For debt securities classified as AFS, we did not accrete the OTTI in AOCI to the carrying value because the subsequent measurement basis for these securities was the estimated fair value. Interest Income Recognition. As of the initial OTTI measurement date, a new accretable yield was calculated for the OTTI debt security. This yield was then used to calculate the portion of the credit losses included in the amortized cost of the security to be recognized into interest income each period over the remaining life of the security so as to match the amount and timing of future cash flows expected to be collected. |
Advances | Advances. We record advances at amortized cost, adjusted to include swap termination fees associated with modified advances, net of deferred prepayment fees, and fair-value hedging basis adjustments. We amortize such fees and hedging basis adjustments t o interest income using a level-yield methodology over the contractual life of the advance. When an advance is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments to amortized cost. We record interest on advances to interest income as earned. Prepayment Fees. We charge a borrower a prepayment fee when the borrower repays certain advances prior to maturity. We report prepayment fees, net of any associated swap termination fees and hedging basis adjustments, in interest income on advances. Advance Modifications. When we fund a new advance concurrent with, or within a short period of time after, the prepayment of an original advance, we determine whether the transaction is effectively either (i) two separate transactions (the prepayment of the original advance and the disbursement of a new advance), defined as an advance extinguishment, or (ii) the continuation of the original advance as modified, defined as an advance modification. We account for the transaction as an extinguishment if both of the following criteria are met: (i) the effective yield of the new advance is at least equal to the effective yield for a comparable advance to a member with similar collection risks who is not prepaying, and (ii) modifications of the original advance are determined to be more than minor, i.e., if the present value of the cash flows under the terms of the new advance is at least 10% different from the present value of the remaining cash flows under the original advance or through an evaluation of qualitative factors, which may include changes in the interest-rate exposure to the member by moving from a fixed to an adjustable-rate advance. In all other instances, the transaction is accounted for as an advance modification. If the transaction is determined to be an advance extinguishment, we recognize income from nonrefundable prepayment fees, net of associated swap termination fees, in the period that the extinguishment occurs. Alternatively, if no prepayment fees are received (e.g., the member requests that we embed the prepayment fee into the rate of the new advance), the excess of the present value of the cash flows of the new advance over those of an advance with a current market rate and otherwise comparable terms is immediately recognized in income, and the basis of the new advance is adjusted accordingly. If the transaction is determined to be an advance modification, the nonrefundable prepayment fees, net of swap termination fees, associated with the modification of the original advance are not immediately recognized in income but are (i) included in the carrying value of the modified advance and amortized into interest income over the life of the new advance using a level-yield methodology or (ii) embedded into the rate of the modified advance and recorded as an adjustment to the interest accrual. Allowance for Credit Losses. As a result of adopting new accounting guidance on January 1, 2020, our advances are evaluated quarterly for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. If any credit losses are expected, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, we recorded an allowance for credit losses on advances only if it was probable a loss had been incurred as of the statement of condition date and the amount of loss could be reasonably estimated. For more information on the allowance methodology related to advances, see Note 5 - Advances. |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio. We classify mortgage loans, for which we have the positive intent and ability to hold for the foreseeable future or until maturity or payoff, as held for portfolio. Accordingly, these mortgage loans are reported at cost, adjusted to include premiums paid to and discounts received from PFIs, hedging basis adjustments, and the allowance for credit losses. We amortize or accrete premiums and discounts, certain loan fees or costs, and hedging basis adjustments to interest income using a level-yield methodology over the contractual life of the loans. When a loan is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments to the loan's amortized cost. Non-accrual Loans. We place a conventional mortgage loan on non-accrual status if it is determined that either (i) the collection of interest or principal is doubtful, or (ii) interest or principal is past due for 90 days or more, except when the loan is well secured and in the process of collection (e.g., through credit enhancements and monthly servicer remittances on a scheduled/scheduled basis). On loans with remittances on a scheduled/scheduled basis, we receive monthly principal and interest payments from the servicer regardless of whether the borrower has made payments to the servicer. Monthly servicer remittances on loans on an actual/actual basis may also be well secured; however, servicers on actual/actual remittance do not advance principal and interest due, regardless of borrower creditworthiness, until the payments are received from the borrower or when the loan is repaid. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. A government-guaranteed or -insured mortgage loan is not placed on non-accrual status when the collection of the contractual principal or interest is 90 days or more past due because of the contractual obligation of the loan servicer to pay defaulted interest at the contractual rate. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income (for any interest accrued in the current year) and/or the allowance for credit losses (for any interest accrued in the previous year). A loan on non-accrual status may be restored to accrual status when it becomes current (zero days past due) and three consecutive and timely monthly payments have been received. Otherwise, we record cash payments received on non-accrual loans as a direct reduction of the amortized cost of the loan. When the amortized cost has been fully collected, any additional amounts collected are recognized as interest income. REO. Our MPP was designed to require loan servicers to foreclose and liquidate in the servicer's name rather than in the Bank's name. Therefore, we do not take title to any foreclosed property or enter into any other legal agreement under which the borrower conveys all interest in the property to the Bank to satisfy the loan. Upon completion of a triggering event (short sale, deed in lieu of foreclosure, foreclosure sale or post-sale confirmation or ratification, as applicable), the servicer is required to remit to us the full UPB and accrued interest at the next feasible remittance. Upon full receipt, the mortgage loan is derecognized from the statement of condition. As a result of these factors, we do not classify as REO any foreclosed properties collateralizing MPP loans that were previously recorded on our statement of condition. In the case of a delay in receiving final payoff from the servicer beyond the second remittance cycle after a triggering event, we reclassify the amount owed from mortgage loans to a separate amount receivable from the servicer. The receivable is then evaluated for the amount expected to be recovered. |
Allowance for Credit Losses | Allowance for Credit Losses. As a result of adopting new accounting guidance on January 1, 2020, on a quarterly basis, we apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, current and historical economic conditions, and reasonable and supportable forecasts of expected economic conditions. An allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. We estimate expected losses on our conventional 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 losses on an individual basis. In addition, we individually evaluate all TDRs, any remaining exposure to delinquent conventional MPP loans paid in full by servicers, and collateral-dependent loans. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, i.e., there is no other available and reliable source of repayment (including LRA and SMI). We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and reduce the allowance accordingly. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as we charge off accrued interest receivable by reversing interest income if a mortgage loan is placed on non-accrual status. Prior to January 1, 2020, we recorded an allowance for credit losses on mortgage loans only if it was probable a loss had been incurred as of the statement of condition date and the amount of loss over a loss emergence period of 24 months could be reasonably estimated. For more information on the allowance methodology related to mortgage loans, see Note 6 - Mortgage Loans Held for Portfolio. Troubled Debt Restructuring. A TDR related to MPP loans typically occurs when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties that would not have been otherwise considered. Although we do not participate in government-sponsored loan modification programs, we do consider certain conventional loan modifications to be TDRs when the modification agreement permits the recapitalization of past due amounts, generally up to the original loan amount. If a borrower is having financial difficulty and a significant concession has been granted by the PFI with our approval, the loan modification is considered a TDR. No other terms of the original loan are modified, except for the possible extension of the contractual maturity date on a case-by-case basis. In no event does the borrower's original interest rate change. As a result of new accounting guidance effective in March 2020, we are currently excluding all qualifying COVID-19-related loan modifications considered to be formal, i.e. the legal terms of the loan were changed, from TDR classification and accounting. We do not consider any short-term, informal, i.e. the legal terms of the loan have not changed, modifications or payment deferrals alone to be a TDR. For more information on the impact of this guidance, see Note 2 - Recently Adopted and Issued Accounting Guidance. MPP loans discharged in Chapter 7 bankruptcy proceedings without a reaffirmation of the debt are considered TDRs unless they are covered by SMI policies. Loans discharged in Chapter 7 bankruptcy proceedings with SMI policies are also considered to be TDRs unless (i) we will not suffer more than an insignificant delay in receiving all principal and interest due or (ii) we are not relinquishing a legal right to pursue the borrower for deficiencies for those loans not affirmed. TDRs related to MPF Program loans occur when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties that would not have been otherwise considered. Such TDRs generally involve modifying the borrower's monthly payment for a period of up to 36 months. MPF Program loans discharged in Chapter 7 bankruptcy proceedings without a reaffirmation of the debt are also considered TDRs. For both the MPP and the MPF Program, modifications of government loans are not considered or accounted for as TDRs because we anticipate no loss of principal or interest accrued at the original contract rate, or significant delay, due to the government guarantee or insurance. Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) in a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we can clearly document that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities. We record derivative instruments, related cash collateral (including initial margin received or pledged/posted), variation margin received or pledged/posted, and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met, as either derivative assets or derivative liabilities at their estimated fair values. Designations. Derivatives are recorded beginning on the trade date and typically executed and designated in a qualifying hedging relationship at the same time as the acquisition of the hedged item. We may also designate the hedging relationship upon the Bank's commitment to disburse an advance, purchase financial instruments, or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. Each derivative is designated as one of the following: (i) a qualifying fair-value hedge of the change in fair value of a recognized asset or liability, an unrecognized firm commitment, or a forecasted transaction (a fair-value hedge); or (ii) a non-qualifying hedge (economic hedge) for asset/liability management purposes. Accounting for Qualifying Hedges. Hedging relationships must meet certain criteria including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective to qualify for hedge accounting. Two approaches to hedge accounting include: (i) Shortcut hedge accounting - Transactions that meet certain criteria qualify for the shortcut method of hedge accounting. Under the shortcut method, an assumption can be made that the entire change in fair value of a hedged item, due to changes in the benchmark rate, equates to the entire change in fair value of the related derivative. Therefore, the derivative is considered to be perfectly effective in achieving offsetting changes in the fair value of the hedged asset or liability attributable to the hedged risk. When applying the shortcut method, we document, at hedge inception, a quantitative long-haul method that we can apply should we subsequently determine a derivative relationship no longer qualifies for shortcut hedge accounting; or (ii) Long-haul hedge accounting - The application of long-haul hedge accounting requires us to assess (both at the hedge's inception and at least quarterly) whether the derivatives used in hedging transactions are 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. Beginning January 1, 2019, changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Prior to January 1, 2019, 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 income as net gains (losses) on derivatives and hedging activities. Accounting for Non-Qualifying Hedges. An economic hedge is defined as a derivative that hedges specific or non-specific underlying assets, liabilities, or firm commitments and does not qualify, or was not designated, for hedge accounting. As a result, we recognize only the net interest settlements and the change in fair value of these derivatives in other income as net gains (losses) on derivatives and hedging activities with no offsetting fair-value adjustments in earnings for the hedged assets, liabilities, or firm commitments. An economic hedge by definition, therefore, introduces the potential for earnings variability. Accrued Interest Receivables and Payables. The difference between the interest receivable and payable on a derivative designated as a qualifying hedge is recognized as an adjustment to the income or expense of the designated hedged item. The difference between the interest receivable and payable on economic hedges are recognized in other income as net gains (losses) on derivatives and hedging activities. Discontinuance of Hedge Accounting. We discontinue hedge accounting prospectively when: (i) the hedging relationship ceases to be highly effective; (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) a hedged firm commitment no longer meets the definition of a firm commitment; or (iv) we elect to discontinue hedge accounting. When hedge accounting is discontinued, we either terminate the derivative or continue to carry the derivative at its fair value, cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. Embedded Derivatives. We may issue consolidated obligations, disburse advances, or purchase financial instruments in which a derivative instrument is embedded. In order to determine whether an embedded derivative must be bifurcated from the host instrument and separately valued, we must assess, upon execution of the transaction, whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the consolidated obligation, 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. |
Financial Instruments Meeting Netting Requirements | Financial Instruments Meeting Netting Requirements . We present certain financial instruments, including our derivative asset and liability positions as well as cash collateral received or pledged, on a net basis when we have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time a change in the exposure is identified and additional collateral is requested, and the time the additional collateral is received or pledged. Likewise, there may be a delay before excess collateral is 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, respectively. For derivative instruments that do not meet the netting requirements, cash collateral is recognized as an interest-bearing asset or liability, as appropriate. Additional information regarding these transactions is provided in Note 8 - Derivatives and Hedging Activities. |
Premises, Software, and Equipment | Premises, Software, and Equipment. We record premises, software, and equipment at cost, less accumulated depreciation and am ortization, and compute depreciation and amortization using the straight-line method over their respective estimated useful lives, which range from 3 to 40 years. W |
Consolidated Obligations | Consolidated Obligations. Consolidated obligations are recorded at amortized cost, adjusted to include concessions, discounts, premiums, principal payments, and fair-value hedging basis adjustments. Discounts and Premiums. We accrete or amortize the discounts and premiums as well as hedging basis adjustments to interest expense using a level-yield methodology over the term to contractual maturity of the corresponding CO bonds. When we prepay a CO bond, a proportionate share of any remaining balance of premium or discount is recognized immediately. Concessions. Concessions are paid to dealers in connection with the issuance of certain consolidated obligations. The Office of Finance prorates the amount of our concession based upon the percentage of the debt issued on the Bank's behalf. We record concessions paid on consolidated obligations as a direct deduction from their carrying amounts, consistent with the presentation of discounts on consolidated obligations. The concessions are deferred and amortized, using a level-yield methodology, to interest expense over the term to contractual maturity of the corresponding consolidated obligations. When we prepay a CO bond, a proportionate share of any remaining balance of concessions is recognized as interest expense. |
Off-Balance Sheet Credit Exposures | Off-Balance Sheet Credit Exposures. As a result of adopting new accounting guidance on January 1, 2020, we evaluate the Bank's 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. Prior to January 1, 2020, we recorded an allowance for credit losses in other liabilities for our off-balance sheet credit exposures only if it was probable a loss had been incurred as of the statement of condition date and the amount of loss could be reasonably estimated. For more information on the allowance methodology applied to our off-balance sheet credit exposures, see Note 17 - Commitments and Contingencies. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock. When a member withdraws or attains non-member status by merger or acquisition, charter termination, relocation or other involuntary termination from membership, the member's shares are then subject to redemption, at which time a five-year redemption period commences for Class B stock. Since the shares meet the definition of a mandatorily redeemable financial instrument, the shares are reclassified from capital to liabilities as MRCS at estimated fair value, which is equal to par value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reported as interest expense. We reclassify MRCS from liabilities to capital when non-members subsequently become members through either acquisition, merger, or election. After the reclassification, dividends declared on that capital stock are no longer classified as interest expense. |
Restricted Retained Earnings | Restricted Retained Earnings. In accordance with our JCE Agreement, we allocate 20% of the Bank's net income each quarter to a separate restricted retained earnings account until the balance of that account, calculated as of the |
Employee Retirement and Deferred Compensation Plans | Employee Retirement and Deferred Compensation Plans. We recognize the required contribution to the DB Plan ratably over the plan year to which it relates. Without a prefunding election, any contribution made in excess of the minimum required contribution is recorded as an expense in the quarterly reporting period in which the contribution is made; with a prefunding election, such excess contribution is recorded as a prepaid asset. |
Gains on Litigation Settlements | Gains on Litigation Settlements. Litigation settlement gains, net of related legal fees and litigation expenses, are recorded in other income when realized. A litigation settlement gain is considered realized when we receive cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a settlement gain is considered realized when we enter into a signed agreement not subject to appeal, the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized, we consider potential litigation settlement gains to be gain contingencies and, therefore, they are not recorded in the statement of income. |
Finance Agency Expenses | Finance Agency Expenses. The portion of the Finance Agency's expenses and working capital fund not allocated to Freddie Mac and Fannie Mae is allocated among the FHLBanks as assessments, which are based on the ratio of each FHLBank's minimum required regulatory capital to the aggregate minimum required regulatory capital of every FHLBank. We record our share of these assessments in other expenses. |
Office of Finance Expenses | Offi ce of Finance Expenses. Our proportionate share of the Office of Finance's operating and capital expenditures is calculated based upon two components as follows: (i) two-thirds based on our share of total consolidated obligations outstanding and (ii) one-third base d on equal pro-rata allocation. We record our share of these expenditures in other expenses. |
Cash Flows | Cash Flows. We consider cash and due from banks on the statement of condition as cash and cash equivalents within the statement of cash flows because of their highly liquid nature. Federal funds sold, securities purchased under agreements to resell, and interest-bearing deposits are not treated as cash and cash equivalents, but instead are treated as short-term investments. Accordingly, their associated cash flows are reported in the investing activities section of the statement of cash flows. |
Segment Reporting | We report based on two operating segments: • Traditional, which consists of credit products (including advances, standby letters of credit, and lines of credit), investments (including federal funds sold, securities purchased under agreements to resell, interest-bearing demand deposit accounts, and investment securities), and correspondent services and deposits; and • Mortgage loans, which consists of mortgage loans purchased from our members through our MPP and participating interests purchased in 2012 - 2014 from the FHLBank of Topeka in mortgage loans that were originated by certain of its PFIs under the MPF Program. These segments reflect our two primary mission asset activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways we provide services to members. We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Traditional net interest income is derived primarily from the difference, or spread, between the interest income earned on advances and investments and the borrowing costs related to those assets, net interest settlements and changes in fair value related to certain interest-rate swaps, and related premium and discount amortization. Traditional also includes the costs related to holding deposits for members and other miscellaneous borrowings. Mortgage loan net interest income is derived primarily from the difference, or spread, between the interest income earned on mortgage loans, including the premium and discount amortization, and the borrowing costs related to those loans. Direct other income and expense also affect each segment's results. The traditional segment includes the direct earnings impact of certain derivatives and hedging activities related to advances, investments and consolidated obligations as well as all other miscellaneous income and expense not associated with mortgage loans. The mortgage loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct compensation, benefits and other expenses (including an allocation for indirect overhead) associated with operating the MPP and MPF Program and volume-driven costs associated with master servicing and quality control fees. As a result of hedge accounting guidance effective January 1, 2019, net gains (losses) related to fair-value hedge ineffectiveness previously presented in other income is presented in net interest income for the years ended December 31, 2020 and 2019. Amounts for the year ended December 31, 2018 have not been reclassified. |
Fair Value Measurement | We estimate fair value amounts by using available market and other pertinent information and the most appropriate valuation methods. Although we use our best judgment in estimating the fair values of financial instruments, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Certain estimates of the fair value of financial assets and liabilities are highly subjective and require judgments regarding significant factors such as the amount and timing of future cash flows, prepayment speeds, interest-rate volatility, and the discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Fair Value Hierarchy . GAAP establishes a fair value hierarchy and requires us to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring estimated fair value. The inputs are evaluated, and an overall level for the estimated fair value measurement is determined. This overall level is an indication of the extent of the market observability of the estimated 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 we 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 or contractual term, a level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active; (iii) 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 (iv) 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. |
Fair Value Transfer | We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in/out at estimated fair value as of the beginning of the quarter in which the changes occur. |
Recently Adopted Accounting Guidance | Recently Adopted Accounting Guidance. Measurement of Credit Losses on Financial Instruments (ASU 2016-13). On June 16, 2016, the FASB issued guidance replacing the current incurred loss model. The guidance requires entities to measure expected credit losses based on consideration of a broad range of relevant information, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount of the financial instrument. Prior to the adoption of this guidance, we recorded an allowance for credit losses (or OTTI for investment securities) if it was probable that a loss had been incurred as of the statement of condition date and the amount of the loss could be reasonably estimated. This guidance was effective for the interim and annual periods beginning on January 1, 2020 and was applied using a modified-retrospective method. In spite of the requirement to measure expected credit losses over the estimated life of our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances, and mortgage loans held for portfolio, the adoption of this guidance had no effect on our allowance for credit losses given the specific terms, issuer guarantees, and/or collateralized/secured nature of the instruments, and therefore no cumulative-effect adjustment was recorded to retained earnings as of January 1, 2020. Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13). On August 28, 2018, the FASB issued guidance to update the disclosure requirements for fair value measurement. This guidance was issued as part of the FASB's disclosure framework project and is intended to improve disclosure effectiveness. The guidance was effective for the interim and annual periods beginning on January 1, 2020. The adoption of this guidance affected our fair-value disclosures, but had no effect on our financial condition, results of operations or cash flows. Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14). On August 28, 2018, the FASB issued guidance to modify the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans. This guidance was issued as part of the FASB's disclosure framework project and is intended to improve disclosure effectiveness. The guidance was effective for the annual period ended December 31, 2020. The adoption of this guidance required us to add a disclosure to describe the reasons for any significant gains and losses related to changes in our benefit obligation and remove an existing disclosure regarding amounts in AOCI expected to be recognized as components of net periodic benefit cost over the next fiscal year. The guidance had no effect on our financial condition, results of operations or cash flows. Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement that is a Service Contract (ASU 2018-15) . On August 29, 2018, the FASB issued guidance on implementation costs incurred in a hosting arrangement that is a service contract. The guidance aligns the requirements for capitalizing such costs with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software and hosting arrangements that include an internal-use software license. This guidance was effective for the interim and annual periods beginning on January 1, 2020. The adoption of this guidance on a prospective basis had no effect on our financial condition, results of operations, or cash flows. The CARES Act and Interagency Statement . On March 27, 2020, Section 4013 of the CARES Act was signed into law and provides optional, temporary relief from the accounting and reporting requirements for TDRs on certain conventional loan modifications related to COVID-19 that are offered by financial institutions, including a forbearance arrangement, an interest rate modification, a repayment plan, or any similar arrangement that defers or delays payment of principal or interest. To qualify for such relief, a loan must have been current as of December 31, 2019 and the modification must occur between March 1, 2020 and 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. In addition to the CARES Act, the Board of Governors of the Federal Reserve System, the FDIC, National Credit Union Administration, OCC, CFPB and the state banking regulators (collectively, the "Banking Agencies") issued a Revised Interagency Statement on Loan Modifications and Reporting for Financial Institutions Working with Customers Affected by the Coronavirus (the "Interagency Statement") in April 2020. The Interagency Statement primarily offers certain interpretations of existing GAAP relative to conventional loan modifications that occur in response to the COVID-19 pandemic. In the second quarter of 2020, we elected to apply the TDR relief that is provided by the CARES Act and further clarified by the Interagency Statement. As such, a ll qualifying COVID-19-related loan modifications considered to be formal, i.e. the legal terms of the loan were changed, are excluded from TDR classification and accounting and the payment status of the loan is returned to current. As of December 31, 2020, we had $12,309 of loans outstanding with such formal modifications. For all informal COVID-19-rel ated loan modifications, i.e. the legal terms of the loan were not changed, we continue to follow our existing past-due, non-accrual, TDR and charge-off accounting policies as disclosed in Note 1 - Summary of Significant Accounting Policies . Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). On March 12, 2020, the FASB issued optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. Specifically, the guidance provides accounting relief related to the following: Contract modifications. Entities can elect not to apply certain modification accounting requirements to contracts affected by reference rate reform, if certain criteria are met. An entity that makes this election would not have to remeasure the contracts at the modification date or reassess a previous accounting determination. Hedging relationships. Entities can elect various optional expedients that would allow them to continue applying hedge accounting for hedging relationships affected by reference rate reform, if certain criteria are met. Sales or transfers of debt securities classified as HTM . Entities can make a one-time election to sell and/or reclassify HTM securities that reference an interest rate affected by reference rate reform and were classified as HTM prior to January 1, 2020. The guidance is effective from March 12, 2020 through December 31, 2022. We may elect to adopt the guidance for eligible contract modifications and hedging relationships existing as of January 1, 2020 and prospectively thereafter until the expiration date of the guidance. To date, we have not applied any of the optional expedients and exceptions provided by this guidance. On January 7, 2021, the FASB issued ASU 2021-01 which further clarified and broadened the scope of this guidance. Reference Rate Reform: Scope (ASU 2021-01). On October 16, 2020, CME and LCH, i.e., the clearinghouses used for all of our cleared derivative transactions, revised their rulebooks to change the discounting and price alignment interest for cleared U.S. dollar interest-rate derivatives from the EFFR to SOFR. On January 7, 2021, the FASB issued guidance, which among other changes, amended the scope of the guidance previously introduced by ASU 2020-04 to allow derivative instruments impacted by changes in the interest rate used for margining, discounting, or price alignment to qualify for the optional relief. The guidance was effective upon issuance and allows for retrospective or prospective application using the same date parameters as established by the ASU 2020-04 guidance. Upon issuance, we retrospectively adopted this guidance to support our reporting that, on the transition date, the discounting change from EFFR to SOFR did not result in the discontinuance of any impacted hedge relationship. |
Investments (Tables)
Investments (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt and Equity Securities, FV-NI [Line Items] | |
Trading securities | The following table presents our trading securities by type of security. Security Type December 31, 2020 December 31, 2019 Non-mortgage-backed securities: U.S. Treasury obligations $ 5,094,703 $ 5,016,649 Total trading securities at estimated fair value $ 5,094,703 $ 5,016,649 |
Available-for-Sale (AFS) Securities by Major Security Type | The following table presents our AFS securities by type of security. Gross Gross Amortized Unrealized Unrealized Estimated December 31, 2020 Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 3,462,885 $ 40,252 $ — $ 3,503,137 GSE MBS 6,545,093 98,263 (1,594) 6,641,762 Total AFS securities $ 10,007,978 $ 138,515 $ (1,594) $ 10,144,899 December 31, 2019 GSE and TVA debentures $ 3,885,012 $ 41,840 $ — $ 3,926,852 GSE MBS 4,509,653 51,200 (3,227) 4,557,626 Total AFS securities $ 8,394,665 $ 93,040 $ (3,227) $ 8,484,478 (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at December 31, 2020 and 2019 totaled $16,300 and $5,773, respectively. The applicable fair-value hedging basis adjustments at December 31, 2020 and 2019 totaled $627,619 and $150,372, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,616 and $32,963, respectively. Carrying value equals estimated fair value. |
AFS Securities in a Continuous Loss Position | The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized December 31, 2020 Fair Value Losses Fair Value Losses Fair Value Losses GSE MBS $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) Total impaired AFS securities $ 132,054 $ (179) $ 179,387 $ (1,415) $ 311,441 $ (1,594) December 31, 2019 GSE MBS $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) Total impaired AFS securities $ 339,981 $ (1,134) $ 519,446 $ (2,093) $ 859,427 $ (3,227) |
HTM Securities by Major Security Type | The following table presents our HTM securities by type of security. Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair December 31, 2020 Cost (1) Gains (2) Losses (2) Value MBS: Other U.S. obligations - guaranteed MBS $ 2,622,677 $ 6,920 $ (4,590) $ 2,625,007 GSE MBS 2,078,625 21,640 (1,476) 2,098,789 Total HTM securities $ 4,701,302 $ 28,560 $ (6,066) $ 4,723,796 December 31, 2019 MBS: Other U.S. obligations - guaranteed MBS $ 3,059,875 $ 6,948 $ (13,217) $ 3,053,606 GSE MBS 2,156,526 10,117 (4,043) 2,162,600 Total HTM securities (3) $ 5,216,401 $ 17,065 $ (17,260) $ 5,216,206 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2020 and 2019 totaled $7,101 and $8,418, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $2,689 and $7,156, respectively. (2) Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value. (3) Total HTM securities as of December 31, 2019 in an unrealized loss position for less than 12 months had an estimated fair value of $1,494,740 and unrealized losses of $8,923 , while those in an unrealized loss position for 12 months or more had an estimated fair value of $1,298,228 and unrealized losses of $8,337 |
Rollforward of the Amounts Related to Credit Losses Recognized into Earnings | The following table presents a rollforward of the amounts related to credit losses recognized in earnings. Credit Loss Rollforward 2018 Balance at beginning of year $ 44,935 Reductions: Credit losses on securities sold, matured, paid down or prepaid (43,049) Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (1,886) Balance at end of year $ — |
Investments | |
Debt and Equity Securities, FV-NI [Line Items] | |
AFS Securities by Contractual Maturity | The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. December 31, 2020 December 31, 2019 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 705,134 $ 705,442 $ 570,209 $ 571,588 Due after 1 year through 5 years 1,215,038 1,225,187 1,729,664 1,742,681 Due after 5 years through 10 years 1,542,713 1,572,508 1,489,144 1,514,978 Due after 10 years — — 95,995 97,605 Total non-MBS 3,462,885 3,503,137 3,885,012 3,926,852 Total MBS 6,545,093 6,641,762 4,509,653 4,557,626 Total AFS securities $ 10,007,978 $ 10,144,899 $ 8,394,665 $ 8,484,478 |
Trading Securities | |
Debt and Equity Securities, FV-NI [Line Items] | |
Gain (Loss) on Securities | The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. Years Ended December 31, 2020 2019 2018 Net unrealized gains (losses) on trading securities held at year end $ (36,994) $ 30,705 $ — Net realized gains on trading securities that matured/sold during the year 22,510 2,291 — Net gains (losses) on trading securities $ (14,484) $ 32,996 $ — |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents advances outstanding by redemption term. December 31, 2020 December 31, 2019 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ — — $ 37 3.99 Due in 1 year or less 10,115,576 0.51 11,791,716 1.85 Due after 1 year through 2 years 2,149,839 1.57 2,106,315 2.12 Due after 2 years through 3 years 2,760,624 2.02 2,505,693 2.16 Due after 3 years through 4 years 3,725,103 1.36 2,625,446 2.44 Due after 4 years through 5 years 3,020,039 1.29 4,076,103 2.08 Thereafter 8,919,678 1.05 9,166,357 1.89 Total advances, par value 30,690,859 1.06 32,271,667 1.98 Fair-value hedging basis adjustments, net 645,946 207,111 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 10,681 1,330 Total advances (1) $ 31,347,486 $ 32,480,108 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and net charge-offs, and excludes accrued interest receivable at December 31, 2020 and 2019 of $14,961 and $27,019, respectively. We offer our members certain advances that provide them the right, at predetermined future dates, to call (i.e., prepay) the advance prior to maturity without incurring prepayment or termination fees. Borrowers typically exercise their call options for fixed-rate advances when interest rates decline. We also offer certain adjustable-rate advances that may be contractually prepaid by the borrower at the interest-rate reset date without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance. We also offer putable advances. Under the terms of a putable advance, we retain the right to extinguish or put the fixed-rate advance to the member on predetermined future dates and offer replacement funding at current market rates, subject to certain conditions. The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption Earlier of Redemption December 31, December 31, December 31, December 31, Overdrawn demand and overnight deposit accounts $ — $ 37 $ — $ 37 Due in 1 year or less 15,296,034 18,497,813 14,645,076 14,560,066 Due after 1 year through 2 years 1,797,049 1,514,015 3,107,339 3,329,315 Due after 2 years through 3 years 2,440,024 2,127,903 3,160,729 3,254,093 Due after 3 years through 4 years 2,246,102 2,117,546 3,824,603 3,025,551 Due after 4 years through 5 years 2,076,839 2,454,103 2,585,439 3,481,353 Thereafter 6,834,811 5,560,250 3,367,673 4,621,252 Total advances, par value $ 30,690,859 $ 32,271,667 $ 30,690,859 $ 32,271,667 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term, type and product. Term December 31, 2020 December 31, 2019 Fixed-rate long-term mortgages $ 7,257,237 $ 9,677,008 Fixed-rate medium-term (1) mortgages 1,065,329 908,526 Total mortgage loans held for portfolio, UPB 8,322,566 10,585,534 Unamortized premiums 187,425 231,807 Unamortized discounts (1,638) (2,158) Hedging basis adjustments, net 7,642 154 Total mortgage loans held for portfolio 8,515,995 10,815,337 Allowance for credit losses (350) (300) Total mortgage loans held for portfolio, net (2) $ 8,515,645 $ 10,815,037 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,151 and $47,722, respectively. Type December 31, 2020 December 31, 2019 Conventional $ 8,069,274 $ 10,263,249 Government-guaranteed or -insured 253,292 322,285 Total mortgage loans held for portfolio, UPB $ 8,322,566 $ 10,585,534 Product December 31, 2020 December 31, 2019 MPP $ 8,163,902 $ 10,363,081 MPF Program 158,664 222,453 Total mortgage loans held for portfolio, UPB $ 8,322,566 $ 10,585,534 |
Changes in Lender Risk Account | The following table presents the activity in the LRA, which is reported in other liabilities. LRA Activity 2020 2019 2018 Liability, beginning of year $ 186,585 $ 174,096 $ 148,715 Additions 24,298 15,435 26,662 Claims paid (329) (302) (508) Distributions to PFIs (3,249) (2,644) (773) Liability, end of year $ 207,305 $ 186,585 $ 174,096 |
Recorded Investment in Delinquent Mortgage Loans | The tables below present the key credit quality indicators for our mortgage loans held for portfolio. Origination Year Payment Status as of December 31, 2020 Prior to 2016 2016 to 2020 Total Past due: 30-59 days $ 19,893 $ 22,130 $ 42,023 60-89 days 6,980 12,078 19,058 90 days or more 27,467 67,075 94,542 Total past due 54,340 101,283 155,623 Total current 2,468,908 5,635,070 8,103,978 Total conventional mortgage loans, amortized cost (1) $ 2,523,248 $ 5,736,353 $ 8,259,601 We have continued to apply our existing accounting policies for past due, non-accrual, and charge-offs for COVID-19-related loan modifications considered to be informal, i.e. the legal terms of the loan were not changed. Based on the most recent information received from our mortgage servicers, as of December 31, 2020, the UPB of conventional loans in an informal forbearance arrangement totaled $111,516, or 1.4% of our total conventional loans outstanding. The payment status as of December 31, 2020 includes such loans 30 to 59 days past due of $10,214, 60-89 days past due of $12,661, and 90 days or more past due of $79,011, for total past due of $101,886. Such loans with a current payment status totaled $9,630. As of December 31, 2020, no formal or informal COVID-19-related loan modifications were classified as TDRs. For more information, see Note 2 - Recently Adopted and Issued Accounting Guidance . Payment Status as of December 31, 2019 Total Past due: 30-59 days $ 44,479 60-89 days 9,868 90 days or more 10,668 Total past due 65,015 Total current 10,470,495 Total conventional mortgage loans, recorded investment (1)(2) $ 10,535,510 Other Delinquency Statistics as of December 31, 2020 Conventional Government Total In process of foreclosure (3) $ 2,689 $ — $ 2,689 Serious delinquency rate (1)(4) 1.14 % 3.36 % 1.21 % Past due 90 days or more still accruing interest (1)(5) $ 36,585 $ 7,933 $ 44,518 On non-accrual status (6) $ 87,763 $ — $ 87,763 Other Delinquency Statistics as of December 31, 2019 In process of foreclosure (3) $ 2,071 $ — $ 2,071 Serious delinquency rate (1)(4) 0.10 % 0.94 % 0.13 % Past due 90 days or more still accruing interest (1)(5) $ 10,127 $ 3,069 $ 13,196 On non-accrual status $ 1,063 $ — $ 1,063 (1) Based on the amortized cost at December 31, 2020, which excludes accrued interest receivable. Based on the recorded investment at December 31, 2019, which includes accrued interest receivable. (2) The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance. (3) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status. (4) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. (5) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status. (6) As of December 31, 2020, $87,708 of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $59,306 of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic. |
Impact of MPP Risk Sharing Structure on Allowance for Credit Losses | The following table presents the components of the allowance for credit losses, including the credit enhancement waterfall for MPP. Components of Allowance December 31, 2020 December 31, 2019 MPP expected losses remaining after borrower's equity, before credit enhancements $ 10,305 $ 4,410 Portion of expected losses recoverable from credit enhancements: PMI (2,277) (667) LRA (1) (6,847) (2,581) SMI (963) (927) Total portion recoverable from credit enhancements (10,087) (4,175) Allowance for unrecoverable PMI/SMI 32 15 Allowance for MPP credit losses 250 250 Allowance for MPF Program credit losses 100 50 Allowance for credit losses $ 350 $ 300 |
Rollforward of Allowance for Credit Losses on Mortgage Loans | The table below presents a rollforward of our allowance for credit losses. Rollforward of Allowance 2020 2019 2018 Balance, beginning of year $ 300 $ 600 $ 850 Charge-offs (140) (137) (444) Recoveries 50 126 425 Provision for (reversal of) credit losses 140 (289) (231) Balance, end of year $ 350 $ 300 $ 600 |
Premises, Software and Equipm_2
Premises, Software and Equipment (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Property, Plant and Equipment [Abstract] | |
Schedule of premises, software and equipment | The following table presents the types of our premises, software and equipment. Type December 31, 2020 December 31, 2019 Premises $ 15,769 $ 15,828 Computer software 48,952 45,049 Data processing equipment 6,048 4,975 Furniture and equipment 6,365 6,294 Other 756 703 Premises, software and equipment, in service 77,890 72,849 Accumulated depreciation and amortization (46,681) (41,133) Premises, software and equipment, in service, net 31,209 31,716 Capitalized assets in progress 2,784 4,833 Premises, software and equipment, net $ 33,993 $ 36,549 |
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 table presents the notional amount and estimated fair value of derivative assets and liabilities. Estimated Fair Value Notional Derivative Derivative December 31, 2020 Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 40,227,966 $ 13,018 $ 761,330 Total derivatives designated as hedging instruments 40,227,966 13,018 761,330 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 9,177,000 5,404 181 Swaptions — — — Interest-rate caps/floors 625,500 1,113 — Interest-rate forwards 180,900 — 1,486 MDCs 180,152 1,022 — Total derivatives not designated as hedging instruments 10,163,552 7,539 1,667 Total derivatives before adjustments $ 50,391,518 20,557 762,997 Netting adjustments and cash collateral (1) 262,525 (740,018) Total derivatives, net $ 283,082 $ 22,979 December 31, 2019 Derivatives designated as hedging instruments: Interest-rate swaps $ 41,108,749 $ 60,155 $ 318,815 Total derivatives designated as hedging instruments 41,108,749 60,155 318,815 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 7,634,000 450 27 Swaptions 850,000 16 — Interest-rate caps/floors 668,500 215 — Interest-rate forwards 70,200 — 216 MDCs 70,693 105 3 Total derivatives not designated as hedging instruments 9,293,393 786 246 Total derivatives before adjustments $ 50,402,142 60,941 319,061 Netting adjustments and cash collateral (1) 147,067 (315,855) Total derivatives, net $ 208,008 $ 3,206 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2020 and 2019, including accrued interest, totaled $1,003,437 and $464,187, respectively. Cash collateral received from counterparties and held at December 31, 2020 and 2019, including accrued interest, totaled $894 and $1,265, respectively. At December 31, 2020 and 2019, no securities were pledged as collateral. |
Offsetting Derivative Assets and Liabilities | The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral. December 31, 2020 December 31, 2019 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 13,793 $ 755,118 $ 51,955 $ 318,023 Cleared 5,742 6,393 8,881 819 Total gross recognized amount 19,535 761,511 60,836 318,842 Gross amounts of netting adjustments and cash collateral Uncleared (13,793) (733,625) (36,954) (315,036) Cleared 276,318 (6,393) 184,021 (819) Total gross amounts of netting adjustments and cash collateral 262,525 (740,018) 147,067 (315,855) Net amounts after netting adjustments and cash collateral Uncleared — 21,493 15,001 2,987 Cleared 282,060 — 192,902 — Total net amounts after netting adjustments and cash collateral 282,060 21,493 207,903 2,987 Derivative instruments not meeting netting requirements (1) 1,022 1,486 105 219 Total derivatives, at estimated fair value $ 283,082 $ 22,979 $ 208,008 $ 3,206 (1) Includes MDCs and certain interest-rate forwards. |
Components of Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents, by type of hedged item, the net gains (losses) on the derivatives and the related hedged items in qualifying fair-value hedging relationships and the impact on net interest income. Year Ended December 31, 2020 Advances Investments CO Bonds Total Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 382,311 $ 493,613 $ (16,334) $ 859,590 Derivatives (385,680) (507,927) 21,632 (871,975) Net changes in estimated fair value before price alignment interest (3,369) (14,314) 5,298 (12,385) Price alignment interest (1) 800 524 (165) 1,159 Net interest settlements on derivatives (2) (135,342) (109,907) 51,091 (194,158) Amortization/accretion of gains (losses) on active hedging relationships (2) 3,229 2,753 5,980 Net gains (losses) on qualifying fair-value hedging relationships (137,913) (120,468) 58,977 (199,404) Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships (142) (2,361) (36) (2,539) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ (138,055) $ (122,829) $ 58,941 $ (201,943) Year Ended December 31, 2019 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 318,284 $ 385,821 $ (104,226) $ 599,879 Derivatives (317,351) (405,391) 99,348 (623,394) Net changes in estimated fair value before price alignment interest 933 (19,570) (4,878) (23,515) Price alignment interest (1) 1,047 (729) (244) 74 Net interest settlements on derivatives (2) 61,614 31,242 (31,949) 60,907 Amortization/accretion of gains (losses) on active hedging relationships (5) 426 (5,727) (5,306) Net gains (losses) on qualifying fair-value hedging relationships 63,589 11,369 (42,798) 32,160 Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — (141) (141) Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 63,589 $ 11,369 $ (42,939) $ 32,019 Year Ended December 31, 2018 Changes in estimated fair value: Hedged items (attributable to risk being hedged) $ 22,557 $ (55,842) $ 24,419 $ (8,866) Derivatives (18,331) 47,268 (25,394) 3,543 Net changes in estimated fair value 4,226 (8,574) (975) (5,323) Net interest settlements on derivatives (2) 48,555 18,391 (40,907) 26,039 Amortization/accretion of gains (losses) on active hedging relationships (47) 276 (7,449) (7,220) Net gains (losses) on qualifying fair-value hedging relationships 52,734 10,093 (49,331) 13,496 Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships — — (137) (137) Less: net changes in fair value (4) (4,226) 8,574 975 5,323 Net gains (losses) on derivatives and hedging activities in net interest income (3) $ 48,508 $ 18,667 $ (48,493) $ 18,682 (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes interest income/expense of the respective hedged items recorded in net interest income. (4) Net changes in fair value were not reported in net interest income for the year ended December 31, 2018 , but are presented herein to conform and provide comparability to the presentation of the current period amounts. |
Componnts of Net Gains (Losses) on Derivatives and Hedging Activities Reported in Other Income | The following table presents the components of net gains (losses) on derivatives and hedging activities reported in other income. Years Ended December 31, Type of Hedge 2020 2019 2018 Net gains (losses) related to fair-value hedge ineffectiveness: Interest-rate swaps $ — $ — $ (5,323) Total net gains (losses) related to fair-value hedge ineffectiveness — — (5,323) Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 1,488 (6,950) 7,071 Swaptions (324) (1,308) (892) Interest-rate caps/floors 898 (784) (60) Interest-rate forwards (13,377) (1,647) 1,460 Net interest settlements (46,927) (9,856) (7,834) MDCs 9,880 1,562 (2,390) Total net gains (losses) on derivatives not designated as hedging instruments (48,362) (18,983) (2,645) Price alignment interest (1) — — (5,382) Net gains (losses) on derivatives and hedging activities in other income $ (48,362) $ (18,983) $ (13,350) (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. For the years ended December 31, 2020 and 2019, the portion related to derivatives not designated as hedging instruments is allocated to the applicable type of derivative. |
Effect of Fair Value Hedge-Related Derivative Instruments | The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships. December 31, 2020 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 17,219,312 $ 9,882,225 $ 17,406,679 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 645,146 $ 501,865 $ 21,605 For discontinued fair-value hedging relationships 799 125,754 — Total cumulative fair-value hedging basis adjustments on hedged items $ 645,945 $ 627,619 $ 21,605 December 31, 2019 Advances Investments CO Bonds Amortized cost of hedged items (1) $ 17,320,223 $ 8,394,665 $ 17,039,657 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 207,111 $ 150,372 $ 7,855 For discontinued fair-value hedging relationships — — (36) Total cumulative fair-value hedging basis adjustments on hedged items $ 207,111 $ 150,372 $ 7,819 (1) Includes only the portion of the amortized cost of the hedged items in qualifying fair-value hedging relationships. (2) Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Deposit Liabilities (Tables)
Deposit Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Deposits [Abstract] | |
Summary of Deposits, by Type | The following table presents the types of our interest-bearing and non-interest-bearing deposits. Type December 31, 2020 December 31, 2019 Interest-bearing: Demand and overnight $ 1,372,863 $ 905,382 Other 579 658 Total interest-bearing 1,373,442 906,040 Non-interest-bearing: Demand 258 — Other (1) 1,506 54,264 Total non-interest-bearing 1,764 54,264 Total deposits $ 1,375,206 $ 960,304 (1) Includes pass-through deposit reserves from members. |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Debt Disclosure [Abstract] | |
Discount Notes | The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes December 31, 2020 December 31, 2019 Book value $ 16,617,079 $ 17,676,793 Par value $ 16,620,486 $ 17,713,204 Weighted average effective interest rate 0.12 % 1.59 % |
CO Bonds Outstanding | The following table presents our CO bonds outstanding by contractual maturity. December 31, 2020 December 31, 2019 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 31,126,310 0.29 $ 23,404,785 1.88 Due after 1 year through 2 years 4,109,700 0.70 6,881,120 1.93 Due after 2 years through 3 years 1,753,010 1.34 4,020,790 2.10 Due after 3 years through 4 years 767,250 1.93 1,234,375 2.18 Due after 4 years through 5 years 837,300 1.13 3,471,250 2.11 Thereafter 4,652,000 2.91 5,650,600 3.11 Total CO bonds, par value 43,245,570 0.70 44,662,920 2.09 Unamortized premiums 87,133 67,708 Unamortized discounts (12,703) (13,321) Unamortized concessions (8,659) (9,902) Fair-value hedging basis adjustments, net 21,605 7,819 Total CO bonds $ 43,332,946 $ 44,715,224 Year of Contractual Maturity or Next Call Date December 31, 2020 December 31, 2019 Due in 1 year or less $ 34,272,810 $ 36,243,785 Due after 1 year through 2 years 4,159,700 4,484,620 Due after 2 years through 3 years 1,608,010 742,790 Due after 3 years through 4 years 443,750 516,375 Due after 4 years through 5 years 563,300 380,750 Thereafter 2,198,000 2,294,600 Total CO bonds, par value $ 43,245,570 $ 44,662,920 |
CO Bonds by Redemption Feature | The following tables present the par value of our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Redemption Feature December 31, 2020 December 31, 2019 Non-callable / non-putable $ 36,809,070 $ 28,829,420 Callable 6,436,500 15,833,500 Total CO bonds, par value $ 43,245,570 $ 44,662,920 The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type December 31, 2020 December 31, 2019 Fixed-rate $ 24,750,570 $ 27,565,920 Step-up 15,000 30,000 Simple variable-rate 18,480,000 17,067,000 Total CO bonds, par value $ 43,245,570 $ 44,662,920 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Affordable Housing Program [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation | The following table summarizes the activity in our AHP funding obligation. AHP Activity 2020 2019 2018 Liability at beginning of year $ 38,084 $ 40,747 $ 32,166 Assessment (expense) 10,717 17,071 22,570 Subsidy usage, net (1) (14,399) (19,734) (13,989) Liability at end of year $ 34,402 $ 38,084 $ 40,747 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Capital Stock Outstanding by Sub-series | The following table presents the capital stock outstanding by sub-series under the prior and amended capital plans. December 31, 2020 December 31, 2019 Prior capital plan Class B-1 issued and outstanding shares: 19,737,727 $ — $ 1,973,773 Class B-2 issued and outstanding shares: 3,028 — 303 Amended capital plan Class B-1 issued and outstanding shares: 7,971,952 797,196 — Class B-2 issued and outstanding shares: 14,103,744 1,410,374 — Total Class B issued and outstanding shares: 22,075,696 and 19,740,755, respectively $ 2,207,570 $ 1,974,076 |
Mandatorily Redeemable Capital Stock | The following table presents the activity in our MRCS. MRCS Activity 2020 2019 2018 Liability at beginning of year $ 322,902 $ 168,876 $ 164,322 Reclassification from capital stock 32,791 150,978 31,214 Proceeds from issuance (1) — 3,704 — Redemptions/repurchases (104,965) (1,255) (26,698) Accrued distributions 40 599 38 Liability at end of year $ 250,768 $ 322,902 $ 168,876 (1) Represents a purchase of capital stock by a captive insurance company member, which is considered mandatorily redeemable as a result of the Final Membership Rule. |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | The following table presents MRCS by contractual year of redemption. The year of redemption is the later of: (i) the final year of the five-year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption December 31, 2020 December 31, 2019 Year 1 (1) $ 9,274 $ 680 Year 2 — 8,649 Year 3 26,723 — Year 4 150,957 26,723 Year 5 32,791 150,958 Thereafter (2) 31,023 135,892 Total MRCS $ 250,768 $ 322,902 (1) Balances at December 31, 2020 and 2019 include $624 and $680, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Represents the five-year redemption period of Class B stock held by certain captive insurance companies which began immediately upon their respective terminations of membership on February 19, 2021. However, upon their respective terminations, we repurchased their excess stock, the balance of which at December 31, 2020 totaled $18,059 . The following table presents the distributions related to MRCS. Years Ended December 31, MRCS Distributions 2020 2019 2018 Recorded as interest expense $ 8,594 $ 11,863 $ 8,391 Recorded as distributions from retained earnings 40 599 38 Total $ 8,634 $ 12,462 $ 8,429 |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As presented in the following table, we were in compliance with these Finance Agency's capital requirements at December 31, 2020 and 2019. December 31, 2020 December 31, 2019 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 630,661 $ 3,595,668 $ 639,495 $ 3,412,286 Total regulatory capital $ 2,636,990 $ 3,595,668 $ 2,700,431 $ 3,412,286 Total regulatory capital-to-assets ratio 4.00% 5.45% 4.00% 5.05% Leverage capital $ 3,296,238 $ 5,393,502 $ 3,375,539 $ 5,118,429 Leverage ratio 5.00% 8.18% 5.00% 7.58% |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Changes in the Components of AOCI | The following table presents a summary of the changes in the components of AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Non-Credit OTTI on AFS Securities Non-Credit OTTI on HTM Securities Pension Benefits Total AOCI Balance, December 31, 2017 $ 92,519 $ 29,322 $ (51) $ (10,384) $ 111,406 OCI before reclassifications: Net change in unrealized gains (losses) (39,533) 392 — — (39,141) Net change in fair value — 2,693 — — 2,693 Accretion of non-credit losses — — 51 — 51 Reclassifications from OCI to net income: Net realized gains from sale of AFS securities — (32,407) — — (32,407) Non-credit portion of OTTI losses — — — — — Pension benefits, net — — — (915) (915) Total other comprehensive income (loss) (39,533) (29,322) 51 (915) (69,719) Balance, December 31, 2018 $ 52,986 $ — $ — $ (11,299) $ 41,687 OCI before reclassifications: Net change in unrealized gains (losses) 36,827 — — — 36,827 Reclassifications from OCI to net income: Pension benefits, net — — — (11,138) (11,138) Total other comprehensive income (loss) 36,827 — — (11,138) 25,689 Balance, December 31, 2019 $ 89,813 $ — $ — $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains (losses) 47,108 — — — 47,108 Reclassifications from OCI to net income: Pension benefits, net — — — (9,082) (9,082) Total other comprehensive income (loss) 47,108 — — (9,082) 38,026 Balance, December 31, 2020 $ 136,921 $ — $ — $ (31,519) $ 105,402 |
Employee Retirement and Defer_2
Employee Retirement and Deferred Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |
Schedule of Net Funded Status | The following table presents a summary of net pension costs charged to compensation and benefits expense and the DB Plan's funded status. DB Plan Net Pension Cost and Funded Status 2020 2019 2018 Net pension cost charged to compensation and benefits expense for the year ended December 31 (1) $ 3,211 $ 3,500 $ 2,750 DB Plan funded status as July 1 108 % (a) 109 % (b) 110 % Our funded status as of July 1 104 % 109 % 116 % (1) Includes voluntary contributions for the years ended December 31, 2020, 2019 and 2018 of $1,944, $2,856, and $2,240, respectively. (a) The DB Plan's funded status as of July 1, 2020 is preliminary and may increase because the participating employers are permitted to make designated contributions for the plan year ended June 30, 2020 through March 15, 2021. Any such contributions will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year ended June 30, 2021 is filed (no later than April 2022). (b) The DB Plan's final funded status as of July 1, 2019 will not be available until the Form 5500 for the plan year ended June 30, 2020 is filed (no later than April 2021). |
Schedule of Changes in Projected Benefit Obligations | The following table presents the changes in our SERP benefit obligation. Change in benefit obligation 2020 2019 2018 Projected benefit obligation at beginning of year $ 42,719 $ 27,593 $ 23,176 Service cost 2,489 1,636 1,762 Interest cost 1,086 1,039 863 Actuarial loss 12,551 13,079 3,452 Benefits paid (515) (628) (1,660) Projected benefit obligation at end of year $ 58,330 $ 42,719 $ 27,593 |
Schedule of Assumptions Used | . The following table presents the key assumptions used in the actuarial calculations of the benefit obligation. December 31, 2020 2019 2018 Discount rate 1.54 % 2.55 % 3.64 % Compensation increases 5.50 % 5.50 % 5.50 % The following table presents the key assumptions used in the actuarial calculations to determine net periodic benefit cost for the SERP. Years Ended December 31, 2020 2019 2018 Discount rate 2.55 % 3.64 % 3.00 % Compensation increases 5.50 % 5.50 % 5.50 % |
Schedule of Net Benefit Costs | The following table presents the components of the net periodic benefit cost and the amounts recognized in OCI for the SERP. Years Ended December 31, 2020 2019 2018 Net periodic benefit cost: Service cost $ 2,489 $ 1,636 $ 1,762 Net periodic benefit cost recognized in compensation and benefits 2,489 1,636 1,762 Interest cost 1,086 1,039 863 Amortization of net actuarial loss 3,469 1,941 2,539 Net periodic benefit cost recognized in other expenses 4,555 2,980 3,402 Total net periodic benefit cost recognized in the statement of income 7,044 4,616 5,164 Amounts recognized in OCI: Actuarial loss 12,551 13,079 3,452 Amortization of net actuarial loss (3,469) (1,941) (2,539) Net loss recognized in OCI 9,082 11,138 913 Total recognized as net periodic benefit cost $ 16,126 $ 15,754 $ 6,077 |
Schedule of Amounts Recognized in Other Comprehensive Income (Loss) | The following table presents the components of the pension benefits reported in AOCI related to the SERP. December 31, 2020 December 31, 2019 Net actuarial loss $ (31,519) $ (22,436) Net pension benefits reported in AOCI $ (31,519) $ (22,436) |
Schedule of Expected Benefit Payments | The following table presents the estimated future benefit payments reflecting scheduled benefit payments for retired participants and the estimated payments to active participants, based on the actual form of payment elected by the participant and weighting the value of the participant's benefits based on the probability of the participant retiring. Actual payments may differ. For the Years Ending December 31, 2021 $ 5,712 2022 21,463 2023 3,561 2024 2,170 2025 2,552 2026 - 2030 16,644 |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Year Ended December 31, 2020 Traditional Mortgage Loans Total Net interest income $ 253,683 $ 9,687 $ 263,370 Provision for (reversal of) credit losses — 140 140 Other income (loss) (52,262) (3,254) (55,516) Other expenses 92,953 16,181 109,134 Income before assessments 108,468 (9,888) 98,580 Affordable Housing Program assessments 11,706 (989) 10,717 Net income (loss) $ 96,762 $ (8,899) $ 87,863 Year Ended December 31, 2019 Net interest income $ 181,367 $ 55,875 $ 237,242 Provision for (reversal of) credit losses — (289) (289) Other income (loss) 20,166 143 20,309 Other expenses 84,638 14,356 98,994 Income before assessments 116,895 41,951 158,846 Affordable Housing Program assessments 12,876 4,195 17,071 Net income $ 104,019 $ 37,756 $ 141,775 Year Ended December 31, 2018 Net interest income $ 220,886 $ 67,201 $ 288,087 Provision for (reversal of) credit losses — (231) (231) Other income (loss) 22,253 (1,744) 20,509 Other expenses 77,526 13,995 91,521 Income before assessments 165,613 51,693 217,306 Affordable Housing Program assessments 17,401 5,169 22,570 Net income $ 148,212 $ 46,524 $ 194,736 |
Schedule of Segment Assets by Segment | The following table presents asset balances by operating segment. By Date Traditional Mortgage Loans Total December 31, 2020 $ 57,409,111 $ 8,515,645 $ 65,924,756 December 31, 2019 56,695,738 10,815,037 67,510,775 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities. December 31, 2020 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 1,811,544 $ 1,811,544 $ 1,811,544 $ — $ — $ — Interest-bearing deposits 100,026 100,026 100,000 26 — — Securities purchased under agreements to resell 2,500,000 2,500,000 — 2,500,000 — — Federal funds sold 1,215,000 1,215,000 — 1,215,000 — — Trading securities 5,094,703 5,094,703 — 5,094,703 — — AFS securities 10,144,899 10,144,899 — 10,144,899 — — HTM securities 4,701,302 4,723,796 — 4,723,796 — — Advances 31,347,486 31,290,664 — 31,290,664 — — Mortgage loans held for portfolio, net 8,515,645 8,922,185 — 8,860,853 61,332 — Accrued interest receivable 103,076 103,076 — 103,076 — — Derivative assets, net 283,082 283,082 — 20,557 — 262,525 Grantor trust assets (2) 51,032 51,032 51,032 — — — Liabilities: Deposits 1,375,206 1,375,206 — 1,375,206 — — Consolidated obligations: Discount notes 16,617,079 16,617,976 — 16,617,976 — — Bonds 43,332,946 43,952,206 — 43,952,206 — — Accrued interest payable 63,581 63,581 — 63,581 — — Derivative liabilities, net 22,979 22,979 — 762,997 — (740,018) MRCS 250,768 250,768 250,768 — — — December 31, 2019 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 220,294 $ 220,294 $ 220,294 $ — $ — $ — Interest-bearing deposits 809,141 809,141 809,000 141 — — Securities purchased under agreements to resell 1,500,000 1,500,000 — 1,500,000 — — Federal funds sold 2,550,000 2,550,000 — 2,550,000 — — Trading securities 5,016,649 5,016,649 — 5,016,649 — — AFS securities 8,484,478 8,484,478 — 8,484,478 — — HTM securities 5,216,401 5,216,206 — 5,216,206 — — Advances 32,480,108 32,425,749 — 32,425,749 — — Mortgage loans held for portfolio, net 10,815,037 10,943,595 — 10,935,787 7,808 — Accrued interest receivable 131,822 131,822 — 131,822 — — Derivative assets, net 208,008 208,008 — 60,941 — 147,067 Grantor trust assets (2) 26,050 26,050 26,050 — — — Liabilities: Deposits 960,304 960,304 — 960,304 — — Consolidated obligations: Discount notes 17,676,793 17,679,210 — 17,679,210 — — Bonds 44,715,224 45,036,500 — 45,036,500 — — Accrued interest payable 178,981 178,981 — 178,981 — — Derivative liabilities, net 3,206 3,206 — 319,061 — (315,855) MRCS 322,902 322,902 322,902 — — — (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. (2) Included in other assets on the statement of condition. |
Estimated Fair Value Measurements on Recurring and Nonrecurring Basis | The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. Netting December 31, 2020 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,094,703 $ — $ 5,094,703 $ — $ — Total trading securities 5,094,703 — 5,094,703 — — AFS securities: GSE and TVA debentures 3,503,137 — 3,503,137 — — GSE MBS 6,641,762 — 6,641,762 — — Total AFS securities 10,144,899 — 10,144,899 — — Derivative assets: Interest-rate related 282,060 — 19,535 — 262,525 MDCs 1,022 — 1,022 — — Total derivative assets, net 283,082 — 20,557 — 262,525 Other assets: Grantor trust assets 51,032 51,032 — — — Total assets at recurring estimated fair value $ 15,573,716 $ 51,032 $ 15,260,159 $ — $ 262,525 Derivative liabilities: Interest-rate related $ 22,979 $ — $ 762,997 $ — $ (740,018) MDCs — — — — — Total derivative liabilities, net 22,979 — 762,997 — (740,018) Total liabilities at recurring estimated fair value $ 22,979 $ — $ 762,997 $ — $ (740,018) Mortgage loans held for portfolio (2) $ 1,460 $ — $ — $ 1,460 $ — Total assets at non-recurring estimated fair value $ 1,460 $ — $ — $ 1,460 $ — Netting December 31, 2019 Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury securities $ 5,016,649 $ — $ 5,016,649 $ — $ — Total trading securities 5,016,649 — 5,016,649 — — AFS securities: GSE and TVA debentures 3,926,852 — 3,926,852 — — GSE MBS 4,557,626 — 4,557,626 — — Total AFS securities 8,484,478 — 8,484,478 — — Derivative assets: Interest-rate related 207,903 — 60,836 — 147,067 MDCs 105 — 105 — — Total derivative assets, net 208,008 — 60,941 — 147,067 Other assets: Grantor trust assets 26,050 26,050 — — — Total assets at recurring estimated fair value $ 13,735,185 $ 26,050 $ 13,562,068 $ — $ 147,067 Derivative liabilities: Interest-rate related $ 3,203 $ — $ 319,058 $ — $ (315,855) MDCs 3 — 3 — — Total derivative liabilities, net 3,206 — 319,061 — (315,855) Total liabilities at recurring estimated fair value $ 3,206 $ — $ 319,061 $ — $ (315,855) Mortgage loans held for portfolio (3) $ 1,504 $ — $ — $ 1,504 $ — Total assets at non-recurring estimated fair value $ 1,504 $ — $ — $ 1,504 $ — (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. (2) Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2020. |
Reconciliation of AFS Private-label RMBS Measured at Estimated Fair Value on a Recurring Basis using Level 3 Significant Inputs | The table below presents a rollforward of our AFS private-label RMBS measured at estimated fair value on a recurring basis using level 3 significant inputs. The estimated fair values were determined using a pricing source, such as a dealer quote or comparable security price, for which the significant inputs used to determine the price were not readily observable. During the year ended December 31, 2018, for strategic, economic and operational reasons, we sold all of our AFS investments in private-label RMBS. AFS private-label RMBS Level 3 Rollforward 2018 Balance, beginning of year $ 218,534 Total realized and unrealized gains (losses): Net realized gains from sale of AFS securities 32,407 Accretion of credit losses in interest income 1,884 Net losses on changes in fair value in other income — Net change in fair value not in excess of cumulative non-credit losses in OCI 2,693 Unrealized gains in OCI 392 Reclassification of non-credit portion in OCI to other income — Purchases, issuances, sales and settlements: Sales (236,248) Settlements (19,662) Balance, end of year $ — Net gains included in earnings attributable to changes in fair value relating to assets still held at end of year $ — |
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 our off-balance-sheet commitments at their notional amounts. December 31, 2020 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 190,786 $ 165,441 $ 356,227 Unused lines of credit (1) 997,608 — 997,608 Commitments to fund or purchase mortgage loans, net (2) 180,152 — 180,152 Unsettled CO bonds, at par 150,000 — 150,000 Unsettled discount notes, at par 250,000 — 250,000 (1) Maximum line of credit amount per member is $50,000. (2) Generally for periods up to 91 days. |
Related Party and Other Trans_2
Related Party and Other Transactions (Tables) | 12 Months Ended |
Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |
Loans to Other Federal Home Loan Banks and Principal Repayments | Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks. The following table presents the loans to/borrowings from other FHLBanks. Years Ended December 31, Loans to other FHLBanks 2020 2019 2018 Disbursements $ (90,000) $ — $ (400,000) Principal repayments 90,000 — 400,000 Borrowings from other FHLBanks Proceeds from borrowings $ — $ 250,000 $ — Principal repayments — (250,000) — |
Directors' Financial Institutions | |
Related Party Transaction [Line Items] | |
Outstanding Balances with Respect to Transactions with Related Parties | The following table presents the aggregate balances of capital stock and advances outstanding for directors' financial institutions and their balances as a percent of the total balances on our statement of condition. December 31, 2020 December 31, 2019 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 426,003 17 % $ 57,133 2 % Advances 5,397,433 18 % 698,699 2 % |
Loans to Other Federal Home Loan Banks and Principal Repayments | The following table presents our transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Years Ended December 31, Transactions with Directors' Financial Institutions 2020 2019 2018 Net capital stock issuances (redemptions and repurchases) $ 80,088 $ 6,729 $ 6,328 Net advances (repayments) 346,863 203,078 23,550 Mortgage loan purchases 48,394 30,610 40,038 |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) | 12 Months Ended | |
Dec. 31, 2020componentbank | Dec. 31, 2019 | |
Summary of Significant Accounting Policies [Line Items] | ||
Number of regional wholesale FHLBanks | bank | 11 | |
Allowance for credit losses on mortgage loans, loss emergence period, prior to January 1, 2020 | 24 months | |
Percentage of quarterly net income allocated to separate restricted retained earnings account | 20.00% | |
Number of components calculating proportionate share of Office of Finance operating and capital expenditures | component | 2 | |
Class B | ||
Summary of Significant Accounting Policies [Line Items] | ||
Mandatorily redeemable capital stock, redemption period | 5 years | |
Minimum | ||
Summary of Significant Accounting Policies [Line Items] | ||
Percentage of difference between present value of cash flows under terms of new advances and present value of remaining cash flows under terms of original advance | 10.00% | |
Estimated useful life | 3 years | |
Restricted retained earnings as percentage of average balance of outstanding consolidated obligations for previous quarter | 1.00% | |
Maximum | ||
Summary of Significant Accounting Policies [Line Items] | ||
Estimated useful life | 40 years |
Recently Adopted and Issued A_2
Recently Adopted and Issued Accounting Guidance (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||
Cumulative effect on retained earnings | $ 3,450,302 | $ 3,156,760 | $ 3,050,449 | $ 2,945,506 | |
Loan Modifications Excluded from TDR Classification | |||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||
Loans with formal COVID-related modifications under the CARES Act | $ 12,309 | ||||
Accounting Standards Update 2016-13 | Cumulative Effect, Period of Adoption, Adjustment | |||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||
Cumulative effect on retained earnings | $ 0 |
Cash and Due from Banks (Detail
Cash and Due from Banks (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Cash and Due from Banks [Abstract] | |||
Average cash balances with commercial banks | $ 65,945 | $ 19,420 | $ 22,300 |
Pass-through reserves deposited with Federal Reserve Banks | $ 1,506 | $ 54,264 |
Investments - Short-term Invest
Investments - Short-term Investments (Details) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Cash and Cash Equivalents [Line Items] | ||
Investments with counter parties rated below single-A (percent) | 0.00% | |
Investments with unrated counterparties (percent) | 0.00% | |
Securities purchased under agreements to resell, allowance for credit loss | $ 0 | $ 0 |
Interest-bearing Deposits | ||
Cash and Cash Equivalents [Line Items] | ||
Allowance for credit losses | 0 | 0 |
Excluded accrued interest receivable | 13,000 | 1,080,000 |
Securities Purchased under Agreements to Resell | ||
Cash and Cash Equivalents [Line Items] | ||
Excluded accrued interest receivable | 5,000 | 65,000 |
Federal Funds Sold | ||
Cash and Cash Equivalents [Line Items] | ||
Allowance for credit losses | 0 | 0 |
Excluded accrued interest receivable | $ 3,000 | $ 111,000 |
Investments - Trading Securitie
Investments - 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] | |||
Total trading securities at estimated fair value | $ 5,094,703 | $ 5,016,649 | |
Debt Securities, Trading, Gain (Loss) [Abstract] | |||
Net unrealized gains (losses) on trading securities held at year end | (36,994) | 30,705 | $ 0 |
Net realized gains on trading securities that matured/sold during the year | 22,510 | 2,291 | 0 |
Net gains (losses) on trading securities | (14,484) | 32,996 | $ 0 |
U.S. Treasury obligations | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Total trading securities at estimated fair value | $ 5,094,703 | $ 5,016,649 |
Investments AFS Securities - Ma
Investments AFS Securities - Major Security Types (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | |||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | [1] | $ 10,007,978 | $ 8,394,665 | |
Gross unrealized gains | 138,515 | 93,040 | ||
Gross unrealized losses | (1,594) | (3,227) | ||
AFS securities: | 10,144,899 | 8,484,478 | ||
Unamortized premium, net | 16,300 | 5,773 | ||
Applicable fair-value hedging basis adjustment | 627,619 | 150,372 | ||
Excluded accrued interest receivable | 34,616 | 32,963 | ||
GSE and TVA debentures | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | [1] | 3,462,885 | 3,885,012 | |
Gross unrealized gains | 40,252 | [1] | 41,840 | |
Gross unrealized losses | 0 | 0 | ||
AFS securities: | 3,503,137 | 3,926,852 | ||
GSE MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost | [1] | 6,545,093 | 4,509,653 | |
Gross unrealized gains | 98,263 | 51,200 | ||
Gross unrealized losses | (1,594) | (3,227) | ||
AFS securities: | $ 6,641,762 | $ 4,557,626 | ||
[1] | (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at December 31, 2020 and 2019 totaled $16,300 and $5,773, respectively. The applicable fair-value hedging basis adjustments at December 31, 2020 and 2019 totaled $627,619 and $150,372, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,616 and $32,963, respectively. Carrying value equals estimated fair value. |
Investments AFS Securities - Un
Investments AFS Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 132,054 | $ 339,981 |
Less than 12 Months, Unrealized Losses | (179) | (1,134) |
12 Months or More, Estimated Fair Value | 179,387 | 519,446 |
12 Months or More, Unrealized Losses | (1,415) | (2,093) |
Total Estimated Fair Value | 311,441 | 859,427 |
Total Unrealized Losses | (1,594) | (3,227) |
GSE MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 132,054 | 339,981 |
Less than 12 Months, Unrealized Losses | (179) | (1,134) |
12 Months or More, Estimated Fair Value | 179,387 | 519,446 |
12 Months or More, Unrealized Losses | (1,415) | (2,093) |
Total Estimated Fair Value | 311,441 | 859,427 |
Total Unrealized Losses | $ (1,594) | $ (3,227) |
Investments AFS Securities - Re
Investments AFS Securities - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 10,007,978 | $ 8,394,665 |
Estimated Fair Value - AFS Securities | 10,144,899 | 8,484,478 | |
Available for Sale Securities Other Than MBS and ABS | |||
Available-for-sale Securities [Line Items] | |||
Due in 1 year or less, Amortized Cost | 705,134 | 570,209 | |
Due after 1 year through 5 years, Amortized Cost | 1,215,038 | 1,729,664 | |
Due after 5 years through 10 years, Amortized Cost | 1,542,713 | 1,489,144 | |
Due after 10 years, Amortized Cost | 0 | 95,995 | |
Amortized Cost | 3,462,885 | 3,885,012 | |
Due in 1 year or less, Estimated Fair Value | 705,442 | 571,588 | |
Due after 1 year through 5 years, Estimated Fair Value | 1,225,187 | 1,742,681 | |
Due after 5 years through 10 years, Estimated Fair Value | 1,572,508 | 1,514,978 | |
Due after 10 years, Fair Value | 0 | 97,605 | |
Estimated Fair Value - AFS Securities | 3,503,137 | 3,926,852 | |
Mortgage Backed Securities | |||
Available-for-sale Securities [Line Items] | |||
Total MBS, amortized cost basis | 6,545,093 | 4,509,653 | |
Total MBS, estimated fair value | $ 6,641,762 | $ 4,557,626 | |
[1] | (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Net unamortized premium at December 31, 2020 and 2019 totaled $16,300 and $5,773, respectively. The applicable fair-value hedging basis adjustments at December 31, 2020 and 2019 totaled $627,619 and $150,372, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,616 and $32,963, respectively. Carrying value equals estimated fair value. |
Investments HTM Securities - Ma
Investments HTM Securities - Major Security Types (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | $ 4,701,302 | $ 5,216,401 | [2] | |
Gross Unrecognized Holding Gains | [3] | 28,560 | 17,065 | [2] | |
Gross Unrecognized Holding Losses | [3] | (6,066) | (17,260) | [2] | |
Estimated Fair Value | 4,723,796 | 5,216,206 | [2] | ||
Net unamortized premium | 7,101 | 8,418 | |||
Excluded accrued interest receivable | 2,689 | 7,156 | |||
Less than 12 Months, Estimated Fair Value | 1,494,740 | ||||
Less than 12 Months, Unrealized Losses | (8,923) | ||||
12 Months or More, Estimated Fair Value | 1,298,228 | ||||
12 Months or More, Unrealized Losses | (8,337) | ||||
Proceeds from sale of HTM securities | 0 | 0 | $ 41,226 | ||
Amortized cost of held-to-maturity securities sold | 41,271 | ||||
Net realized losses from sale of held-to-maturity securities | 0 | 0 | $ (45) | ||
Held-to-maturity principal outstanding, collected at time of acquisition (percent) | 85.00% | ||||
Other U.S. obligations - guaranteed MBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | 2,622,677 | 3,059,875 | ||
Gross Unrecognized Holding Gains | [3] | 6,920 | 6,948 | ||
Gross Unrecognized Holding Losses | [3] | (4,590) | (13,217) | ||
Estimated Fair Value | 2,625,007 | 3,053,606 | |||
GSE MBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | 2,078,625 | 2,156,526 | ||
Gross Unrecognized Holding Gains | [3] | 21,640 | 10,117 | ||
Gross Unrecognized Holding Losses | [3] | (1,476) | (4,043) | ||
Estimated Fair Value | $ 2,098,789 | $ 2,162,600 | |||
[1] | (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2020 and 2019 totaled $7,101 and $8,418, respectively. Excludes accrued interest receivable at December 31, 2020 and 2019 of $2,689 and $7,156, respectively. | ||||
[2] | Total HTM securities as of December 31, 2019 in an unrealized loss position for less than 12 months had an estimated fair value of $1,494,740 and unrealized losses of $8,923 , while those in an unrealized loss position for 12 months or more had an estimated fair value of $1,298,228 and unrealized losses of $8,337 | ||||
[3] | (2) Gross unrecognized holding gains (losses) represent the cumulative increases (decreases) in estimated fair value. |
Investments - Narrative (Detail
Investments - Narrative (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Sales of available for sale securities | $ 96,779,000 | $ 0 | $ 203,841,000 |
Net realized gains on AFS securities | 504,000 | 32,407,000 | |
Gain on sale of AFS securities | 715,000 | ||
Loss on sale of AFS securities | $ (211,000) | ||
AFS and HTM securities, based on amortized cost, rated single-A or above (percent) | 100.00% | ||
HTM securities allowance for credit loss | $ 0 | ||
Net other-than-temporary impairment losses, credit portion | $ 0 | 0 | |
Credit losses on securities sold, matured, paid down or prepaid | (43,049,000) | ||
Increases in cash flows expected to be collected | $ (1,886,000) |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment Analysis - Rollforward of the Cumulative Credit Losses (Details) $ in Thousands | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |
Balance at Beginning of Year | $ 44,935 |
Credit losses on securities sold, matured, paid down or prepaid | (43,049) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | (1,886) |
Balance at End of Year | $ 0 |
Advances - Advances by Year of
Advances - Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 37 | |
Due in 1 year or less | 10,115,576 | 11,791,716 | |
Due after 1 year through 2 years | 2,149,839 | 2,106,315 | |
Due after 2 years through 3 years | 2,760,624 | 2,505,693 | |
Due after 3 years through 4 years | 3,725,103 | 2,625,446 | |
Due after 4 years through 5 years | 3,020,039 | 4,076,103 | |
Thereafter | 8,919,678 | 9,166,357 | |
Total advances, par value | $ 30,690,859 | $ 32,271,667 | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand and overnight deposit accounts | 0.00% | 3.99% | |
Due in 1 year or less | 0.51% | 1.85% | |
Due after 1 year through 2 years | 1.57% | 2.12% | |
Due after 2 years through 3 years | 2.02% | 2.16% | |
Due after 3 years through 4 years | 1.36% | 2.44% | |
Due after 4 years through 5 years | 1.29% | 2.08% | |
Thereafter | 1.05% | 1.89% | |
Total advances, par value | 1.06% | 1.98% | |
Fair-value hedging basis adjustments, net | $ 645,946 | $ 207,111 | |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 10,681 | 1,330 | |
Total Advances | [1] | 31,347,486 | 32,480,108 |
Excluded accrued interest receivable | $ 14,961 | $ 27,019 | |
[1] | (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and net charge-offs, and excludes accrued interest receivable at December 31, 2020 and 2019 of $14,961 and $27,019, respectively. |
Advances - Earlier of Contractu
Advances - Earlier of Contractual Maturity or Next Call Date and Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ 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] | ||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 37 |
Due in 1 year or less | 15,296,034 | 18,497,813 |
Due after 1 year through 2 years | 1,797,049 | 1,514,015 |
Due after 2 years through 3 years | 2,440,024 | 2,127,903 |
Due after 3 years through 4 years | 2,246,102 | 2,117,546 |
Due after 4 years through 5 years | 2,076,839 | 2,454,103 |
Thereafter | 6,834,811 | 5,560,250 |
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 | 14,645,076 | 14,560,066 |
Due after 1 year through 2 years | 3,107,339 | 3,329,315 |
Due after 2 years through 3 years | 3,160,729 | 3,254,093 |
Due after 3 years through 4 years | 3,824,603 | 3,025,551 |
Due after 4 years through 5 years | 2,585,439 | 3,481,353 |
Thereafter | 3,367,673 | 4,621,252 |
Total advances, par value | $ 30,690,859 | $ 32,271,667 |
Advances - Narrative (Details)
Advances - Narrative (Details) - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 |
Federal Home Loan Bank, Advances [Line Items] | |||
Percent of advances par value held by top five borrowers | 44.00% | 42.00% | |
Advances to captive insurers | $ 288,000,000 | ||
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Total past due | 0 | $ 0 | |
Advances considered impaired | 0 | 0 | |
On non-accrual status | 0 | 0 | |
TDRs related to advances | $ 0 | $ 0 | $ 0 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio Mortgage Loans (Details) | 12 Months Ended | |||||
Dec. 31, 2020USD ($) | Dec. 31, 2016USD ($) | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | ||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Participating interest in mortgages sold (percent) | 90.00% | |||||
Principal Amount of Mortgage Loans Sold | $ 100,000,000 | |||||
Mortgage loans held for portiolio, unpaid principal balance | $ 8,322,566,000 | $ 10,585,534,000 | ||||
Unamortized premiums | 187,425,000 | 231,807,000 | ||||
Unamortized discounts | (1,638,000) | (2,158,000) | ||||
Hedging basis adjustments, net | 7,642,000 | 154,000 | ||||
Total mortgage loans held for portfolio | 8,515,995,000 | 10,815,337,000 | ||||
Allowance for credit losses | (350,000) | (300,000) | ||||
Loans and Leases Receivable, Net Amount, Total | [1] | 8,515,645,000 | 10,815,037,000 | |||
Excluded accrued interest receivable | 14,961,000 | 27,019,000 | ||||
Government-guaranteed or -insured | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Mortgage loans held for portiolio, unpaid principal balance | 253,292,000 | 322,285,000 | ||||
Allowance for credit losses | 0 | 0 | ||||
Real Estate Loan | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Excluded accrued interest receivable | 34,151,000 | 47,722,000 | ||||
Fixed-rate long-term mortgages | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Mortgage loans held for portiolio, unpaid principal balance | 7,257,237,000 | 9,677,008,000 | ||||
Loans Receivable With Fixed Rates Of Interest Medium Term | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Mortgage loans held for portiolio, unpaid principal balance | [2] | $ 1,065,329,000 | 908,526,000 | |||
Loans Receivable With Fixed Rates Of Interest Medium Term | Maximum | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Original term | 15 years | |||||
Conventional | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Mortgage loans held for portiolio, unpaid principal balance | $ 8,069,274,000 | 10,263,249,000 | ||||
Total mortgage loans held for portfolio | 8,259,601,000 | |||||
Allowance for credit losses | (350,000) | (300,000) | $ (600,000) | $ (850,000) | ||
MPP | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Mortgage loans held for portiolio, unpaid principal balance | 8,163,902,000 | 10,363,081,000 | ||||
MPP | Conventional | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Allowance for credit losses | $ (250,000) | (250,000) | ||||
PMI LTV ratio threshold | 0.80 | |||||
MPF Program | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Mortgage loans held for portiolio, unpaid principal balance | $ 158,664,000 | 222,453,000 | ||||
MPF Program | Conventional | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Allowance for credit losses | $ (100,000) | $ (50,000) | ||||
[1] | Excludes accrued interest receivable at December 31, 2020 and 2019 of $34,151 and $47,722, respectively. | |||||
[2] | Defined as a term of 15 years or less at origination. |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio - Credit Enhancements (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Change in Lender Risk Account Balance [Roll Forward] | |||
Balance of LRA, beginning of period | $ 186,585 | $ 174,096 | $ 148,715 |
Additions | 24,298 | 15,435 | 26,662 |
Claims paid | (329) | (302) | (508) |
Distributions to PFIs | (3,249) | (2,644) | (773) |
Balance of LRA, end of period | $ 207,305 | $ 186,585 | $ 174,096 |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio - Credit Quality Indicators (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | |||
Financing Receivable, Past Due [Line Items] | ||||
Total mortgage loans held for portfolio | $ 8,515,995,000 | $ 10,815,337,000 | ||
Mortgage loans in process of foreclosure | [1] | $ 2,689,000 | $ 2,071,000 | |
Serious delinquency rate | [2],[3] | 1.21% | 0.13% | |
Period loan receivable becomes nonaccrual status | 90 days | |||
Government | ||||
Financing Receivable, Past Due [Line Items] | ||||
Mortgage loans in process of foreclosure | [1] | $ 0 | $ 0 | |
Serious delinquency rate | [2],[3] | 3.36% | 0.94% | |
Past due 90 days or more still accruing interest | [2],[4] | $ 7,933,000 | $ 3,069,000 | |
On non-accrual status | 0 | [5] | 0 | |
Conventional | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total past due | 65,015,000 | |||
Total current loans | 10,470,495,000 | |||
Total recorded investment | [2],[6] | 10,535,510,000 | ||
Mortgages originated prior to 2016 | 2,523,248,000 | |||
Mortgages originated 2016-2020 | 5,736,353,000 | |||
Total mortgage loans held for portfolio | 8,259,601,000 | |||
Mortgage loans in process of foreclosure | [1] | $ 2,689,000 | $ 2,071,000 | |
Serious delinquency rate | [2],[3] | 1.14% | 0.10% | |
Past due 90 days or more still accruing interest | [2],[4] | $ 36,585,000 | $ 10,127,000 | |
On non-accrual status | 87,763,000 | [5] | 1,063,000 | |
On non-accrual status with no associated allowance for credit losses | 87,708,000 | |||
Conventional | COVID-19 Pandemic | ||||
Financing Receivable, Past Due [Line Items] | ||||
On non-accrual status, in forbearance | 59,306,000 | |||
Conventional | Nonperforming Financial Instruments | ||||
Financing Receivable, Past Due [Line Items] | ||||
Mortgages originated prior to 2016 | 54,340,000 | |||
Mortgages originated 2016-2020 | 101,283,000 | |||
Total mortgage loans held for portfolio | 155,623,000 | |||
Conventional | Performing Financial Instruments | ||||
Financing Receivable, Past Due [Line Items] | ||||
Mortgages originated prior to 2016 | 2,468,908,000 | |||
Mortgages originated 2016-2020 | 5,635,070,000 | |||
Total mortgage loans held for portfolio | 8,103,978,000 | |||
Conventional | Financing Receivables, 30 to 59 Days Past Due | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total past due | 44,479,000 | |||
Mortgages originated prior to 2016 | 19,893,000 | |||
Mortgages originated 2016-2020 | 22,130,000 | |||
Total mortgage loans held for portfolio | 42,023,000 | |||
Conventional | Financing Receivables, 60 to 89 Days Past Due | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total past due | 9,868,000 | |||
Mortgages originated prior to 2016 | 6,980,000 | |||
Mortgages originated 2016-2020 | 12,078,000 | |||
Total mortgage loans held for portfolio | 19,058,000 | |||
Conventional | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total past due | 10,668,000 | |||
Mortgages originated prior to 2016 | 27,467,000 | |||
Mortgages originated 2016-2020 | 67,075,000 | |||
Total mortgage loans held for portfolio | 94,542,000 | |||
Conventional Loans in an Informal Forbearance | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total mortgage loans held for portfolio | $ 111,516,000 | |||
Informal loan modifications as percent of conventional loans outstanding (percent) | 1.40% | |||
Conventional Loans in an Informal Forbearance | Nonperforming Financial Instruments | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total mortgage loans held for portfolio | $ 101,886,000 | |||
Conventional Loans in an Informal Forbearance | Performing Financial Instruments | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total mortgage loans held for portfolio | 9,630,000 | |||
Conventional Loans in an Informal Forbearance | Financing Receivables, 30 to 59 Days Past Due | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total mortgage loans held for portfolio | 10,214,000 | |||
Conventional Loans in an Informal Forbearance | Financing Receivables, 60 to 89 Days Past Due | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total mortgage loans held for portfolio | 12,661,000 | |||
Conventional Loans in an Informal Forbearance | Financing Receivables, Equal to Greater than 90 Days Past Due | ||||
Financing Receivable, Past Due [Line Items] | ||||
Total mortgage loans held for portfolio | 79,011,000 | |||
Real Estate Loan | ||||
Financing Receivable, Past Due [Line Items] | ||||
Past due 90 days or more still accruing interest | [2],[4] | 44,518,000 | 13,196,000 | |
On non-accrual status | $ 87,763,000 | [5] | $ 1,063,000 | |
[1] | (3) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status. | |||
[2] | (1) Based on the amortized cost at December 31, 2020, which excludes accrued interest receivable. Based on the recorded investment at December 31, 2019, which includes accrued interest receivable. | |||
[3] | (4) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. | |||
[4] | (5) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status. | |||
[5] | (6) As of December 31, 2020, $87,708 of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $59,306 of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic. | |||
[6] | (2) The recorded investment in a loan is the UPB of the loan, adjusted for accrued interest, net of any unamortized premiums or discounts (which may include the basis adjustment related to any gain or loss on a delivery commitment prior to being funded) and direct charge-offs. The recorded investment is not net of any valuation allowance. |
Mortgage Loans Held for Portf_6
Mortgage Loans Held for Portfolio - Credit Waterfall (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | $ 350 | $ 300 | |||
Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | 350 | 300 | $ 600 | $ 850 | |
MPP | Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
MPP expected losses remaining after borrower's equity, before credit enhancements | 10,305 | 4,410 | |||
Total portion recoverable from credit enhancements | (10,087) | (4,175) | |||
Allowance for unrecoverable PMI/SMI | 32 | 15 | |||
Allowance for loan losses | 250 | 250 | |||
MPP | Conventional | PMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total portion recoverable from credit enhancements | (2,277) | (667) | |||
MPP | Conventional | LRA | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total portion recoverable from credit enhancements | [1] | (6,847) | (2,581) | ||
MPP | Conventional | SMI | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Total portion recoverable from credit enhancements | (963) | (927) | |||
MPF | Conventional | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for loan losses | $ 100 | $ 50 | |||
Minimum | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Period for collective evaluation at the pool level based on current and historical information and events | 180 days | ||||
Maximum | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Period for collective evaluation for impairment at the pool level using a recognized third-party credit model | 179 days | ||||
[1] | Amounts recoverable are limited to (i) the expected losses remaining after borrower's equity and PMI and (ii) the remaining balance in each pool's portion of the LRA. The remainder of the total LRA balance is available to cover any losses not yet expected and to distribute any excess funds to the PFIs. |
Mortgage Loans Held for Portf_7
Mortgage Loans Held for Portfolio - Rollforward (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of year | $ 300,000 | |||
Provision for (reversal of) credit losses | 140,000 | $ (289,000) | $ (231,000) | |
Balance, end of year | 350,000 | 300,000 | ||
Government-guaranteed or -insured | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of year | 0 | |||
Balance, end of year | 0 | 0 | ||
On non-accrual status | 0 | [1] | 0 | |
Conventional | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of year | 300,000 | 600,000 | 850,000 | |
Charge-offs | (140,000) | (137,000) | (444,000) | |
Recoveries | 50,000 | 126,000 | 425,000 | |
Provision for (reversal of) credit losses | 140,000 | (289,000) | (231,000) | |
Balance, end of year | 350,000 | 300,000 | $ 600,000 | |
On non-accrual status | $ 87,763,000 | [1] | $ 1,063,000 | |
[1] | (6) As of December 31, 2020, $87,708 of UPB of these conventional mortgage loans on non-accrual status did not have a specifically assigned allowance for credit losses and $59,306 of UPB of these conventional mortgage loans were in informal forbearance related to the COVID-19 pandemic. |
Premises, Software and Equipm_3
Premises, Software and Equipment (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Property, Plant and Equipment [Abstract] | |||
Premises | $ 15,769 | $ 15,828 | |
Computer software | 48,952 | 45,049 | |
Data processing equipment | 6,048 | 4,975 | |
Furniture and equipment | 6,365 | 6,294 | |
Other | 756 | 703 | |
Premises, software and equipment, in service | 77,890 | 72,849 | |
Accumulated depreciation and amortization | (46,681) | (41,133) | |
Premises, software and equipment, in service, net | 31,209 | 31,716 | |
Capitalized assets in progress | 2,784 | 4,833 | |
Premises, software and equipment, net | 33,993 | 36,549 | |
Depreciation and amortization expense for premises, software and equipment | 7,198 | 6,879 | $ 6,230 |
Amortization of computer software | $ 5,315 | $ 4,983 | $ 4,237 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Narrative (Details) $ in Thousands | Dec. 31, 2020USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Net liability portion, aggregate fair value | $ 1,177 |
Collateral posted, fair value | $ 894 |
Derivatives and Hedging Activ_4
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 | $ 50,391,518 | $ 50,402,142 | |
Estimated fair value of derivative assets | 20,557 | 60,941 | |
Estimated fair value of derivative liabilities | 762,997 | 319,061 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 262,525 | 147,067 |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (740,018) | (315,855) |
Derivative assets, net | 283,082 | 208,008 | |
Derivative liabilities, net | 22,979 | 3,206 | |
Cash collateral pledged to counterparties, including accrued interest | 1,003,437 | 464,187 | |
Cash collateral received from counterparties, including accrued interest | 894 | 1,265 | |
Securities pledged as collateral | 0 | 0 | |
Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 40,227,966 | 41,108,749 | |
Estimated fair value of derivative assets | 13,018 | 60,155 | |
Estimated fair value of derivative liabilities | 761,330 | 318,815 | |
Designated as Hedging Instrument | Interest Rate Swap | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 40,227,966 | 41,108,749 | |
Estimated fair value of derivative assets | 13,018 | 60,155 | |
Estimated fair value of derivative liabilities | 761,330 | 318,815 | |
Not Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 10,163,552 | 9,293,393 | |
Estimated fair value of derivative assets | 7,539 | 786 | |
Estimated fair value of derivative liabilities | 1,667 | 246 | |
Not Designated as Hedging Instrument | Interest Rate Swap | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 9,177,000 | 7,634,000 | |
Estimated fair value of derivative assets | 5,404 | 450 | |
Estimated fair value of derivative liabilities | 181 | 27 | |
Not Designated as Hedging Instrument | Swaptions | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 0 | 850,000 | |
Estimated fair value of derivative assets | 0 | 16 | |
Estimated fair value of derivative liabilities | 0 | 0 | |
Not Designated as Hedging Instrument | Interest-rate caps/floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 625,500 | 668,500 | |
Estimated fair value of derivative assets | 1,113 | 215 | |
Estimated fair value of derivative liabilities | 0 | 0 | |
Not Designated as Hedging Instrument | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 180,900 | 70,200 | |
Estimated fair value of derivative assets | 0 | 0 | |
Estimated fair value of derivative liabilities | 1,486 | 216 | |
MDCs | Not Designated as Hedging Instrument | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 180,152 | 70,693 | |
Estimated fair value of derivative assets | 1,022 | 105 | |
Estimated fair value of derivative liabilities | $ 0 | $ 3 | |
[1] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2020 and 2019, including accrued interest, totaled $1,003,437 and $464,187, respectively. Cash collateral received from counterparties and held at December 31, 2020 and 2019, including accrued interest, totaled $894 and $1,265, respectively. At December 31, 2020 and 2019, no securities were pledged as collateral. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Offsetting Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Derivative Assets | |||
Gross recognized amount | $ 19,535 | $ 60,836 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 262,525 | 147,067 |
Net amounts after netting adjustments and cash collateral | 282,060 | 207,903 | |
Derivative instruments not meeting netting requirements | [3] | 1,022 | 105 |
Derivative assets, net | 283,082 | 208,008 | |
Derivative Liabilities | |||
Gross recognized amount | 761,511 | 318,842 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (740,018) | (315,855) |
Net amounts after netting adjustments and cash collateral | 21,493 | 2,987 | |
Derivative instruments not meeting netting requirements | [3] | 1,486 | 219 |
Derivative liabilities, net | 22,979 | 3,206 | |
Uncleared | |||
Derivative Assets | |||
Gross recognized amount | 13,793 | 51,955 | |
Gross amounts of netting adjustments and cash collateral | (13,793) | (36,954) | |
Net amounts after netting adjustments and cash collateral | 0 | 15,001 | |
Derivative Liabilities | |||
Gross recognized amount | 755,118 | 318,023 | |
Gross amounts of netting adjustments and cash collateral | (733,625) | (315,036) | |
Net amounts after netting adjustments and cash collateral | 21,493 | 2,987 | |
Cleared | |||
Derivative Assets | |||
Gross recognized amount | 5,742 | 8,881 | |
Gross amounts of netting adjustments and cash collateral | 276,318 | 184,021 | |
Net amounts after netting adjustments and cash collateral | 282,060 | 192,902 | |
Derivative Liabilities | |||
Gross recognized amount | 6,393 | 819 | |
Gross amounts of netting adjustments and cash collateral | (6,393) | (819) | |
Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 | |
[1] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. | ||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2020 and 2019, including accrued interest, totaled $1,003,437 and $464,187, respectively. Cash collateral received from counterparties and held at December 31, 2020 and 2019, including accrued interest, totaled $894 and $1,265, respectively. At December 31, 2020 and 2019, no securities were pledged as collateral. | ||
[3] | Includes MDCs and certain interest-rate forwards. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to fair-value hedge ineffectiveness: | $ (5,323) | |||
Price alignment interest | [1] | $ 1,159 | $ 74 | |
Net losses on derivatives and hedging activities | (48,362) | (18,983) | (13,350) | |
Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain (loss) on derivatives not designated as hedging instruments: | (48,362) | (18,983) | (2,645) | |
Interest Rate Swap | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to fair-value hedge ineffectiveness: | (5,323) | |||
MDCs | Interest-rate forwards | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain (loss) on derivatives not designated as hedging instruments: | 9,880 | 1,562 | (2,390) | |
Economic Hedge | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Price alignment interest | [2] | 0 | 0 | (5,382) |
Economic Hedge | Interest Rate Swap | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain (loss) on derivatives not designated as hedging instruments: | 1,488 | (6,950) | 7,071 | |
Economic Hedge | Swaptions | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain (loss) on derivatives not designated as hedging instruments: | (324) | (1,308) | (892) | |
Economic Hedge | Interest-rate caps/floors | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain (loss) on derivatives not designated as hedging instruments: | 898 | (784) | (60) | |
Economic Hedge | Interest-rate forwards | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain (loss) on derivatives not designated as hedging instruments: | (13,377) | (1,647) | 1,460 | |
Economic Hedge | Net interest settlements | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain (loss) on derivatives not designated as hedging instruments: | (46,927) | (9,856) | (7,834) | |
Not Designated as Hedging Instrument | Gain (Loss) on Derivative Instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net losses on derivatives and hedging activities | $ (48,362) | $ (18,983) | $ (13,350) | |
[1] | Relates to derivatives for which variation margin payments are characterized as daily settled contracts. | |||
[2] | Relates to derivatives for which variation margin payments are characterized as daily settled contracts. For the years ended December 31, 2020 and 2019, the portion related to derivatives not designated as hedging instruments is allocated to the applicable type of derivative. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Hedged items (attributable to risk being hedged) | $ 859,590 | $ 599,879 | $ (8,866) | |
Derivatives | (871,975) | (623,394) | 3,543 | |
Net changes in estimated fair value before price alignment interest | (12,385) | (23,515) | (5,323) | |
Price alignment interest | [1] | 1,159 | 74 | |
Net interest settlements on derivatives | [2] | (194,158) | 60,907 | 26,039 |
Amortization/accretion of gains (losses) on active hedging relationships | 5,980 | (5,306) | (7,220) | |
Net gains (losses) on qualifying fair-value hedging relationships | (199,404) | 32,160 | 13,496 | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (2,539) | (141) | (137) | |
Less: net changes in fair value | [3] | 5,323 | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [4] | (201,943) | 32,019 | 18,682 |
Advances | Interest Income | Interest Rate Swap | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Hedged items (attributable to risk being hedged) | 382,311 | 318,284 | 22,557 | |
Derivatives | (385,680) | (317,351) | (18,331) | |
Net changes in estimated fair value before price alignment interest | (3,369) | 933 | 4,226 | |
Price alignment interest | [1] | 800 | 1,047 | |
Net interest settlements on derivatives | [2] | (135,342) | 61,614 | 48,555 |
Amortization/accretion of gains (losses) on active hedging relationships | (2) | (5) | (47) | |
Net gains (losses) on qualifying fair-value hedging relationships | (137,913) | 63,589 | 52,734 | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (142) | 0 | 0 | |
Less: net changes in fair value | [3] | (4,226) | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [4] | (138,055) | 63,589 | 48,508 |
Investments | Interest Income | Interest Rate Swap | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Hedged items (attributable to risk being hedged) | 493,613 | 385,821 | (55,842) | |
Derivatives | (507,927) | (405,391) | 47,268 | |
Net changes in estimated fair value before price alignment interest | (14,314) | (19,570) | (8,574) | |
Price alignment interest | [1] | 524 | (729) | |
Net interest settlements on derivatives | [2] | (109,907) | 31,242 | 18,391 |
Amortization/accretion of gains (losses) on active hedging relationships | 3,229 | 426 | 276 | |
Net gains (losses) on qualifying fair-value hedging relationships | (120,468) | 11,369 | 10,093 | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (2,361) | 0 | 0 | |
Less: net changes in fair value | [3] | 8,574 | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [4] | (122,829) | 11,369 | 18,667 |
CO Bonds | Interest Expense | Interest Rate Swap | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Hedged items (attributable to risk being hedged) | (16,334) | (104,226) | 24,419 | |
Derivatives | 21,632 | 99,348 | (25,394) | |
Net changes in estimated fair value before price alignment interest | 5,298 | (4,878) | (975) | |
Price alignment interest | [1] | (165) | (244) | |
Net interest settlements on derivatives | [2] | 51,091 | (31,949) | (40,907) |
Amortization/accretion of gains (losses) on active hedging relationships | 2,753 | (5,727) | (7,449) | |
Net gains (losses) on qualifying fair-value hedging relationships | 58,977 | (42,798) | (49,331) | |
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (36) | (141) | (137) | |
Less: net changes in fair value | [3] | 975 | ||
Net gains (losses) on derivatives and hedging activities in net interest income | [4] | $ 58,941 | $ (42,939) | $ (48,493) |
[1] | Relates to derivatives for which variation margin payments are characterized as daily settled contracts. | |||
[2] | Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. | |||
[3] | Net changes in fair value were not reported in net interest income for the year ended December 31, 2018 , but are presented herein to conform and provide comparability to the presentation of the current period amounts. | |||
[4] | Excludes interest income/expense of the respective hedged items recorded in net interest income. |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Advances | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | $ 17,219,312 | $ 17,320,223 |
For active fair-value hedging relationships | [2] | 645,146 | 207,111 |
For discontinued fair-value hedging relationships | 799 | 0 | |
Total cumulative fair-value hedging basis adjustments on hedged items | 207,111 | ||
Investments | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | 9,882,225 | 8,394,665 |
For active fair-value hedging relationships | [2] | 501,865 | 150,372 |
For discontinued fair-value hedging relationships | 125,754 | 0 | |
Total cumulative fair-value hedging basis adjustments on hedged items | 627,619 | 150,372 | |
CO Bonds | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | 17,406,679 | 17,039,657 |
For active fair-value hedging relationships CO Bonds | [2] | 21,605 | 7,855 |
For discontinued fair-value hedging relationships | 0 | (36) | |
Total cumulative fair-value hedging basis adjustments on hedged items | $ 21,605 | $ 7,819 | |
[1] | Includes only the portion of the amortized cost of the hedged items in qualifying fair-value hedging relationships. | ||
[2] | Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Deposit Liabilities (Details)
Deposit Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |
Interest-bearing: | |||
Demand and overnight | $ 1,372,863 | $ 905,382 | |
Other | 579 | 658 | |
Total interest-bearing | 1,373,442 | 906,040 | |
Non-interest-bearing: | |||
Demand | 258 | 0 | |
Other | [1] | 1,506 | 54,264 |
Total non-interest-bearing | 1,764 | 54,264 | |
Total deposits | $ 1,375,206 | $ 960,304 | |
[1] | (1) Includes pass-through deposit reserves from members. |
Consolidated Obligations - Disc
Consolidated Obligations - Discount Notes (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Short-term Debt [Line Items] | ||
Discount notes maturity period | 1 year | |
Par value | $ 43,245,570 | $ 44,662,920 |
Short-term Debt | ||
Short-term Debt [Line Items] | ||
Book value | 16,617,079 | 17,676,793 |
Par value | $ 16,620,486 | $ 17,713,204 |
Weighted average effective interest rate | 0.12% | 1.59% |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2020 | Dec. 31, 2019 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Discount notes maturity period | 1 year | |
FHLB system outstanding consolidation obligations | $ 746,800,000 | $ 1,000,000,000 |
Contractual Obligation, Fiscal Year Maturity Schedule [Abstract] | ||
Total CO bonds, par value | 43,245,570 | 44,662,920 |
Total CO bonds | 43,332,946 | 44,715,224 |
Non-callable / non-putable | ||
Contractual Obligation, Fiscal Year Maturity Schedule [Abstract] | ||
Total CO bonds, par value | 36,809,070 | 28,829,420 |
Callable | ||
Contractual Obligation, Fiscal Year Maturity Schedule [Abstract] | ||
Total CO bonds, par value | 6,436,500 | 15,833,500 |
Short-term Debt | ||
Contractual Obligation, Fiscal Year Maturity Schedule [Abstract] | ||
Total CO bonds, par value | 16,620,486 | 17,713,204 |
Year of Contractual Maturity or Next Call Date | ||
Contractual Obligation, Fiscal Year Maturity Schedule [Abstract] | ||
Due in 1 year or less | 34,272,810 | 36,243,785 |
Due after 1 year through 2 years | 4,159,700 | 4,484,620 |
Due after 2 years through 3 years | 1,608,010 | 742,790 |
Due after 3 years through 4 years | 443,750 | 516,375 |
Due after 4 years through 5 years | 563,300 | 380,750 |
Thereafter | 2,198,000 | 2,294,600 |
Total CO bonds, par value | 43,245,570 | 44,662,920 |
CO Bonds | ||
Contractual Obligation, Fiscal Year Maturity Schedule [Abstract] | ||
Due in 1 year or less | 31,126,310 | 23,404,785 |
Due after 1 year through 2 years | 4,109,700 | 6,881,120 |
Due after 2 years through 3 years | 1,753,010 | 4,020,790 |
Due after 3 years through 4 years | 767,250 | 1,234,375 |
Due after 4 years through 5 years | 837,300 | 3,471,250 |
Thereafter | 4,652,000 | 5,650,600 |
Total CO bonds, par value | 43,245,570 | 44,662,920 |
Unamortized premiums | 87,133 | 67,708 |
Unamortized discounts | (12,703) | (13,321) |
Unamortized concessions | (8,659) | (9,902) |
Fair-value hedging basis adjustments, net | $ 21,605 | $ 7,819 |
Due in 1 year or less, WAIR % | 0.29% | 1.88% |
Due after 1 year through 2 years, WAIR % | 0.70% | 1.93% |
Due after 2 years through 3 years, WAIR % | 1.34% | 2.10% |
Due after 3 years through 4 years, WAIR % | 1.93% | 2.18% |
Dues after 4 years through 5 years, WAIR % | 1.13% | 2.11% |
Thereafter, WAIR % | 2.91% | 3.11% |
Total CO bonds, par value, WAIR % | 0.70% | 2.09% |
Consolidated Obligations - Bond
Consolidated Obligations - Bonds by Callable Feature (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 43,245,570 | $ 44,662,920 |
Non-callable / non-putable | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | 36,809,070 | 28,829,420 |
Callable | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 6,436,500 | $ 15,833,500 |
Consolidated Obligations - (CO
Consolidated Obligations - (CO Bonds by Interest-rate Payment Type) (Details) - CO Bonds - USD ($) | Dec. 31, 2020 | Dec. 31, 2019 |
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | $ 43,245,570,000 | $ 44,662,920,000 |
Fixed-rate | ||
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | 24,750,570,000 | 27,565,920,000 |
Step-up | ||
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | 15,000,000 | 30,000,000 |
Simple variable-rate | ||
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | $ 18,480,000,000 | $ 17,067,000,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Affordable Housing Program [Abstract] | ||||
Minimum amount required to set aside for AHP | $ 100,000,000 | |||
Percentage of net earnings required to set aside for AHP | 10.00% | |||
Affordable Housing Program Funding Obligation [Roll Forward] | ||||
Balance at beginning of year | $ 38,084,000 | $ 40,747,000 | $ 32,166,000 | |
Assessment (expense) | 10,717,000 | 17,071,000 | 22,570,000 | |
Subsidy usage, net | [1] | (14,399,000) | (19,734,000) | (13,989,000) |
Balance at end of year | $ 34,402,000 | $ 38,084,000 | $ 40,747,000 | |
[1] | (1) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital - Narrative (Details)
Capital - Narrative (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | 36 Months Ended | |
Dec. 31, 2020USD ($)numberOfSub-seriesOfStock$ / shares | Dec. 31, 1989USD ($) | Dec. 31, 2019USD ($) | |
JCE Agreement Requirements [Line Items] | |||
Member shares (in USD per share) | $ / shares | $ 100 | ||
Number of Sub-series of Stock | numberOfSub-seriesOfStock | 2 | ||
Class B-2 dividend of Class B-1 stock dividend (percent) | 80.00% | ||
Capital stock not considered MRCS subject to redemption | $ 314 | $ 935 | |
Class B stock redemption period | 5 years | ||
Percentage of net income allocated to restricted retained earnings account | 20.00% | ||
Capital distributions from FHLBanks to FICO | $ 680,000 | ||
Excess FICO funds available for distribution to FHLBanks | $ 200,000 | ||
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | ||
Class B-2 | |||
JCE Agreement Requirements [Line Items] | |||
Class B-2 stock, issued and outstanding | $ 4,784 | ||
Minimum | |||
JCE Agreement Requirements [Line Items] | |||
Restricted retained earnings as percentage of average balance of outstanding consolidated obligations for previous quarter | 1.00% | ||
Restricted retained earnings of average balance of outstanding obligations from previous quarter (percent) | 1.50% |
Capital - Capital Stock by Sub-
Capital - Capital Stock by Sub-Series (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 |
Class B | ||
Class of Stock [Line Items] | ||
Common stock issued (in shares) | 22,075,696 | 19,740,755 |
Common stock outstanding (in shares) | 22,075,696 | 19,740,755 |
Class B issued and outstanding | $ 2,207,570 | $ 1,974,076 |
Class B-1 | ||
Class of Stock [Line Items] | ||
Common stock issued (in shares) | 7,971,952 | 19,737,727 |
Common stock outstanding (in shares) | 7,971,952 | 19,737,727 |
Class B issued and outstanding | $ 797,196 | $ 1,973,773 |
Class B-2 | ||
Class of Stock [Line Items] | ||
Common stock issued (in shares) | 14,103,744 | 3,028 |
Common stock outstanding (in shares) | 14,103,744 | 3,028 |
Class B issued and outstanding | $ 1,410,374 | $ 303 |
Capital - Mandatorily Redeemabl
Capital - Mandatorily Redeemable Capital Stock Rollforward (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||
Mandatorily Redeemable Capital Stock Acitvity [Roll Forward] | ||||
Liability at beginning of year | $ 322,902 | $ 168,876 | $ 164,322 | |
Reclassification from capital stock | 32,791 | 150,978 | 31,214 | |
Proceeds from issuance | [1] | 0 | 3,704 | 0 |
Redemptions/repurchases | (104,965) | (1,255) | (26,698) | |
Accrued distributions | 40 | 599 | 38 | |
Liability at end of year | $ 250,768 | $ 322,902 | $ 168,876 | |
[1] | Represents a purchase of capital stock by a captive insurance company member, which is considered mandatorily redeemable as a result of the Final Membership Rule. |
Capital - MRCS Contractual Year
Capital - MRCS Contractual Year Redemption (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | Dec. 31, 2017 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||
Year 1 | [1] | $ 9,274 | $ 680 | ||
Year 2 | 0 | 8,649 | |||
Year 3 | 26,723 | 0 | |||
Year 4 | 150,957 | 26,723 | |||
Year 5 | 32,791 | 150,958 | |||
Thereafter | [2] | 31,023 | 135,892 | ||
Total MRCS | 250,768 | 322,902 | $ 168,876 | $ 164,322 | |
Stock not redeemed after redemption period | 624 | $ 680 | |||
Financial instrument mandatory redemption capital plan | $ 18,059 | ||||
[1] | (1) Balances at December 31, 2020 and 2019 include $624 and $680, respectively, of Class B stock that had reached the end of the five-year redemption period but will not be redeemed until the associated credit products and other obligations are no longer outstanding. | ||||
[2] | (2) Represents the five-year redemption period of Class B stock held by certain captive insurance companies which began immediately upon their respective terminations of membership on February 19, 2021. However, upon their respective terminations, we repurchased their excess stock, the balance of which at December 31, 2020 totaled $18,059 . |
Capital - MRCS Distributions (D
Capital - MRCS Distributions (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Banking Regulation, Total Capital [Abstract] | |||
Recorded as interest expense | $ 8,594 | $ 11,863 | $ 8,391 |
Recorded as distributions from retained earnings | 40 | 599 | 38 |
Total | $ 8,634 | $ 12,462 | $ 8,429 |
Capital - Regulatory Capital Re
Capital - Regulatory Capital Requirements (Details) $ in Thousands | Dec. 31, 2020USD ($)capital_requirement | Dec. 31, 2019USD ($) |
Banking Regulation, Total Capital [Abstract] | ||
Number of capital requirements | capital_requirement | 3 | |
Multiplier for capital in leverage capital calculation | 1.5 | |
Risk-based capital, required | $ 630,661 | $ 639,495 |
Risk-based capital, actual | 3,595,668 | 3,412,286 |
Total regulatory capital, required | 2,636,990 | 2,700,431 |
Total regulatory capital, actual | $ 3,595,668 | $ 3,412,286 |
Total regulatory capital-to-assets ratio, required | 4.00% | 4.00% |
Total regulatory capital-to-assets ratio, actual | 5.45% | 5.05% |
Leverage capital, required | $ 3,296,238 | $ 3,375,539 |
Leverage capital, actual | $ 5,393,502 | $ 5,118,429 |
Leverage ratio, required | 5.00% | 5.00% |
Leverage ratio, actual | 8.18% | 7.58% |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | $ 3,156,760 | $ 3,050,449 | $ 2,945,506 |
Total other comprehensive income (loss) | 38,026 | 25,689 | (69,719) |
Ending Balance | 3,450,302 | 3,156,760 | 3,050,449 |
Unrealized Gains (Losses) on AFS Securities | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 89,813 | 52,986 | 92,519 |
Net change in unrealized gains (losses) | 47,108 | 36,827 | (39,533) |
Net change in fair value | 0 | ||
Accretion of non-credit losses | 0 | ||
Net realized gains from sale of AFS securities | 0 | ||
Non-credit portion of OTTI losses on AFS securities | 0 | ||
Pension benefits, net | 0 | 0 | 0 |
Total other comprehensive income (loss) | 47,108 | 36,827 | (39,533) |
Ending Balance | 136,921 | 89,813 | 52,986 |
Non-Credit OTTI | Non-Credit OTTI on AFS Securities | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 0 | 0 | 29,322 |
Net change in unrealized gains (losses) | 0 | 0 | 392 |
Net change in fair value | 2,693 | ||
Accretion of non-credit losses | 0 | ||
Net realized gains from sale of AFS securities | (32,407) | ||
Non-credit portion of OTTI losses on AFS securities | 0 | ||
Pension benefits, net | 0 | 0 | 0 |
Total other comprehensive income (loss) | 0 | 0 | (29,322) |
Ending Balance | 0 | 0 | 0 |
Non-Credit OTTI | Non-Credit OTTI on HTM Securities | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 0 | 0 | (51) |
Net change in unrealized gains (losses) | 0 | 0 | 0 |
Net change in fair value | 0 | ||
Accretion of non-credit losses | 51 | ||
Net realized gains from sale of AFS securities | 0 | ||
Non-credit portion of OTTI losses on HTM securities | 0 | ||
Pension benefits, net | 0 | 0 | 0 |
Total other comprehensive income (loss) | 0 | 0 | 51 |
Ending Balance | 0 | 0 | 0 |
Pension Benefits | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | (22,437) | (11,299) | (10,384) |
Net change in unrealized gains (losses) | 0 | 0 | 0 |
Net change in fair value | 0 | ||
Accretion of non-credit losses | 0 | ||
Net realized gains from sale of AFS securities | 0 | ||
Non-credit portion of OTTI losses on AFS securities | 0 | ||
Pension benefits, net | (9,082) | (11,138) | (915) |
Total other comprehensive income (loss) | (9,082) | (11,138) | (915) |
Ending Balance | (31,519) | (22,437) | (11,299) |
Accumulated Other Comprehensive Income (Loss) | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 67,376 | 41,687 | 111,406 |
Net change in unrealized gains (losses) | 47,108 | 36,827 | (39,141) |
Net change in fair value | 2,693 | ||
Accretion of non-credit losses | 51 | ||
Net realized gains from sale of AFS securities | (32,407) | ||
Non-credit portion of OTTI losses | 0 | ||
Pension benefits, net | (9,082) | (11,138) | (915) |
Total other comprehensive income (loss) | 38,026 | 25,689 | (69,719) |
Ending Balance | $ 105,402 | $ 67,376 | $ 41,687 |
Employee Retirement and Defer_3
Employee Retirement and Deferred Compensation Plans - Qualified Defined Benefit Multiemployer Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | ||||
Retirement Benefits [Abstract] | ||||||
Maximum percentage of contributions by participating employer | 5.00% | 5.00% | 5.00% | |||
Employer contribution amount | $ 2,810 | $ 2,778 | $ 2,478 | |||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||||
Entity Tax Identification Number | 35-6001443 | |||||
Pentegra Defined Benefit Plan | ||||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||||
Net pension cost charged to compensation and benefits expense for the year ended December 31 | [1] | $ 3,211 | $ 3,500 | $ 2,750 | ||
DB Plan funded status as July 1 | 108.00% | [2] | 109.00% | [3] | 110.00% | |
Our funded status as of July 1 | 104.00% | 109.00% | 116.00% | |||
Pentegra Defined Benefit Plan, Voluntary Contribution | ||||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||||
Voluntary contributions by employer | $ 1,944 | $ 2,856 | $ 2,240 | |||
Multiemployer Plans, Pension | ||||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||||
Entity Tax Identification Number | 13-5645888 | |||||
Multiemployer plan number | 333 | |||||
[1] | (1) Includes voluntary contributions for the years ended December 31, 2020, 2019 and 2018 of $1,944, $2,856, and $2,240, respectively. | |||||
[2] | (a) The DB Plan's funded status as of July 1, 2020 is preliminary and may increase because the participating employers are permitted to make designated contributions for the plan year ended June 30, 2020 through March 15, 2021. Any such contributions will be included in the final valuation as of July 1, 2020. The final funded status as of July 1, 2020 will not be available until the Form 5500 for the plan year ended June 30, 2021 is filed (no later than April 2022). | |||||
[3] | (b) The DB Plan's final funded status as of July 1, 2019 will not be available until the Form 5500 for the plan year ended June 30, 2020 is filed (no later than April 2021). |
Employee Retirement and Defer_4
Employee Retirement and Deferred Compensation Plans - Nonqualified Defined Benefit Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | |||
Net loss recognized in OCI | $ 9,082 | $ 11,138 | $ 915 |
Supplemental Executive Retirement Plan | |||
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward] | |||
Projected benefit obligation at beginning of year | 42,719 | 27,593 | 23,176 |
Service cost | 2,489 | 1,636 | 1,762 |
Interest cost | 1,086 | 1,039 | 863 |
Actuarial loss | 12,551 | 13,079 | 3,452 |
Benefits paid | (515) | (628) | (1,660) |
Projected benefit obligation at end of year | 58,330 | 42,719 | $ 27,593 |
Accumulated benefit obligation | 42,739 | 31,595 | |
Grantor trust assets at fair value | $ 45,200 | $ 21,983 | |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | |||
Discount rate | 1.54% | 2.55% | 3.64% |
Compensation increases | 5.50% | 5.50% | 5.50% |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) [Abstract] | |||
Service cost | $ 2,489 | $ 1,636 | $ 1,762 |
Net periodic benefit cost recognized in compensation and benefits | 2,489 | 1,636 | 1,762 |
Interest cost | 1,086 | 1,039 | 863 |
Amortization of net actuarial loss | 3,469 | 1,941 | 2,539 |
Net periodic benefit cost recognized in other expenses | 4,555 | 2,980 | 3,402 |
Total net periodic benefit cost recognized in the statement of income | $ 7,044 | $ 4,616 | $ 5,164 |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | |||
Discount rate | 2.55% | 3.64% | 3.00% |
Compensation increases | 5.50% | 5.50% | 5.50% |
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | |||
Actuarial loss | $ 12,551 | $ 13,079 | $ 3,452 |
Amortization of net actuarial loss | (3,469) | (1,941) | (2,539) |
Net loss recognized in OCI | 9,082 | 11,138 | 913 |
Total recognized as net periodic benefit cost | 16,126 | 15,754 | $ 6,077 |
Defined Benefit Plan, Accumulated Other Comprehensive (Income) Loss, before Tax [Abstract] | |||
Net actuarial loss | (31,519) | (22,436) | |
Net pension benefits reported in AOCI | (31,519) | $ (22,436) | |
Expected net periodic benefit cost in next fiscal year | 7,903 | ||
Defined Benefit Plan, Expected Future Benefit Payment [Abstract] | |||
2021 | 5,712 | ||
2022 | 21,463 | ||
2023 | 3,561 | ||
2024 | 2,170 | ||
2025 | 2,552 | ||
2026 - 2030 | $ 16,644 |
Employee Retirement and Defer_5
Employee Retirement and Deferred Compensation Plans Employee Retirement and Deferred Compensation Plans - Nonqualified Deferred Compensation Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Nonqualified Supplemental Executive Thrift Plan | |||
Deferred Compensation Arrangement with Individual, Postretirement Benefits [Line Items] | |||
Deferred compensation expense | $ 125 | $ 73 | $ 70 |
Deferred compensation liability | 2,988 | 1,973 | |
Directors' Deferred Compensation Plan | |||
Deferred Compensation Arrangement with Individual, Postretirement Benefits [Line Items] | |||
Deferred compensation liability | $ 2,845 | $ 2,080 |
Segment Information (Details)
Segment Information (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2020USD ($)operatingSegment | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | |
Segment Reporting Information [Line Items] | |||
Number of operating segments | operatingSegment | 2 | ||
Net interest income | $ 263,370 | $ 237,242 | $ 288,087 |
Provision for (reversal of) credit losses | 140 | (289) | (231) |
Other income (loss) | (55,516) | 20,309 | 20,509 |
Other expenses | 109,134 | 98,994 | 91,521 |
Income before assessments | 98,580 | 158,846 | 217,306 |
Affordable Housing Program assessments | 10,717 | 17,071 | 22,570 |
Net income (loss) | 87,863 | 141,775 | 194,736 |
Assets | 65,924,756 | 67,510,775 | |
Traditional | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 253,683 | 181,367 | 220,886 |
Provision for (reversal of) credit losses | 0 | 0 | 0 |
Other income (loss) | (52,262) | 20,166 | 22,253 |
Other expenses | 92,953 | 84,638 | 77,526 |
Income before assessments | 108,468 | 116,895 | 165,613 |
Affordable Housing Program assessments | 11,706 | 12,876 | 17,401 |
Net income (loss) | 96,762 | 104,019 | 148,212 |
Assets | 57,409,111 | 56,695,738 | |
Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 9,687 | 55,875 | 67,201 |
Provision for (reversal of) credit losses | 140 | (289) | (231) |
Other income (loss) | (3,254) | 143 | (1,744) |
Other expenses | 16,181 | 14,356 | 13,995 |
Income before assessments | (9,888) | 41,951 | 51,693 |
Affordable Housing Program assessments | (989) | 4,195 | 5,169 |
Net income (loss) | (8,899) | 37,756 | $ 46,524 |
Assets | $ 8,515,645 | $ 10,815,037 |
Estimated Fair Values - Carryin
Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) $ in Thousands | Dec. 31, 2020USD ($)price | Dec. 31, 2019USD ($) | Dec. 31, 2018USD ($) | Dec. 31, 2017USD ($) | ||
Assets: | ||||||
Cash and due from banks | $ 1,811,544 | $ 220,294 | ||||
Trading securities: | 5,094,703 | 5,016,649 | ||||
AFS securities | 10,144,899 | 8,484,478 | ||||
HTM securities, carrying value | 4,701,302 | 5,216,401 | ||||
HTM securities, fair value | 4,723,796 | 5,216,206 | [1] | |||
Accrued interest receivable | 103,076 | 131,822 | ||||
Derivative assets, net | 283,082 | 208,008 | ||||
Gross amounts of netting adjustments and cash collateral | [2],[3] | 262,525 | 147,067 | |||
Consolidated obligations: | ||||||
Accrued interest payable | 63,581 | 178,981 | ||||
Derivative liabilities, net | 22,979 | 3,206 | ||||
Netting adjustments and cash collateral, liabilities | [2],[3] | (740,018) | (315,855) | |||
MRCS | $ 250,768 | 322,902 | $ 168,876 | $ 164,322 | ||
Minimum | ||||||
Consolidated obligations: | ||||||
Number of prices received for MBS | price | 2 | |||||
Maximum | ||||||
Consolidated obligations: | ||||||
Number of prices received for MBS | price | 3 | |||||
Level 1 | ||||||
Assets: | ||||||
Cash and due from banks | $ 1,811,544 | 220,294 | ||||
Interest-bearing deposits | 100,000 | 809,000 | ||||
Securities purchased under agreements to resell | 0 | 0 | ||||
Federal funds sold | 0 | 0 | ||||
Trading securities: | 0 | 0 | ||||
AFS securities | 0 | 0 | ||||
HTM securities, fair value | 0 | 0 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net | 0 | 0 | ||||
Accrued interest receivable | 0 | 0 | ||||
Derivative assets, net | 0 | 0 | ||||
Grantor trust assets | 51,032 | 26,050 | ||||
Liabilities: | ||||||
Deposits | 0 | 0 | ||||
Consolidated obligations: | ||||||
Accrued interest payable | 0 | 0 | ||||
Derivative liabilities, net | 0 | 0 | ||||
MRCS | 250,768 | 322,902 | ||||
Level 2 | ||||||
Assets: | ||||||
Cash and due from banks | 0 | 0 | ||||
Interest-bearing deposits | 26 | 141 | ||||
Securities purchased under agreements to resell | 2,500,000 | 1,500,000 | ||||
Federal funds sold | 1,215,000 | 2,550,000 | ||||
Trading securities: | 5,094,703 | 5,016,649 | ||||
AFS securities | 10,144,899 | 8,484,478 | ||||
HTM securities, fair value | 4,723,796 | 5,216,206 | ||||
Advances | 31,290,664 | 32,425,749 | ||||
Mortgage loans held for portfolio, net | 8,860,853 | 10,935,787 | ||||
Accrued interest receivable | 103,076 | 131,822 | ||||
Derivative assets, net | 20,557 | 60,941 | ||||
Grantor trust assets | 0 | 0 | ||||
Liabilities: | ||||||
Deposits | 1,375,206 | 960,304 | ||||
Consolidated obligations: | ||||||
Accrued interest payable | 63,581 | 178,981 | ||||
Derivative liabilities, net | 762,997 | 319,061 | ||||
MRCS | 0 | 0 | ||||
Level 3 | ||||||
Assets: | ||||||
Cash and due from banks | 0 | 0 | ||||
Interest-bearing deposits | 0 | 0 | ||||
Securities purchased under agreements to resell | 0 | 0 | ||||
Federal funds sold | 0 | 0 | ||||
Trading securities: | 0 | 0 | ||||
AFS securities | 0 | 0 | ||||
HTM securities, fair value | 0 | 0 | ||||
Advances | 0 | 0 | ||||
Mortgage loans held for portfolio, net | 61,332 | 7,808 | ||||
Accrued interest receivable | 0 | 0 | ||||
Derivative assets, net | 0 | 0 | ||||
Grantor trust assets | 0 | 0 | ||||
Liabilities: | ||||||
Deposits | 0 | 0 | ||||
Consolidated obligations: | ||||||
Accrued interest payable | 0 | 0 | ||||
Derivative liabilities, net | 0 | 0 | ||||
MRCS | 0 | 0 | ||||
Bonds | Level 1 | ||||||
Consolidated obligations: | ||||||
Bonds | 0 | 0 | ||||
Bonds | Level 2 | ||||||
Consolidated obligations: | ||||||
Bonds | 43,952,206 | 45,036,500 | ||||
Bonds | Level 3 | ||||||
Consolidated obligations: | ||||||
Bonds | 0 | 0 | ||||
Discount notes | Level 1 | ||||||
Consolidated obligations: | ||||||
Discount notes | 0 | 0 | ||||
Discount notes | Level 2 | ||||||
Consolidated obligations: | ||||||
Discount notes | 16,617,976 | 17,679,210 | ||||
Discount notes | Level 3 | ||||||
Consolidated obligations: | ||||||
Discount notes | 0 | 0 | ||||
Carrying Value | ||||||
Assets: | ||||||
Cash and due from banks | 1,811,544 | 220,294 | ||||
Interest-bearing deposits | 100,026 | 809,141 | ||||
Securities purchased under agreements to resell | 2,500,000 | 1,500,000 | ||||
Federal funds sold | 1,215,000 | 2,550,000 | ||||
Trading securities: | 5,094,703 | 5,016,649 | ||||
AFS securities | 10,144,899 | 8,484,478 | ||||
HTM securities, carrying value | 4,701,302 | 5,216,401 | ||||
Advances | 31,347,486 | 32,480,108 | ||||
Mortgage loans held for portfolio, net | 8,515,645 | 10,815,037 | ||||
Accrued interest receivable | 103,076 | 131,822 | ||||
Derivative assets, net | 283,082 | 208,008 | ||||
Grantor trust assets | 51,032 | 26,050 | ||||
Liabilities: | ||||||
Deposits | 1,375,206 | 960,304 | ||||
Consolidated obligations: | ||||||
Accrued interest payable | 63,581 | 178,981 | ||||
Derivative liabilities, net | 22,979 | 3,206 | ||||
MRCS | 250,768 | 322,902 | ||||
Carrying Value | Bonds | ||||||
Consolidated obligations: | ||||||
Bonds | 43,332,946 | 44,715,224 | ||||
Carrying Value | Discount notes | ||||||
Consolidated obligations: | ||||||
Discount notes | 16,617,079 | 17,676,793 | ||||
Total | ||||||
Assets: | ||||||
Cash and due from banks | 1,811,544 | 220,294 | ||||
Interest-bearing deposits | 100,026 | 809,141 | ||||
Securities purchased under agreements to resell | 2,500,000 | 1,500,000 | ||||
Federal funds sold | 1,215,000 | 2,550,000 | ||||
Trading securities: | 5,094,703 | 5,016,649 | ||||
AFS securities | 10,144,899 | 8,484,478 | ||||
HTM securities, fair value | 4,723,796 | 5,216,206 | ||||
Advances | 31,290,664 | 32,425,749 | ||||
Mortgage loans held for portfolio, net | 8,922,185 | 10,943,595 | ||||
Accrued interest receivable | 103,076 | 131,822 | ||||
Derivative assets, net | 283,082 | 208,008 | ||||
Grantor trust assets | [4] | 51,032 | 26,050 | |||
Liabilities: | ||||||
Deposits | 1,375,206 | 960,304 | ||||
Consolidated obligations: | ||||||
Accrued interest payable | 63,581 | 178,981 | ||||
Derivative liabilities, net | 22,979 | 3,206 | ||||
MRCS | 250,768 | 322,902 | ||||
Total | Bonds | ||||||
Consolidated obligations: | ||||||
Bonds | 43,952,206 | 45,036,500 | ||||
Total | Discount notes | ||||||
Consolidated obligations: | ||||||
Discount notes | $ 16,617,976 | $ 17,679,210 | ||||
[1] | Total HTM securities as of December 31, 2019 in an unrealized loss position for less than 12 months had an estimated fair value of $1,494,740 and unrealized losses of $8,923 , while those in an unrealized loss position for 12 months or more had an estimated fair value of $1,298,228 and unrealized losses of $8,337 | |||||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. | |||||
[3] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2020 and 2019, including accrued interest, totaled $1,003,437 and $464,187, respectively. Cash collateral received from counterparties and held at December 31, 2020 and 2019, including accrued interest, totaled $894 and $1,265, respectively. At December 31, 2020 and 2019, no securities were pledged as collateral. | |||||
[4] | Included in other assets on the statement of condition. |
Estimated Fair Values - Recurri
Estimated Fair Values - Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2020 | Dec. 31, 2019 | |||
Assets [Abstract] | |||||
Trading securities | $ 5,094,703 | $ 5,016,649 | |||
AFS securities | 10,144,899 | 8,484,478 | |||
Derivative assets, net | 283,082 | 208,008 | |||
Netting adjustments and cash collateral, assets | [1],[2] | (262,525) | (147,067) | ||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 22,979 | 3,206 | |||
Netting adjustments and cash collateral, liabilities | [1],[2] | 740,018 | 315,855 | ||
Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 5,094,703 | 5,016,649 | |||
AFS securities | 10,144,899 | 8,484,478 | |||
Derivative assets, net | 283,082 | 208,008 | |||
Netting adjustments and cash collateral, assets | [1] | (262,525) | (147,067) | ||
Grantor trust assets at fair value | 51,032 | 26,050 | |||
Total assets at estimated fair value | 15,573,716 | 13,735,185 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 22,979 | 3,206 | |||
Netting adjustments and cash collateral, liabilities | [1] | 740,018 | 315,855 | ||
Total liabilities at estimated fair value | 22,979 | 3,206 | |||
Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Netting adjustments and cash collateral, assets | (262,525) | (147,067) | |||
Liabilities [Abstract] | |||||
Netting adjustments and cash collateral, liabilities | 740,018 | 315,855 | |||
Nonrecurring | |||||
Assets [Abstract] | |||||
Total assets at estimated fair value | 1,460 | 1,504 | |||
Liabilities [Abstract] | |||||
Mortgage loans held for portfolio, net | 1,460 | [3] | 1,504 | [4] | |
Level 1 | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | 51,032 | 26,050 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Level 1 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | 51,032 | 26,050 | |||
Total assets at estimated fair value | 51,032 | 26,050 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at estimated fair value | 0 | 0 | |||
Level 1 | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 1 | Nonrecurring | |||||
Assets [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Liabilities [Abstract] | |||||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Level 2 | |||||
Assets [Abstract] | |||||
Trading securities | 5,094,703 | 5,016,649 | |||
AFS securities | 10,144,899 | 8,484,478 | |||
Derivative assets, net | 20,557 | 60,941 | |||
Grantor trust assets at fair value | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 762,997 | 319,061 | |||
Mortgage loans held for portfolio, net | 8,860,853 | 10,935,787 | |||
Level 2 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 5,094,703 | 5,016,649 | |||
AFS securities | 10,144,899 | 8,484,478 | |||
Derivative assets, net | 20,557 | 60,941 | |||
Grantor trust assets at fair value | 0 | 0 | |||
Total assets at estimated fair value | 15,260,159 | 13,562,068 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 762,997 | 319,061 | |||
Total liabilities at estimated fair value | 762,997 | 319,061 | |||
Level 2 | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 19,535 | 60,836 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 762,997 | 319,058 | |||
Level 2 | Nonrecurring | |||||
Assets [Abstract] | |||||
Total assets at estimated fair value | 0 | 0 | |||
Liabilities [Abstract] | |||||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Level 3 | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Mortgage loans held for portfolio, net | 61,332 | 7,808 | |||
Level 3 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | 0 | 0 | |||
Total assets at estimated fair value | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at estimated fair value | 0 | 0 | |||
Level 3 | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 3 | Nonrecurring | |||||
Assets [Abstract] | |||||
Total assets at estimated fair value | 1,460 | 1,504 | |||
Liabilities [Abstract] | |||||
Mortgage loans held for portfolio, net | 1,460 | 1,504 | |||
U.S. Treasury obligations | |||||
Assets [Abstract] | |||||
Trading securities | 5,094,703 | 5,016,649 | |||
U.S. Treasury obligations | Level 1 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
U.S. Treasury obligations | Level 2 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 5,094,703 | 5,016,649 | |||
U.S. Treasury obligations | Level 3 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
GSE and TVA debentures | |||||
Assets [Abstract] | |||||
AFS securities | 3,503,137 | 3,926,852 | |||
GSE and TVA debentures | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 3,503,137 | 3,926,852 | |||
GSE and TVA debentures | Level 1 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE and TVA debentures | Level 2 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 3,503,137 | 3,926,852 | |||
GSE and TVA debentures | Level 3 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE MBS | |||||
Assets [Abstract] | |||||
AFS securities | 6,641,762 | 4,557,626 | |||
GSE MBS | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 6,641,762 | 4,557,626 | |||
GSE MBS | Level 1 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE MBS | Level 2 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 6,641,762 | 4,557,626 | |||
GSE MBS | Level 3 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | 0 | |||
MDCs | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Netting adjustments and cash collateral, assets | 0 | 0 | |||
Liabilities [Abstract] | |||||
Netting adjustments and cash collateral, liabilities | 0 | 0 | |||
MDCs | Recurring | MDCs | Mortgages | |||||
Assets [Abstract] | |||||
Derivative assets, net | 1,022 | 105 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 3 | |||
MDCs | Level 1 | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
MDCs | Level 2 | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Derivative assets, net | 1,022 | 105 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 3 | |||
MDCs | Level 3 | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total | |||||
Assets [Abstract] | |||||
Trading securities | 5,094,703 | 5,016,649 | |||
AFS securities | 10,144,899 | 8,484,478 | |||
Derivative assets, net | 283,082 | 208,008 | |||
Grantor trust assets at fair value | [5] | 51,032 | 26,050 | ||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 22,979 | 3,206 | |||
Mortgage loans held for portfolio, net | 8,922,185 | 10,943,595 | |||
Total | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 282,060 | 207,903 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 22,979 | 3,203 | |||
Total | U.S. Treasury obligations | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | $ 5,094,703 | $ 5,016,649 | |||
[1] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. | ||||
[2] | Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2020 and 2019, including accrued interest, totaled $1,003,437 and $464,187, respectively. Cash collateral received from counterparties and held at December 31, 2020 and 2019, including accrued interest, totaled $894 and $1,265, respectively. At December 31, 2020 and 2019, no securities were pledged as collateral. | ||||
[3] | Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2020. | ||||
[4] | Amounts are as of the date the fair-value adjustment was recorded during the year ended December 31, 2019. | ||||
[5] | Included in other assets on the statement of condition. |
Estimated Fair Values - Level 3
Estimated Fair Values - Level 3 Reconciliation (Details) - Residential Mortgage Backed Securities - Investments - Mortgage-backed Securities, Issued by Private Enterprises - Recurring - Level 3 $ in Thousands | 12 Months Ended |
Dec. 31, 2018USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |
Balance, beginning of period | $ 218,534 |
Net realized gains from sale of AFS securities | 32,407 |
Accretion of credit losses in interest income | 1,884 |
Net losses on changes in fair value in other income | 0 |
Net change in fair value not in excess of cumulative non-credit losses in OCI | 2,693 |
Unrealized gains in OCI | 392 |
Reclassification of non-credit portion in OCI to other income | 0 |
Sales | (236,248) |
Settlements | (19,662) |
Balance, end of period | 0 |
Net gains included in earnings attributable to changes in fair value relating to assets still held at end of year | $ 0 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | ||
Loss Contingencies [Line Items] | |||
Carrying value of guarantees related to standby letters of credit | $ 777,493,000 | $ 458,521,000 | |
Cash collateral pledged | $ 1,003,380,000 | $ 463,780,000 | |
Minimum | |||
Loss Contingencies [Line Items] | |||
Original terms of these standby letters of credit | 3 months | ||
Maximum | |||
Loss Contingencies [Line Items] | |||
Original terms of these standby letters of credit | 20 years | ||
Period of time commitments unconditionally obligate to fund or purchase mortgage loans and participation interests | 91 days | ||
Standby letters of credit outstanding | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | $ 190,786,000 | ||
Off-balance-sheet commitments expire after one year | 165,441,000 | ||
Off-balance-sheet commitments, Total | 356,227,000 | ||
Carrying value of guarantees related to standby letters of credit | $ 5,082,000 | ||
Period of time for short-term cash needs | 1 year | ||
Unused lines of credit | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | $ 997,608,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | [1] | 997,608,000 | |
Maximum line of credit amount | 50,000,000 | ||
Commitments to fund or purchase mortgage loans, net | MDCs | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | 180,152,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | [2] | 180,152,000 | |
Unsettled CO bonds, at par | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | 150,000,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | 150,000,000 | ||
Unsettled discount notes, at par | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | 250,000,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | $ 250,000,000 | ||
Commitments to Extend Credit | |||
Loss Contingencies [Line Items] | |||
Period for mortgage loan commitments | 91 days | ||
[1] | (1) Maximum line of credit amount per member is $50,000. | ||
[2] | Generally for periods up to 91 days. |
Related Party and Other Trans_3
Related Party and Other Transactions (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018 | |
Related Party Transaction [Line Items] | |||
Advances, par value | $ 30,690,859,000 | $ 32,271,667,000 | |
Disbursements | (90,000,000) | 0 | $ (400,000,000) |
Principal repayments | 90,000,000 | 0 | 400,000,000 |
Proceeds from borrowings | 0 | 250,000,000 | 0 |
Principal repayments | 0 | (250,000,000) | 0 |
Loans to other FHLBanks | 0 | 0 | |
Loans from other FHLBanks | 0 | 0 | |
Directors' Financial Institutions | |||
Related Party Transaction [Line Items] | |||
Capital Stock, par value | $ 426,003,000 | $ 57,133,000 | |
Capital Stock, % of Total | 17.00% | 2.00% | |
Advances, par value | $ 5,397,433,000 | $ 698,699,000 | |
Advances, % of Total | 18.00% | 2.00% | |
Net capital stock issuances (redemptions and repurchases) | $ 80,088,000 | $ 6,729,000 | 6,328,000 |
Net advances (repayments) | 346,863,000 | 203,078,000 | 23,550,000 |
Mortgage loan purchases | $ 48,394,000 | $ 30,610,000 | $ 40,038,000 |