Federally chartered corporation | 94-6000630 | |||
(State or other jurisdiction of incorporation or organization) | (I.R.S. employer identification number) | |||
600 California Street San Francisco, CA | 94108 | |||
(Address of principal executive offices) | (Zip code) |
Large accelerated filer | o | Accelerated filer | o | |||
Non-accelerated filer | x (Do not check if a smaller reporting company) | Smaller reporting company | o |
PART I. | ||||
Item 1. | ||||
Item 1A. | ||||
Item 1B. | ||||
Item 2. | ||||
Item 3 | ||||
Item 4 | ||||
PART II. | ||||
Item 5. | ||||
Item 6. | ||||
Item 7. | ||||
Item 7A. | ||||
Item 8. | ||||
Item 9. | ||||
Item 9A. | ||||
Item 9B. | ||||
PART III. | ||||
Item 10. | ||||
Item 11. | ||||
Item 12. | ||||
Item 13. | ||||
Item 14. | ||||
PART IV. | ||||
Item 15. | ||||
ITEM 1. | BUSINESS |
Advances | |||||||||||||
(Dollars in millions) | Total Number of Institutions | Capital Stock Outstanding | Number of Institutions | Par Value of Advances Outstanding | |||||||||
Commercial banks | 193 | $ | 1,335 | 103 | $ | 25,333 | |||||||
Savings institutions | 12 | 154 | 7 | 1,700 | |||||||||
Credit unions | 119 | 725 | 36 | 5,464 | |||||||||
Industrial loan companies | 3 | 2 | 3 | 43 | |||||||||
Insurance companies | 7 | 33 | 2 | 202 | |||||||||
Community development financial institutions | 6 | 4 | 3 | 90 | |||||||||
Total member institutions | 340 | 2,253 | 154 | 32,832 | |||||||||
Housing associates eligible to borrow | 1 | — | — | — | |||||||||
Other nonmember institutions(1) | 9 | 488 | 7 | 18,009 | |||||||||
Total | 350 | $ | 2,741 | 161 | $ | 50,841 |
(1) | Nonmember institutions may be former members or may have acquired the advances and capital stock of a former member. Capital stock held by nonmember shareholders is classified as mandatorily redeemable capital stock, a liability. Nonmember shareholders with advances outstanding are required to meet the Bank's applicable credit, collateral, and capital stock requirements, including requirements regarding creditworthiness and collateral borrowing capacity. Nonmembers (including former members and member successors) are not eligible to borrow new advances from the Bank or renew existing advances as they mature. |
• | advances with non-standard indices; |
• | advances with embedded option features (such as interest rate caps, floors, and call and put options); |
• | amortizing advances; and |
• | advances with partial prepayment symmetry. (Partial prepayment symmetry is a product feature under which the Bank may charge a prepayment fee or pay a prepayment credit, depending on certain circumstances, such as movements in interest rates, if the advance is prepaid.) |
ITEM 1A. | RISK FACTORS |
• | the amount and period of time over which the advances are prepaid or repaid, |
• | the amount and timing of any corresponding decreases in activity-based capital stock, |
• | the profitability of the advances, |
• | the amount and profitability of our investments, |
• | the extent to which consolidated obligations mature as the advances are prepaid or repaid, and |
• | our ability to extinguish consolidated obligations or transfer them to other FHLBanks and the associated costs of extinguishing or transferring the consolidated obligations. |
ITEM 1B. | UNRESOLVED STAFF COMMENTS |
ITEM 2. | PROPERTIES |
ITEM 3. | LEGAL PROCEEDINGS |
ITEM 4. | MINE SAFETY DISCLOSURES |
ITEM 5. | MARKET FOR REGISTRANT’S COMMON EQUITY, RELATED STOCKHOLDER MATTERS AND ISSUER PURCHASES OF EQUITY SECURITIES |
2015 | 2014 | ||||||||||||||||||||
Amount of Cash Dividends | Amount of Cash Dividends | ||||||||||||||||||||
(Dollars in millions) | Capital Stock – Class B – Putable | Mandatorily Redeemable Capital Stock | Annualized Rate(1) | Capital Stock – Class B – Putable | Mandatorily Redeemable Capital Stock | Annualized Rate(1) | |||||||||||||||
First quarter | $ | 59 | $ | 15 | 7.11 | % | $ | 58 | $ | 39 | 6.67 | % | |||||||||
Second quarter(2) | 182 | 38 | 22.65 | 59 | 34 | 6.80 | |||||||||||||||
Third quarter | 72 | 7 | 10.01 | 61 | 26 | 7.35 | |||||||||||||||
Fourth quarter | 56 | 5 | 8.79 | 62 | 21 | 7.40 |
(1) | Reflects the annualized rate paid on all of the Bank's average capital stock outstanding regardless of its classification for reporting purposes as either capital stock or mandatorily redeemable capital stock (a liability), based on the par value of $100 per share. |
(2) | In the second quarter of 2015, the amount includes a special dividend at an annualized rate of 14.98%, totaling $145 million, including $120 million in dividends on capital stock and $25 million in dividends on mandatorily redeemable capital stock. |
ITEM 6. | SELECTED FINANCIAL DATA |
(Dollars in millions) | 2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||
Selected Balance Sheet Items at Yearend | |||||||||||||||||||
Total Assets | $ | 85,707 | $ | 75,807 | $ | 85,774 | $ | 86,421 | $ | 113,552 | |||||||||
Advances | 50,919 | 38,986 | 44,395 | 43,750 | 68,164 | ||||||||||||||
Mortgage Loans Held for Portfolio, Net | 655 | 708 | 905 | 1,289 | 1,829 | ||||||||||||||
Investments(1) | 32,275 | 31,949 | 35,260 | 40,528 | 39,368 | ||||||||||||||
Consolidated Obligations:(2) | |||||||||||||||||||
Bonds | 51,835 | 47,045 | 53,207 | 70,310 | 83,350 | ||||||||||||||
Discount Notes | 27,648 | 21,811 | 24,194 | 5,209 | 19,152 | ||||||||||||||
Mandatorily Redeemable Capital Stock | 488 | 719 | 2,071 | 4,343 | 5,578 | ||||||||||||||
Capital Stock —Class B —Putable | 2,253 | 3,278 | 3,460 | 4,160 | 4,795 | ||||||||||||||
Unrestricted Retained Earnings | 610 | 294 | 317 | 246 | — | ||||||||||||||
Restricted Retained Earnings | 2,018 | 2,065 | 2,077 | 2,001 | 1,803 | ||||||||||||||
Accumulated Other Comprehensive Income/(Loss) (AOCI) | 15 | 56 | (145 | ) | (794 | ) | (1,893 | ) | |||||||||||
Total Capital | 4,896 | 5,693 | 5,709 | 5,613 | 4,705 | ||||||||||||||
Selected Operating Results for the Year | |||||||||||||||||||
Net Interest Income | $ | 477 | $ | 539 | $ | 482 | $ | 848 | $ | 1,033 | |||||||||
Provision for/(Reversal of) Credit Losses on Mortgage Loans | 1 | — | (1 | ) | (1 | ) | 4 | ||||||||||||
Other Income/(Loss) | 388 | (154 | ) | 5 | (164 | ) | (645 | ) | |||||||||||
Other Expense | 148 | 144 | 128 | 134 | 126 | ||||||||||||||
Assessments | 78 | 36 | 52 | 60 | 42 | ||||||||||||||
Net Income/(Loss) | $ | 638 | $ | 205 | $ | 308 | $ | 491 | $ | 216 | |||||||||
Selected Other Data for the Year | |||||||||||||||||||
Net Interest Margin(3) | 0.57 | % | 0.64 | % | 0.56 | % | 0.84 | % | 0.74 | % | |||||||||
Operating Expenses as a Percent of Average Assets | 0.16 | 0.16 | 0.13 | 0.11 | 0.08 | ||||||||||||||
Return on Average Assets | 0.76 | 0.24 | 0.35 | 0.48 | 0.15 | ||||||||||||||
Return on Average Equity | 11.68 | 3.58 | 5.36 | 9.44 | 3.43 | ||||||||||||||
Annualized Dividend Rate | 12.39 | 7.02 | 3.99 | 0.97 | 0.29 | ||||||||||||||
Dividend Payout Ratio(4) | 57.81 | 117.29 | 52.29 | 9.41 | 10.16 | ||||||||||||||
Average Equity to Average Assets Ratio | 6.52 | 6.75 | 6.55 | 5.09 | 4.49 | ||||||||||||||
Selected Other Data at Yearend | |||||||||||||||||||
Regulatory Capital Ratio(5) | 6.26 | 8.38 | 9.24 | 12.44 | 10.72 | ||||||||||||||
Duration Gap (in months) | 1 | — | 1 | (1 | ) | 2 |
(1) | Investments consist of securities purchased under agreements to resell, Federal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities. |
(2) | As provided by the Federal Home Loan Bank Act of 1932, as amended, or regulations governing the operations of the FHLBanks, all of the FHLBanks have joint and several liability for FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Federal Housing Finance Agency (Finance Agency) to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of December 31, 2015, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of all FHLBanks at the dates indicated was as follows: |
Yearend | Par Value (In millions) | ||
2015 | $ | 905,202 | |
2014 | 847,175 | ||
2013 | 766,837 | ||
2012 | 687,902 | ||
2011 | 691,868 |
(3) | Net interest margin is net interest income divided by average interest-earning assets. |
(4) | This ratio is calculated as dividends per share divided by net income per share. |
(5) | This ratio is calculated as regulatory capital divided by total assets. Regulatory capital includes retained earnings, Class B capital stock, and mandatorily redeemable capital stock (which is classified as a liability), but excludes AOCI. |
ITEM 7. | MANAGEMENT’S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS |
• | changes in economic and market conditions, including conditions in the mortgage, housing, and capital markets; |
• | the volatility of market prices, rates, and indices; |
• | the timing and volume of market activity; |
• | political events, including legislative, regulatory, judicial, or other developments that affect the Bank, its members, counterparties, or investors in the consolidated obligations of the Federal Home Loan Banks (FHLBanks), such as the impact of any government-sponsored enterprises (GSE) legislative reforms, changes in the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), changes in applicable sections of the Federal Housing Enterprises Financial Safety and Soundness Act of 1992, or changes in other statutes or regulations applicable to the FHLBanks; |
• | changes in the Bank’s capital structure; |
• | the ability of the Bank to pay dividends or redeem or repurchase capital stock; |
• | membership changes, including changes resulting from mergers or changes in the principal place of business of Bank members; |
• | the soundness of other financial institutions, including Bank members, nonmember borrowers, other counterparties, and the other FHLBanks; |
• | changes in Bank members’ demand for Bank advances; |
• | changes in the value or liquidity of collateral underlying advances to Bank members or nonmember borrowers or collateral pledged by the Bank’s derivative counterparties; |
• | changes in the fair value and economic value of, impairments of, and risks associated with the Bank’s investments in mortgage loans and mortgage-backed securities (MBS) or other assets and the related credit enhancement protections; |
• | changes in the Bank’s ability or intent to hold MBS and mortgage loans to maturity; |
• | competitive forces, including the availability of other sources of funding for Bank members; |
• | the willingness of the Bank’s members to do business with the Bank; |
• | changes in investor demand for consolidated obligations and/or the terms of interest rate exchange or similar agreements; |
• | the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability; |
• | designation of the Bank for Federal Reserve Board supervision by the Financial Stability Oversight Council; |
• | technology changes and enhancements, and the Bank’s ability to develop and support technology and information systems sufficient to manage the risks of the Bank’s business effectively; and |
• | changes in the FHLBanks’ long-term credit ratings. |
Average Balance Sheets | |||||||||||||||||||||
2015 | 2014 | ||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income/ Expense | Average Rate | Average Balance | Interest Income/ Expense | Average Rate | |||||||||||||||
Assets | |||||||||||||||||||||
Interest-earning assets: | |||||||||||||||||||||
Interest-bearing deposits | $ | 719 | $ | — | 0.01 | % | $ | 325 | $ | — | 0.01 | % | |||||||||
Securities purchased under agreements to resell | 2,513 | 3 | 0.10 | 1,436 | 1 | 0.06 | |||||||||||||||
Federal funds sold | 6,847 | 9 | 0.13 | 9,602 | 11 | 0.12 | |||||||||||||||
Trading securities: | |||||||||||||||||||||
Mortgage-backed securities (MBS) | 10 | — | 1.68 | 12 | — | 1.63 | |||||||||||||||
Other investments | 2,439 | 5 | 0.21 | 3,432 | 6 | 0.18 | |||||||||||||||
Available-for-sale (AFS) securities:(1) | |||||||||||||||||||||
MBS(2) | 5,809 | 264 | 4.54 | 6,700 | 278 | 4.15 | |||||||||||||||
Held-to-maturity (HTM) securities:(1) | |||||||||||||||||||||
MBS | 11,783 | 292 | 2.48 | 14,338 | 358 | 2.49 | |||||||||||||||
Other investments | 297 | 1 | 0.51 | 2,111 | 4 | 0.20 | |||||||||||||||
Mortgage loans held for portfolio | 675 | 33 | 4.91 | 806 | 42 | 5.16 | |||||||||||||||
Advances(3) | 51,899 | 299 | 0.58 | 45,104 | 305 | 0.68 | |||||||||||||||
Loans to other FHLBanks | 5 | — | 0.11 | 3 | — | 0.07 | |||||||||||||||
Total interest-earning assets | 82,996 | 906 | 1.09 | 83,869 | 1,005 | 1.20 | |||||||||||||||
Other assets(4)(5) | 829 | — | — | 929 | — | — | |||||||||||||||
Total Assets | $ | 83,825 | $ | 906 | 1.08 | % | $ | 84,798 | $ | 1,005 | 1.19 | % | |||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||
Bonds(3) | $ | 47,481 | $ | 317 | 0.67 | % | $ | 52,805 | $ | 326 | 0.62 | % | |||||||||
Discount notes | 28,853 | 46 | 0.16 | 23,582 | 20 | 0.09 | |||||||||||||||
Deposits and other borrowings | 1,122 | 1 | 0.05 | 835 | — | 0.05 | |||||||||||||||
Mandatorily redeemable capital stock | 421 | 65 | 15.49 | 1,348 | 120 | 8.88 | |||||||||||||||
Total interest-bearing liabilities | 77,877 | 429 | 0.55 | 78,570 | 466 | 0.59 | |||||||||||||||
Other liabilities(4) | 485 | — | — | 501 | — | — | |||||||||||||||
Total Liabilities | 78,362 | 429 | 0.55 | 79,071 | 466 | 0.59 | |||||||||||||||
Total Capital | 5,463 | — | — | 5,727 | — | — | |||||||||||||||
Total Liabilities and Capital | $ | 83,825 | $ | 429 | 0.51 | % | $ | 84,798 | $ | 466 | 0.55 | % | |||||||||
Net Interest Income | $ | 477 | $ | 539 | |||||||||||||||||
Net Interest Spread(6) | 0.54 | % | 0.61 | % | |||||||||||||||||
Net Interest Margin(7) | 0.57 | % | 0.64 | % | |||||||||||||||||
Interest-earning Assets/Interest-bearing Liabilities | 106.57 | % | 106.74 | % |
(1) | The average balances of AFS securities and HTM securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value or non-credit-related OTTI losses. |
(2) | Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $74 million and $68 million in 2015 and 2014, respectively. |
(3) | Interest income/expense and average rates include the effect of associated interest rate exchange agreements, as follows: |
2015 | 2014 | ||||||||||||||||||||||
(In millions) | (Amortization)/ Accretion of Hedging Activities | Net Interest Settlements | Total Net Interest Income/(Expense) | (Amortization)/ Accretion of Hedging Activities | Net Interest Settlements | Total Net Interest Income/(Expense) | |||||||||||||||||
Advances | $ | (2 | ) | $ | (106 | ) | $ | (108 | ) | $ | (4 | ) | $ | (128 | ) | $ | (132 | ) | |||||
Consolidated obligation bonds | 5 | 257 | 262 | 5 | 260 | 265 |
(4) | Includes forward settling transactions and valuation adjustments for certain cash items. |
(5) | Includes non-credit-related OTTI losses on AFS and HTM securities. |
(6) | Net interest spread is the difference between the average rate earned on interest-earning assets and the average rate paid on interest-bearing liabilities. |
(7) | Net interest margin is net interest income (annualized) divided by average interest-earning assets. |
Change in Net Interest Income: Rate/Volume Analysis 2015 Compared to 2014 | |||||||||||
Increase/ (Decrease) | Attributable to Changes in(1) | ||||||||||
(In millions) | Average Volume | Average Rate | |||||||||
Interest-earning assets: | |||||||||||
Securities purchased under agreements to resell | $ | 2 | $ | 1 | $ | 1 | |||||
Federal funds sold | (2 | ) | (3 | ) | $ | 1 | |||||
Trading securities: Other investments | (1 | ) | (2 | ) | 1 | ||||||
AFS securities: | |||||||||||
MBS | (14 | ) | (39 | ) | 25 | ||||||
HTM securities: | |||||||||||
MBS | (66 | ) | (63 | ) | (3 | ) | |||||
Other investments | (3 | ) | (6 | ) | 3 | ||||||
Mortgage loans held for portfolio | (9 | ) | (7 | ) | (2 | ) | |||||
Advances(2) | (6 | ) | 43 | (49 | ) | ||||||
Total interest-earning assets | (99 | ) | (76 | ) | (23 | ) | |||||
Interest-bearing liabilities: | |||||||||||
Consolidated obligations: | |||||||||||
Bonds(2) | (9 | ) | (35 | ) | 26 | ||||||
Discount notes | 26 | 5 | 21 | ||||||||
Deposits and other borrowings | 1 | 1 | — | ||||||||
Mandatorily redeemable capital stock | (55 | ) | (112 | ) | 57 | ||||||
Total interest-bearing liabilities | (37 | ) | (141 | ) | 104 | ||||||
Net interest income | $ | (62 | ) | $ | 65 | $ | (127 | ) |
(1) | Combined rate/volume variances, a third element of the calculation, are allocated to the rate and volume variances based on their relative sizes. |
(2) | Interest income/expense and average rates include the interest effect of associated interest rate exchange agreements. |
Other Income/(Loss) | |||||||
(In millions) | 2015 | 2014 | |||||
Other Income/(Loss): | |||||||
Total OTTI loss | $ | (31 | ) | $ | (14 | ) | |
Net amount of OTTI loss reclassified to/(from) AOCI | 16 | 10 | |||||
Net OTTI loss, credit-related | (15 | ) | (4 | ) | |||
Net gain/(loss) on trading securities(1) | (2 | ) | (1 | ) | |||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (50 | ) | (93 | ) | |||
Net gain/(loss) on derivatives and hedging activities | (16 | ) | (64 | ) | |||
Gains on litigation settlements, net | 459 | — | |||||
Other | 12 | 8 | |||||
Total Other Income/(Loss) | $ | 388 | $ | (154 | ) |
Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option | |||||||
(In millions) | 2015 | 2014 | |||||
Advances | $ | (31 | ) | $ | (11 | ) | |
Consolidated obligation bonds | (19 | ) | (82 | ) | |||
Total | $ | (50 | ) | $ | (93 | ) |
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities 2015 Compared to 2014 | |||||||||||||||||||||||||||||||
(In millions) | 2015 | 2014 | |||||||||||||||||||||||||||||
Gain/(Loss) | Income/ (Expense) on | Gain/(Loss) | Income/ (Expense) on | ||||||||||||||||||||||||||||
Hedged Item | Fair Value Hedges, Net | Economic Hedges | Economic Hedges | Total | Fair Value Hedges, Net | Economic Hedges | Economic Hedges | Total | |||||||||||||||||||||||
Advances: | |||||||||||||||||||||||||||||||
Elected for fair value option | $ | — | $ | 19 | $ | (73 | ) | $ | (54 | ) | $ | — | $ | 21 | $ | (100 | ) | $ | (79 | ) | |||||||||||
Not elected for fair value option | (1 | ) | 1 | 1 | 1 | — | 5 | (7 | ) | (2 | ) | ||||||||||||||||||||
Consolidated obligation bonds: | |||||||||||||||||||||||||||||||
Elected for fair value option | — | 8 | 49 | 57 | — | 36 | 59 | 95 | |||||||||||||||||||||||
Not elected for fair value option | (9 | ) | (19 | ) | 35 | 7 | (12 | ) | (24 | ) | 24 | (12 | ) | ||||||||||||||||||
Consolidated obligation discount notes: | |||||||||||||||||||||||||||||||
Not elected for fair value option | — | 4 | (30 | ) | (26 | ) | — | (12 | ) | (39 | ) | (51 | ) | ||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||||
Not elected for fair value option | — | (3 | ) | — | (3 | ) | — | (15 | ) | — | (15 | ) | |||||||||||||||||||
Non-MBS investments: | |||||||||||||||||||||||||||||||
Not elected for fair value option | — | — | — | — | — | 1 | (1 | ) | — | ||||||||||||||||||||||
Mortgage delivery commitment: | |||||||||||||||||||||||||||||||
Not elected for fair value option | — | 2 | — | 2 | — | — | — | — | |||||||||||||||||||||||
Total | $ | (10 | ) | $ | 12 | $ | (18 | ) | $ | (16 | ) | $ | (12 | ) | $ | 12 | $ | (64 | ) | $ | (64 | ) |
Average Balance Sheets | |||||||||||||||||||||
2014 | 2013 | ||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income/ Expense | Average Rate | Average Balance | Interest Income/ Expense | Average Rate | |||||||||||||||
Assets | |||||||||||||||||||||
Interest-earning assets: | |||||||||||||||||||||
Interest-bearing deposits | $ | 325 | $ | — | 0.01 | % | $ | 54 | $ | — | 0.04 | % | |||||||||
Securities purchased under agreements to resell | 1,436 | 1 | 0.06 | 1,315 | 1 | 0.10 | |||||||||||||||
Federal funds sold | 9,602 | 11 | 0.12 | 10,146 | 15 | 0.15 | |||||||||||||||
Trading securities: | |||||||||||||||||||||
Mortgage-backed securities (MBS) | 12 | — | 1.63 | 14 | — | 1.66 | |||||||||||||||
Other investments | 3,432 | 6 | 0.18 | 3,284 | 7 | 0.21 | |||||||||||||||
Available-for-sale (AFS) securities:(1) | |||||||||||||||||||||
MBS(2) | 6,700 | 278 | 4.15 | 7,692 | 276 | 3.59 | |||||||||||||||
Held-to-maturity (HTM) securities:(1) | |||||||||||||||||||||
MBS | 14,338 | 358 | 2.49 | 14,818 | 386 | 2.60 | |||||||||||||||
Other investments | 2,111 | 4 | 0.20 | 2,462 | 6 | 0.22 | |||||||||||||||
Mortgage loans held for portfolio | 806 | 42 | 5.16 | 1,080 | 50 | 4.63 | |||||||||||||||
Advances(3) | 45,104 | 305 | 0.68 | 45,854 | 345 | 0.75 | |||||||||||||||
Loans to other FHLBanks | 3 | — | 0.07 | 8 | — | 0.07 | |||||||||||||||
Total interest-earning assets | 83,869 | 1,005 | 1.20 | 86,727 | 1,086 | 1.25 | |||||||||||||||
Other assets(4)(5) | 929 | — | — | 1,050 | — | — | |||||||||||||||
Total Assets | $ | 84,798 | $ | 1,005 | 1.19 | % | $ | 87,777 | $ | 1,086 | 1.24 | % | |||||||||
Liabilities and Capital | |||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||
Bonds(3) | $ | 52,805 | $ | 326 | 0.62 | % | $ | 60,913 | $ | 432 | 0.71 | % | |||||||||
Discount notes | 23,582 | 20 | 0.09 | 16,325 | 17 | 0.10 | |||||||||||||||
Deposits and other borrowings | 835 | — | 0.05 | 288 | — | 0.13 | |||||||||||||||
Mandatorily redeemable capital stock | 1,348 | 120 | 8.88 | 3,376 | 155 | 4.59 | |||||||||||||||
Total interest-bearing liabilities | 78,570 | 466 | 0.59 | 80,902 | 604 | 0.75 | |||||||||||||||
Other liabilities(4) | 501 | — | — | 1,122 | — | — | |||||||||||||||
Total Liabilities | 79,071 | 466 | 0.59 | 82,024 | 604 | 0.74 | |||||||||||||||
Total Capital | 5,727 | — | — | 5,753 | — | — | |||||||||||||||
Total Liabilities and Capital | $ | 84,798 | $ | 466 | 0.55 | % | $ | 87,777 | $ | 604 | 0.69 | % | |||||||||
Net Interest Income | $ | 539 | $ | 482 | |||||||||||||||||
Net Interest Spread(6) | 0.61 | % | 0.50 | % | |||||||||||||||||
Net Interest Margin(7) | 0.64 | % | 0.56 | % | |||||||||||||||||
Interest-earning Assets/Interest-bearing Liabilities | 106.74 | % | 107.20 | % |
(1) | The average balances of AFS securities and HTM securities are reflected at amortized cost. As a result, the average rates do not reflect changes in fair value or non-credit-related OTTI losses. |
(2) | Interest income on AFS securities includes accretion of yield adjustments on other-than-temporarily impaired PLRMBS (resulting from improvement in expected cash flows) totaling $68 million and $26 million in 2014 and 2013, respectively. |
(3) | Interest income/expense and average rates include the effect of associated interest rate exchange agreements, as follows: |
2014 | 2013 | ||||||||||||||||||||||
(In millions) | (Amortization)/ Accretion of Hedging Activities | Net Interest Settlements | Total Net Interest Income/(Expense) | (Amortization)/ Accretion of Hedging Activities | Net Interest Settlements | Total Net Interest Income/(Expense) | |||||||||||||||||
Advances | $ | (4 | ) | $ | (128 | ) | $ | (132 | ) | $ | (7 | ) | $ | (126 | ) | $ | (133 | ) | |||||
Consolidated obligation bonds | 5 | 260 | 265 | 47 | 366 | 413 |
(4) | Includes forward settling transactions and valuation adjustments for certain cash items. |
(5) | Includes non-credit-related OTTI losses on AFS and HTM securities. |
(6) | Net interest spread is the difference between the average rate earned on interest-earning assets and the average rate paid on interest-bearing liabilities. |
(7) | Net interest margin is net interest income divided by average interest-earning assets. |
Change in Net Interest Income: Rate/Volume Analysis 2014 Compared to 2013 | |||||||||||
Increase/ (Decrease) | Attributable to Changes in(1) | ||||||||||
(In millions) | Average Volume | Average Rate | |||||||||
Interest-earning assets: | |||||||||||
Federal funds sold | (4 | ) | (1 | ) | (3 | ) | |||||
Trading securities: Other investments | (1 | ) | — | (1 | ) | ||||||
AFS securities: | |||||||||||
MBS | 2 | (38 | ) | 40 | |||||||
HTM securities: | |||||||||||
MBS | (28 | ) | (12 | ) | (16 | ) | |||||
Other investments | (2 | ) | (1 | ) | (1 | ) | |||||
Mortgage loans held for portfolio | (8 | ) | (13 | ) | 5 | ||||||
Advances(2) | (40 | ) | (6 | ) | (34 | ) | |||||
Total interest-earning assets | (81 | ) | (71 | ) | (10 | ) | |||||
Interest-bearing liabilities: | |||||||||||
Consolidated obligations: | |||||||||||
Bonds(2) | (106 | ) | (54 | ) | (52 | ) | |||||
Discount notes | 3 | 6 | (3 | ) | |||||||
Mandatorily redeemable capital stock | (35 | ) | (127 | ) | 92 | ||||||
Total interest-bearing liabilities | (138 | ) | (175 | ) | 37 | ||||||
Net interest income | $ | 57 | $ | 104 | $ | (47 | ) |
(1) | Combined rate/volume variances, a third element of the calculation, are allocated to the rate and volume variances based on their relative sizes. |
(2) | Interest income/expense and average rates include the interest effect of associated interest rate exchange agreements. |
Other Income/(Loss) | |||||||
(In millions) | 2014 | 2013 | |||||
Other Income/(Loss): | |||||||
Net gain/(loss) on trading securities(1) | $ | (1 | ) | $ | 2 | ||
Total OTTI loss | (14 | ) | (14 | ) | |||
Net amount of OTTI loss reclassified to/(from) AOCI | 10 | 7 | |||||
Net OTTI loss, credit-related | (4 | ) | (7 | ) | |||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (93 | ) | (23 | ) | |||
Net gain/(loss) on derivatives and hedging activities | (64 | ) | 26 | ||||
Other | 8 | 7 | |||||
Total Other Income/(Loss) | $ | (154 | ) | $ | 5 |
(1) | The net gain/(loss) on trading securities that were economically hedged totaled $(1) million and $2 million in 2014 and 2013, respectively. |
Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option | |||||||
(In millions) | 2014 | 2013 | |||||
Advances | $ | (11 | ) | $ | (169 | ) | |
Consolidated obligation bonds | (82 | ) | 146 | ||||
Total | $ | (93 | ) | $ | (23 | ) |
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives and Hedging Activities 2014 Compared to 2013 | |||||||||||||||||||||||||||||||
(In millions) | 2014 | 2013 | |||||||||||||||||||||||||||||
Gain/(Loss) | Income/ (Expense) on | Gain/(Loss) | Income/ (Expense) on | ||||||||||||||||||||||||||||
Hedged Item | Fair Value Hedges, Net | Economic Hedges | Economic Hedges | Total | Fair Value Hedges, Net | Economic Hedges | Economic Hedges | Total | |||||||||||||||||||||||
Advances: | |||||||||||||||||||||||||||||||
Elected for fair value option | $ | — | $ | 21 | $ | (100 | ) | $ | (79 | ) | $ | — | $ | 156 | $ | (114 | ) | $ | 42 | ||||||||||||
Not elected for fair value option | — | 5 | (7 | ) | (2 | ) | 3 | 17 | (16 | ) | 4 | ||||||||||||||||||||
Consolidated obligation bonds: | |||||||||||||||||||||||||||||||
Elected for fair value option | — | 36 | 59 | 95 | — | (100 | ) | 66 | (34 | ) | |||||||||||||||||||||
Not elected for fair value option | (12 | ) | (24 | ) | 24 | (12 | ) | (5 | ) | (113 | ) | 120 | 2 | ||||||||||||||||||
Consolidated obligation discount notes: | |||||||||||||||||||||||||||||||
Not elected for fair value option | — | (12 | ) | (39 | ) | (51 | ) | — | 34 | (21 | ) | 13 | |||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||||
Not elected for fair value option | — | (15 | ) | — | (15 | ) | — | — | — | — | |||||||||||||||||||||
Non-MBS investments: | |||||||||||||||||||||||||||||||
Not elected for fair value option | — | 1 | (1 | ) | — | — | — | (1 | ) | (1 | ) | ||||||||||||||||||||
Total | $ | (12 | ) | $ | 12 | $ | (64 | ) | $ | (64 | ) | $ | (2 | ) | $ | (6 | ) | $ | 34 | $ | 26 |
Advances Portfolio by Product Type | |||||||||||||
2015 | 2014 | ||||||||||||
(Dollar in millions) | Par Value | Percentage of Total Par Value | Par Value | Percentage of Total Par Value | |||||||||
Adjustable – LIBOR | $ | 5,912 | 12 | % | $ | 7,068 | 19 | % | |||||
Adjustable – LIBOR, callable at borrower’s option | 15,150 | 30 | — | — | |||||||||
Adjustable – LIBOR, with caps and/or floors | 50 | — | 56 | — | |||||||||
Adjustable – LIBOR, with caps and/or floors and PPS(1) | 30 | — | 100 | — | |||||||||
Adjustable – Other Indices | 2 | — | — | — | |||||||||
Subtotal adjustable rate advances | 21,144 | 42 | 7,224 | 19 | |||||||||
Fixed | 18,674 | 37 | 22,626 | 58 | |||||||||
Fixed – amortizing | 231 | — | 242 | 1 | |||||||||
Fixed – with PPS(1) | 2,859 | 5 | 3,991 | 10 | |||||||||
Fixed – with caps and PPS(1) | 275 | 1 | 425 | 1 | |||||||||
Fixed – callable at borrower’s option | 4 | — | 4 | — | |||||||||
Fixed – callable at borrower’s option with PPS(1) | 271 | 1 | 324 | 1 | |||||||||
Fixed – putable at Bank’s option | 65 | — | 65 | — | |||||||||
Fixed – putable at Bank’s option with PPS(1) | 75 | — | 75 | — | |||||||||
Subtotal fixed rate advances | 22,454 | 44 | 27,752 | 71 | |||||||||
Daily variable rate | 7,243 | 14 | 3,854 | 10 | |||||||||
Total par value | $ | 50,841 | 100 | % | $ | 38,830 | 100 | % |
(1) | Partial prepayment symmetry (PPS) is a product feature under which the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. Any prepayment credit on an advance with PPS would be limited to the lesser of 10% of the par value of the advance or the gain recognized on the termination of the associated interest rate swap, which may also include a similar contractual gain limitation. |
Selected Market Interest Rates | ||||||||
Market Instrument | December 31, 2015 | December 31, 2014 | ||||||
Federal Reserve target range for overnight Federal funds | 0.25-0.50 | % | 0-0.25 | % | ||||
3-month Treasury bill | 0.16 | 0.03 | ||||||
3-month LIBOR | 0.61 | 0.26 | ||||||
2-year Treasury note | 1.05 | 0.67 | ||||||
5-year Treasury note | 1.76 | 1.65 |
Spread to LIBOR of Average Cost of Consolidated Obligations for the Twelve Months Ended | |||
(In basis points) | December 31, 2015 | December 31, 2014 | |
Consolidated obligation bonds | –11.8 | –12.4 | |
Consolidated obligation discount notes (one month and greater) | –15.8 | –14.7 |
Mortgage Loan Balances by MPF Product Type | |||||||
(In millions) | 2015 | 2014 | |||||
MPF Plus | $ | 486 | $ | 653 | |||
MPF Original | 167 | 60 | |||||
Subtotal | 653 | 713 | |||||
Unamortized premiums | 10 | 6 | |||||
Unamortized discounts | (8 | ) | (10 | ) | |||
Mortgage loans held for portfolio | 655 | 709 | |||||
Less: Allowance for credit losses | — | (1 | ) | ||||
Mortgage loans held for portfolio, net | $ | 655 | $ | 708 |
Balances Outstanding on Mortgage Loans | |||||||
(Dollars in millions) | 2015 | 2014 | |||||
Outstanding amounts wholly owned by the Bank | $ | 472 | $ | 462 | |||
Outstanding amounts with participation interests by FHLBank: | |||||||
San Francisco | 181 | 251 | |||||
Chicago | 116 | 156 | |||||
Total | $ | 769 | $ | 869 | |||
Number of loans outstanding: | |||||||
Number of outstanding loans wholly owned by the Bank | 3,624 | 4,111 | |||||
Number of outstanding loans participated | 4,104 | 5,013 | |||||
Total number of loans outstanding | 7,728 | 9,124 |
Regulatory Capital Requirements | |||||||||||||||
2015 | 2014 | ||||||||||||||
(Dollars in millions) | Required | Actual | Required | Actual | |||||||||||
Risk-based capital | $ | 2,684 | $ | 5,369 | $ | 3,231 | $ | 6,356 | |||||||
Total regulatory capital | $ | 3,428 | $ | 5,369 | $ | 3,032 | $ | 6,356 | |||||||
Total regulatory capital ratio | 4.00 | % | 6.26 | % | 4.00 | % | 8.38 | % | |||||||
Leverage capital | $ | 4,285 | $ | 8,054 | $ | 3,790 | $ | 9,534 | |||||||
Leverage ratio | 5.00 | % | 9.40 | % | 5.00 | % | 12.58 | % |
Concentration of Advances and Interest Income from Advances Top Five Borrowers and Their Affiliates | ||||||||||||||
(Dollars in millions) | ||||||||||||||
December 31, 2015 | ||||||||||||||
Name of Borrower | Advances Outstanding | Percentage of Total Advances Outstanding | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | ||||||||||
JPMorgan Chase Bank, National Association(2)(3) | $ | 14,813 | 29 | % | $ | 65 | 16 | % | ||||||
Bank of the West | 6,791 | 13 | 27 | 7 | ||||||||||
First Republic Bank | 4,000 | 8 | 75 | 19 | ||||||||||
CIT Bank, National Association(4) | 3,113 | 6 | 19 | 5 | ||||||||||
Citigroup Inc | ||||||||||||||
Citibank, N.A.(2) | 3,000 | 6 | 5 | 1 | ||||||||||
Banamex USA | — | — | — | — | ||||||||||
Subtotal Citigroup Inc | 3,000 | 6 | 5 | 1 | ||||||||||
Subtotal | 31,717 | 62 | 191 | 48 | ||||||||||
Others | 19,124 | 38 | 207 | 52 | ||||||||||
Total par value | $ | 50,841 | 100 | % | $ | 398 | 100 | % |
December 31, 2014 | |||||||||||||
Name of Borrower | Advances Outstanding | Percentage of Total Advances Outstanding | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | |||||||||
Bank of the West | $ | 5,484 | 14 | % | $ | 29 | 7 | % | |||||
First Republic Bank | 5,275 | 13 | 86 | 20 | |||||||||
JPMorgan Chase & Co.: | |||||||||||||
JPMorgan Bank & Trust Company, National Association(3) | 3,000 | 8 | 54 | 13 | |||||||||
JPMorgan Chase Bank, National Association(2) | 819 | 2 | 7 | 2 | |||||||||
Subtotal JPMorgan Chase & Co. | 3,819 | 10 | 61 | 15 | |||||||||
Bank of America California, N.A. | 3,500 | 9 | 18 | 4 | |||||||||
OneWest Bank, N.A.(4) | 3,364 | 9 | 28 | 6 | |||||||||
Subtotal | 21,442 | 55 | 222 | 52 | |||||||||
Others | 17,388 | 45 | 209 | 48 | |||||||||
Total par value | $ | 38,830 | 100 | % | $ | 431 | 100 | % |
(1) | Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. |
(2) | Nonmember institution. |
(3) | Effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, all of the Bank capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable capital stock, and all advances to JPMorgan B&T were transferred to JPMorgan Chase. |
(4) | Effective August 3, 2015, CIT Bank merged with and into OneWest Bank, which was renamed CIT Bank, National Association. |
Concentration of Mortgage Loans | ||||||||||||
(Dollars in millions) | ||||||||||||
December 31, 2015 | ||||||||||||
Name of Institution | Mortgage Loan Balances Outstanding | Percentage of Total Mortgage Loan Balances Outstanding | Number of Mortgage Loans Outstanding | Percentage of Total Number of Mortgage Loans Outstanding | ||||||||
JPMorgan Chase Bank, National Association(1) | $ | 432 | 66 | % | 5,095 | 66 | % | |||||
Wilshire Bank | 65 | 10 | 174 | 2 | ||||||||
Subtotal | 497 | 76 | 5,269 | 68 | ||||||||
Others | 156 | 24 | 2,459 | 32 | ||||||||
Total | $ | 653 | 100 | % | 7,728 | 100 | % |
December 31, 2014 | ||||||||||||
Name of Institution | Mortgage Loan Balances Outstanding | Percentage of Total Mortgage Loan Balances Outstanding | Number of Mortgage Loans Outstanding | Percentage of Total Number of Mortgage Loans Outstanding | ||||||||
JPMorgan Chase Bank, National Association(1) | $ | 570 | 80 | % | 6,269 | 69 | % | |||||
OneWest Bank, N.A.(2) | 84 | 12 | 2,124 | 23 | ||||||||
Subtotal | 654 | 92 | 8,393 | 92 | ||||||||
Others | 59 | 8 | 731 | 8 | ||||||||
Total | $ | 713 | 100 | % | 9,124 | 100 | % |
(1) | Nonmember institution. |
Investments: Portfolio Concentration | |||||||||||||||
2015 | 2014 | ||||||||||||||
(In millions) | Carrying Value | Estimated Fair Value | Carrying Value | Estimated Fair Value | |||||||||||
Non-MBS: | |||||||||||||||
Housing finance agency bonds: | |||||||||||||||
California Housing Finance Agency (CalHFA) bonds | $ | 275 | $ | 242 | $ | 328 | $ | 283 | |||||||
GSEs: | |||||||||||||||
Federal Farm Credit Bank (FFCB) bonds | 1,424 | 1,424 | 3,513 | 3,513 | |||||||||||
Total non-MBS | 1,699 | 1,666 | 3,841 | 3,796 | |||||||||||
MBS: | |||||||||||||||
Other U.S. obligations: | |||||||||||||||
Ginnie Mae | 1,236 | 1,237 | 1,524 | 1,537 | |||||||||||
GSEs: | |||||||||||||||
Freddie Mac | 3,677 | 3,696 | 4,517 | 4,566 | |||||||||||
Fannie Mae | 4,136 | 4,194 | 5,313 | 5,428 | |||||||||||
Total GSEs | 7,813 | 7,890 | 9,830 | 9,994 | |||||||||||
PLRMBS: | |||||||||||||||
Bank of America Corporation | 677 | 673 | 824 | 820 | |||||||||||
Bear Stearns Companies Inc. | 592 | 590 | 667 | 666 | |||||||||||
Countrywide Financial Corporation | 1,050 | 1,048 | 1,283 | 1,282 | |||||||||||
IndyMac Bank, F.S.B. | 961 | 971 | 1,121 | 1,134 | |||||||||||
Lehman Brothers Inc. | 1,127 | 1,122 | 1,376 | 1,370 | |||||||||||
UBS AG | 634 | 630 | 741 | 736 | |||||||||||
Other(1) | 1,860 | 1,841 | 2,239 | 2,217 | |||||||||||
Total PLRMBS | 6,901 | 6,875 | 8,251 | 8,225 | |||||||||||
Total MBS | 15,950 | 16,002 | 19,605 | 19,756 | |||||||||||
Total securities | 17,649 | 17,668 | 23,446 | 23,552 | |||||||||||
Securities purchased under agreements to resell: | |||||||||||||||
Federal Reserve Bank of New York | 9,000 | 9,000 | — | — | |||||||||||
Nomura Securities International, Inc. | 1,000 | 1,000 | 1,000 | 1,000 | |||||||||||
Total Securities purchased under agreements to resell | 10,000 | 10,000 | 1,000 | 1,000 | |||||||||||
Federal funds sold: | |||||||||||||||
Australia & New Zealand Bank Group | 934 | 934 | — | — | |||||||||||
The Bank of New York Mellon | 924 | 924 | — | — | |||||||||||
Bank of Nova Scotia | 622 | 622 | 744 | 744 | |||||||||||
Bank of Tokyo-Mitsubishi UFJ | — | — | 744 | 744 | |||||||||||
Nordea Bank Finland | 934 | 934 | 1,116 | 1,116 | |||||||||||
Rabobank Nederland | 622 | 622 | 744 | 744 | |||||||||||
Royal Bank of Canada | — | — | 744 | 744 | |||||||||||
Toronto Dominion Bank | — | — | 868 | 868 | |||||||||||
Other Federal funds sold(1) | 590 | 590 | 2,543 | 2,543 | |||||||||||
Total Federal funds sold | 4,626 | 4,626 | 7,503 | 7,503 | |||||||||||
Total investments | $ | 32,275 | $ | 32,294 | $ | 31,949 | $ | 32,055 |
(1) | Includes issuers of securities that have a carrying value that is less than 10% of total Bank capital (including mandatorily redeemable capital stock). |
Concentration of Capital Stock Including Mandatorily Redeemable Capital Stock | |||||||||||||
(Dollars in millions) | 2015 | 2014 | |||||||||||
Name of Institution | Capital Stock Outstanding | Percentage of Total Capital Stock Outstanding | Capital Stock Outstanding | Percentage of Total Capital Stock Outstanding | |||||||||
JPMorgan Chase & Co.: | |||||||||||||
JPMorgan Bank & Trust Company, National Association | $ | — | — | % | $ | 268 | 7 | % | |||||
JPMorgan Chase Bank, National Association(1)(2) | 400 | 15 | 68 | 2 | |||||||||
Subtotal JPMorgan Chase & Co. | 400 | 15 | 336 | 9 | |||||||||
Citigroup Inc.: | |||||||||||||
Citibank, N.A.(1) | 81 | 3 | 577 | 14 | |||||||||
Banamex USA | 4 | — | 2 | — | |||||||||
Subtotal Citigroup Inc. | 85 | 3 | 579 | 14 | |||||||||
Subtotal | 485 | 18 | 915 | 23 | |||||||||
Others | 2,256 | 82 | 3,082 | 77 | |||||||||
Total | $ | 2,741 | 100 | % | $ | 3,997 | 100 | % |
(1) | The capital stock held by these nonmember institutions is classified as mandatorily redeemable capital stock. |
(2) | The Bank reclassified $403 million of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank. |
Concentration of Derivative Counterparties | ||||||||||||||||||
(Dollars in millions) | 2015 | 2014 | ||||||||||||||||
Derivative Counterparty | Credit Rating(1) | Notional Amount | Percentage of Total Notional Amount | Credit Rating(1) | Notional Amount | Percentage of Total Notional Amount | ||||||||||||
Uncleared | ||||||||||||||||||
JPMorgan Chase Bank, National Association | A | $ | 4,858 | 6 | % | A | $ | 7,439 | 12 | % | ||||||||
Morgan Stanley Capital Services | BBB | 2,876 | 4 | BBB | 6,957 | 11 | ||||||||||||
Subtotal | 7,734 | 10 | 14,396 | 23 | ||||||||||||||
Others | At least BBB | 15,187 | 19 | At least BBB | 22,982 | 37 | ||||||||||||
Subtotal uncleared | 22,921 | 29 | 37,378 | 60 | ||||||||||||||
Cleared | ||||||||||||||||||
LCH Clearnet(2) | ||||||||||||||||||
Credit Suisse Securities (USA) LLC | A | 46,086 | 58 | A | 14,290 | 23 | ||||||||||||
Deutsche Bank Securities Inc. | BBB | 8,722 | 11 | A | 10,629 | 17 | ||||||||||||
Subtotal | 54,808 | 69 | 24,919 | 40 | ||||||||||||||
Morgan Stanley & Co. LLC | A | 2,055 | 2 | — | — | — | ||||||||||||
Subtotal cleared | 56,863 | 71 | 24,919 | 40 | ||||||||||||||
Total(3) | $ | 79,784 | 100 | % | $ | 62,297 | 100 | % |
(1) | The credit ratings used by the Bank are based on the lower of Moody's or Standard & Poor's ratings. |
(2) | London Clearing House (LCH) Clearnet is the Bank’s counterparty for all of its cleared swaps. Credit Suisse Securities (USA) LLC, Deutsche Bank Securities Incorporated, and Morgan Stanley & Co. LLC are the Bank’s clearing agents for purposes of clearing swaps with LCH Clearnet. LCH Clearnet’s parent, LCH Clearnet Group, Ltd., is rated A+ by Standard &Poor’s. |
(3) | Total notional amount at December 31, 2015, does not include $5 million of mortgage delivery commitments with members. |
Principal Financial Obligations Due and Funds Available for Selected Period | |||||||
As of December 31, 2015 | As of December 31, 2014 | ||||||
(In millions) | 5 Business Days | 5 Business Days | |||||
Obligations due: | |||||||
Commitments to purchase investments | $ | 250 | $ | — | |||
Demand deposits | 1,107 | 845 | |||||
Discount note and bond maturities and expected exercises of bond call options | 3,165 | 2,420 | |||||
Subtotal obligations due | 4,522 | 3,265 | |||||
Sources of available funds: | |||||||
Maturing investments | 15,807 | 8,155 | |||||
Available cash | 1,634 | 3,919 | |||||
Proceeds from scheduled settlements of discount notes and bonds | 300 | 3 | |||||
Maturing advances and scheduled prepayments | 6,943 | 4,837 | |||||
Subtotal sources of available funds | 24,684 | 16,914 | |||||
Net funds available | $ | 20,162 | $ | 13,649 |
Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating | ||||||||||||||||
(Dollars in millions) | ||||||||||||||||
December 31, 2015 | ||||||||||||||||
All Members and Nonmembers | Members and Nonmembers with Credit Outstanding | |||||||||||||||
Collateral Borrowing Capacity(2) | ||||||||||||||||
Member or Nonmember Credit Quality Rating | Number | Number | Credit Outstanding(1) | Total | Used | |||||||||||
1-3 | 273 | 158 | $ | 59,898 | $ | 180,851 | 33 | % | ||||||||
4-6 | 61 | 26 | 3,138 | 14,287 | 22 | |||||||||||
7-10 | 6 | 4 | 32 | 89 | 36 | |||||||||||
Subtotal | 340 | 188 | 63,068 | 195,227 | 32 | |||||||||||
CDFIs | 7 | 3 | 90 | 96 | 94 | |||||||||||
Total | 347 | 191 | $ | 63,158 | $ | 195,323 | 32 | % |
December 31, 2014 | ||||||||||||||||
All Members and Nonmembers | Members and Nonmembers with Credit Outstanding | |||||||||||||||
Collateral Borrowing Capacity(2) | ||||||||||||||||
Member or Nonmember Credit Quality Rating | Number | Number | Credit Outstanding(1) | Total | Used | |||||||||||
1-3 | 254 | 157 | $ | 38,375 | $ | 166,407 | 23 | % | ||||||||
4-6 | 85 | 38 | 5,746 | 19,753 | 29 | |||||||||||
7-10 | 10 | 4 | 46 | 71 | 65 | |||||||||||
Subtotal | 349 | 199 | 44,167 | 186,231 | 24 | |||||||||||
CDFIs | 5 | 3 | 77 | 92 | 84 | |||||||||||
Total | 354 | 202 | $ | 44,244 | $ | 186,323 | 24 | % |
(1) | Includes advances, letters of credit, the market value of swaps, estimated prepayment fees for certain borrowers, and the credit enhancement obligation on MPF loans. |
(2) | Collateral borrowing capacity does not represent any commitment to lend on the part of the Bank. |
Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity | ||||||||||
(Dollars in millions) | ||||||||||
December 31, 2015 | ||||||||||
Unused Borrowing Capacity | Number of Members and Nonmembers with Credit Outstanding | Credit Outstanding(1) | Collateral Borrowing Capacity(2) | |||||||
0% – 10% | 7 | $ | 3,200 | $ | 3,407 | |||||
11% – 25% | 5 | 1,054 | 1,289 | |||||||
26% – 50% | 21 | 29,265 | 46,966 | |||||||
More than 50% | 158 | 29,639 | 143,661 | |||||||
Total | 191 | $ | 63,158 | $ | 195,323 |
December 31, 2014 | ||||||||||
Unused Borrowing Capacity | Number of Members and Nonmembers with Credit Outstanding | Credit Outstanding(1) | Collateral Borrowing Capacity(2) | |||||||
0% – 10% | 10 | $ | 3,178 | $ | 3,331 | |||||
11% – 25% | 7 | 181 | 226 | |||||||
26% – 50% | 18 | 11,693 | 21,584 | |||||||
More than 50% | 167 | 29,192 | 161,182 | |||||||
Total | 202 | $ | 44,244 | $ | 186,323 |
(1) | Includes advances, letters of credit, the market value of swaps, estimated prepayment fees for certain borrowers, and the credit enhancement obligation on MPF loans. |
(2) | Collateral borrowing capacity does not represent any commitment to lend on the part of the Bank. |
Composition of Securities Collateral Pledged by Members and by Nonmembers with Credit Outstanding | |||||||||||||||
(In millions) | 2015 | 2014 | |||||||||||||
Securities Type with Current Credit Ratings | Current Par | Borrowing Capacity | Current Par | Borrowing Capacity | |||||||||||
U.S. Treasury (bills, notes, bonds) | $ | 1,538 | $ | 1,489 | $ | 461 | $ | 472 | |||||||
Agency (notes, subordinated debt, structured notes, indexed amortization notes, and Small Business Administration pools) | 3,567 | 3,478 | 3,541 | 3,474 | |||||||||||
Agency pools and collateralized mortgage obligations | 6,765 | 6,516 | 8,696 | 8,379 | |||||||||||
PLRMBS – publicly registered investment-grade-rated senior tranches | 1 | 1 | 2 | 1 | |||||||||||
Total | $ | 11,871 | $ | 11,484 | $ | 12,700 | $ | 12,326 |
Composition of Loan Collateral Pledged by Members and by Nonmembers with Credit Outstanding | |||||||||||||||
(In millions) | 2015 | 2014 | |||||||||||||
Loan Type | Unpaid Principal Balance | Borrowing Capacity | Unpaid Principal Balance | Borrowing Capacity | |||||||||||
First lien residential mortgage loans | $ | 116,745 | $ | 100,667 | $ | 106,467 | $ | 90,942 | |||||||
Second lien residential mortgage loans and home equity lines of credit | 25,543 | 14,328 | 29,133 | 14,997 | |||||||||||
Multifamily mortgage loans | 22,716 | 18,971 | 20,820 | 17,366 | |||||||||||
Commercial mortgage loans | 59,347 | 43,405 | 54,707 | 39,144 | |||||||||||
Loan participations(1) | 7,155 | 5,710 | 13,141 | 10,698 | |||||||||||
Small business, small farm, and small agribusiness loans | 3,063 | 756 | 3,123 | 776 | |||||||||||
Other | 3 | 2 | 106 | 74 | |||||||||||
Total | $ | 234,572 | $ | 183,839 | $ | 227,497 | $ | 173,997 |
(1) | The unpaid principal balance for loan participations is 100% of the outstanding loan amount. The borrowing capacity for loan participations is based on the participated amount pledged to the Bank. |
1. | The first layer of protection against loss is the liquidation value of the real property securing the loan. |
2. | The next layer of protection comes from the primary mortgage insurance that is required for loans with an initial loan-to-value ratio greater than 80%, if still in place. |
3. | Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank. |
4. | Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the “credit enhancement amount,” are covered by the participating financial institution's credit enhancement obligation at the time losses are incurred. |
5. | Losses in excess of the first loss account and the participating financial institution's remaining credit enhancement for the master commitment, if any, are incurred by the Bank. |
First Loss Account for MPF Plus | |||||||||||
(In millions) | 2015 | 2014 | 2013 | ||||||||
Balance, beginning of the period | $ | 10 | $ | 10 | $ | 11 | |||||
Losses incurred in excess of liquidation value of the real property securing the loan and primary mortgage insurance | (1 | ) | — | (1 | ) | ||||||
Balance, end of the period | $ | 9 | $ | 10 | $ | 10 |
Allowance for Credit Losses on Mortgage Loan Portfolio | |||||||||||
(Dollars in millions) | 2015 | 2014 | 2013 | ||||||||
Balance, beginning of the period | $ | 1 | $ | 2 | $ | 3 | |||||
(Charge-offs)/recoveries | (2 | ) | (1 | ) | — | ||||||
Provision for/(reversal of) credit losses | 1 | — | (1 | ) | |||||||
Balance, end of the period | $ | — | $ | 1 | $ | 2 | |||||
Ratio of net charge-offs during the period to average loans outstanding during the period | (0.24 | )% | (0.05 | )% | (0.07 | )% |
(In millions) | 2015 | 2014 | |||||
Allowance for credit losses, end of the period: | |||||||
Individually evaluated for impairment | $ | — | $ | 1 | |||
Total allowance for credit losses | $ | — | $ | 1 | |||
Recorded investment, end of the period: | |||||||
Individually evaluated for impairment | $ | 14 | $ | 20 | |||
Collectively evaluated for impairment | 644 | 692 | |||||
Total recorded investment | $ | 658 | $ | 712 |
2015 | 2014 | ||||||||||||||||||||||
(In millions) | Recorded Investment | Unpaid Principal Balance | Related Allowance | Recorded Investment | Unpaid Principal Balance | Related Allowance | |||||||||||||||||
With no related allowance | $ | 13 | $ | 13 | $ | — | $ | 14 | $ | 14 | $ | — | |||||||||||
With an allowance | 1 | 1 | — | 6 | 6 | 1 | |||||||||||||||||
Total | $ | 14 | $ | 14 | $ | — | $ | 20 | $ | 20 | $ | 1 |
(In millions) | 2015 | 2014 | |||||
With no related allowance | $ | 15 | $ | 17 | |||
With an allowance | 1 | 7 | |||||
Total | $ | 16 | $ | 24 |
Mortgage Loan Delinquencies | |||||||
2015 | 2014 | ||||||
(Dollars in millions) | Recorded Investment(1) | Recorded Investment(1) | |||||
30 – 59 days delinquent | $ | 10 | $ | 12 | |||
60 – 89 days delinquent | 5 | 5 | |||||
90 days or more delinquent | 18 | 22 | |||||
Total past due | 33 | 39 | |||||
Total current loans | 625 | 673 | |||||
Total mortgage loans | $ | 658 | $ | 712 | |||
In process of foreclosure, included above(2) | $ | 7 | $ | 11 | |||
Nonaccrual loans | $ | 18 | $ | 22 | |||
Loans past due 90 days or more and still accruing interest | $ | — | $ | — | |||
Serious delinquencies as a percentage of total mortgage loans outstanding(3) | 2.76 | % | 3.12 | % |
(1) | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance. |
(2) | Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. |
(3) | Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding. |
Interest on Nonaccrual Loans | |||||||||||
(In millions) | 2015 | 2014 | 2013 | ||||||||
Interest contractually due on nonaccrual loans during the period | $ | 1 | $ | 1 | $ | 1 | |||||
Interest recognized in income for nonaccrual loans during the period | — | — | — | ||||||||
Shortfall | $ | 1 | $ | 1 | $ | 1 |
Investment Credit Exposure | |||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||
December 31, 2015 | |||||||||||||||||||||||||||
Carrying Value | |||||||||||||||||||||||||||
Credit Rating(1) | |||||||||||||||||||||||||||
Investment Type | AAA | AA | A | BBB | Below Investment Grade | Unrated | Total | ||||||||||||||||||||
Non-MBS | |||||||||||||||||||||||||||
Housing finance agency bonds: | |||||||||||||||||||||||||||
CalHFA bonds | $ | — | $ | — | $ | 275 | $ | — | $ | — | $ | — | $ | 275 | |||||||||||||
GSEs: | |||||||||||||||||||||||||||
FFCB bonds | — | 1,424 | — | — | — | — | 1,424 | ||||||||||||||||||||
Total non-MBS | — | 1,424 | 275 | — | — | — | 1,699 | ||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||
Other U.S. obligations: | |||||||||||||||||||||||||||
Ginnie Mae | — | 1,236 | — | — | — | — | 1,236 | ||||||||||||||||||||
GSEs: | |||||||||||||||||||||||||||
Freddie Mac | — | 3,677 | — | — | — | — | 3,677 | ||||||||||||||||||||
Fannie Mae(2) | — | 4,112 | 15 | — | 9 | — | 4,136 | ||||||||||||||||||||
Total GSEs | — | 7,789 | 15 | — | 9 | — | 7,813 | ||||||||||||||||||||
PLRMBS: | |||||||||||||||||||||||||||
Prime | — | — | 2 | 368 | 1,044 | 2 | 1,416 | ||||||||||||||||||||
Alt-A, option ARM | — | — | — | — | 980 | — | 980 | ||||||||||||||||||||
Alt-A, other | 8 | 10 | 44 | 151 | 4,288 | 4 | 4,505 | ||||||||||||||||||||
Total PLRMBS | 8 | 10 | 46 | 519 | 6,312 | 6 | 6,901 | ||||||||||||||||||||
Total MBS | 8 | 9,035 | 61 | 519 | 6,321 | 6 | 15,950 | ||||||||||||||||||||
Total securities | 8 | 10,459 | 336 | 519 | 6,321 | 6 | 17,649 | ||||||||||||||||||||
Securities purchased under agreements to resell | — | 10,000 | — | — | — | — | 10,000 | ||||||||||||||||||||
Federal funds sold | — | 2,992 | 1,588 | 46 | — | — | 4,626 | ||||||||||||||||||||
Total investments | $ | 8 | $ | 23,451 | $ | 1,924 | $ | 565 | $ | 6,321 | $ | 6 | $ | 32,275 |
(In millions) | |||||||||||||||||||||||||||
December 31, 2014 | |||||||||||||||||||||||||||
Carrying Value | |||||||||||||||||||||||||||
Credit Rating(1) | |||||||||||||||||||||||||||
Investment Type | AAA | AA | A | BBB | Below Investment Grade | Unrated | Total | ||||||||||||||||||||
Non-MBS | |||||||||||||||||||||||||||
Housing finance agency bonds: | |||||||||||||||||||||||||||
CalHFA bonds | $ | — | $ | — | $ | 303 | $ | 25 | $ | — | $ | — | $ | 328 | |||||||||||||
GSEs: | |||||||||||||||||||||||||||
FFCB bonds | — | 3,513 | — | — | — | — | 3,513 | ||||||||||||||||||||
Total non-MBS | — | 3,513 | 303 | 25 | — | — | 3,841 | ||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||
Other U.S. obligations: | |||||||||||||||||||||||||||
Ginnie Mae | — | 1,524 | — | — | — | — | 1,524 | ||||||||||||||||||||
GSEs: | |||||||||||||||||||||||||||
Freddie Mac | — | 4,517 | — | — | — | — | 4,517 | ||||||||||||||||||||
Fannie Mae(2) | — | 5,282 | 19 | — | 12 | — | 5,313 | ||||||||||||||||||||
Total GSEs | — | 9,799 | 19 | — | 12 | — | 9,830 | ||||||||||||||||||||
PLRMBS: | |||||||||||||||||||||||||||
Prime | — | — | 3 | 384 | 1,336 | 2 | 1,725 | ||||||||||||||||||||
Alt-A, option ARM | — | — | — | — | 1,079 | — | 1,079 | ||||||||||||||||||||
Alt-A, other | 10 | 1 | 76 | 187 | 5,171 | 2 | 5,447 | ||||||||||||||||||||
Total PLRMBS | 10 | 1 | 79 | 571 | 7,586 | 4 | 8,251 | ||||||||||||||||||||
Total MBS | 10 | 11,324 | 98 | 571 | 7,598 | 4 | 19,605 | ||||||||||||||||||||
Total securities | 10 | 14,837 | 401 | 596 | 7,598 | 4 | 23,446 | ||||||||||||||||||||
Securities purchased under agreements to resell | — | 1,000 | — | — | — | — | 1,000 | ||||||||||||||||||||
Federal funds sold(3) | — | 3,528 | 3,929 | 46 | — | — | 7,503 | ||||||||||||||||||||
Total investments | $ | 10 | $ | 19,365 | $ | 4,330 | $ | 642 | $ | 7,598 | $ | 4 | $ | 31,949 |
(1) | Credit ratings of BB and lower are below investment grade. |
(2) | The Bank has one security guaranteed by Fannie Mae but rated BB by Moody's because of extraordinary expenses incurred during bankruptcy of the security's sponsor. |
(3) | Includes $300 million at December 31, 2014, in Federal funds sold to a member counterparty determined by the Bank to have an internal credit rating equivalent to an AA+ rating. |
Unsecured Credit Policy Limits | ||||||||||
Unsecured Credit Limit Amount (Lower of Percentage of Bank Capital or Percentage of Counterparty Capital) | ||||||||||
Long-Term Credit Rating(1) | Maximum Percentage Limit for Outstanding Term(2) | Maximum Percentage Limit for Total Outstanding | Maximum Investment Term (Months) | |||||||
Member counterparty | AAA | 15 | % | 30 | % | 3 | ||||
AA | 14 | 28 | 3 | |||||||
A | 9 | 18 | 3 | |||||||
BBB | — | 6 | Overnight | |||||||
Nonmember counterparty | AAA | 15 | 20 | 3 | ||||||
AA | 14 | 18 | 3 | |||||||
A | 9 | 12 | 3 |
(1) | Long-term credit ratings are based on the lowest of Moody’s, Standard & Poor's, or comparable Fitch ratings. The Bank also uses other similar standards, such as the Bank’s internal credit quality rating, to determine maximum limits to members and nonmembers. If a member is not rated by an NRSRO, the Bank will determine the applicable credit rating by using the Bank’s credit quality rating and may provide overnight unsecured credit to that member. |
Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty | |||||||||||||||
(In millions) | |||||||||||||||
December 31, 2015 | |||||||||||||||
Carrying Value(1) | |||||||||||||||
Credit Rating(2) | |||||||||||||||
Domicile of Counterparty | AA | A | BBB | Total | |||||||||||
Domestic | $ | 924 | $ | — | $ | 46 | $ | 970 | |||||||
U.S. subsidiaries of foreign commercial banks | — | 344 | — | 344 | |||||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | 924 | 344 | 46 | 1,314 | |||||||||||
U.S. branches and agency offices of foreign commercial banks: | |||||||||||||||
Australia | 1,134 | — | — | 1,134 | |||||||||||
Canada | — | 622 | — | 622 | |||||||||||
Finland | 934 | — | — | 934 | |||||||||||
Netherlands | — | 622 | — | 622 | |||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 2,068 | 1,244 | — | 3,312 | |||||||||||
Total unsecured credit exposure | $ | 2,992 | $ | 1,588 | $ | 46 | $ | 4,626 |
(1) | Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of December 31, 2015. |
(2) | Does not reflect changes in ratings, outlook, or watch status occurring after December 31, 2015. These ratings represent the lowest rating available for each unsecured investment owned by the Bank, based on the ratings provided by Moody’s, Standard & Poor’s, or comparable Fitch ratings. The Bank’s internal rating may differ from this rating. |
Contractual Maturity of Unsecured Investment Credit Exposure by Domicile of Counterparty | |||||||||||
(In millions) | |||||||||||
December 31, 2015 | |||||||||||
Carrying Value(1) | |||||||||||
Domicile of Counterparty | Overnight | Due 2 Days Through 30 Days | Total | ||||||||
Domestic | $ | 970 | $ | — | $ | 970 | |||||
U.S. subsidiaries of foreign commercial banks | 344 | — | 344 | ||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | 1,314 | — | 1,314 | ||||||||
U.S. branches and agency offices of foreign commercial banks: | |||||||||||
Australia | 408 | 726 | 1,134 | ||||||||
Canada | 156 | 466 | 622 | ||||||||
Finland | 208 | 726 | 934 | ||||||||
Netherlands | 156 | 466 | 622 | ||||||||
Total U.S. branches and agency offices of foreign commercial banks | 928 | 2,384 | 3,312 | ||||||||
Total unsecured credit exposure | $ | 2,242 | $ | 2,384 | $ | 4,626 |
(1) | Excludes unsecured investment credit exposure to U.S. government agencies and instrumentalities, government-sponsored enterprises, and supranational entities and does not include related accrued interest as of December 31, 2015. |
OTTI Analysis Under Base Case and Adverse Case Scenarios | |||||||||||||||||||||
Housing Price Scenario | |||||||||||||||||||||
Base Case | Adverse Case | ||||||||||||||||||||
(Dollars in millions) | Number of Securities | Unpaid Principal Balance | Credit- Related OTTI(1) | Number of Securities | Unpaid Principal Balance | Credit- Related OTTI(1) | |||||||||||||||
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: | |||||||||||||||||||||
Prime | 2 | $ | 80 | $ | (1 | ) | 2 | $ | 80 | $ | (1 | ) | |||||||||
Alt-A, option ARM | 1 | 12 | — | 2 | 120 | — | |||||||||||||||
Alt-A, other | 12 | 364 | (2 | ) | 21 | 741 | (5 | ) | |||||||||||||
Total | 15 | $ | 456 | $ | (3 | ) | 25 | $ | 941 | $ | (6 | ) |
(1) | Amounts are for the three months ended December 31, 2015. |
Unpaid Principal Balance of PLRMBS by Year of Securitization and Credit Rating | |||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||
December 31, 2015 | |||||||||||||||||||||||||||
Unpaid Principal Balance | |||||||||||||||||||||||||||
Credit Rating(1) | |||||||||||||||||||||||||||
Collateral Type at Origination and Year of Securitization | AAA | AA | A | BBB | Below Investment Grade | Unrated | Total | ||||||||||||||||||||
Prime | |||||||||||||||||||||||||||
2008 | $ | — | $ | — | $ | — | $ | — | $ | 160 | $ | — | $ | 160 | |||||||||||||
2007 | — | — | — | — | 394 | — | 394 | ||||||||||||||||||||
2006 | — | — | — | — | 54 | — | 54 | ||||||||||||||||||||
2005 | — | — | — | 21 | 51 | — | 72 | ||||||||||||||||||||
2004 and earlier | — | — | 2 | 345 | 466 | 2 | 815 | ||||||||||||||||||||
Total Prime | — | — | 2 | 366 | 1,125 | 2 | 1,495 | ||||||||||||||||||||
Alt-A, option ARM | |||||||||||||||||||||||||||
2007 | — | — | — | — | 920 | — | 920 | ||||||||||||||||||||
2006 | — | — | — | — | 163 | — | 163 | ||||||||||||||||||||
2005 | — | — | — | — | 187 | — | 187 | ||||||||||||||||||||
Total Alt-A, option ARM | — | — | — | — | 1,270 | — | 1,270 | ||||||||||||||||||||
Alt-A, other | |||||||||||||||||||||||||||
2008 | — | — | — | — | 113 | — | 113 | ||||||||||||||||||||
2007 | — | — | — | — | 1,417 | — | 1,417 | ||||||||||||||||||||
2006 | — | — | 12 | — | 577 | — | 589 | ||||||||||||||||||||
2005 | — | 8 | 2 | — | 2,322 | — | 2,332 | ||||||||||||||||||||
2004 and earlier | 8 | 2 | 30 | 151 | 473 | 3 | 667 | ||||||||||||||||||||
Total Alt-A, other | 8 | 10 | 44 | 151 | 4,902 | 3 | 5,118 | ||||||||||||||||||||
Total par value | $ | 8 | $ | 10 | $ | 46 | $ | 517 | $ | 7,297 | $ | 5 | $ | 7,883 |
(1) | The credit ratings used by the Bank are based on the lowest of Moody’s, Standard & Poor’s, or comparable Fitch ratings. Credit ratings of BB and lower are below investment grade. |
Unpaid Principal Balance of Other-Than-Temporarily Impaired PLRMBS by Year of Securitization and Credit Rating | ||||||||||||||||||
(In millions) | ||||||||||||||||||
December 31, 2015 | ||||||||||||||||||
Unpaid Principal Balance | ||||||||||||||||||
Credit Rating(1) | ||||||||||||||||||
Collateral Type at Origination and Year of Securitization | AA | A | BBB | Below Investment Grade | Total | |||||||||||||
Prime | ||||||||||||||||||
2008 | $ | — | $ | — | $ | — | $ | 147 | $ | 147 | ||||||||
2007 | — | — | — | 340 | 340 | |||||||||||||
2006 | — | — | — | 24 | 24 | |||||||||||||
2005 | — | — | — | 22 | 22 | |||||||||||||
2004 and earlier | — | — | — | 58 | 58 | |||||||||||||
Total Prime | — | — | — | 591 | 591 | |||||||||||||
Alt-A, option ARM | ||||||||||||||||||
2007 | — | — | — | 920 | 920 | |||||||||||||
2006 | — | — | — | 163 | 163 | |||||||||||||
2005 | — | — | — | 186 | 186 | |||||||||||||
Total Alt-A, option ARM | — | — | — | 1,269 | 1,269 | |||||||||||||
Alt-A, other | ||||||||||||||||||
2008 | — | — | — | 113 | 113 | |||||||||||||
2007 | — | — | — | 1,366 | 1,366 | |||||||||||||
2006 | — | 12 | — | 577 | 589 | |||||||||||||
2005 | — | — | — | 2,315 | 2,315 | |||||||||||||
2004 and earlier | 1 | 2 | 20 | 229 | 252 | |||||||||||||
Total Alt-A, other | 1 | 14 | 20 | 4,600 | 4,635 | |||||||||||||
Total par value | $ | 1 | $ | 14 | $ | 20 | $ | 6,460 | $ | 6,495 |
(1) | The credit ratings used by the Bank are based on the lowest of Moody’s, Standard & Poor’s, or comparable Fitch ratings. Credit ratings of BB and lower are below investment grade. |
PLRMBS Credit Characteristics | ||||||||||||||||||||||||||||||||
(Dollars in millions) | ||||||||||||||||||||||||||||||||
December 31, 2015 | ||||||||||||||||||||||||||||||||
Underlying Collateral Performance and Credit Enhancement Statistics | ||||||||||||||||||||||||||||||||
Collateral Type at Origination and Year of Securitization | Amortized Cost | Gross Unrealized Losses(2) | Estimated Fair Value | Total OTTI(1) | Non- Credit- Related OTTI(1) | Credit- Related OTTI(1) | Weighted Average 60+ Days Collateral Delinquency Rate | Original Weighted Average Credit Support | Current Weighted Average Credit Support | |||||||||||||||||||||||
Prime | ||||||||||||||||||||||||||||||||
2008 | $ | 138 | $ | — | $ | 147 | $ | — | $ | — | $ | — | 12.48 | % | 30.00 | % | 13.07 | % | ||||||||||||||
2007 | 325 | (6 | ) | 327 | (5 | ) | — | (5 | ) | 12.58 | 22.47 | 3.11 | ||||||||||||||||||||
2006 | 47 | — | 49 | (1 | ) | — | (1 | ) | 14.78 | 12.75 | 3.87 | |||||||||||||||||||||
2005 | 70 | (2 | ) | 70 | — | — | — | 10.19 | 11.86 | 15.10 | ||||||||||||||||||||||
2004 and earlier | 814 | (20 | ) | 796 | — | — | — | 6.74 | 4.44 | 12.57 | ||||||||||||||||||||||
Total Prime | 1,394 | (28 | ) | 1,389 | (6 | ) | — | (6 | ) | 9.35 | 12.59 | 9.94 | ||||||||||||||||||||
Alt-A, option ARM | ||||||||||||||||||||||||||||||||
2007 | 754 | (29 | ) | 745 | — | — | — | 23.61 | 44.18 | 15.24 | ||||||||||||||||||||||
2006 | 118 | (8 | ) | 125 | (1 | ) | — | (1 | ) | 22.65 | 44.90 | 6.61 | ||||||||||||||||||||
2005 | 84 | (3 | ) | 110 | (1 | ) | 1 | — | 18.44 | 22.74 | 4.85 | |||||||||||||||||||||
Total Alt-A, option ARM | 956 | (40 | ) | 980 | (2 | ) | 1 | (1 | ) | 22.72 | 41.12 | 12.60 | ||||||||||||||||||||
Alt-A, other | ||||||||||||||||||||||||||||||||
2008 | 110 | (10 | ) | 100 | — | — | — | 8.80 | 31.80 | 23.41 | ||||||||||||||||||||||
2007 | 1,230 | (53 | ) | 1,213 | (12 | ) | 8 | (4 | ) | 18.05 | 27.12 | 11.01 | ||||||||||||||||||||
2006 | 443 | (1 | ) | 496 | (3 | ) | 2 | (1 | ) | 18.60 | 18.42 | 1.42 | ||||||||||||||||||||
2005 | 2,076 | (83 | ) | 2,044 | (8 | ) | 5 | (3 | ) | 14.78 | 14.25 | 5.36 | ||||||||||||||||||||
2004 and earlier | 663 | (18 | ) | 653 | — | — | — | 10.97 | 8.13 | 17.47 | ||||||||||||||||||||||
Total Alt-A, other | 4,522 | (165 | ) | 4,506 | (23 | ) | 15 | (8 | ) | 15.50 | 17.88 | 8.45 | ||||||||||||||||||||
Total | $ | 6,872 | $ | (233 | ) | $ | 6,875 | $ | (31 | ) | $ | 16 | $ | (15 | ) | 15.50 | % | 20.62 | % | 9.40 | % |
(1) | Amounts are for the twelve months ended December 31, 2015. |
Significant Inputs to OTTI Credit Analysis for All PLRMBS | |||||||
December 31, 2015 | |||||||
Significant Inputs | Current | ||||||
Prepayment Rates | Default Rates | Loss Severities | Credit Enhancement | ||||
Year of Securitization | Weighted Average % | Weighted Average % | Weighted Average % | Weighted Average % | |||
Prime | |||||||
2008 | 12.7 | 11.5 | 26.1 | 17.4 | |||
2007 | 9.5 | 4.7 | 21.4 | 9.7 | |||
2006 | 10.8 | 9.0 | 25.4 | 11.3 | |||
2005 | 15.7 | 5.6 | 24.8 | 12.6 | |||
2004 and earlier | 16.9 | 4.0 | 21.0 | 11.9 | |||
Total Prime | 15.2 | 6.1 | 22.5 | 13.1 | |||
Alt-A, option ARM | |||||||
2007 | 6.5 | 32.9 | 38.5 | 15.2 | |||
2006 | 5.9 | 35.5 | 38.7 | 6.6 | |||
2005 | 7.1 | 22.9 | 34.8 | 4.9 | |||
Total Alt-A, option ARM | 6.5 | 31.8 | 38.0 | 12.6 | |||
Alt-A, other | |||||||
2007 | 11.0 | 24.0 | 36.0 | 6.3 | |||
2006 | 10.7 | 22.1 | 38.8 | 8.4 | |||
2005 | 13.3 | 15.3 | 35.8 | 5.6 | |||
2004 and earlier | 14.5 | 11.3 | 31.1 | 17.7 | |||
Total Alt-A, other | 12.4 | 18.1 | 35.7 | 7.9 | |||
Total | 11.9 | 18.6 | 34.2 | 9.4 |
Fair Value of PLRMBS as a Percentage of Unpaid Principal Balance by Year of Securitization | ||||||||||||||
Collateral Type at Origination and Year of Securitization | December 31, 2015 | September 30, 2015 | June 30, 2015 | March 31, 2015 | December 31, 2014 | |||||||||
Prime | ||||||||||||||
2008 | 92.09 | % | 93.00 | % | 93.09 | % | 93.52 | % | 92.36 | % | ||||
2007 | 82.96 | 83.03 | 83.73 | 83.70 | 83.38 | |||||||||
2006 | 91.36 | 92.03 | 92.65 | 92.10 | 91.51 | |||||||||
2005 | 97.28 | 97.61 | 96.90 | 97.64 | 97.78 | |||||||||
2004 and earlier | 97.70 | 97.74 | 98.18 | 98.25 | 98.24 | |||||||||
Weighted average of all Prime | 92.96 | 93.21 | 93.68 | 93.85 | 93.70 | |||||||||
Alt-A, option ARM | ||||||||||||||
2007 | 80.96 | 81.13 | 82.19 | 81.63 | 80.82 | |||||||||
2006 | 76.70 | 77.49 | 78.54 | 79.33 | 79.83 | |||||||||
2005 | 58.93 | 59.24 | 60.14 | 58.98 | 56.16 | |||||||||
Weighted average of all Alt-A, option ARM | 77.17 | 77.37 | 78.30 | 77.73 | 76.72 | |||||||||
Alt-A, other | ||||||||||||||
2008 | 88.74 | 88.74 | 89.64 | 92.47 | 96.33 | |||||||||
2007 | 85.54 | 85.94 | 86.12 | 87.12 | 86.85 | |||||||||
2006 | 84.18 | 84.23 | 84.75 | 84.85 | 84.45 | |||||||||
2005 | 87.65 | 88.09 | 88.35 | 88.24 | 88.29 | |||||||||
2004 and earlier | 97.87 | 97.98 | 98.34 | 98.52 | 98.31 | |||||||||
Weighted average of all Alt-A, other | 88.02 | 88.36 | 88.67 | 88.99 | 88.95 | |||||||||
Weighted average of all PLRMBS | 87.21 | % | 87.54 | % | 88.02 | % | 88.21 | % | 88.03 | % |
Credit Exposure to Derivative Dealer Counterparties | |||||||||||||||||||
(In millions) | |||||||||||||||||||
December 31, 2015 | |||||||||||||||||||
Counterparty Credit Rating(1) | Notional Amount | Net Fair Value of Derivatives Before Collateral | Cash Collateral Pledged to/ (from) Counterparty | Non-cash Collateral Pledged to/ (from) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||
Asset positions with credit exposure: | |||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||
A | $ | 4,858 | $ | 89 | $ | (84 | ) | $ | — | $ | 5 | ||||||||
Cleared derivatives(2) | 8,722 | 47 | (39 | ) | — | 8 | |||||||||||||
Liability positions with credit exposure: | |||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||
AA | 777 | (1 | ) | 1 | — | — | |||||||||||||
A | 3,951 | (12 | ) | 13 | — | 1 | |||||||||||||
BBB | 25 | (1 | ) | 1 | — | — | |||||||||||||
Cleared derivatives(2) | 48,141 | (7 | ) | 26 | — | 19 | |||||||||||||
Total derivative positions with credit exposure to nonmember counterparties | 66,474 | 115 | (82 | ) | — | 33 | |||||||||||||
Member institutions(3) | 5 | — | — | — | — | ||||||||||||||
Total | 66,479 | $ | 115 | $ | (82 | ) | $ | — | $ | 33 | |||||||||
Derivative positions without credit exposure | 13,310 | ||||||||||||||||||
Total notional | $ | 79,789 |
December 31, 2014 | |||||||||||||||||||
Counterparty Credit Rating(1) | Notional Amount | Net Fair Value of Derivatives Before Collateral | Cash Collateral Pledged to/ (from) Counterparty | Non-cash Collateral Pledged to/ (from) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||
Asset positions with credit exposure: | |||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||
AA | $ | 148 | $ | 1 | $ | — | $ | — | $ | 1 | |||||||||
A | 7,439 | 166 | (164 | ) | — | 2 | |||||||||||||
Cleared derivatives(2) | 10,629 | 79 | (65 | ) | — | 14 | |||||||||||||
Liability positions with credit exposure: | |||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||
A | 50 | — | — | — | — | ||||||||||||||
Cleared derivatives(2) | 14,290 | (10 | ) | 27 | — | 17 | |||||||||||||
Total derivative positions with credit exposure to nonmember counterparties | 32,556 | $ | 236 | $ | (202 | ) | $ | — | $ | 34 | |||||||||
Derivative positions without credit exposure | 29,741 | ||||||||||||||||||
Total notional | $ | 62,297 |
(1) | The credit ratings used by the Bank are based on the lower of Moody's or Standard & Poor's ratings. |
(2) | Represents derivative transactions cleared with LCH Clearnet, the Bank’s clearinghouse, which is not rated. LCH Clearnet’s parent, LCH Clearnet Group, Ltd., is rated A+ by Standard & Poor’s. |
(3) | Member institutions include mortgage delivery commitments with members. |
Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital for Various Changes in Interest Rates | ||||
Interest Rate Scenario(1) | December 31, 2015 | December 31, 2014 | ||
+200 basis-point change above current rates | –5.0 | % | –2.7 | % |
+100 basis-point change above current rates | –2.3 | –1.2 | ||
–100 basis-point change below current rates(2) | +2.8 | +2.6 | ||
–200 basis-point change below current rates(2) | +9.0 | +6.4 |
(1) | Instantaneous change from actual rates at dates indicated. |
(2) | Interest rates for each maturity are limited to non-negative interest rates. |
Net Portfolio Value of Capital Sensitivity Estimated Percentage Change in Net Portfolio Value of Bank Capital for Various Changes in Interest Rates Based on Acquisition Spreads | ||||
Interest Rate Scenario(1) | December 31, 2015 | December 31, 2014 | ||
+200 basis-point change above current rates | –4.5 | % | –2.7 | % |
+100 basis-point change above current rates | –2.0 | –1.1 | ||
–100 basis-point change below current rates(2) | +1.8 | +1.9 | ||
–200 basis-point change below current rates(2) | +6.2 | +4.3 |
(1) | Instantaneous change from actual rates at dates indicated. |
(2) | Interest rates for each maturity are limited to non-negative interest rates. |
Total Bank Duration Gap Analysis | |||||||||||||
December 31, 2015 | December 31, 2014 | ||||||||||||
Amount (In millions) | Duration Gap(1)(2) (In months) | Amount (In millions) | Duration Gap(1)(2) (In months) | ||||||||||
Assets | $ | 85,707 | 7 | $ | 75,807 | 10 | |||||||
Liabilities | 80,811 | 6 | 70,114 | 10 | |||||||||
Net | $ | 4,896 | 1 | $ | 5,693 | — |
(1) | Duration gap values include the impact of interest rate exchange agreements. |
(2) | Because of the current low interest rate environment, the duration gap is estimated using an instantaneous, one-sided parallel change upward of 100 basis points from base case interest rates. |
Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital Attributable to the Mortgage-Related Business for Various Changes in Interest Rates | ||||
Interest Rate Scenario(1) | December 31, 2015 | December 31, 2014 | ||
+200 basis-point change | –3.0 | % | –1.6 | % |
+100 basis-point change | –1.4 | –0.7 | ||
–100 basis-point change(2) | +2.0 | +2.0 | ||
–200 basis-point change(2) | +4.8 | +5.0 |
(1) | Instantaneous change from actual rates at dates indicated. |
(2) | Interest rates for each maturity are limited to non-negative interest rates. |
Net Portfolio Value of Capital Sensitivity Estimated Percentage Change in Net Portfolio Value of Bank Capital Attributable to the Mortgage-Related Business for Various Changes in Interest Rates Based on Acquisition Spreads | ||||
Interest Rate Scenario(1) | December 31, 2015 | December 31, 2014 | ||
+200 basis-point change above current rates | –2.8 | % | –1.7 | % |
+100 basis-point change above current rates | –1.2 | –0.7 | ||
–100 basis-point change below current rates(2) | +1.2 | +1.3 | ||
–200 basis-point change below current rates(2) | +2.6 | +3.1 |
(1) | Instantaneous change from actual rates at dates indicated. |
(2) | Interest rates for each maturity are limited to non-negative interest rates. |
• | To convert fixed rate advances to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to fixed interest rates. |
• | To convert non-LIBOR-indexed advances to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to basis risk from non-LIBOR interest rates. |
• | To convert fixed rate consolidated obligations to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to fixed interest rates. (A combined structure of the callable derivative and callable debt instrument is usually lower in cost than a comparable LIBOR-indexed adjustable rate debt instrument, allowing the Bank to reduce its funding costs.) |
• | To convert non-LIBOR-indexed consolidated obligations to LIBOR-indexed adjustable rate structures, which reduces the Bank’s exposure to basis risk from non-LIBOR interest rates. |
• | To reduce the interest rate sensitivity and modify the repricing frequency of assets and liabilities. |
• | To obtain an option to enter into an interest rate swap to receive a fixed rate, which provides an option to reduce the Bank’s exposure to fixed interest rates on consolidated obligations. |
• | To obtain callable fixed rate equivalent funding by entering into a callable pay-fixed interest rate swap in connection with the issuance of a short-term discount note. The callable fixed rate equivalent funding is used to reduce the Bank’s exposure to prepayment of mortgage assets. |
• | To offset an embedded option in an advance. |
Interest Rate Exchange Agreements | ||||||||||||
(In millions) | Notional Amount | |||||||||||
Hedging Instrument | Hedging Strategy | Accounting Designation | December 31, 2015 | December 31, 2014 | ||||||||
Hedged Item: Advances | ||||||||||||
Pay fixed, receive adjustable interest rate swap | Fixed rate advance converted to a LIBOR adjustable rate | Fair Value Hedge | $ | 10,758 | $ | 9,883 | ||||||
Basis swap | Adjustable rate advance converted to another adjustable rate index to reduce interest rate sensitivity and repricing gaps | Economic Hedge(1) | 1 | — | ||||||||
Received fixed, pay adjustable interest rate swap | LIBOR adjustable rate advance converted to a fixed rate | Economic Hedge(1) | 672 | 200 | ||||||||
Pay fixed, receive adjustable interest rate swap | Fixed rate advance converted to a LIBOR adjustable rate | Economic Hedge(1) | 2,365 | 2,716 | ||||||||
Pay fixed, receive adjustable interest rate swap; swap may be callable at the Bank’s option or putable at the counterparty’s option | Fixed rate advance (with or without an embedded cap) converted to a LIBOR adjustable rate; advance and swap may be callable or putable; matched to advance accounted for under the fair value option | Economic Hedge(1) | 3,557 | 4,892 | ||||||||
Interest rate cap or floor | Interest rate cap or floor embedded in an adjustable rate advance; matched to advance accounted for under the fair value option | Economic Hedge(1) | 80 | 156 | ||||||||
Subtotal Economic Hedges(1) | 6,675 | 7,964 | ||||||||||
Total | 17,433 | 17,847 | ||||||||||
Hedged Item: Non-Callable Bonds | ||||||||||||
Receive fixed or structured, pay adjustable interest rate swap | Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate | Fair Value Hedge | 15,857 | 15,885 | ||||||||
Receive fixed or structured, pay adjustable interest rate swap | Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate | Economic Hedge(1) | 2,034 | 6,340 | ||||||||
Receive fixed or structured, pay adjustable interest rate swap | Fixed rate or structured rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option | Economic Hedge(1) | 1,915 | 1,425 | ||||||||
Basis swap | Non-LIBOR adjustable rate non-callable bond converted to a LIBOR adjustable rate; matched to non-callable bond accounted for under the fair value option | Economic Hedge(1) | 100 | 1,175 | ||||||||
Basis swap | Fixed rate or adjustable rate non-callable bond previously converted to an adjustable rate index, converted to another adjustable rate to reduce interest rate sensitivity and repricing gaps | Economic Hedge(1) | 14,986 | 1,400 | ||||||||
Pay fixed, receive adjustable interest rate swap | Fixed rate or adjustable rate non-callable bond, which may have been previously converted to LIBOR, converted to fixed rate debt that offsets the interest rate risk of mortgage assets | Economic Hedge(1) | 170 | 255 | ||||||||
Subtotal Economic Hedges(1) | 19,205 | 10,595 | ||||||||||
Total | 35,062 | 26,480 |
Interest Rate Exchange Agreements (continued) | ||||||||||||
(In millions) | Notional Amount | |||||||||||
Hedging Instrument | Hedging Strategy | Accounting Designation | December 31, 2015 | December 31, 2014 | ||||||||
Hedged Item: Callable Bonds | ||||||||||||
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty’s option | Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable | Fair Value Hedge | 495 | 2,250 | ||||||||
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty’s option | Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable | Economic Hedge(1) | 2,070 | 3,175 | ||||||||
Receive fixed or structured, pay adjustable interest rate swap with an option to call at the counterparty’s option | Fixed or structured rate callable bond converted to a LIBOR adjustable rate; swap is callable; matched to callable bond accounted for under the fair value option | Economic Hedge(1) | 2,270 | 4,148 | ||||||||
Subtotal Economic Hedges(1) | 4,340 | 7,323 | ||||||||||
Total | 4,835 | 9,573 | ||||||||||
Hedged Item: Discount Notes | ||||||||||||
Pay fixed, receive adjustable callable interest rate swap | Discount note, which may have been previously converted to LIBOR, converted to fixed rate callable debt that offsets the prepayment risk of mortgage assets | Economic Hedge(1) | 1,355 | 1,670 | ||||||||
Basis swap or receive fixed, pay adjustable interest rate swap | Discount note converted to one-month LIBOR or other short-term adjustable rate to hedge repricing gaps | Economic Hedge(1) | 17,572 | 1,899 | ||||||||
Pay fixed, receive adjustable non-callable interest rate swap | Discount note, which may have been previously converted to LIBOR, converted to fixed rate non-callable debt that offsets the interest rate risk of mortgage assets | Economic Hedge(1) | 720 | 315 | ||||||||
Total | 19,647 | 3,884 | ||||||||||
Hedged Item: Trading Securities | ||||||||||||
Basis swap | Basis swap hedging adjustable rate Federal Farm Credit Bank (FFCB) bonds | Economic Hedge(1) | 525 | 2,363 | ||||||||
Interest rate cap | Stand-alone interest rate cap used to offset cap risk embedded in floating rate MBS | Economic Hedge(1) | 2,150 | 2,150 | ||||||||
Total | 2,675 | 4,513 | ||||||||||
Hedged Item: Intermediary Positions and Offsetting Derivatives | ||||||||||||
Pay fixed, receive adjustable interest rate swap and receive fixed, pay adjustable interest rate swap | Interest rate swap used to offset the economic effect of interest rate swap that is no longer designated to advances, investments, or consolidated obligations | Economic Hedge(1) | 132 | — | ||||||||
Total | 132 | — | ||||||||||
Stand-Alone Derivatives | ||||||||||||
Mortgage delivery commitments | To offset the fair value risk associated with fixed rate mortgage purchase commitments. | N/A | 5 | — | ||||||||
Total | 5 | — | ||||||||||
Total Notional Amount | $ | 79,789 | $ | 62,297 |
(1) | Economic hedges are derivatives that are matched to balance sheet instruments or other derivatives that do not meet the requirements for hedge accounting under the accounting for derivative instruments and hedging activities. |
Interest Rate Exchange Agreements Notional Amounts and Estimated Fair Values | |||||||||||||||||||
December 31, 2015 | |||||||||||||||||||
(In millions) | Notional Amount | Fair Value of Derivatives | Unrealized Gain/(Loss) on Hedged Items | Financial Instruments Carried at Fair Value | Difference | ||||||||||||||
Fair value hedges: | |||||||||||||||||||
Advances | $ | 10,758 | $ | (40 | ) | $ | 39 | $ | — | $ | (1 | ) | |||||||
Non-callable bonds | 15,857 | 140 | (140 | ) | — | — | |||||||||||||
Callable bonds | 495 | 2 | 1 | — | 3 | ||||||||||||||
Subtotal | 27,110 | 102 | (100 | ) | — | 2 | |||||||||||||
Not qualifying for hedge accounting (economic hedges): | |||||||||||||||||||
Advances | 6,675 | (38 | ) | — | 31 | (7 | ) | ||||||||||||
Non-callable bonds | 19,205 | 16 | — | (2 | ) | 14 | |||||||||||||
Callable bonds | 4,340 | (14 | ) | — | 25 | 11 | |||||||||||||
Discount notes | 19,647 | 6 | — | — | 6 | ||||||||||||||
FFCB bonds | 525 | — | — | — | — | ||||||||||||||
MBS | 2,150 | 6 | — | — | 6 | ||||||||||||||
Mortgage delivery commitments | 5 | — | — | — | — | ||||||||||||||
Offsetting derivatives | 132 | — | — | — | — | ||||||||||||||
Subtotal | 52,679 | (24 | ) | — | 54 | 30 | |||||||||||||
Total excluding accrued interest | 79,789 | 78 | (100 | ) | 54 | 32 | |||||||||||||
Accrued interest | — | 35 | (28 | ) | 2 | 9 | |||||||||||||
Total | $ | 79,789 | $ | 113 | $ | (128 | ) | $ | 56 | $ | 41 |
December 31, 2014 | |||||||||||||||||||
(In millions) | Notional Amount | Fair Value of Derivatives | Unrealized Gain/(Loss) on Hedged Items | Financial Instruments Carried at Fair Value | Difference | ||||||||||||||
Fair value hedges: | |||||||||||||||||||
Advances | $ | 9,883 | $ | (62 | ) | $ | 62 | $ | — | $ | — | ||||||||
Non-callable bonds | 15,885 | 307 | (309 | ) | — | (2 | ) | ||||||||||||
Callable bonds | 2,250 | 4 | 9 | — | 13 | ||||||||||||||
Subtotal | 28,018 | 249 | (238 | ) | — | 11 | |||||||||||||
Not qualifying for hedge accounting (economic hedges): | |||||||||||||||||||
Advances | 7,964 | (69 | ) | — | 76 | 7 | |||||||||||||
Non-callable bonds | 10,595 | 43 | — | (12 | ) | 31 | |||||||||||||
Callable bonds | 7,323 | (31 | ) | — | 54 | 23 | |||||||||||||
Discount notes | 3,884 | 1 | — | — | 1 | ||||||||||||||
FFCB bonds | 2,363 | — | — | — | — | ||||||||||||||
MBS | 2,150 | 9 | — | — | 9 | ||||||||||||||
Subtotal | 34,279 | (47 | ) | — | 118 | 71 | |||||||||||||
Total excluding accrued interest | 62,297 | 202 | (238 | ) | 118 | 82 | |||||||||||||
Accrued interest | — | 20 | (38 | ) | 2 | (16 | ) | ||||||||||||
Total | $ | 62,297 | $ | 222 | $ | (276 | ) | $ | 120 | $ | 66 |
• | advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,” |
• | MPF loans held for portfolio, |
• | term securities purchased under agreements to resell, and |
• | term Federal funds sold. |
• | Monitoring the creditworthiness and financial condition of the borrowers. |
• | Assessing the quality and value of collateral pledged by borrowers to secure advances. |
• | Establishing borrowing capacities based on collateral value and type for each borrower, including assessment of margin requirements based on factors such as the cost to liquidate and inherent risk exposure based on collateral type. |
• | Evaluating historical loss experience. |
• | Monitoring the creditworthiness and financial condition of the institutions that sold the mortgage loans to the Bank or their successors (both considered to be participating financial institutions) and their ability to meet servicing obligations. |
• | Determining required credit enhancements to be provided by participating financial institutions and assessing the availability of other credit enhancements. |
• | Estimating loss exposure and historical loss experience to establish an adequate level of allowance for credit losses. |
• | Level 1 – Inputs to the valuation methodology are quoted prices for identical assets or liabilities in active markets. 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 to the valuation methodology include quoted prices for similar assets and liabilities in active markets, and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. |
• | Level 3 – Inputs to the valuation methodology are unobservable and significant to the fair value measurement. Unobservable inputs are supported by little or no market activity or by the Bank’s own assumptions. |
• | Trading securities |
• | AFS securities |
• | Certain advances |
• | Derivative assets and liabilities |
• | Certain consolidated obligation bonds |
• | Certain other assets |
• | defines the “principal place of business” of an institution eligible for FHLBank membership to be the state in which it maintains its home office and from which the institution conducts business operations; |
• | defines “insurance company” as an entity that holds an insurance license or charter under the laws of a state and whose primary business is the underwriting of insurance for persons or entities that are not its affiliates; |
• | defines “captive” as an entity that holds an insurance license or charter under the laws of a state, but that does not meet the definition of “insurance company” set forth in the rule or fall within any other category of institution that may be eligible for membership; and |
• | makes captive insurance companies ineligible for FHLBank membership. |
• | operate an enterprise-wide risk management program and assign its chief risk officer certain enumerated responsibilities; |
• | maintain a compliance program headed by a compliance officer who reports directly to the chief executive officer and must regularly report to the board of directors (or a board committee); |
• | maintain board committees specifically responsible for risk management, audit, compensation, and corporate governance; and |
• | designate in its bylaws a body of law to follow for its corporate governance and indemnification practices and procedures, choosing from the law of the jurisdiction in which the FHLBank maintains its principal office, the Delaware General Corporation Law, or the Revised Model Business Corporation Act. |
Contractual Obligations | |||||||||||||||||||
(In millions) | |||||||||||||||||||
December 31, 2015 | |||||||||||||||||||
Payments Due By Period | |||||||||||||||||||
Contractual Obligations | < 1 Year | 1 to < 3 Years | 3 to < 5 Years | ≥ 5 Years | Total | ||||||||||||||
Long-term debt | $ | 29,114 | $ | 16,426 | $ | 3,170 | $ | 2,982 | $ | 51,692 | |||||||||
Mandatorily redeemable capital stock | 82 | 1 | 381 | 24 | 488 | ||||||||||||||
Operating leases | 4 | 8 | 5 | — | 17 | ||||||||||||||
Pension and post-retirement contributions | 8 | 5 | 2 | 17 | 32 | ||||||||||||||
Commitments to fund/purchase mortgage loans | 5 | — | — | — | 5 | ||||||||||||||
Total contractual obligations | $ | 29,213 | $ | 16,440 | $ | 3,558 | $ | 3,023 | $ | 52,234 |
ITEM 7A. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK |
Financial Statements: | ||||
Supplementary Data: | ||||
(In millions-except par value) | December 31, 2015 | December 31, 2014 | |||||
Assets: | |||||||
Cash and due from banks | $ | 1,637 | $ | 3,920 | |||
Securities purchased under agreements to resell | 10,000 | 1,000 | |||||
Federal funds sold | 4,626 | 7,503 | |||||
Trading securities(a) | 1,433 | 3,524 | |||||
Available-for-sale (AFS) securities(a) | 5,414 | 6,371 | |||||
Held-to-maturity (HTM) securities (fair values were $10,821 and $13,657, respectively)(b) | 10,802 | 13,551 | |||||
Advances (includes $3,677 and $5,137 at fair value under the fair value option, respectively) | 50,919 | 38,986 | |||||
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $1, respectively | 655 | 708 | |||||
Accrued interest receivable | 56 | 67 | |||||
Premises, software, and equipment, net | 32 | 28 | |||||
Derivative assets, net | 44 | 59 | |||||
Other assets | 89 | 90 | |||||
Total Assets | $ | 85,707 | $ | 75,807 | |||
Liabilities: | |||||||
Deposits | $ | 127 | $ | 160 | |||
Consolidated obligations: | |||||||
Bonds (includes $4,233 and $6,717 at fair value under the fair value option, respectively) | 51,835 | 47,045 | |||||
Discount notes | 27,648 | 21,811 | |||||
Total consolidated obligations | 79,483 | 68,856 | |||||
Mandatorily redeemable capital stock | 488 | 719 | |||||
Accrued interest payable | 80 | 95 | |||||
Affordable Housing Program (AHP) payable | 172 | 147 | |||||
Derivative liabilities, net | 6 | 20 | |||||
Other liabilities | 455 | 117 | |||||
Total Liabilities | 80,811 | 70,114 | |||||
Commitments and Contingencies (Note 20) | |||||||
Capital: | |||||||
Capital stock—Class B—Putable ($100 par value) issued and outstanding: | |||||||
23 shares and 33 shares, respectively | 2,253 | 3,278 | |||||
Unrestricted retained earnings | 610 | 294 | |||||
Restricted retained earnings | 2,018 | 2,065 | |||||
Total Retained Earnings | 2,628 | 2,359 | |||||
Accumulated other comprehensive income/(loss) (AOCI) | 15 | 56 | |||||
Total Capital | 4,896 | 5,693 | |||||
Total Liabilities and Capital | $ | 85,707 | $ | 75,807 |
(a) | At December 31, 2015, and 2014, none of these securities were pledged as collateral that may be repledged. |
(b) | At December 31, 2015, none of these securities were pledged as collateral that may be repledged. At December 31, 2014, a de minimis amount of these securities were pledged as collateral that may be repledged. |
For the Years Ended December 31, | |||||||||||
(In millions) | 2015 | 2014 | 2013 | ||||||||
Interest Income: | |||||||||||
Advances | $ | 291 | $ | 299 | $ | 340 | |||||
Prepayment fees on advances, net | 8 | 6 | 5 | ||||||||
Securities purchased under agreements to resell | 3 | 1 | 1 | ||||||||
Federal funds sold | 9 | 11 | 15 | ||||||||
Trading securities | 5 | 6 | 7 | ||||||||
AFS securities | 264 | 278 | 276 | ||||||||
HTM securities | 293 | 362 | 392 | ||||||||
Mortgage loans held for portfolio | 33 | 42 | 50 | ||||||||
Total Interest Income | 906 | 1,005 | 1,086 | ||||||||
Interest Expense: | |||||||||||
Consolidated obligations: | |||||||||||
Bonds | 317 | 326 | 432 | ||||||||
Discount notes | 46 | 20 | 17 | ||||||||
Deposits | 1 | — | — | ||||||||
Mandatorily redeemable capital stock | 65 | 120 | 155 | ||||||||
Total Interest Expense | 429 | 466 | 604 | ||||||||
Net Interest Income | 477 | 539 | 482 | ||||||||
Provision for/(reversal of) credit losses on mortgage loans | 1 | — | (1 | ) | |||||||
Net Interest Income After Mortgage Loan Loss Provision | 476 | 539 | 483 | ||||||||
Other Income/(Loss): | |||||||||||
Total other-than-temporary impairment (OTTI) loss | (31 | ) | (14 | ) | (14 | ) | |||||
Net amount of OTTI loss reclassified to/(from) AOCI | 16 | 10 | 7 | ||||||||
Net OTTI loss, credit-related | (15 | ) | (4 | ) | (7 | ) | |||||
Net gain/(loss) on trading securities | (2 | ) | (1 | ) | 2 | ||||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (50 | ) | (93 | ) | (23 | ) | |||||
Net gain/(loss) on derivatives and hedging activities | (16 | ) | (64 | ) | 26 | ||||||
Gains on litigation settlements, net | 459 | — | — | ||||||||
Other | 12 | 8 | 7 | ||||||||
Total Other Income/(Loss) | 388 | (154 | ) | 5 | |||||||
Other Expense: | |||||||||||
Compensation and benefits | 67 | 63 | 63 | ||||||||
Other operating expense | 71 | 69 | 53 | ||||||||
Federal Housing Finance Agency | 6 | 7 | 7 | ||||||||
Office of Finance | 4 | 5 | 5 | ||||||||
Total Other Expense | 148 | 144 | 128 | ||||||||
Income/(Loss) Before Assessment | 716 | 241 | 360 | ||||||||
AHP Assessment | 78 | 36 | 52 | ||||||||
Net Income/(Loss) | $ | 638 | $ | 205 | $ | 308 |
For the Years Ended December 31, | |||||||||||
(In millions) | 2015 | 2014 | 2013 | ||||||||
Net Income/(Loss) | $ | 638 | $ | 205 | $ | 308 | |||||
Other Comprehensive Income/(Loss): | |||||||||||
Net change in pension and postretirement benefits | (2 | ) | (5 | ) | 5 | ||||||
Net non-credit-related OTTI gain/(loss) on AFS securities: | |||||||||||
Non-credit-related OTTI loss transferred from HTM securities | (1 | ) | — | (4 | ) | ||||||
Net change in fair value of other-than-temporarily impaired securities | (29 | ) | 209 | 644 | |||||||
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (15 | ) | (10 | ) | (3 | ) | |||||
Total net non-credit-related OTTI gain/(loss) on AFS securities | (45 | ) | 199 | 637 | |||||||
Net non-credit-related OTTI gain/(loss) on HTM securities: | |||||||||||
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (1 | ) | — | (4 | ) | ||||||
Accretion of non-credit-related OTTI loss | 6 | 7 | 7 | ||||||||
Non-credit-related OTTI loss transferred to AFS securities | 1 | — | 4 | ||||||||
Total net non-credit-related OTTI gain/(loss) on HTM securities | 6 | 7 | 7 | ||||||||
Total other comprehensive income/(loss) | (41 | ) | 201 | 649 | |||||||
Total Comprehensive Income/(Loss) | $ | 597 | $ | 406 | $ | 957 |
Capital Stock Class B—Putable | Retained Earnings | Total Capital | ||||||||||||||||||||||||
(In millions) | Shares | Par Value | Restricted | Unrestricted | Total | AOCI | ||||||||||||||||||||
Balance, December 31, 2012 | 42 | $ | 4,160 | $ | 2,001 | $ | 246 | $ | 2,247 | $ | (794 | ) | $ | 5,613 | ||||||||||||
Issuance of capital stock | 5 | 530 | 530 | |||||||||||||||||||||||
Repurchase of capital stock | (12 | ) | (1,226 | ) | (1,226 | ) | ||||||||||||||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | — | (4 | ) | (4 | ) | |||||||||||||||||||||
Comprehensive income/(loss) | 76 | 232 | 308 | 649 | 957 | |||||||||||||||||||||
Cash dividends paid on capital stock (3.99%) | (161 | ) | (161 | ) | (161 | ) | ||||||||||||||||||||
Balance, December 31, 2013 | 35 | $ | 3,460 | $ | 2,077 | $ | 317 | $ | 2,394 | $ | (145 | ) | $ | 5,709 | ||||||||||||
Issuance of capital stock | 8 | 762 | 762 | |||||||||||||||||||||||
Repurchase of capital stock | (10 | ) | (941 | ) | (941 | ) | ||||||||||||||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | — | (3 | ) | (3 | ) | |||||||||||||||||||||
Comprehensive income/(loss) | (12 | ) | 217 | 205 | 201 | 406 | ||||||||||||||||||||
Cash dividends paid on capital stock (7.02%) | (240 | ) | (240 | ) | (240 | ) | ||||||||||||||||||||
Balance, December 31, 2014 | 33 | $ | 3,278 | $ | 2,065 | $ | 294 | $ | 2,359 | $ | 56 | $ | 5,693 | |||||||||||||
Issuance of capital stock | 8 | 829 | 829 | |||||||||||||||||||||||
Repurchase of capital stock | (14 | ) | (1,439 | ) | (1,439 | ) | ||||||||||||||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (4 | ) | (415 | ) | (415 | ) | ||||||||||||||||||||
Comprehensive income/(loss) | 103 | 535 | 638 | (41 | ) | 597 | ||||||||||||||||||||
Transfers from restricted retained earnings | (150 | ) | 150 | — | — | |||||||||||||||||||||
Cash dividends paid on capital stock (12.39%) | (369 | ) | (369 | ) | (369 | ) | ||||||||||||||||||||
Balance, December 31, 2015 | 23 | $ | 2,253 | $ | 2,018 | $ | 610 | $ | 2,628 | $ | 15 | $ | 4,896 |
For the Years Ended December 31, | |||||||||||
(In millions) | 2015 | 2014 | 2013 | ||||||||
Cash Flows from Operating Activities: | |||||||||||
Net Income /(Loss) | $ | 638 | $ | 205 | $ | 308 | |||||
Adjustments to reconcile net income/(loss) to net cash provided by operating activities: | |||||||||||
Depreciation and amortization | (80 | ) | (90 | ) | (68 | ) | |||||
Provision for/(reversal of) credit losses on mortgage loans | 1 | — | (1 | ) | |||||||
Change in net fair value of trading securities | 2 | 1 | (2 | ) | |||||||
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | 50 | 93 | 23 | ||||||||
Change in net derivatives and hedging activities | (33 | ) | (64 | ) | 7 | ||||||
Net OTTI loss, credit-related | 15 | 4 | 7 | ||||||||
Net change in: | |||||||||||
Accrued interest receivable | 16 | 18 | 21 | ||||||||
Other assets | (9 | ) | (4 | ) | (8 | ) | |||||
Accrued interest payable | (20 | ) | 1 | (85 | ) | ||||||
Other liabilities | 109 | 1 | 18 | ||||||||
Total adjustments | 51 | (40 | ) | (88 | ) | ||||||
Net cash provided by/(used in) operating activities | 689 | 165 | 220 | ||||||||
Cash Flows from Investing Activities: | |||||||||||
Net change in: | |||||||||||
Interest-bearing deposits | (404 | ) | (352 | ) | (128 | ) | |||||
Securities purchased under agreements to resell | (9,000 | ) | (1,000 | ) | 1,500 | ||||||
Federal funds sold | 2,877 | (5 | ) | 3,359 | |||||||
Premises, software, and equipment | (12 | ) | (12 | ) | (8 | ) | |||||
Trading securities: | |||||||||||
Proceeds from maturities of long-term | 2,339 | 582 | 236 | ||||||||
Purchases of long-term | — | (899 | ) | (525 | ) | ||||||
AFS securities: | |||||||||||
Proceeds from maturities of long-term | 996 | 938 | 1,283 | ||||||||
HTM securities: | |||||||||||
Net (increase)/decrease in short-term | — | 1,660 | 79 | ||||||||
Proceeds from maturities of long-term | 2,746 | 2,504 | 3,927 | ||||||||
Purchases of long-term | — | (207 | ) | (4,193 | ) | ||||||
Advances: | |||||||||||
Principal collected | 1,057,469 | 780,733 | 529,782 | ||||||||
Made to members | (1,069,480 | ) | (775,375 | ) | (530,789 | ) | |||||
Mortgage loans held for portfolio: | |||||||||||
Principal collected | 184 | 200 | 379 | ||||||||
Purchases | (131 | ) | (4 | ) | — | ||||||
Proceeds from sales of foreclosed assets | 4 | 3 | 4 | ||||||||
Net cash provided by/(used in) investing activities | (12,412 | ) | 8,766 | 4,906 |
For the Years Ended December 31, | |||||||||||
(In millions) | 2015 | 2014 | 2013 | ||||||||
Cash Flows from Financing Activities: | |||||||||||
Net change in: | |||||||||||
Deposits | 262 | 254 | 273 | ||||||||
Net (payments)/proceeds on derivative contracts with financing elements | 17 | 14 | 66 | ||||||||
Net proceeds from issuance of consolidated obligations: | |||||||||||
Bonds | 38,935 | 31,415 | 29,195 | ||||||||
Discount notes | 106,536 | 104,611 | 107,252 | ||||||||
Bonds transferred from another Federal Home Loan Bank | — | — | 122 | ||||||||
Payments for matured and retired consolidated obligations: | |||||||||||
Bonds | (33,968 | ) | (37,446 | ) | (45,827 | ) | |||||
Discount notes | (100,717 | ) | (106,991 | ) | (88,272 | ) | |||||
Proceeds from issuance of capital stock | 829 | 762 | 530 | ||||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | (646 | ) | (1,355 | ) | (2,276 | ) | |||||
Payments for repurchase of capital stock | (1,439 | ) | (941 | ) | (1,226 | ) | |||||
Cash dividends paid | (369 | ) | (240 | ) | (161 | ) | |||||
Net cash provided by/(used in) financing activities | 9,440 | (9,917 | ) | (324 | ) | ||||||
Net increase/(decrease) in cash and due from banks | (2,283 | ) | (986 | ) | 4,802 | ||||||
Cash and due from banks at beginning of the period | 3,920 | 4,906 | 104 | ||||||||
Cash and due from banks at end of the period | $ | 1,637 | $ | 3,920 | $ | 4,906 | |||||
Supplemental Disclosures: | |||||||||||
Interest paid | $ | 412 | $ | 457 | $ | 520 | |||||
AHP payments | 53 | 40 | 45 | ||||||||
Supplemental Disclosures of Noncash Investing Activities: | |||||||||||
Transfers of mortgage loans to real estate owned | 2 | 3 | 4 | ||||||||
Transfers of other-than-temporarily impaired HTM securities to AFS securities | 15 | — | 72 |
(1) | a qualifying hedge of the change in fair value of (i) a recognized asset or liability or (ii) an unrecognized firm commitment (a fair value hedge); |
(2) | a qualifying hedge of (i) a forecasted transaction or (ii) the variability of cash flows that are to be received or paid in connection with a recognized asset or liability (a cash flow hedge); |
(3) | a non-qualifying hedge of an asset or liability for asset-liability management purposes or of certain advances and consolidated obligation bonds for which the Bank elected the fair value option (an economic hedge); or |
(4) | a non-qualifying hedge of another derivative (an intermediation hedge) that is offered as a product to members or used to offset other derivatives with nonmember counterparties. |
• | Requires equity investments (with certain exceptions) to be measured at fair value with changes in fair value recognized in net income; |
• | Requires an entity to present separately in other comprehensive income the portion of the total change in the fair value of a liability resulting from a change in the instrument-specific credit risk when the entity has elected to measure the liability at fair value in accordance with the fair value option for financial instruments; |
• | Requires separate presentation of financial assets and financial liabilities by measurement category and form of financial asset on the balance sheet or in the accompanying notes to the financial statements; |
• | Eliminates the requirement for public entities to disclose the method(s) and significant assumptions used to estimate the fair value that is required to be disclosed for financial instruments measured at amortized cost on the balance sheet. |
• | Placing more emphasis on risk of loss when determining a controlling financial interest. A reporting organization may no longer have to consolidate a legal entity in certain circumstances based solely on its fee arrangement, when certain criteria are met. |
• | Reducing the frequency of the application of related-party guidance when determining a controlling financial interest in a VIE. |
• | Potentially changing consolidation conclusions for public and private companies in several industries that typically make use of limited partnerships or VIEs. |
2015 | 2014 | ||||||
Government-Sponsored Enterprises (GSEs) – Federal Farm Credit Bank (FFCB) bonds | $ | 1,424 | $ | 3,513 | |||
MBS – Other U.S. obligations – Ginnie Mae | 9 | 11 | |||||
Total | $ | 1,433 | $ | 3,524 |
December 31, 2015 | |||||||||||||||||||
Amortized Cost(1) | OTTI Recognized in AOCI | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
PLRMBS: | |||||||||||||||||||
Prime | $ | 489 | $ | (1 | ) | $ | 23 | $ | — | $ | 511 | ||||||||
Alt-A, option ARM | 956 | (37 | ) | 64 | (3 | ) | 980 | ||||||||||||
Alt-A, other | 3,926 | (127 | ) | 135 | (11 | ) | 3,923 | ||||||||||||
Total | $ | 5,371 | $ | (165 | ) | $ | 222 | $ | (14 | ) | $ | 5,414 |
December 31, 2014 | |||||||||||||||||||
Amortized Cost(1) | OTTI Recognized in AOCI | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
PLRMBS: | |||||||||||||||||||
Prime | $ | 565 | $ | (4 | ) | $ | 31 | $ | — | $ | 592 | ||||||||
Alt-A, option ARM | 1,031 | (43 | ) | 77 | — | 1,065 | |||||||||||||
Alt-A, other | 4,687 | (145 | ) | 174 | (2 | ) | 4,714 | ||||||||||||
Total | $ | 6,283 | $ | (192 | ) | $ | 282 | $ | (2 | ) | $ | 6,371 |
(1) | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. |
December 31, 2015 | |||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | ||||||||||||||||||
PLRMBS: | |||||||||||||||||||||||
Prime | $ | — | $ | — | $ | 25 | $ | 1 | $ | 25 | $ | 1 | |||||||||||
Alt-A, option ARM | — | — | 435 | 40 | 435 | 40 | |||||||||||||||||
Alt-A, other | 168 | 2 | 1,521 | 136 | 1,689 | 138 | |||||||||||||||||
Total | $ | 168 | $ | 2 | $ | 1,981 | $ | 177 | $ | 2,149 | $ | 179 |
December 31, 2014 | |||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | ||||||||||||||||||
PLRMBS: | |||||||||||||||||||||||
Prime | $ | 71 | $ | 3 | $ | 36 | $ | 1 | $ | 107 | $ | 4 | |||||||||||
Alt-A, option ARM | — | — | 580 | 43 | 580 | 43 | |||||||||||||||||
Alt-A, other | 403 | 12 | 1,682 | 135 | 2,085 | 147 | |||||||||||||||||
Total | $ | 474 | $ | 15 | $ | 2,298 | $ | 179 | $ | 2,772 | $ | 194 |
2015 | 2014 | ||||||
Amortized cost of AFS PLRMBS: | |||||||
Collateralized mortgage obligations: | |||||||
Fixed rate | $ | 1,540 | $ | 1,917 | |||
Adjustable rate | 3,831 | 4,366 | |||||
Total | $ | 5,371 | $ | 6,283 |
2015 | 2014 | ||||||
Collateralized mortgage obligations: | |||||||
Converts in 1 year or less | $ | 102 | $ | 71 | |||
Converts after 1 year through 5 years | 99 | 226 | |||||
Total | $ | 201 | $ | 297 |
December 31, 2015 | |||||||||||||||||||||||
Amortized Cost(1) | OTTI Recognized in AOCI(1) | Carrying Value(1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||
Housing finance agency bonds: | |||||||||||||||||||||||
California Housing Finance Agency (CalHFA) bonds | $ | 275 | $ | — | $ | 275 | $ | — | $ | (33 | ) | $ | 242 | ||||||||||
MBS: | |||||||||||||||||||||||
Other U.S. obligations – Ginnie Mae | 1,227 | — | 1,227 | 4 | (3 | ) | 1,228 | ||||||||||||||||
GSEs: | |||||||||||||||||||||||
Freddie Mac | 3,677 | — | 3,677 | 39 | (20 | ) | 3,696 | ||||||||||||||||
Fannie Mae | 4,136 | — | 4,136 | 70 | (12 | ) | 4,194 | ||||||||||||||||
Subtotal GSEs | 7,813 | — | 7,813 | 109 | (32 | ) | 7,890 | ||||||||||||||||
PLRMBS: | |||||||||||||||||||||||
Prime | 905 | — | 905 | — | (27 | ) | 878 | ||||||||||||||||
Alt-A, option ARM | — | — | — | — | — | — | |||||||||||||||||
Alt-A, other | 596 | (14 | ) | 582 | 14 | (13 | ) | 583 | |||||||||||||||
Subtotal PLRMBS | 1,501 | (14 | ) | 1,487 | 14 | (40 | ) | 1,461 | |||||||||||||||
Total MBS | 10,541 | (14 | ) | 10,527 | 127 | (75 | ) | 10,579 | |||||||||||||||
Total | $ | 10,816 | $ | (14 | ) | $ | 10,802 | $ | 127 | $ | (108 | ) | $ | 10,821 |
December 31, 2014 | |||||||||||||||||||||||
Amortized Cost(1) | OTTI Recognized in AOCI(1) | Carrying Value(1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Estimated Fair Value | ||||||||||||||||||
Housing finance agency bonds: | |||||||||||||||||||||||
California Housing Finance Agency (CalHFA) bonds | $ | 328 | $ | — | $ | 328 | $ | — | $ | (45 | ) | $ | 283 | ||||||||||
MBS: | |||||||||||||||||||||||
Other U.S. obligations – Ginnie Mae | 1,513 | — | 1,513 | 15 | (2 | ) | 1,526 | ||||||||||||||||
GSEs: | |||||||||||||||||||||||
Freddie Mac | 4,517 | — | 4,517 | 61 | (12 | ) | 4,566 | ||||||||||||||||
Fannie Mae | 5,313 | — | 5,313 | 121 | (6 | ) | 5,428 | ||||||||||||||||
Subtotal GSEs | 9,830 | — | 9,830 | 182 | (18 | ) | 9,994 | ||||||||||||||||
PLRMBS: | |||||||||||||||||||||||
Prime | 1,133 | — | 1,133 | 1 | (27 | ) | 1,107 | ||||||||||||||||
Alt-A, option ARM | 14 | — | 14 | — | (1 | ) | 13 | ||||||||||||||||
Alt-A, other | 753 | (20 | ) | 733 | 19 | (18 | ) | 734 | |||||||||||||||
Subtotal PLRMBS | 1,900 | (20 | ) | 1,880 | 20 | (46 | ) | 1,854 | |||||||||||||||
Total MBS | 13,243 | (20 | ) | 13,223 | 217 | (66 | ) | 13,374 | |||||||||||||||
Total | $ | 13,571 | $ | (20 | ) | $ | 13,551 | $ | 217 | $ | (111 | ) | $ | 13,657 |
(1) | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. |
December 31, 2015 | |||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | ||||||||||||||||||
Housing finance agency bonds: | |||||||||||||||||||||||
CalHFA bonds | $ | — | $ | — | $ | 240 | $ | 33 | $ | 240 | $ | 33 | |||||||||||
MBS: | |||||||||||||||||||||||
Other U.S. obligations – Ginnie Mae | 799 | 3 | 2 | — | 801 | 3 | |||||||||||||||||
GSEs: | |||||||||||||||||||||||
Freddie Mac | 1,736 | 20 | 20 | — | 1,756 | 20 | |||||||||||||||||
Fannie Mae | 1,095 | 9 | 154 | 3 | 1,249 | 12 | |||||||||||||||||
Subtotal GSEs | 2,831 | 29 | 174 | 3 | 3,005 | 32 | |||||||||||||||||
PLRMBS: | |||||||||||||||||||||||
Prime | 165 | 1 | 676 | 26 | 841 | 27 | |||||||||||||||||
Alt-A, option ARM | — | — | — | — | — | — | |||||||||||||||||
Alt-A, other | 10 | — | 573 | 27 | 583 | 27 | |||||||||||||||||
Subtotal PLRMBS | 175 | 1 | 1,249 | 53 | 1,424 | 54 | |||||||||||||||||
Total MBS | 3,805 | 33 | 1,425 | 56 | 5,230 | 89 | |||||||||||||||||
Total | $ | 3,805 | $ | 33 | $ | 1,665 | $ | 89 | $ | 5,470 | $ | 122 |
December 31, 2014 | |||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | Estimated Fair Value | Unrealized Losses | ||||||||||||||||||
Housing finance agency bonds: | |||||||||||||||||||||||
CalHFA bonds | $ | — | $ | — | $ | 283 | $ | 45 | $ | 283 | $ | 45 | |||||||||||
MBS: | |||||||||||||||||||||||
Other U.S. obligations – Ginnie Mae | 131 | — | 94 | 2 | 225 | 2 | |||||||||||||||||
GSEs: | |||||||||||||||||||||||
Freddie Mac | 622 | 1 | 1,044 | 11 | 1,666 | 12 | |||||||||||||||||
Fannie Mae | 286 | 1 | 562 | 5 | 848 | 6 | |||||||||||||||||
Subtotal GSEs | 908 | 2 | 1,606 | 16 | 2,514 | 18 | |||||||||||||||||
PLRMBS: | |||||||||||||||||||||||
Prime | 264 | 2 | 682 | 25 | 946 | 27 | |||||||||||||||||
Alt-A, option ARM | — | — | 13 | 1 | 13 | 1 | |||||||||||||||||
Alt-A, other | 30 | — | 685 | 38 | 715 | 38 | |||||||||||||||||
Subtotal PLRMBS | 294 | 2 | 1,380 | 64 | 1,674 | 66 | |||||||||||||||||
Total MBS | 1,333 | 4 | 3,080 | 82 | 4,413 | 86 | |||||||||||||||||
Total | $ | 1,333 | $ | 4 | $ | 3,363 | $ | 127 | $ | 4,696 | $ | 131 |
December 31, 2015 | |||||||||||
Year of Contractual Maturity | Amortized Cost(1) | Carrying Value(1) | Estimated Fair Value | ||||||||
HTM securities other than MBS: | |||||||||||
Due after 5 years through 10 years | $ | 60 | $ | 60 | $ | 56 | |||||
Due after 10 years | 215 | 215 | 186 | ||||||||
Subtotal | 275 | 275 | 242 | ||||||||
MBS | 10,541 | 10,527 | 10,579 | ||||||||
Total | $ | 10,816 | $ | 10,802 | $ | 10,821 |
December 31, 2014 | |||||||||||
Year of Contractual Maturity | Amortized Cost(1) | Carrying Value(1) | Estimated Fair Value | ||||||||
HTM securities other than MBS: | |||||||||||
Due after 5 years through 10 years | $ | 78 | $ | 78 | $ | 70 | |||||
Due after 10 years | 250 | 250 | 213 | ||||||||
Subtotal | 328 | 328 | 283 | ||||||||
MBS | 13,243 | 13,223 | 13,374 | ||||||||
Total | $ | 13,571 | $ | 13,551 | $ | 13,657 |
(1) | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and previous OTTI recognized in earnings. The carrying value of HTM securities represents amortized cost after adjustment for non-credit-related OTTI recognized in AOCI. |
2015 | 2014 | ||||||
Amortized cost of HTM securities other than MBS: | |||||||
Adjustable rate | $ | 275 | $ | 328 | |||
Subtotal | 275 | 328 | |||||
Amortized cost of HTM MBS: | |||||||
Passthrough securities: | |||||||
Fixed rate | 146 | 285 | |||||
Adjustable rate | 416 | 415 | |||||
Collateralized mortgage obligations: | |||||||
Fixed rate | 7,224 | 9,249 | |||||
Adjustable rate | 2,755 | 3,294 | |||||
Subtotal | 10,541 | 13,243 | |||||
Total | $ | 10,816 | $ | 13,571 |
2015 | 2014 | ||||||
Passthrough securities: | |||||||
Converts in 1 year or less | $ | 22 | $ | 79 | |||
Converts after 1 year through 5 years | 119 | 140 | |||||
Converts after 5 years through 10 years | — | 59 | |||||
Total | $ | 141 | $ | 278 | |||
Collateralized mortgage obligations: | |||||||
Converts in 1 year or less | $ | 7 | $ | 73 | |||
Converts after 1 year through 5 years | 13 | 26 | |||||
Total | $ | 20 | $ | 99 |
December 31, 2015 | |||||||
Significant Inputs for Other-Than-Temporarily Impaired PLRMBS | Current | ||||||
Prepayment Rates | Default Rates | Loss Severities | Credit Enhancement | ||||
Year of Securitization | Weighted Average % (1) | Weighted Average % (1) | Weighted Average % (1) | Weighted Average % (1) | |||
Prime | |||||||
2007 | 13.2 | 3.7 | 20.8 | 19.2 | |||
2006 | 13.1 | 18.1 | 32.5 | — | |||
Total Prime | 13.2 | 3.8 | 20.9 | 19.0 | |||
Alt-A, option ARM | |||||||
2006 | 5.7 | 39.9 | 39.2 | 6.1 | |||
2005 | 7.4 | 11.1 | 32.5 | 29.4 | |||
Total Alt-A, option ARM | 5.9 | 35.9 | 38.2 | 9.3 | |||
Alt-A, other | |||||||
2007 | 11.3 | 24.7 | 34.8 | 10.3 | |||
2006 | 10.2 | 26.5 | 38.7 | 19.6 | |||
2005 | 13.3 | 14.9 | 36.9 | 5.8 | |||
2004 and earlier | 17.3 | 7.1 | 30.7 | 13.3 | |||
Total Alt-A, other | 12.2 | 20.0 | 36.4 | 10.8 | |||
Total | 11.7 | 21.0 | 36.3 | 10.8 |
2015 | 2014 | 2013 | |||||||||
Balance, beginning of the period | $ | 1,314 | $ | 1,378 | $ | 1,397 | |||||
Additional charges on securities for which OTTI was previously recognized(1) | 15 | 4 | 7 | ||||||||
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities(2) | (74 | ) | (68 | ) | (26 | ) | |||||
Balance, end of the period | $ | 1,255 | $ | 1,314 | $ | 1,378 |
(1) | For the year ended December 31, 2015, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2015. For the year ended December 31, 2014, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2014. For the year ended December 31, 2013, “securities for which OTTI was previously recognized” represents all securities that were also other-than-temporarily impaired prior to January 1, 2013. |
2015 | |||||||||||||||
Amortized Cost | OTTI Recognized in AOCI | Gross Unrecognized Holding Gains (Losses) | Estimated Fair Value | ||||||||||||
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: | |||||||||||||||
Prime | $ | 4 | $ | — | $ | — | $ | 4 | |||||||
Alt-A, option ARM | 12 | (1 | ) | — | 11 | ||||||||||
Total | $ | 16 | $ | (1 | ) | $ | — | $ | 15 |
December 31, 2015 | |||||||||||||||||||||||||||
Available-for-Sale Securities | Held-to-Maturity Securities | ||||||||||||||||||||||||||
Unpaid Principal Balance | Amortized Cost | Estimated Fair Value | Unpaid Principal Balance | Amortized Cost | Carrying Value | Estimated Fair Value | |||||||||||||||||||||
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: | |||||||||||||||||||||||||||
Prime | $ | 591 | $ | 489 | $ | 511 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Alt-A, option ARM | 1,269 | 956 | 980 | — | — | — | — | ||||||||||||||||||||
Alt-A, other | 4,524 | 3,926 | 3,923 | 111 | 107 | 93 | 107 | ||||||||||||||||||||
Total | $ | 6,384 | $ | 5,371 | $ | 5,414 | $ | 111 | $ | 107 | $ | 93 | $ | 107 |
December 31, 2014 | |||||||||||||||||||||||||||
Available-for-Sale Securities | Held-to-Maturity Securities | ||||||||||||||||||||||||||
Unpaid Principal Balance | Amortized Cost | Estimated Fair Value | Unpaid Principal Balance | Amortized Cost | Carrying Value | Estimated Fair Value | |||||||||||||||||||||
Other-than-temporarily impaired PLRMBS backed by loans classified at origination as: | |||||||||||||||||||||||||||
Prime | $ | 682 | $ | 565 | $ | 592 | $ | — | $ | — | $ | — | $ | — | |||||||||||||
Alt-A, option ARM | 1,391 | 1,031 | 1,065 | — | — | — | — | ||||||||||||||||||||
Alt-A, other | 5,374 | 4,687 | 4,714 | 132 | 128 | 108 | 127 | ||||||||||||||||||||
Total | $ | 7,447 | $ | 6,283 | $ | 6,371 | $ | 132 | $ | 128 | $ | 108 | $ | 127 |
2015 | 2014 | ||||||||||||
Contractual Maturity | Amount Outstanding | Weighted Average Interest Rate | Amount Outstanding | Weighted Average Interest Rate | |||||||||
Within 1 year | $ | 24,807 | 0.59 | % | $ | 21,328 | 0.63 | % | |||||
After 1 year through 2 years | 4,252 | 1.19 | 7,597 | 1.07 | |||||||||
After 2 years through 3 years | 6,208 | 1.19 | 3,235 | 1.39 | |||||||||
After 3 years through 4 years | 6,877 | 0.89 | 3,216 | 1.65 | |||||||||
After 4 years through 5 years | 2,022 | 1.11 | 1,655 | 1.82 | |||||||||
After 5 years | 6,675 | 1.11 | 1,799 | 2.81 | |||||||||
Total par value | 50,841 | 0.84 | % | 38,830 | 1.02 | % | |||||||
Valuation adjustments for hedging activities | 40 | 67 | |||||||||||
Valuation adjustments under fair value option | 38 | 89 | |||||||||||
Total | $ | 50,919 | $ | 38,986 |
Earlier of Contractual Maturity or Next Call Date | Earlier of Contractual Maturity or Next Put Date | ||||||||||||||
2015 | 2014 | 2015 | 2014 | ||||||||||||
Within 1 year | $ | 25,983 | $ | 21,460 | $ | 24,947 | $ | 21,468 | |||||||
After 1 year through 2 years | 6,124 | 7,693 | 4,152 | 7,597 | |||||||||||
After 2 years through 3 years | 8,432 | 3,258 | 6,168 | 3,135 | |||||||||||
After 3 years through 4 years | 3,173 | 3,291 | 6,877 | 3,176 | |||||||||||
After 4 years through 5 years | 5,706 | 1,646 | 2,022 | 1,655 | |||||||||||
After 5 years | 1,423 | 1,482 | 6,675 | 1,799 | |||||||||||
Total par value | $ | 50,841 | $ | 38,830 | $ | 50,841 | $ | 38,830 |
December 31, 2015 | ||||||||||||||
Name of Borrower | Advances Outstanding | Percentage of Total Advances Outstanding | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | ||||||||||
JPMorgan Chase Bank, National Association(2)(3) | $ | 14,813 | 29 | % | $ | 65 | 16 | % | ||||||
Bank of the West | 6,791 | 13 | 27 | 7 | ||||||||||
First Republic Bank | 4,000 | 8 | 75 | 19 | ||||||||||
CIT Bank, National Association(4) | 3,113 | 6 | 19 | 5 | ||||||||||
Citigroup Inc | ||||||||||||||
Citibank, N.A.(2) | 3,000 | 6 | 5 | 1 | ||||||||||
Banamex USA | — | — | — | — | ||||||||||
Subtotal Citigroup Inc | 3,000 | 6 | 5 | 1 | ||||||||||
Subtotal | 31,717 | 62 | 191 | 48 | ||||||||||
Others | 19,124 | 38 | 207 | 52 | ||||||||||
Total par value | $ | 50,841 | 100 | % | $ | 398 | 100 | % |
December 31, 2014 | |||||||||||||
Name of Borrower | Advances Outstanding | Percentage of Total Advances Outstanding | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | |||||||||
Bank of the West | $ | 5,484 | 14 | % | $ | 29 | 7 | % | |||||
First Republic Bank | 5,275 | 13 | 86 | 20 | |||||||||
JPMorgan Chase & Co.: | |||||||||||||
JPMorgan Bank & Trust Company, National Association(3) | 3,000 | 8 | 54 | 13 | |||||||||
JPMorgan Chase Bank, National Association(2) | 819 | 2 | 7 | 2 | |||||||||
Subtotal JPMorgan Chase & Co. | 3,819 | 10 | 61 | 15 | |||||||||
Bank of America California, N.A. | 3,500 | 9 | 18 | 4 | |||||||||
OneWest Bank, N.A.(4) | 3,364 | 9 | 28 | 6 | |||||||||
Subtotal | 21,442 | 55 | 222 | 52 | |||||||||
Others | 17,388 | 45 | 209 | 48 | |||||||||
Total par value | $ | 38,830 | 100 | % | $ | 431 | 100 | % |
(1) | Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. |
(2) | Nonmember institution. |
(3) | Effective August 31, 2015, JPMorgan Bank & Trust Company, National Association (JPMorgan B&T), merged with and into JPMorgan Chase Bank, National Association (JPMorgan Chase). As a result, JPMorgan B&T is no longer a member of the Bank. Upon the merger, all of the Bank capital stock held by JPMorgan B&T was transferred to JPMorgan Chase, a nonmember of the Bank, and reclassified as mandatorily redeemable capital stock, and all advances to JPMorgan B&T were transferred to JPMorgan Chase. |
(4) | Effective August 3, 2015, CIT Bank merged with and into OneWest Bank, which was renamed CIT Bank, National Association. |
2015 | 2014 | ||||||
Par value of advances: | |||||||
Fixed rate: | |||||||
Due within 1 year | $ | 13,073 | $ | 15,422 | |||
Due after 1 year | 9,381 | 12,330 | |||||
Total fixed rate | 22,454 | 27,752 | |||||
Adjustable rate: | |||||||
Due within 1 year | 11,734 | 5,906 | |||||
Due after 1 year | 16,653 | 5,172 | |||||
Total adjustable rate | 28,387 | 11,078 | |||||
Total par value | $ | 50,841 | $ | 38,830 |
2015 | 2014 | 2013 | |||||||||
Prepayment fees received | $ | 28 | $ | 16 | $ | 14 | |||||
Fair value adjustments | (20 | ) | (10 | ) | (9 | ) | |||||
Net | $ | 8 | $ | 6 | $ | 5 | |||||
Advance principal prepaid | $ | 2,229 | $ | 1,650 | $ | 365 |
2015 | 2014 | ||||||
Fixed rate medium-term mortgage loans | $ | 100 | $ | 160 | |||
Fixed rate long-term mortgage loans | 553 | 553 | |||||
Subtotal | 653 | 713 | |||||
Unamortized premiums | 10 | 6 | |||||
Unamortized discounts | (8 | ) | (10 | ) | |||
Mortgage loans held for portfolio | 655 | 709 | |||||
Less: Allowance for credit losses | — | (1 | ) | ||||
Total mortgage loans held for portfolio, net | $ | 655 | $ | 708 |
• | advances, letters of credit, and other extensions of credit, collectively referred to as “credit products,” |
• | MPF loans held for portfolio, |
• | term securities purchased under agreements to resell, and |
• | term Federal funds sold. |
2015 | 2014 | ||||||
Recorded Investment(1) | Recorded Investment(1) | ||||||
30 – 59 days delinquent | $ | 10 | $ | 12 | |||
60 – 89 days delinquent | 5 | 5 | |||||
90 days or more delinquent | 18 | 22 | |||||
Total past due | 33 | 39 | |||||
Total current loans | 625 | 673 | |||||
Total mortgage loans | $ | 658 | $ | 712 | |||
In process of foreclosure, included above(2) | $ | 7 | $ | 11 | |||
Nonaccrual loans | $ | 18 | $ | 22 | |||
Loans past due 90 days or more and still accruing interest | $ | — | $ | — | |||
Serious delinquencies as a percentage of total mortgage loans outstanding(3) | 2.76 | % | 3.12 | % |
(1) | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for accrued interest, net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. The recorded investment is not net of any valuation allowance. |
(2) | Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. |
(3) | Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding. |
2015 | 2014 | 2013 | |||||||||
Balance, beginning of the period | $ | 1 | $ | 2 | $ | 3 | |||||
(Charge-offs) /recoveries | (2 | ) | (1 | ) | — | ||||||
Provision for/(reversal of) credit losses | 1 | — | (1 | ) | |||||||
Balance, end of the period | $ | — | $ | 1 | $ | 2 |
2015 | 2014 | ||||||
Allowance for credit losses, end of period: | |||||||
Individually evaluated for impairment | $ | — | $ | 1 | |||
Total allowance for credit losses | $ | — | $ | 1 | |||
Recorded investment, end of period: | |||||||
Individually evaluated for impairment | $ | 14 | $ | 20 | |||
Collectively evaluated for impairment | 644 | 692 | |||||
Total recorded investment | $ | 658 | $ | 712 |
2015 | 2014 | ||||||||||||||||||||||
Recorded Investment | Unpaid Principal Balance | Related Allowance | Recorded Investment | Unpaid Principal Balance | Related Allowance | ||||||||||||||||||
With no related allowance | $ | 13 | $ | 13 | $ | — | $ | 14 | $ | 14 | $ | — | |||||||||||
With an allowance | 1 | 1 | — | 6 | 6 | 1 | |||||||||||||||||
Total | $ | 14 | $ | 14 | $ | — | $ | 20 | $ | 20 | $ | 1 |
2015 | 2014 | |||||||
With no related allowance | $ | 15 | $ | 17 | ||||
With an allowance | 1 | 7 | ||||||
Total | $ | 16 | $ | 24 |
1. | The first layer of protection against loss is the liquidation value of the real property securing the loan. |
2. | The next layer of protection comes from the primary mortgage insurance that is required for loans with a loan-to-value ratio greater than 80%, if still in place. |
3. | Losses that exceed the liquidation value of the real property and any primary mortgage insurance, up to an agreed-upon amount called the first loss account for each master commitment, are incurred by the Bank. |
4. | Losses in excess of the first loss account for each master commitment, up to an agreed-upon amount called the credit enhancement amount, are covered by the participating financial institution’s credit enhancement obligation at the time losses are incurred. |
5. | Losses in excess of the first loss account and the participating financial institution’s remaining credit enhancement for the master commitment, if any, are incurred by the Bank. |
2015 | 2014 | ||||||
Interest-bearing deposits: | |||||||
Demand and overnight | $ | 124 | $ | 159 | |||
Total interest-bearing deposits | 124 | 159 | |||||
Non-interest-bearing deposits | 3 | 1 | |||||
Total | $ | 127 | $ | 160 |
2015 | 2014 | ||||||||||||
Amount Outstanding | Weighted Average Interest Rate | Amount Outstanding | Weighted Average Interest Rate | ||||||||||
Interest-bearing deposits – Adjustable rate | $ | 124 | 0.01 | % | $ | 159 | 0.01 | % | |||||
Non-interest-bearing deposits | 3 | 1 | |||||||||||
Total | $ | 127 | $ | 160 |
• | Callable bonds, which the Bank may call in whole or in part at its option on predetermined call dates according to the terms of the bond offerings; |
• | Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-up dates according to the terms of the bond offerings; |
• | Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-down dates according to the terms of the bond offerings; |
• | Conversion callable bonds, which have coupon rates that convert from fixed to adjustable or from adjustable to fixed on predetermined dates and can generally be called at the Bank’s option on predetermined call dates according to the terms of the bond offerings. |
2015 | 2014 | ||||||||||||
Contractual Maturity | Amount Outstanding | Weighted Average Interest Rate | Amount Outstanding | Weighted Average Interest Rate | |||||||||
Within 1 year | $ | 29,114 | 1.03 | % | $ | 21,044 | 0.36 | % | |||||
After 1 year through 2 years | 11,264 | 0.91 | 9,871 | 2.43 | |||||||||
After 2 years through 3 years | 5,162 | 1.28 | 4,518 | 1.70 | |||||||||
After 3 years through 4 years | 1,430 | 1.44 | 2,336 | 1.49 | |||||||||
After 4 years through 5 years | 1,740 | 1.67 | 3,103 | 1.71 | |||||||||
After 5 years | 2,982 | 2.43 | 5,851 | 2.13 | |||||||||
Total par value | 51,692 | 1.14 | % | 46,723 | 1.29 | % | |||||||
Unamortized premiums | 27 | 58 | |||||||||||
Unamortized discounts | (9 | ) | (13 | ) | |||||||||
Valuation adjustments for hedging activities | 142 | 308 | |||||||||||
Fair value option valuation adjustments | (17 | ) | (31 | ) | |||||||||
Total | $ | 51,835 | $ | 47,045 |
2015 | 2014 | ||||||
Par value of consolidated obligation bonds: | |||||||
Non-callable | $ | 43,687 | $ | 32,565 | |||
Callable | 8,005 | 14,158 | |||||
Total par value | $ | 51,692 | $ | 46,723 |
Earlier of Contractual Maturity or Next Call Date | 2015 | 2014 | |||||
Within 1 year | $ | 36,469 | $ | 33,558 | |||
After 1 year through 2 years | 10,914 | 9,156 | |||||
After 2 years through 3 years | 3,282 | 2,043 | |||||
After 3 years through 4 years | 455 | 1,010 | |||||
After 4 years through 5 years | 395 | 385 | |||||
After 5 years | 177 | 571 | |||||
Total par value | $ | 51,692 | $ | 46,723 |
2015 | 2014 | ||||||||||||
Amount Outstanding | Weighted Average Interest Rate (1) | Amount Outstanding | Weighted Average Interest Rate (1) | ||||||||||
Par value | $ | 27,663 | 0.25 | % | $ | 21,815 | 0.09 | % | |||||
Unamortized discounts | (15 | ) | (4 | ) | |||||||||
Total | $ | 27,648 | $ | 21,811 |
2015 | 2014 | ||||||
Par value of consolidated obligations: | |||||||
Bonds: | |||||||
Fixed rate | $ | 28,942 | $ | 39,324 | |||
Adjustable rate | 20,815 | 3,678 | |||||
Step-up | 1,110 | 2,654 | |||||
Step-down | 550 | 500 | |||||
Fixed rate that converts to adjustable rate | 175 | 467 | |||||
Range bonds | 100 | 100 | |||||
Total bonds, par value | 51,692 | 46,723 | |||||
Discount notes, par value | 27,663 | 21,815 | |||||
Total consolidated obligations, par value | $ | 79,355 | $ | 68,538 |
2015 | 2014 | 2013 | |||||||||
Balance, beginning of the period | $ | 147 | $ | 151 | $ | 144 | |||||
AHP assessments | 78 | 36 | 52 | ||||||||
AHP grant payments | (53 | ) | (40 | ) | (45 | ) | |||||
Balance, end of the period | $ | 172 | $ | 147 | $ | 151 |
Net Non-Credit-Related OTTI Loss on AFS Securities | Net Non-Credit-Related OTTI Loss on HTM Securities | Pension and Postretirement Benefits | Total AOCI | ||||||||||||
Balance, December 31, 2012 | $ | (748 | ) | $ | (34 | ) | $ | (12 | ) | $ | (794 | ) | |||
Other comprehensive income/(loss) before reclassifications: | |||||||||||||||
Net change in pension and postretirement benefits | 5 | 5 | |||||||||||||
Non-credit-related OTTI loss | — | (4 | ) | (4 | ) | ||||||||||
Non-credit-related OTTI loss transferred | (4 | ) | 4 | — | |||||||||||
Net change in fair value | 644 | 644 | |||||||||||||
Accretion of non-credit-related OTTI loss | 7 | 7 | |||||||||||||
Reclassification from other comprehensive income/(loss) to net income/(loss): | |||||||||||||||
Non-credit-related OTTI to credit-related OTTI | (3 | ) | — | (3 | ) | ||||||||||
Net current period other comprehensive income/(loss) | 637 | 7 | 5 | 649 | |||||||||||
Balance, December 31, 2013 | (111 | ) | (27 | ) | (7 | ) | (145 | ) | |||||||
Other comprehensive income/(loss) before reclassifications: | |||||||||||||||
Net change in pension and postretirement benefits | (5 | ) | (5 | ) | |||||||||||
Non-credit-related OTTI loss | (10 | ) | — | (10 | ) | ||||||||||
Net change in fair value | 209 | 209 | |||||||||||||
Accretion of non-credit-related OTTI loss | 7 | 7 | |||||||||||||
Net current period other comprehensive income/(loss) | 199 | 7 | (5 | ) | 201 | ||||||||||
Balance, December 31, 2014 | 88 | (20 | ) | (12 | ) | 56 | |||||||||
Other comprehensive income/(loss) before reclassifications: | |||||||||||||||
Net change in pension and postretirement benefits | (2 | ) | (2 | ) | |||||||||||
Non-credit-related OTTI loss | (18 | ) | (1 | ) | (19 | ) | |||||||||
Non-credit-related OTTI loss transferred | (1 | ) | 1 | — | |||||||||||
Net change in fair value | (29 | ) | (29 | ) | |||||||||||
Accretion of non-credit-related OTTI loss | 6 | 6 | |||||||||||||
Reclassification from other comprehensive income/(loss) to net income/(loss): | |||||||||||||||
Non-credit-related OTTI to credit-related OTTI | 3 | — | 3 | ||||||||||||
Net current period other comprehensive income/(loss) | (45 | ) | 6 | (2 | ) | (41 | ) | ||||||||
Balance, December 31, 2015 | $ | 43 | $ | (14 | ) | $ | (14 | ) | $ | 15 |
2015 | 2014 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | 2,684 | $ | 5,369 | $ | 3,231 | $ | 6,356 | |||||||
Total regulatory capital | $ | 3,428 | $ | 5,369 | $ | 3,032 | $ | 6,356 | |||||||
Total regulatory capital ratio | 4.00 | % | 6.26 | % | 4.00 | % | 8.38 | % | |||||||
Leverage capital | $ | 4,285 | $ | 8,054 | $ | 3,790 | $ | 9,534 | |||||||
Leverage ratio | 5.00 | % | 9.40 | % | 5.00 | % | 12.58 | % |
2015 | 2014 | 2013 | |||||||||
Balance at the beginning of the period | $ | 719 | $ | 2,071 | $ | 4,343 | |||||
Reclassified from/(to) capital during the period(1) | 415 | 3 | 4 | ||||||||
Redemption of mandatorily redeemable capital stock | (53 | ) | (296 | ) | (502 | ) | |||||
Repurchase of excess mandatorily redeemable capital stock | (593 | ) | (1,059 | ) | (1,774 | ) | |||||
Balance at the end of the period | $ | 488 | $ | 719 | $ | 2,071 |
(1) | The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank. |
Contractual Redemption Period | 2015 | 2014 | |||||
Within 1 year | $ | 82 | $ | 51 | |||
After 1 year through 2 years | 1 | 582 | |||||
After 2 years through 3 years | — | 9 | |||||
After 3 years through 4 years | — | 1 | |||||
After 4 years through 5 years | 381 | 2 | |||||
Past contractual redemption date because of remaining activity(1) | 24 | 74 | |||||
Total | $ | 488 | $ | 719 |
(1) | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. |
• | The Bank may not redeem any capital stock if, following the redemption, the Bank would fail to meet its minimum capital requirements for total capital, leverage capital, and risk-based capital. All of the Bank's capital stock immediately becomes nonredeemable if the Bank fails to meet its minimum capital requirements. |
• | The Bank may not be able to redeem any capital stock if either its Board of Directors or the Finance Agency determines that it has incurred or is likely to incur losses resulting in or expected to result in a charge against capital that would have any of the following effects: cause the Bank not to comply with its regulatory capital requirements, result in negative retained earnings, or otherwise create an unsafe and unsound condition at the Bank. |
• | In addition to being able to prohibit capital stock redemptions, the Bank's Board of Directors has a right to call for additional capital stock purchases by its members, as a condition of continuing membership, as needed for the Bank to satisfy its statutory and regulatory capital requirements. |
• | If, during the period between receipt of a capital stock redemption notice and the actual redemption (a period that could last indefinitely), the Bank becomes insolvent and is either liquidated or merged with another FHLBank, the redemption value of the capital stock will be established either through the liquidation or the merger process. If the Bank is liquidated, after satisfaction of the Bank's obligations to creditors and to the extent funds are then available, each shareholder will be entitled to receive the par value of its capital stock as well as any retained earnings in an amount proportional to the shareholder's share of the total shares of capital stock, subject to any limitations that may be imposed by the Finance Agency. In the event of a merger or consolidation, the Board of Directors will determine the rights and preferences of the Bank's shareholders, subject to any terms and conditions imposed by the Finance Agency. |
• | The Bank may not redeem any capital stock if the principal or interest due on any consolidated obligations issued by the Office of Finance has not been paid in full. |
• | The Bank may not redeem any capital stock if the Bank fails to provide the Finance Agency with the quarterly certification required by Finance Agency rules prior to declaring or paying dividends for a quarter. |
• | The Bank may not redeem any capital stock if the Bank is unable to provide the required quarterly certification, projects that it will fail to comply with statutory or regulatory liquidity requirements or will be unable to fully meet all of its obligations on a timely basis, actually fails to satisfy these requirements or obligations, or negotiates to enter or enters into an agreement with another FHLBank to obtain financial assistance to meet its current obligations. |
Restricted Retained Earnings Related to: | ||||||||||||||||||
Unrestricted Retained Earnings | Valuation Adjustments | Buildup | Joint Capital Enhancement Agreement | Total Restricted Retained Earnings | Total Retained Earnings | |||||||||||||
Balance, December 31, 2013 | $ | 317 | $ | 88 | $ | 1,800 | $ | 189 | $ | 2,077 | $ | 2,394 | ||||||
Net income | 217 | (53 | ) | — | 41 | (12 | ) | 205 | ||||||||||
Cash dividends on capital stock | (240 | ) | — | — | — | — | (240 | ) | ||||||||||
Balance, December 31, 2014 | $ | 294 | $ | 35 | $ | 1,800 | $ | 230 | $ | 2,065 | $ | 2,359 | ||||||
Net income | 535 | (25 | ) | — | 128 | 103 | 638 | |||||||||||
Cash dividends on capital stock | (369 | ) | — | — | — | — | (369 | ) | ||||||||||
Transfers from restricted retained earnings | 150 | — | (150 | ) | — | (150 | ) | — | ||||||||||
Balance, December 31, 2015 | $ | 610 | $ | 10 | $ | 1,650 | $ | 358 | $ | 2,018 | $ | 2,628 |
2015 | 2014 | ||||||||||||
Name of Institution | Capital Stock Outstanding | Percentage of Total Capital Stock Outstanding | Capital Stock Outstanding | Percentage of Total Capital Stock Outstanding | |||||||||
JPMorgan Chase & Co.: | |||||||||||||
JPMorgan Bank & Trust Company, National Association | $ | — | — | % | $ | 268 | 7 | % | |||||
JPMorgan Chase Bank, National Association(1)(2) | 400 | 15 | 68 | 2 | |||||||||
Subtotal JPMorgan Chase & Co. | 400 | 15 | % | 336 | 9 | ||||||||
Citigroup Inc.: | |||||||||||||
Citibank, N.A.(1) | 81 | 3 | 577 | 14 | |||||||||
Banamex USA | 4 | — | 2 | — | |||||||||
Subtotal Citigroup Inc. | 85 | 3 | 579 | 14 | |||||||||
Subtotal | 485 | 18 | 915 | 23 | |||||||||
Others | 2,256 | 82 | 3,082 | 77 | |||||||||
Total | $ | 2,741 | 100 | % | $ | 3,997 | 100 | % |
(1) | The capital stock held by these nonmember institutions is classified as mandatorily redeemable capital stock. |
(2) | The Bank reclassified $403 of capital stock to mandatorily redeemable capital stock (a liability) on September 1, 2015, as a result of the merger of JPMorgan B&T with and into JPMorgan Chase, a nonmember of the Bank. |
• | Benefit Equalization Plan, a non-qualified retirement plan restoring benefits offered under the Cash Balance Plan that are limited by laws governing the plan. See below for further discussion of the defined contribution portion of the Benefit Equalization Plan. |
• | Supplemental Executive Retirement Plan (SERP), a non-qualified unfunded retirement benefit plan available to the Bank's eligible senior officers, which generally provides a service-linked supplemental cash balance annual contribution credit to SERP participants and an annual interest credit of 6% on the benefits accrued to the SERP participants through the prior yearend. |
• | Deferred Compensation Plan, a non-qualified retirement plan available to all eligible Bank officers, which provides make-up pension benefits that would have been earned under the Cash Balance Plan had the compensation not been deferred. The make-up benefits vest according to the corresponding provisions of the Cash Balance Plan. See below for further discussion of the defined contribution portion of the Deferred Compensation Plan. |
2015 | 2014 | ||||||||||||||||||||||
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | ||||||||||||||||||
Change in benefit obligation | |||||||||||||||||||||||
Benefit obligation, beginning of the period | $ | 43 | $ | 23 | $ | 2 | $ | 37 | $ | 21 | $ | 2 | |||||||||||
Service cost | 3 | 1 | — | 2 | 1 | — | |||||||||||||||||
Interest cost | 2 | 1 | — | 2 | 1 | — | |||||||||||||||||
Actuarial (gain)/loss | (1 | ) | (1 | ) | — | 3 | — | — | |||||||||||||||
Benefits paid | (1 | ) | — | — | (1 | ) | — | — | |||||||||||||||
Benefit obligation, end of the period | 46 | 24 | 2 | 43 | 23 | 2 | |||||||||||||||||
Change in plan assets | |||||||||||||||||||||||
Fair value of plan assets, beginning of the period | 41 | — | — | 38 | — | — | |||||||||||||||||
Actual return on plan assets | (1 | ) | — | — | 2 | — | — | ||||||||||||||||
Employer contributions | 4 | — | — | 2 | — | — | |||||||||||||||||
Benefits paid | (1 | ) | — | — | (1 | ) | — | — | |||||||||||||||
Fair value of plan assets, end of the period | 43 | — | — | 41 | — | — | |||||||||||||||||
Funded status at the end of the period | $ | (3 | ) | $ | (24 | ) | $ | (2 | ) | $ | (2 | ) | $ | (23 | ) | $ | (2 | ) |
2015 | 2014 | ||||||||||||||||||||||
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | ||||||||||||||||||
Other liabilities | $ | (3 | ) | $ | (24 | ) | $ | (2 | ) | $ | (2 | ) | $ | (23 | ) | $ | (2 | ) |
2015 | 2014 | ||||||||||||||||||||||
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | ||||||||||||||||||
Net loss/(gain) | $ | 12 | $ | 3 | $ | (1 | ) | $ | 9 | $ | 4 | $ | (2 | ) | |||||||||
Prior service cost | — | — | — | — | 1 | — | |||||||||||||||||
AOCI | $ | 12 | $ | 3 | $ | (1 | ) | $ | 9 | $ | 5 | $ | (2 | ) |
2015 | 2014 | ||||||||||||||||||||||
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | ||||||||||||||||||
Projected benefit obligation | $ | 46 | $ | 24 | $ | 2 | $ | 43 | $ | 23 | $ | 2 | |||||||||||
Accumulated benefit obligation | 44 | 24 | 2 | 41 | 22 | 2 | |||||||||||||||||
Fair value of plan assets | 43 | — | — | 41 | — | — |
2015 | 2014 | 2013 | |||||||||||||||||||||||||||||||||
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | |||||||||||||||||||||||||||
Net periodic benefit cost/(income) | |||||||||||||||||||||||||||||||||||
Service cost | $ | 3 | $ | 1 | $ | — | $ | 2 | $ | 1 | $ | — | $ | 3 | $ | 2 | $ | — | |||||||||||||||||
Interest cost | 2 | 1 | — | 2 | 1 | — | 1 | 1 | — | ||||||||||||||||||||||||||
Expected return on plan assets | (3 | ) | — | — | (3 | ) | — | — | (3 | ) | — | — | |||||||||||||||||||||||
Amortization of net loss/(gain) | — | 1 | (1 | ) | — | — | — | 1 | — | — | |||||||||||||||||||||||||
Net periodic benefit cost | 2 | 3 | (1 | ) | 1 | 2 | — | 2 | 3 | — | |||||||||||||||||||||||||
Other changes in plan assets and benefit obligations recognized in other comprehensive income | |||||||||||||||||||||||||||||||||||
Net loss/(gain) | 3 | (1 | ) | — | 4 | 1 | — | (5 | ) | — | (1 | ) | |||||||||||||||||||||||
Prior service cost | — | — | — | — | — | — | — | 1 | — | ||||||||||||||||||||||||||
Amortization of net loss/(gain) | — | (1 | ) | 1 | — | — | — | — | — | — | |||||||||||||||||||||||||
Total recognized in other comprehensive income | 3 | (2 | ) | 1 | 4 | 1 | — | (5 | ) | 1 | (1 | ) | |||||||||||||||||||||||
Total recognized in net periodic benefit cost and other comprehensive income | $ | 5 | $ | 1 | $ | — | $ | 5 | $ | 3 | $ | — | $ | (3 | ) | $ | 4 | $ | (1 | ) |
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | |||||||||
Estimated net gain/(loss) | $ | 1 | $ | — | $ | — |
2015 | 2014 | ||||||||||||||||
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post- retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | ||||||||||||
Discount rate | 3.75 | % | 3.75 | % | 4.00 | % | 3.50 | % | 3.50 | % | 3.75 | % | |||||
Rate of salary increase | 3.00% through 2016 4.00% thereafter | 3.00% through 2016 4.00% thereafter | — | 3.00% through 2015 4.00% thereafter | 3.00% through 2015 4.00% thereafter | — |
2015 | 2014 | 2013 | ||||||||||||||||||||||||
Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Post-retirement Health Benefit Plan | ||||||||||||||||||
Discount rate | 3.50 | % | 3.50 | % | 3.75 | % | 4.25 | % | 4.25 | % | 4.75 | % | 3.25 | % | 3.25 | % | 3.75 | % | ||||||||
Rate of salary increase | 3.00% through 2015 4.00% thereafter | 3.00% through 2015 4.00% thereafter | — | 3.00% through 2015 4.00% thereafter | 3.00% through 2015 4.00% thereafter | — | 3.00% through 2015 4.00% thereafter | 3.00% through 2015 4.00% thereafter | — | |||||||||||||||||
Expected return on plan assets | 8.00 | % | — | — | 8.00 | % | — | — | 8.00 | % | — | — |
2015 | 2014 | ||||||||||||||||||||||||||||||
Fair Value Measurement Using: | Fair Value Measurement Using: | ||||||||||||||||||||||||||||||
Asset Category | Level 1 | Level 2 | Level 3 | Total | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||
Cash and cash equivalents | $ | 2 | $ | — | $ | — | $ | 2 | $ | 1 | $ | — | $ | — | $ | 1 | |||||||||||||||
Equity mutual funds | 24 | — | — | 24 | 25 | — | — | 25 | |||||||||||||||||||||||
Fixed income mutual funds | 14 | — | — | 14 | 13 | — | — | 13 | |||||||||||||||||||||||
Real estate mutual funds | 2 | — | — | 2 | 1 | — | — | 1 | |||||||||||||||||||||||
Other mutual funds | 1 | — | — | 1 | 1 | — | — | 1 | |||||||||||||||||||||||
Total | $ | 43 | $ | — | $ | — | $ | 43 | $ | 41 | $ | — | $ | — | $ | 41 |
Asset Category | 2015 | 2014 | |||
Cash and cash equivalents | 6 | % | 4 | % | |
Equity mutual funds | 56 | 61 | |||
Fixed income mutual funds | 32 | 31 | |||
Real estate mutual funds | 4 | 2 | |||
Other mutual funds | 2 | 2 | |||
Total | 100 | % | 100 | % |
Year | Cash Balance Plan | Non-Qualified Defined Benefit Plans | Postretirement Health Benefit Plan | ||||||||
2016 | $ | 4 | $ | 6 | $ | — | |||||
2017 | 3 | 1 | — | ||||||||
2018 | 3 | 4 | — | ||||||||
2019 | 4 | 1 | — | ||||||||
2020 | 4 | 1 | — | ||||||||
2021 – 2025 | 22 | 16 | 1 |
Advances- Related Business | Mortgage- Related Business(1) | Adjusted Net Interest Income | Amortization of Basis Adjustments(2) | Income/(Expense) on Economic Hedges(3) | Interest Expense on Mandatorily Redeemable Capital Stock(4) | Net Interest Income After Mortgage Loan Loss Provision | Other Income/ (Loss) | Other Expense | Income Before AHP Assessment | ||||||||||||||||||||||||||||||
2015 | $ | 155 | $ | 351 | $ | 506 | $ | (17 | ) | $ | (18 | ) | $ | 65 | $ | 476 | $ | 388 | $ | 148 | $ | 716 | |||||||||||||||||
2014 | 166 | 410 | 576 | (19 | ) | (64 | ) | 120 | 539 | (154 | ) | 144 | 241 | ||||||||||||||||||||||||||
2013 | 175 | 449 | 624 | (48 | ) | 34 | 155 | 483 | 5 | 128 | 360 |
(1) | The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013. The mortgage-related business does not include credit-related OTTI losses of $15, $4, and $7 for the years ended December 31, 2015, 2014, and 2013, respectively. |
(2) | Represents amortization of amounts deferred for adjusted net interest income purposes only, in accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework. |
(3) | The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives and hedging activities.” |
(4) | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments. |
Advances- Related Business | Mortgage- Related Business | Total Assets | |||||||||
2015 | $ | 69,051 | $ | 16,656 | $ | 85,707 | |||||
2014 | 55,424 | 20,383 | 75,807 | ||||||||
2013 | 62,297 | 23,477 | 85,774 |
2015 | 2014 | ||||||||||||||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||||||
Derivatives designated as hedging instruments: | |||||||||||||||||||||||
Interest rate swaps | $ | 27,110 | $ | 192 | $ | 71 | $ | 28,018 | $ | 374 | $ | 103 | |||||||||||
Total | 27,110 | 192 | 71 | 28,018 | 374 | 103 | |||||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||||||||
Interest rate swaps | 50,444 | 58 | 71 | 31,973 | 72 | 129 | |||||||||||||||||
Interest rate caps and floors | 2,230 | 6 | 1 | 2,306 | 9 | 1 | |||||||||||||||||
Mortgage delivery commitments | 5 | — | — | — | — | — | |||||||||||||||||
Total | 52,679 | 64 | 72 | 34,279 | 81 | 130 | |||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 79,789 | 256 | 143 | $ | 62,297 | 455 | 233 | |||||||||||||||
Netting adjustments and cash collateral(1) | (212 | ) | (137 | ) | (396 | ) | (213 | ) | |||||||||||||||
Total derivative assets and total derivative liabilities | $ | 44 | $ | 6 | $ | 59 | $ | 20 |
(1) | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. Cash collateral posted and related accrued interest was $57 and $65 at December 31, 2015, and 2014, respectively. Cash collateral received and related accrued interest was $132 and $248 at December 31, 2015, and 2014, respectively. |
2015 | 2014 | 2013 | |||||||||
Gain/(Loss) | Gain/(Loss) | Gain/(Loss) | |||||||||
Derivatives designated as hedging instruments: | |||||||||||
Interest rate swaps | $ | (10 | ) | $ | (12 | ) | $ | (2 | ) | ||
Total net gain/(loss) related to fair value hedge ineffectiveness | (10 | ) | (12 | ) | (2 | ) | |||||
Derivatives not designated as hedging instruments: | |||||||||||
Economic hedges: | |||||||||||
Interest rate swaps | 13 | 26 | (8 | ) | |||||||
Interest rate caps and floors | (3 | ) | (14 | ) | 2 | ||||||
Net settlements | (18 | ) | (64 | ) | 34 | ||||||
Mortgage delivery commitments | 2 | — | — | ||||||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | (6 | ) | (52 | ) | 28 | ||||||
Net gain/(loss) on derivatives and hedging activities | $ | (16 | ) | $ | (64 | ) | $ | 26 |
Hedged Item Type | Gain/(Loss) on Derivatives | Gain /(Loss) on Hedged Item | Net Fair Value Hedge Ineffectiveness | Effect of Derivatives on Net Interest Income(1) | |||||||||||
Year ended December 31, 2015: | |||||||||||||||
Advances | $ | 19 | $ | (20 | ) | $ | (1 | ) | $ | (106 | ) | ||||
Consolidated obligation bonds | (170 | ) | 161 | (9 | ) | 257 | |||||||||
Total | $ | (151 | ) | $ | 141 | $ | (10 | ) | $ | 151 | |||||
Year ended December 31, 2014: | |||||||||||||||
Advances | $ | 23 | $ | (23 | ) | $ | — | $ | (128 | ) | |||||
Consolidated obligation bonds | (189 | ) | 177 | (12 | ) | 260 | |||||||||
Total | $ | (166 | ) | $ | 154 | $ | (12 | ) | $ | 132 | |||||
Year ended December 31, 2013: | |||||||||||||||
Advances | $ | 178 | $ | (175 | ) | $ | 3 | $ | (126 | ) | |||||
Consolidated obligation bonds | (373 | ) | 368 | (5 | ) | 366 | |||||||||
Total | $ | (195 | ) | $ | 193 | $ | (2 | ) | $ | 240 |
(1) | The net interest on derivatives in fair value hedge relationships is presented in the interest income/expense line item of the respective hedged item. |
2015 | 2014 | ||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | ||||||||||||
Derivative instruments meeting netting requirements | |||||||||||||||
Gross recognized amount | |||||||||||||||
Uncleared derivatives | $ | 166 | $ | 93 | $ | 352 | $ | 199 | |||||||
Cleared derivatives | 90 | 50 | 103 | 34 | |||||||||||
Total gross recognized amount | 256 | 143 | 455 | 233 | |||||||||||
Gross amounts of netting adjustments and cash collateral | |||||||||||||||
Uncleared derivatives | (149 | ) | (87 | ) | (324 | ) | (179 | ) | |||||||
Cleared derivatives | (63 | ) | (50 | ) | (72 | ) | (34 | ) | |||||||
Total gross amount of netting adjustments and cash collateral | (212 | ) | (137 | ) | (396 | ) | (213 | ) | |||||||
Total derivative assets and total derivative liabilities | |||||||||||||||
Uncleared derivatives | 17 | 6 | 28 | 20 | |||||||||||
Cleared derivatives | 27 | — | 31 | — | |||||||||||
Total derivative assets and derivative liabilities presented in the Statements of Condition | 44 | 6 | 59 | 20 | |||||||||||
Non-cash collateral received or pledged not offset | |||||||||||||||
Can be sold or repledged - Uncleared derivatives | 11 | — | 25 | — | |||||||||||
Net unsecured amount | |||||||||||||||
Uncleared derivatives | 6 | 6 | 3 | 20 | |||||||||||
Cleared derivatives | 27 | — | 31 | — | |||||||||||
Total net unsecured amount | $ | 33 | $ | 6 | $ | 34 | $ | 20 |
December 31, 2015 | |||||||||||||||||||||||
Carrying Value | Estimated Fair Value | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | ||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash and due from banks | $ | 1,637 | $ | 1,637 | $ | 1,637 | $ | — | $ | — | $ | — | |||||||||||
Securities purchased under agreements to resell | 10,000 | 10,000 | — | 10,000 | — | — | |||||||||||||||||
Federal funds sold | 4,626 | 4,626 | — | 4,626 | — | — | |||||||||||||||||
Trading securities | 1,433 | 1,433 | — | 1,433 | — | — | |||||||||||||||||
AFS securities | 5,414 | 5,414 | — | — | 5,414 | — | |||||||||||||||||
HTM securities | 10,802 | 10,821 | — | 9,118 | 1,703 | — | |||||||||||||||||
Advances | 50,919 | 50,844 | — | 50,844 | — | — | |||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 655 | 694 | — | 694 | — | — | |||||||||||||||||
Accrued interest receivable | 56 | 56 | — | 56 | — | — | |||||||||||||||||
Derivative assets, net(1) | 44 | 44 | — | 256 | — | (212 | ) | ||||||||||||||||
Other assets(2) | 10 | 10 | 10 | — | — | — | |||||||||||||||||
Liabilities | |||||||||||||||||||||||
Deposits | 127 | 127 | — | 127 | — | — | |||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||||
Bonds | 51,835 | 51,773 | — | 51,773 | — | — | |||||||||||||||||
Discount notes | 27,648 | 27,640 | — | 27,640 | — | — | |||||||||||||||||
Total consolidated obligations | 79,483 | 79,413 | — | 79,413 | — | — | |||||||||||||||||
Mandatorily redeemable capital stock | 488 | 488 | 488 | — | — | — | |||||||||||||||||
Accrued interest payable | 80 | 80 | — | 80 | — | — | |||||||||||||||||
Derivative liabilities, net(1) | 6 | 6 | — | 143 | — | (137 | ) | ||||||||||||||||
Other | |||||||||||||||||||||||
Standby letters of credit | 18 | 18 | — | 18 | — | — | |||||||||||||||||
Commitments to issue consolidated obligation bonds(3) | — | 1 | — | 1 | — | — |
December 31, 2014 | |||||||||||||||||||||||
Carrying Value | Estimated Fair Value | Level 1 | Level 2 | Level 3 | Netting Adjustments(1) | ||||||||||||||||||
Assets | |||||||||||||||||||||||
Cash and due from banks | $ | 3,920 | $ | 3,920 | $ | 3,920 | $ | — | $ | — | $ | — | |||||||||||
Securities purchased under agreements to resell | 1,000 | 1,000 | — | 1,000 | — | — | |||||||||||||||||
Federal funds sold | 7,503 | 7,503 | — | 7,503 | — | — | |||||||||||||||||
Trading securities | 3,524 | 3,524 | — | 3,524 | — | — | |||||||||||||||||
AFS securities | 6,371 | 6,371 | — | — | 6,371 | — | |||||||||||||||||
HTM securities | 13,551 | 13,657 | — | 11,521 | 2,136 | — | |||||||||||||||||
Advances | 38,986 | 39,060 | — | 39,060 | — | — | |||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 708 | 769 | — | 769 | — | — | |||||||||||||||||
Accrued interest receivable | 67 | 67 | — | 67 | — | — | |||||||||||||||||
Derivative assets, net(1) | 59 | 59 | — | 455 | — | (396 | ) | ||||||||||||||||
Other assets(2) | 11 | 11 | 11 | — | — | — | |||||||||||||||||
Liabilities | |||||||||||||||||||||||
Deposits | 160 | 160 | — | 160 | — | — | |||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||||
Bonds | 47,045 | 47,021 | — | 47,021 | — | — | |||||||||||||||||
Discount notes | 21,811 | 21,811 | — | 21,811 | — | — | |||||||||||||||||
Total consolidated obligations | 68,856 | 68,832 | — | 68,832 | — | — | |||||||||||||||||
Mandatorily redeemable capital stock | 719 | 719 | 719 | — | — | — | |||||||||||||||||
Accrued interest payable | 95 | 95 | — | 95 | — | — | |||||||||||||||||
Derivative liabilities, net(1) | 20 | 20 | — | 233 | — | (213 | ) | ||||||||||||||||
Other | |||||||||||||||||||||||
Standby letters of credit | 12 | 12 | — | 12 | — | — | |||||||||||||||||
Commitments to fund advances(3) | — | 2 | — | 2 | — | — |
(1) | Amounts include the netting of derivative assets and liabilities by counterparty, including cash collateral and related accrued interest, where the netting requirements have been met. |
(2) | Represents publicly traded mutual funds held in a grantor trust. |
(3) | Estimated fair values of these commitments are presented as a net gain or (loss). For more information regarding these commitments, see Note 20 – Commitments and Contingencies. |
• | Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. |
• | Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar |
• | Level 3 – Unobservable inputs for the asset or liability. |
• | Trading securities |
• | AFS securities |
• | Certain advances |
• | Derivative assets and liabilities |
• | Certain consolidated obligation bonds |
• | Certain other assets |
December 31, 2015 | |||||||||||||||||||
Fair Value Measurement Using: | Netting | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustments(1) | Total | |||||||||||||||
Recurring fair value measurements – Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
GSEs – FFCB bonds | $ | — | $ | 1,424 | $ | — | $ | — | $ | 1,424 | |||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations – Ginnie Mae | — | 9 | — | — | 9 | ||||||||||||||
Total trading securities | — | 1,433 | — | — | 1,433 | ||||||||||||||
AFS securities: | |||||||||||||||||||
PLRMBS | — | — | 5,414 | — | 5,414 | ||||||||||||||
Total AFS securities | — | — | 5,414 | — | 5,414 | ||||||||||||||
Advances(2) | — | 3,677 | — | — | 3,677 | ||||||||||||||
Derivative assets, net: interest rate-related | — | 256 | — | (212 | ) | 44 | |||||||||||||
Other assets | 10 | — | — | — | 10 | ||||||||||||||
Total recurring fair value measurements – Assets | $ | 10 | $ | 5,366 | $ | 5,414 | $ | (212 | ) | $ | 10,578 | ||||||||
Recurring fair value measurements – Liabilities: | |||||||||||||||||||
Consolidated obligation bonds(3) | $ | — | $ | 4,233 | $ | — | $ | — | $ | 4,233 | |||||||||
Derivative liabilities, net: interest rate-related | — | 143 | — | (137 | ) | 6 | |||||||||||||
Total recurring fair value measurements – Liabilities | $ | — | $ | 4,376 | $ | — | $ | (137 | ) | $ | 4,239 | ||||||||
Nonrecurring fair value measurements – Assets:(4) | |||||||||||||||||||
REO | $ | — | $ | — | $ | 1 | $ | 1 | |||||||||||
Impaired mortgage loans held for portfolio | — | — | 5 | 5 | |||||||||||||||
Total nonrecurring fair value measurements – Assets | $ | — | $ | — | $ | 6 | $ | 6 |
December 31, 2014 | |||||||||||||||||||
Fair Value Measurement Using: | Netting | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Adjustments(1) | Total | |||||||||||||||
Recurring fair value measurements – Assets: | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
GSEs – FFCB bonds | $ | — | $ | 3,513 | $ | — | $ | — | $ | 3,513 | |||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations – Ginnie Mae | — | 11 | — | — | 11 | ||||||||||||||
Total trading securities | — | 3,524 | — | — | 3,524 | ||||||||||||||
AFS securities: | |||||||||||||||||||
PLRMBS | — | — | 6,371 | — | 6,371 | ||||||||||||||
Total AFS securities | — | — | 6,371 | — | 6,371 | ||||||||||||||
Advances(2) | — | 5,137 | — | — | 5,137 | ||||||||||||||
Derivative assets, net: interest rate-related | — | 455 | — | (396 | ) | 59 | |||||||||||||
Other assets | 11 | — | — | — | 11 | ||||||||||||||
Total recurring fair value measurements – Assets | $ | 11 | $ | 9,116 | $ | 6,371 | $ | (396 | ) | $ | 15,102 | ||||||||
Recurring fair value measurements – Liabilities: | |||||||||||||||||||
Consolidated obligation bonds(3) | $ | — | $ | 6,717 | $ | — | $ | — | $ | 6,717 | |||||||||
Derivative liabilities, net: interest rate-related | — | 233 | — | (213 | ) | 20 | |||||||||||||
Total recurring fair value measurements – Liabilities | $ | — | $ | 6,950 | $ | — | $ | (213 | ) | $ | 6,737 | ||||||||
Nonrecurring fair value measurements – Assets: | |||||||||||||||||||
REO | $ | — | $ | — | $ | 1 | $ | 1 |
(1) | Amounts represent the netting of derivative assets and liabilities by counterparty, including cash collateral, where the netting requirements have been met. |
(2) | Represents advances recorded under the fair value option at December 31, 2015 and 2014. |
(3) | Represents consolidated obligation bonds recorded under the fair value option at December 31, 2015 and 2014. |
(4) | The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2015. |
2015 | 2014 | 2013 | |||||||||
Balance, beginning of the period | $ | 6,371 | $ | 7,047 | $ | 7,604 | |||||
Total gain/(loss) realized and unrealized included in: | |||||||||||
Interest income | 83 | 66 | 21 | ||||||||
Net OTTI loss, credit-related | (15 | ) | (4 | ) | (7 | ) | |||||
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI | (29 | ) | 209 | 644 | |||||||
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (15 | ) | (10 | ) | (3 | ) | |||||
Settlements | (996 | ) | (937 | ) | (1,284 | ) | |||||
Transfers of HTM securities to AFS securities | 15 | — | 72 | ||||||||
Balance, end of the period | $ | 5,414 | $ | 6,371 | $ | 7,047 | |||||
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period | $ | 68 | $ | 62 | $ | 15 |
• | Adjustable rate advances with embedded options (excluding call and put options) |
• | Callable fixed rate advances |
• | Putable fixed rate advances |
• | Putable fixed rate advances with embedded options |
• | Fixed rate advances with partial prepayment symmetry |
• | Callable or non-callable capped floater consolidated obligation bonds |
• | Convertible consolidated obligation bonds |
• | Adjustable or fixed rate range accrual consolidated obligation bonds |
• | Ratchet consolidated obligation bonds |
• | Adjustable rate advances indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate |
• | Adjustable rate consolidated obligation bonds indexed to non-LIBOR indices such as the Prime Rate, U.S. Treasury bill, and Federal funds effective rate |
• | Step-up callable bonds, which pay interest at increasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-up dates |
• | Step-down callable bonds, which pay interest at decreasing fixed rates for specified intervals over the life of the bond and can generally be called at the Bank's option on the step-down dates |
2015 | 2014 | 2013 | |||||||||||||||||||||
Advances | Consolidated Obligation Bonds | Advances | Consolidated Obligation Bonds | Advances | Consolidated Obligation Bonds | ||||||||||||||||||
Balance, beginning of the period | $ | 5,137 | $ | 6,717 | $ | 7,069 | $ | 10,115 | $ | 7,390 | $ | 27,884 | |||||||||||
New transactions elected for fair value option | 1,018 | 2,585 | 783 | 3,607 | 837 | 3,547 | |||||||||||||||||
Maturities and terminations | (2,442 | ) | (5,083 | ) | (2,700 | ) | (7,088 | ) | (988 | ) | (21,165 | ) | |||||||||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | (31 | ) | 19 | (11 | ) | 82 | (169 | ) | (146 | ) | |||||||||||||
Change in accrued interest | (5 | ) | (5 | ) | (4 | ) | 1 | (1 | ) | (5 | ) | ||||||||||||
Balance, end of the period | $ | 3,677 | $ | 4,233 | $ | 5,137 | $ | 6,717 | $ | 7,069 | $ | 10,115 |
2015 | 2014 | ||||||||||||||||||||||
Principal Balance | Fair Value | Fair Value Over/(Under) Principal Balance | Principal Balance | Fair Value | Fair Value Over/(Under) Principal Balance | ||||||||||||||||||
Advances(1) | $ | 3,639 | $ | 3,677 | $ | 38 | $ | 5,048 | $ | 5,137 | $ | 89 | |||||||||||
Consolidated obligation bonds | 4,250 | 4,233 | (17 | ) | 6,748 | 6,717 | (31 | ) |
(1) | At December 31, 2015 and 2014, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
2015 | 2014 | ||||||||||||||||||||||
Expire Within One Year | Expire After One Year | Total | Expire Within One Year | Expire After One Year | Total | ||||||||||||||||||
Standby letters of credit outstanding | $ | 9,072 | $ | 3,237 | $ | 12,309 | $ | 2,699 | $ | 2,711 | $ | 5,410 | |||||||||||
Commitments to fund additional advances(1) | 5 | 5 | 10 | 121 | 5 | 126 | |||||||||||||||||
Commitments to issue consolidated obligation discount notes, par | 300 | — | 300 | 3 | — | 3 | |||||||||||||||||
Commitments to issue consolidated obligation bonds, par(2) | 110 | — | 110 | — | — | — | |||||||||||||||||
Commitments to purchase mortgage loans | 5 | — | 5 | — | — | — |
(1) | At December 31, 2015, none of the commitments to fund additional advances were hedged with associated interest rate swaps. At December 31, 2014, $100 of the commitments to fund additional advances were hedged with associated interest rate swaps. |
(2) | At December 31, 2015, all of the unsettled consolidated obligation bonds were hedged with associated interest rate swaps. |
Year | Future Minimum Rentals | ||
2016 | $ | 4 | |
2017 | 4 | ||
2018 | 4 | ||
2019 | 3 | ||
2020 | 2 | ||
Total | $ | 17 |
December 31, 2015 | December 31, 2014 | ||||||
Assets: | |||||||
Advances | $ | 3,297 | $ | 2,080 | |||
Mortgage loans held for portfolio | 24 | 32 | |||||
Accrued interest receivable | 5 | 6 | |||||
Liabilities: | |||||||
Deposits | $ | 4 | $ | 3 | |||
Capital: | |||||||
Capital Stock | $ | 119 | $ | 162 |
For the Years Ended December 31, | |||||||||||
2015 | 2014 | 2013 | |||||||||
Interest Income: | |||||||||||
Advances | $ | 35 | $ | 42 | $ | 65 | |||||
Mortgage loans held for portfolio | 1 | 2 | 3 |
2015 | 2014 | 2013 | |||||||||
Professional and contract services | $ | 50 | $ | 48 | $ | 33 | |||||
Travel | 2 | 2 | 2 | ||||||||
Occupancy | 5 | 5 | 5 | ||||||||
Equipment | 10 | 10 | 9 | ||||||||
Other | 4 | 4 | 4 | ||||||||
Total | $ | 71 | $ | 69 | $ | 53 |
Three Months Ended | |||||||||||||||
December 31, 2015 | September 30, 2015 | June 30, 2015 | March 31, 2015 | ||||||||||||
Interest income | $ | 221 | $ | 222 | $ | 236 | $ | 227 | |||||||
Interest expense | 101 | 103 | 128 | 97 | |||||||||||
Net interest income | 120 | 119 | 108 | 130 | |||||||||||
Provision for/(reversal of) credit losses on mortgage loans | 1 | — | — | — | |||||||||||
Other income/(loss) | (9 | ) | (33 | ) | (2 | ) | 432 | ||||||||
Other expense | 46 | 34 | 34 | 34 | |||||||||||
Assessments | 7 | 6 | 11 | 54 | |||||||||||
Net income/(loss) | $ | 57 | $ | 46 | $ | 61 | $ | 474 | |||||||
Dividends declared per share(1) | $ | 2.22 | $ | 2.50 | $ | 5.58 | $ | 1.79 | |||||||
Annualized dividend rate(1) | 8.79 | % | 10.01 | % | 22.65 | % | 7.11 | % |
(1) | In the second quarter of 2015, the amount of dividends declared per share includes a special dividend of $3.69 at an annualized dividend rate of 14.98%. |
Three Months Ended | |||||||||||||||
December 31, 2014 | September 30, 2014 | June 30, 2014 | March 31, 2014 | ||||||||||||
Interest income | $ | 237 | $ | 247 | $ | 260 | $ | 261 | |||||||
Interest expense | 104 | 114 | 122 | 126 | |||||||||||
Net interest income | 133 | 133 | 138 | 135 | |||||||||||
Provision for/(reversal of) credit losses on mortgage loans | — | (1 | ) | — | 1 | ||||||||||
Other income/(loss) | (40 | ) | (12 | ) | (54 | ) | (48 | ) | |||||||
Other expense | 41 | 34 | 37 | 32 | |||||||||||
Assessments | 7 | 12 | 8 | 9 | |||||||||||
Net income/(loss) | 45 | $ | 76 | $ | 39 | $ | 45 | ||||||||
Dividends declared per share | $ | 1.87 | $ | 1.83 | $ | 1.68 | $ | 1.68 | |||||||
Annualized dividend rate | 7.40 | % | 7.35 | % | 6.80 | % | 6.67 | % |
(In millions) | 2015 | 2014 | 2013 | ||||||||
Trading securities: | |||||||||||
U.S. government corporations and GSEs – FFCB bonds | $ | 1,424 | $ | 3,513 | $ | 3,194 | |||||
MBS: | |||||||||||
Other U.S. obligations – Ginnie Mae | 9 | 11 | 14 | ||||||||
Total trading securities | 1,433 | 3,524 | 3,208 | ||||||||
AFS securities: | |||||||||||
MBS: | |||||||||||
PLRMBS | 5,414 | 6,371 | 7,047 | ||||||||
Total AFS securities | 5,414 | 6,371 | 7,047 | ||||||||
HTM securities: | |||||||||||
Certificates of deposits | — | — | 1,660 | ||||||||
States and political subdivisions: | |||||||||||
Housing finance agency bonds – CalHFA bonds | 275 | 328 | 416 | ||||||||
U.S. government corporations and GSEs: | |||||||||||
MBS: | |||||||||||
Other U.S. obligations – Ginnie Mae | 1,227 | 1,513 | 1,575 | ||||||||
GSEs: | |||||||||||
Freddie Mac | 3,677 | 4,517 | 5,250 | ||||||||
Fannie Mae | 4,136 | 5,313 | 6,331 | ||||||||
PLRMBS | 1,487 | 1,880 | 2,275 | ||||||||
Total HTM securities | 10,802 | 13,551 | 17,507 | ||||||||
Total securities | 17,649 | 23,446 | 27,762 | ||||||||
Securities purchased under agreements to resell | 10,000 | 1,000 | — | ||||||||
Federal funds sold | 4,626 | 7,503 | 7,498 | ||||||||
Total investments | $ | 32,275 | $ | 31,949 | $ | 35,260 |
(Dollars in millions) | Within One Year | After One Year But Within Five Years | After Five Years But Within Ten Years | After Ten Years | Carrying Value | ||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. government corporations and GSEs – FFCB bonds | $ | 275 | $ | 1,149 | $ | — | $ | — | $ | 1,424 | |||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations – Ginnie Mae | — | — | 7 | 2 | 9 | ||||||||||||||
Total trading securities | 275 | 1,149 | 7 | 2 | 1,433 | ||||||||||||||
Yield on trading securities | 0.30 | % | 0.43 | % | 1.79 | % | 1.81 | % | 0.41 | % | |||||||||
AFS securities: | |||||||||||||||||||
MBS: | |||||||||||||||||||
PLRMBS | — | — | — | 5,414 | 5,414 | ||||||||||||||
Total AFS securities | — | — | — | 5,414 | 5,414 | ||||||||||||||
Yield on AFS securities | — | % | — | % | — | % | 5.29 | % | 5.29 | % | |||||||||
HTM securities: | |||||||||||||||||||
States and political subdivisions: | |||||||||||||||||||
Housing finance agency bonds – CalHFA bonds | — | — | 60 | 215 | 275 | ||||||||||||||
U.S. government corporations and GSEs: | |||||||||||||||||||
MBS: | |||||||||||||||||||
Other U.S. obligations – Ginnie Mae | — | — | 1 | 1,226 | 1,227 | ||||||||||||||
GSEs: | |||||||||||||||||||
Freddie Mac | — | 3 | 6 | 3,668 | 3,677 | ||||||||||||||
Fannie Mae | — | 9 | 35 | 4,092 | 4,136 | ||||||||||||||
PLRMBS | — | — | — | 1,487 | 1,487 | ||||||||||||||
Total HTM securities | — | 12 | 102 | 10,688 | 10,802 | ||||||||||||||
Yield on HTM securities (1) | 5.18 | % | 4.71 | % | 2.06 | % | 2.43 | % | 2.43 | % | |||||||||
Total securities | 275 | 1,161 | 109 | 16,104 | 17,649 | ||||||||||||||
Yield on total securities | 0.30 | % | 0.47 | % | 2.05 | % | 3.39 | % | 3.14 | % | |||||||||
Securities purchased under agreements to resell | 10,000 | — | — | — | 10,000 | ||||||||||||||
Federal funds sold | 4,626 | — | — | — | 4,626 | ||||||||||||||
Total investments | $ | 14,901 | $ | 1,161 | $ | 109 | $ | 16,104 | $ | 32,275 |
(Dollars in millions) | 2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||
30 - 59 days delinquent | $ | 10 | $ | 12 | $ | 14 | $ | 18 | $ | 24 | |||||||||
60 - 89 days delinquent | 5 | 5 | 7 | 7 | 9 | ||||||||||||||
90 days or more delinquent | 18 | 22 | 27 | 32 | 31 | ||||||||||||||
Total past due | 33 | 39 | 48 | 57 | 64 | ||||||||||||||
Total current loans | 620 | 674 | 865 | 1,239 | 1,777 | ||||||||||||||
Total mortgage loans | $ | 653 | $ | 713 | $ | 913 | $ | 1,296 | $ | 1,841 | |||||||||
In process of foreclosure, included above(1) | $ | 7 | $ | 11 | $ | 15 | $ | 19 | $ | 20 | |||||||||
Nonaccrual loans | $ | 18 | $ | 22 | $ | 27 | $ | 32 | $ | 31 | |||||||||
Loans past due 90 days or more and still accruing interest | $ | — | $ | — | $ | — | $ | — | $ | — | |||||||||
Delinquencies as a percentage of total mortgage loans outstanding | 5.05 | % | 5.47 | % | 5.26 | % | 4.40 | % | 3.48 | % | |||||||||
Serious delinquencies as a percentage of total mortgage loans outstanding(2) | 2.79 | % | 3.13 | % | 3.00 | % | 2.46 | % | 1.70 | % |
(1) | Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. |
(2) | Represents loans that are 90 days or more past due or in the process of foreclosure. |
(Dollars in millions) | 2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||
Balance, beginning of the period | $ | 1 | $ | 2 | $ | 3 | $ | 6 | $ | 3 | |||||||||
(Charge-offs)/recoveries | (2 | ) | (1 | ) | — | (2 | ) | (1 | ) | ||||||||||
Provision for/(recovery of) credit losses | 1 | — | (1 | ) | (1 | ) | 4 | ||||||||||||
Balance, end of the period | $ | — | $ | 1 | $ | 2 | $ | 3 | $ | 6 | |||||||||
Ratio of net charge-offs during the period to average loans outstanding during the period | (0.24 | )% | (0.05 | )% | (0.07 | )% | (0.08 | )% | (0.07 | )% |
Interest on Nonaccrual Loans | |||||||||||||||||||
(In millions) | 2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||
Interest contractually due on nonaccrual loans during the period | $ | 1 | $ | 1 | $ | 1 | $ | 2 | $ | 2 | |||||||||
Interest recognized in income for nonaccrual loans during the period | — | — | — | — | — | ||||||||||||||
Shortfall | $ | 1 | $ | 1 | $ | 1 | $ | 2 | $ | 2 |
December 31, 2015 | December 31, 2014 | ||||
California | 47.19 | % | 36.09 | % | |
New York | 6.56 | 7.77 | |||
Illinois | 6.30 | 7.78 | |||
Massachusetts | 3.92 | 4.68 | |||
New Jersey | 3.55 | 4.28 | |||
All others(2) | 32.48 | 39.40 | |||
Total | 100.00 | % | 100.00 | % |
(1) | Percentages calculated based on the unpaid principal balance at the end of each period. |
(2) | None of the remaining states represented more than 3.10% and 3.74% of the portfolio at December 31, 2015 and 2014, respectively. |
Consolidated Obligation Discount Notes | Consolidated Obligation Bonds With Original Maturities of One Year or Less | ||||||||||||||||||||||
(Dollars in millions) | 2015 | 2014 | 2013 | 2015 | 2014 | 2013 | |||||||||||||||||
Outstanding at end of the period | $ | 27,648 | $ | 21,811 | $ | 24,194 | $ | 18,273 | $ | 11,700 | $ | 14,700 | |||||||||||
Weighted average rate at end of the period | 0.25 | % | 0.09 | % | 0.10 | % | 0.25 | % | 0.13 | % | 0.14 | % | |||||||||||
Daily average outstanding for the period | $ | 28,853 | $ | 23,582 | $ | 16,325 | $ | 11,085 | $ | 16,841 | $ | 11,697 | |||||||||||
Weighted average rate for the period | 0.16 | % | 0.09 | % | 0.10 | % | 0.17 | % | 0.13 | % | 0.15 | % | |||||||||||
Highest outstanding at any monthend | $ | 33,859 | $ | 25,640 | $ | 24,194 | $ | 18,273 | $ | 22,345 | $ | 14,980 |
ITEM 9. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS ON ACCOUNTING AND FINANCIAL DISCLOSURE |
ITEM 9A. | CONTROLS AND PROCEDURES |
• | pertain to the maintenance of records that in reasonable detail accurately and fairly reflect the transactions and dispositions of assets of the Bank; |
• | provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with U.S. GAAP, and that receipts and expenditures of the Bank are being made only in accordance with authorizations of management and directors of the Bank; and |
• | provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of the company's assets that could have a material effect on the financial statements. |
ITEM 9B. | OTHER INFORMATION |
ITEM 10. | DIRECTORS, EXECUTIVE OFFICERS AND CORPORATE GOVERNANCE |
Name | Age | Director Since | Expiration of Current Term | |||
Douglas H. (Tad) Lowrey, Chair(1)(7) | 63 | 2006 | 2017 | |||
Melinda Guzman, Vice Chair(2)(7)(8) | 52 | 2009 | 2016 | |||
Bradley W. Beal(3)(6)(8) | 62 | 2014 | 2019 | |||
Craig G. Blunden(1)(5)(7) | 68 | 2012 | 2019 | |||
Steven R. Gardner(1)(6)(8) | 55 | 2014 | 2017 | |||
Richard A. Heldebrant(1)(5) | 63 | 2013 | 2016 | |||
Simone Lagomarsino(1)(5)(7)(8) | 54 | 2013 | 2016 | |||
John F. Luikart(2)(5) | 66 | 2007 | 2017 | |||
Kevin Murray(2) | 55 | 2008 | 2019 | |||
Robert F. Nielsen(2)(8) | 69 | 2009 | 2016 | |||
Brian M. Riley(4)(5)(6) | 51 | 2015 | 2018 | |||
John F. Robinson(1)(5)(7) | 69 | 2011 | 2018 | |||
Scott C. Syphax(2)(6)(8) | 52 | 2002 | 2018 | |||
John T. Wasley(2)(5)(6)(8) | 54 | 2007 | 2017 |
(1) | Elected by the Bank's California members eligible to vote. Mr. Lowrey also served as a California director from January 1, 1996, to September 11, 1998, and from July 23, 1999, to December 31, 2003. Mr. Blunden also served as a California director from January 28, 1999, to December 31, 2006. Mr. Robinson also served as a California director from January 1, 2004, to September 11, 2005, and as a Nevada director from January 25, 2007, to October 9, 2008. |
(2) | Elected as a nonmember independent director by the Bank members eligible to vote. Ms. Guzman also served as an appointive director from April 19, 2007, to December 31, 2008. Mr. Nielsen also served as an appointive director from April 19, 2007, to December 31, 2008, and from 1999 to 2001. Mr. Wasley also served as an appointive director from 2003 to 2005. With the enactment of the Housing and Economic Recovery Act of 2008 on July 30, |
(3) | Mr. Beal was declared elected by the Board as a Nevada director, for a four-year term beginning January 1, 2016. Mr. Beal was selected by the Board to fill the vacant Nevada director position effective May 1, 2014, for a term expiring on December 31, 2015. |
(4) | Elected by the Bank’s Arizona members eligible to vote. |
(5) | Member of the Audit Committee in 2016. |
(6) | Member of the Compensation and Human Resources Committee (previously the EEO-Personnel-Compensation Committee) in 2016. |
(7) | Member of the Audit Committee in 2015. |
(8) | Member of the EEO-Personnel-Compensation Committee in 2015. |
2015 PIP | 2015 Goal Weights | |
Risk Management Goal | 27 | % |
Community Investment Goal | 18 | |
Franchise Enhancement Goal | 45 | |
Individual Goal | 10 | |
Total | 100 | % |
2015 Goal Weights | ||||||||
2015 EIP | Executive Vice President | Senior Vice President and Chief Risk Officer | Senior Vice President | |||||
Risk Management Goal | 27 | % | 54 | % | 27 | % | ||
Community Investment Goal | 18 | % | 12.6 | % | 18 | % | ||
Franchise Enhancement Goal | 45 | % | 23.4 | % | 45 | % | ||
Individual Goal | 10 | % | 10 | % | 10 | % | ||
Total | 100 | % | 100 | % | 100 | % |
Years of Credited Service (As Defined in the Plan) | Amount of Contribution for President (Percentage of Total Annual Compensation) | Amount of Contribution for Other Participants (Percentage of Total Annual Compensation) | |||
Fewer than 10 | 10 | % | 8 | % | |
10 or more but less than 15 | 15 | % | 12 | % | |
15 or more | 20 | % | 16 | % |
Summary Compensation Table | |||||||||||||||||||||||||||||
(In whole dollars) | |||||||||||||||||||||||||||||
Name and Principal Position | Year | Salary | Bonus (1) | Non-Equity Incentive Payment(2) | Non-Equity LTIP Payout(3) | Change in Pension Value and Non-Qualified Deferred Compensation(4) | All Other Compensation(5)(6) | Total | |||||||||||||||||||||
Dean Schultz | 2015 | $ | 852,800 | $ | 35,533 | $ | 418,200 | $ | 400,100 | $ | — | (7) | $ | 61,106 | $ | 1,767,739 | |||||||||||||
President and | 2014 | 828,000 | 359,200 | 390,900 | 67,313 | 61,644 | 1,707,057 | ||||||||||||||||||||||
Chief Executive Officer | 2013 | 811,800 | 399,200 | 655,500 | 414,378 | 61,104 | 2,341,982 | ||||||||||||||||||||||
Lisa B. MacMillen | 2015 | 546,300 | 22,763 | 270,100 | 256,300 | 49,211 | 40,295 | 1,184,969 | |||||||||||||||||||||
Executive Vice President and | 2014 | 530,400 | 233,300 | 250,400 | 468,647 | 39,644 | 1,522,391 | ||||||||||||||||||||||
Chief Operating Officer | 2013 | 520,000 | 255,700 | 335,900 | 113,431 | 39,421 | 1,264,452 | ||||||||||||||||||||||
Kenneth C. Miller | 2015 | 444,800 | 18,533 | 219,900 | 208,600 | 202,885 | 35,534 | 1,130,252 | |||||||||||||||||||||
Senior Vice President and | 2014 | 431,800 | 186,500 | 203,800 | 261,675 | 35,448 | 1,119,223 | ||||||||||||||||||||||
Chief Financial Officer | 2013 | 423,300 | 208,100 | 227,900 | 139,169 | 36,094 | 1,034,563 | ||||||||||||||||||||||
Lawrence H. Parks | 2015 | 461,376 | (8) | 18,367 | 217,900 | 206,800 | 184,575 | 32,703 | 1,121,721 | ||||||||||||||||||||
Senior Vice President, | 2014 | 452,691 | (9) | 188,300 | 202,100 | 448,011 | 32,109 | 1,323,211 | |||||||||||||||||||||
External and Legislative Affairs | 2013 | 439,772 | (10) | 206,300 | 237,100 | 10,087 | 34,686 | 927,945 | |||||||||||||||||||||
Suzanne Titus-Johnson | 2015 | 395,100 | 116,463 | (11 | ) | 195,300 | 185,300 | 122,730 | 31,914 | 1,046,807 | |||||||||||||||||||
Senior Vice President and | 2014 | 383,600 | 168,700 | 181,100 | 388,905 | 31,679 | 1,153,984 | ||||||||||||||||||||||
General Counsel and Corporate Secretary | 2013 | 376,100 | 184,900 | 212,600 | 230,176 | 32,448 | 1,036,224 | ||||||||||||||||||||||
David H. Martens | 2015 | 404,032 | (12) | 15,942 | 190,200 | 179,500 | 181,993 | 32,212 | 1,003,879 | ||||||||||||||||||||
Senior Vice President and | 2014 | 385,788 | (13) | 170,000 | 175,400 | 225,329 | 31,745 | 988,262 | |||||||||||||||||||||
Chief Risk Officer | 2013 | 392,214 | (14) | 178,800 | 205,900 | 124,398 | 40,110 | 941,422 |
(1) | Represents a Board-approved special award, consisting of an amount equal to one additional semi-monthly paycheck for all Bank employees to recognize Bank-wide teamwork and its contribution to the Bank’s exceptional overall performance. |
(2) | Represents awards earned under the 2015, 2014, and 2013 PIPs and EIPs. See discussion in “Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments.” |
(3) | Represents awards earned under the 2013, 2012, and 2011 EPUPs. See discussion in “Non-Equity Incentive Payments and Non-Equity Long-Term Incentive Payments.” |
(4) | Represents the aggregate change in actuarial present value of each of the named executive officers' accumulated benefits under the Bank's qualified and non-qualified defined benefit pension plans (Cash Balance Plan; frozen FIRF, if applicable; restored pension benefit under the Benefit Equalization Plan (BEP); make-up pension benefit under the Deferred Compensation Plan (DCP); and Supplemental Executive Retirement Plan (SERP)). There are no above-market or preferential earnings on the named executive officers' DCP accounts. |
(5) | Includes perquisites and premiums for disability and life insurance paid by the Bank. On occasion, the Bank pays for resort activities for employees in connection with Board meetings and other business-related meetings; and, in some cases, the Bank may pay the expenses for spouses accompanying employees to these meetings or other Bank-sponsored events. The President receives use of a Bank-owned vehicle. Perquisites are valued at the actual amounts paid to the provider of the perquisites. The value of some perquisites is not reasonably quantifiable, but is known to be de minimis. |
(6) | Includes the Bank’s matching contributions under the Savings Plan and the Bank’s restored and make-up matching amounts credited under the BEP and DCP. |
(7) | In accordance with SEC rules, negative changes in pension value are not included in this table. The negative change in pension value for Mr. Schultz is $167,764, which is due to certain limitations imposed under the SERP and the post age 65 decreasing annuity factors under the frozen FIRF. |
(8) | Of this amount, $20,576 represents a vacation cash-out payment. |
(9) | Of this amount, $24,691 represents a vacation cash-out payment. |
(10) | Of this amount, $20,172 represents a vacation cash-out payment. |
(13) | Of this amount, $14,288 represents a vacation cash-out payment. |
(14) | Of this amount, $28,014 represents a vacation cash-out payment. |
Grants of Non-Equity Incentive Plan-Based Awards | |||||||||||||||||
(In whole dollars) | Estimated Payout Ranges(1) | ||||||||||||||||
Name | Plan | Plan Period | Payout Date | Threshold | Target | Maximum | |||||||||||
Dean Schultz | 2015 EPUP | 2015-2017 | February 2018 | $ | 170,600 | $ | 341,100 | $ | 426,400 | ||||||||
2015 PIP | 2015 | February 2016 | 170,600 | 341,100 | 426,400 | ||||||||||||
Lisa B. MacMillen | 2015 EPUP | 2015-2017 | February 2018 | 109,300 | 218,500 | 273,200 | |||||||||||
2015 EIP | 2015 | February 2016 | 109,300 | 218,500 | 273,200 | ||||||||||||
Kenneth C. Miller | 2015 EPUP | 2015-2017 | February 2018 | 89,000 | 177,900 | 222,400 | |||||||||||
2015 EIP | 2015 | February 2016 | 89,000 | 177,900 | 222,400 | ||||||||||||
Lawrence H. Parks | 2015 EPUP | 2015-2017 | February 2018 | 88,200 | 176,300 | 220,400 | |||||||||||
2015 EIP | 2015 | February 2016 | 88,200 | 176,300 | 220,400 | ||||||||||||
Suzanne Titus-Johnson | 2015 EPUP | 2015-2017 | February 2018 | 79,000 | 158,000 | 197,600 | |||||||||||
2015 EIP | 2015 | February 2016 | 79,000 | 158,000 | 197,600 | ||||||||||||
David H. Martens | 2015 EPUP | 2015-2017 | February 2018 | 76,500 | 153,000 | 191,300 | |||||||||||
2015 EIP | 2015 | February 2016 | 76,500 | 153,000 | 191,300 |
(In whole dollars) | ||||||||||||
Name | Plan Name | Years of Credited Service | Present Value of Accumulated Benefits(1) | Payments During Last Fiscal Year | ||||||||
Dean Schultz | Cash Balance Plan | 30.750 | $ | 590,221 | $ | — | ||||||
Financial Institutions Retirement Fund | 11.000 | 476,997 | — | |||||||||
Benefit Equalization Plan | 30.750 | 3,402,317 | — | |||||||||
Deferred Compensation Plan | 30.750 | 74,886 | — | |||||||||
Supplemental Executive Retirement Plan(2) | 13.000 | 1,894,905 | — | |||||||||
Lisa B. MacMillen | Cash Balance Plan | 29.417 | 596,042 | — | ||||||||
Financial Institutions Retirement Fund | 9.417 | 124,423 | — | |||||||||
Benefit Equalization Plan | 29.417 | 1,059,795 | — | |||||||||
Deferred Compensation Plan | 29.417 | 441,004 | — | |||||||||
Supplemental Executive Retirement Plan(2) | 13.000 | 1,056,789 | — | |||||||||
Kenneth C. Miller | Cash Balance Plan | 20.917 | 513,160 | — | ||||||||
Financial Institutions Retirement Fund | 0.917 | 24,723 | — | |||||||||
Benefit Equalization Plan | 20.917 | 346,822 | — | |||||||||
Deferred Compensation Plan | 20.917 | 20,229 | — | |||||||||
Supplemental Executive Retirement Plan(2) | 13.000 | 1,156,705 | — | |||||||||
Lawrence H. Parks | Cash Balance Plan | 18.333 | 523,131 | — | ||||||||
Financial Institutions Retirement Fund | N/A | — | — | |||||||||
Benefit Equalization Plan | 18.333 | 429,524 | — | |||||||||
Deferred Compensation Plan | 18.333 | 99,932 | — | |||||||||
Supplemental Executive Retirement Plan(2) | 13.000 | 1,444,468 | — | |||||||||
Suzanne Titus-Johnson | Cash Balance Plan | 29.333 | 780,168 | — | ||||||||
Financial Institutions Retirement Fund | 9.333 | 132,137 | — | |||||||||
Benefit Equalization Plan | 29.333 | 770,069 | — | |||||||||
Deferred Compensation Plan | 29.333 | 36,823 | — | |||||||||
Supplemental Executive Retirement Plan(2) | 10.750 | 936,587 | — | |||||||||
David H. Martens | Cash Balance Plan | 19.167 | 439,499 | — | ||||||||
Financial Institutions Retirement Fund | N/A | — | — | |||||||||
Benefit Equalization Plan | 19.167 | 224,418 | — | |||||||||
Deferred Compensation Plan | 19.167 | 74,644 | — | |||||||||
Supplemental Executive Retirement Plan(2) | 13.000 | 1,059,922 | — |
(1) | For purposes of this table, the present value of accumulated benefits as of December 31, 2015 (measured December 31, 2015) was calculated using a discount rate of 3.75%, which is consistent with the assumptions used in the Bank's financial statements. Actual benefit payments under each plan may differ based on the applicable discount rate under the terms of the relevant plan. The Bank withdrew from the FIRF, a multiple-employer tax-qualified defined benefit plan, on December 31, 1995. Amounts under the BEP and the DCP represent the present value of only the pension-related benefits accumulated for the named executive officer. |
(2) | For the purposes of this table, the years of credited service for the SERP represent the years of participation since the inception of the SERP in 2003 or the first year in which the participant initially became active in the SERP. For purposes of determining the amount of Bank contribution in the SERP table, the years of credited service are defined in the SERP. |
(In whole dollars) | |||||||||||||||||||||||||
Name and Principal Position | Last Fiscal Year | Beginning of Year Balance | 2015 Executive Contributions(1) | 2015 Bank Contributions(2) | Aggregate Earnings/ (Losses) in 2015 | Aggregate (Withdrawals)/ Distributions in 2015 | Yearend 2015 Aggregate Balance(3) | ||||||||||||||||||
Dean Schultz | 2015 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | ||||||||||||
President and | |||||||||||||||||||||||||
Chief Executive Officer | |||||||||||||||||||||||||
Lisa B. MacMillen | 2015 | 5,031,212 | 464,907 | — | (83,977 | ) | — | 5,412,142 | |||||||||||||||||
Executive Vice President and | |||||||||||||||||||||||||
Chief Operating Officer | |||||||||||||||||||||||||
Kenneth C. Miller | 2015 | — | — | — | — | — | — | ||||||||||||||||||
Senior Vice President and | |||||||||||||||||||||||||
Chief Financial Officer | |||||||||||||||||||||||||
Lawrence H. Parks | 2015 | 362,683 | 90,000 | 5,400 | 41 | — | 458,124 | ||||||||||||||||||
Senior Vice President, | |||||||||||||||||||||||||
External and Legislative Affairs | |||||||||||||||||||||||||
Suzanne Titus-Johnson | 2015 | — | — | — | — | — | — | ||||||||||||||||||
Senior Vice President and | |||||||||||||||||||||||||
General Counsel and Corporate Secretary | |||||||||||||||||||||||||
David H. Martens | 2015 | 264,498 | 362,659 | 2,016 | (37,598 | ) | — | 591,575 | |||||||||||||||||
Senior Vice President and | |||||||||||||||||||||||||
Chief Risk Officer |
(1) | The 2015 executive contributions made by Ms. MacMillen are included in the "Non-Equity Incentive Payment" and "Non-Equity LTIP Payout" columns in the Summary Compensation Table (SCT), the 2015 executive contributions made by Mr. Parks are included in the "Salary" column for 2015 in the SCT, and the 2015 executive contributions made by Mr. Martens are included in the "Salary," "Non-Equity Incentive Payment," and “Non-Equity LTIP Payout" columns for 2015 in the SCT. |
(2) | Represents make-up Bank matching contributions lost under the Savings Plan as a result of deferring compensation. The 2015 Bank contribution made to Mr. Parks and Mr. Martens are included in the “All Other Compensation" column for 2015 in the SCT. |
(3) | The yearend 2015 aggregate balance for Mr. Parks includes $84,000 and $78,000 reported in the "Salary" Column for 2014 and 2013 in the SCT, respectively, and includes $5,040 and $4,680 reported in the "All Other Compensation" column for 2014 and 2013 in the SCT, respectively. The yearend 2015 aggregate balance for Mr. Martens includes $28,800 reported in the "Salary" column for 2014 in the SCT, and includes $1,728 reported in the "All Other Compensation" column for 2014 in the SCT. |
Director Compensation Table For the Year Ended December 31, 2015 | |||
(In whole dollars) | |||
Name | Fees Earned or Paid in Cash | ||
John F. Luikart(1) | $ | 100,000 | |
Douglas H. (Tad) Lowrey(2) | 95,000 | ||
Bradley W. Beal | 88,814 | ||
Craig G. Blunden | 90,000 | ||
Steven R. Gardner | 88,814 | ||
Melinda Guzman | 90,000 | ||
Richard A. Heldebrant | 90,000 | ||
Simone Lagomarsino | 90,000 | ||
Kevin Murray | 90,000 | ||
Robert F. Nielsen | 90,000 | ||
Brian M. Riley | 75,000 | ||
John F. Robinson | 80,791 | ||
Scott C. Syphax | 90,000 | ||
John T. Wasley | 90,000 | ||
Total | $ | 1,248,419 |
(1) | Chairman during 2015. |
(In whole dollars) | |||||||||||
Position | Maximum Annual Service Fee | Maximum Annual Meeting Fees | Total Maximum Annual Compensation | ||||||||
Chairman | $ | 55,000 | $ | 45,000 | $ | 100,000 | |||||
Vice Chairman | 50,000 | 45,000 | 95,000 | ||||||||
Committee Chair | 45,000 | 45,000 | 90,000 | ||||||||
Directors on Audit Committee | 35,000 | 45,000 | 80,000 | ||||||||
Other Directors | 30,000 | 45,000 | 75,000 |
ITEM 12. | SECURITY OWNERSHIP OF CERTAIN BENEFICIAL OWNERS AND MANAGEMENT AND RELATED STOCKHOLDER MATTERS |
Name and Address of Beneficial Owner | Number of Shares Held | Percentage of Outstanding Shares | |||
JPMorgan Chase Bank, National Association(1)(2) | 3,999,609 | 14.3 | % | ||
560 Mission Street | |||||
San Francisco, CA 94105 | |||||
Bank of the West | 2,089,956 | 7.5 | |||
180 Montgomery Street | |||||
San Francisco, CA 94104 | |||||
Total | 6,089,565 | 21.8 | % |
(1) | Nonmember institution. |
Director Name | Name of Institution | City | State | Number of Shares Held | Percentage of Outstanding Shares | ||||||
Bradley W. Beal | One Nevada Credit Union | Las Vegas | NV | 13,915 | 0.1 | % | |||||
Craig G. Blunden | Provident Savings Bank | Riverside | CA | 80,943 | 0.3 | ||||||
Steven R. Gardner | Pacific Premier Bank | Irvine | CA | 144,459 | 0.5 | ||||||
Richard A. Heldebrant | Star One Credit Union | Sunnyvale | CA | 520,689 | 1.8 | ||||||
Simone Lagomarsino | Heritage Oaks Bank | Paso Robles | CA | 78,531 | 0.3 | ||||||
Douglas H. (Tad) Lowrey | Pacific Western Bank | Beverly Hills | CA | 237,060 | 0.8 | ||||||
Brian M. Riley | Mohave State Bank | Lake Havasu City | AZ | 13,263 | 0.1 | ||||||
John F. Robinson | Silicon Valley Bank | Santa Clara | CA | 172,500 | 0.6 | ||||||
Total | 1,261,360 | 4.5 | % |
ITEM 13. | CERTAIN RELATIONSHIPS AND RELATED TRANSACTIONS, AND DIRECTOR INDEPENDENCE |
ITEM 14. | PRINCIPAL ACCOUNTING FEES AND SERVICES |
(In millions) | 2015 | 2014 | |||||
Audit fees | $ | 0.9 | $ | 0.9 | |||
All other fees | — | — | |||||
Total | $ | 0.9 | $ | 0.9 |
ITEM 15. | EXHIBITS, FINANCIAL STATEMENT SCHEDULES |
(a) (1) | Financial Statements |
(2) | Financial Statement Schedules |
Exhibit No. | Description | ||
3.1 | Organization Certificate and resolutions relating to the organization of the Federal Home Loan Bank of San Francisco incorporated by reference to Exhibit 3.1 to the Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398) | ||
3.2 | Bylaws of the Federal Home Loan Bank of San Francisco, as amended and restated on January 31, 2014, incorporated by reference to Exhibit 3.2 to the Bank’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 14, 2014 (Commission File No. 000-51398) | ||
4.1 | Capital Plan, as amended and restated effective April 1, 2015, and updated August 3, 2015, to reflect adjustments to activity-based stock requirements | ||
10.1 | Summary Sheet: Terms of Employment for Named Executive Officers for 2016 | ||
10.2 | Form of Director Indemnification Agreement, incorporated by reference to Exhibit 10.2 to the Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398) | ||
10.3 | Form of Senior Officer Indemnification Agreement, incorporated by reference to Exhibit 10.3 to the Bank's Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 23, 2011 (Commission File No. 000-51398) | ||
10.4 | Change in Control Severance Agreement for Dean Schultz, incorporated by reference to Exhibit 99.1 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 7, 2011 (Commission File No. 000-51398) | ||
10.5 | Change in Control Severance Agreement for Lisa B. MacMillen, incorporated by reference to Exhibit 99.2 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 7, 2011 (Commission File No. 000-51398) | ||
10.6 | Board Resolution for 2016 Board of Directors Compensation and Expense Reimbursement Policy, incorporated by reference to Exhibit 10.1 to the Bank's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on November 6, 2015 (Commission File No. 000-51398) | ||
10.7+ | 2016 President’s Incentive Plan | ||
10.8+ | 2015 President’s Incentive Plan incorporated by reference to Exhibit 10.1 to the Bank’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 8, 2015 (Commission File No. 000-51398) | ||
10.9+ | 2016 Executive Incentive Plan | ||
10.10+ | 2015 Executive Incentive Plan incorporated by reference to Exhibit 10.2 to the Bank’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 8, 2015 (Commission File No. 000-51398) | ||
10.11 | 2016 Executive Performance Unit Plan | ||
10.12 | 2015 Executive Performance Unit Plan incorporated by reference to Exhibit 10.3 to the Bank’s Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 8, 2015 (Commission File No. 000-51398) | ||
10.13 | 2014 Executive Performance Unit Plan, incorporated by reference to Exhibit 10.3 to the Bank's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 9, 2014 (Commission File No. 000-51398) | ||
10.14 | 2013 Executive Performance Unit Plan, incorporated by reference to Exhibit 10.3 to the Bank's Quarterly Report on Form 10-Q filed with the Securities and Exchange Commission on May 10, 2013 (Commission File No. 000-51398) | ||
10.15 | Executive Benefit Plan, incorporated by reference to Exhibit 10.11 to the Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398) | ||
10.16 | Original Deferred Compensation Plan, as restated, incorporated by reference to Exhibit 10.13 to Bank's Registration Statement on Form 10 filed with the Securities and Exchange Commission on June 30, 2005 (Commission File No. 000-51398) | ||
10.17 | Deferred Compensation Plan Amended and Restated Effective January 1, 2009, incorporated by reference to Exhibit 10.14 to the Bank's Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 23, 2011 (Commission File No. 000-51398) | ||
10.18 | Supplemental Executive Retirement Plan, as amended and restated on July 1, 2013, incorporated by reference to Exhibit 10.15 to the Bank’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 14, 2014 (Commission File No. 000-51398) | ||
10.19 | Corporate Senior Officer Severance Policy, as amended and restated on August 14, 2013, incorporated by reference to Exhibit 10.16 to the Bank’s Annual Report on Form 10-K filed with the Securities and Exchange Commission on March 14, 2014 (Commission File No. 000-51398) | ||
10.20 | Federal Home Loan Bank P&I Funding and Contingency Plan Agreement, effective as of July 20, 2006, by and among the Office of Finance and each of the Federal Home Loan Banks, incorporated by reference to Exhibit 10.1 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on June 28, 2006 (Commission File No. 000-51398) | ||
10.21 | Joint Capital Enhancement Agreement, as amended August 5, 2011, with the other 11 Federal Home Loan Banks, incorporated by reference to Exhibit 99.1 to the Bank's Current Report on Form 8-K filed with the Securities and Exchange Commission on August 5, 2011 (Commission File No. 000-51398) | ||
12.1 | Computation of Ratio of Earnings to Fixed Charges – December 31, 2015 | ||
31.1 | Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | ||
31.2 | Certification of the Chief Operating Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | ||
31.3 | Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | ||
32.1 | Certification of the President and Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | ||
32.2 | Certification of the Chief Operating Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | ||
32.3 | Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | ||
99.1++ | Audit Committee Report | ||
101 | Pursuant to Rule 405 of Regulation S-T, the following financial information from the Bank's annual report on Form 10-K for the period ended December 31, 2015, is formatted in XBRL interactive data files: (i) Statements of Condition at December 31, 2015 and 2014; (ii) Statements of Income for the Years Ended December 31, 2015, 2014, and 2013; (iii) Statements of Comprehensive Income for the Years Ended December 31, 2015, 2014, and 2013; (iv) Statements of Capital Accounts for the Years Ended December 31, 2015, 2014, and 2013; (v) Statements of Cash Flows for the Years Ended December 31, 2015, 2014, and 2013; and (vi) Notes to Financial Statements. |
+ | Confidential treatment has been requested as to portions of this exhibit. |
++ | The report contained in Exhibit 99.1 is being furnished and will not be deemed filed for purposes of Section 18 of the Securities Exchange Act of 1934, as amended. |
FEDERAL HOME LOAN BANK OF SAN FRANCISCO | |
/S/ DEAN SCHULTZ | |
Dean Schultz President and Chief Executive Officer | |
March 11, 2016 |
/S/ DEAN SCHULTZ | |
Dean Schultz President and Chief Executive Officer (principal executive officer) | |
/S/ LISA B. MACMILLEN | |
Lisa B. MacMillen Executive Vice President and Chief Operating Officer (principal executive officer) | |
/S/ KENNETH C. MILLER | |
Kenneth C. Miller Senior Vice President and Chief Financial Officer (principal financial officer and principal accounting officer) | |
/S/ DOUGLAS H. (TAD) LOWREY | |
Douglas H. (Tad) Lowrey Chairman of the Board of Directors | |
/S/ MELINDA GUZMAN | |
Melinda Guzman Vice Chairman of the Board of Directors | |
/S/ BRADLEY W. BEAL | |
Bradley W. Beal Director | |
/S/ CRAIG G. BLUNDEN | |
Craig G. Blunden Director | |
/S/ STEVEN R. GARDNER | |
Steven R. Gardner Director | |
/S/ RICHARD A. HELDEBRANT | |
Richard A. Heldebrant Director | |
/S/ SIMONE LAGOMARSINO | |
Simone Lagomarsino Director | |
/S/ JOHN F. LUIKART | |
John F. Luikart Director | |
/S/ KEVIN MURRAY | |
Kevin Murray Director | |
/S/ ROBERT F. NIELSEN | |
Robert F. Nielsen Director | |
/S/ BRIAN M. RILEY | |
Brian M. Riley Director | |
/S/ JOHN F. ROBINSON | |
John F. Robinson Director | |
/S/ SCOTT C. SYPHAX | |
Scott C. Syphax Director | |
/S/ JOHN T. WASLEY | |
John T. Wasley Director | |
I. | Definitions 4 |
II. | Capital Stock 7 |
A. | Characteristics of Capital Stock 7 |
B. | Interest in Retained Earnings 8 |
III. | Issuance of Capital Stock 8 |
A. | Exchange Pursuant to Plan of Reorganization 8 |
1. | Notice and Effective Date 8 |
2. | Exchange 8 |
3. | Right to Opt Out of Capital Plan 8 |
4. | Member in Process of Withdrawing from Membership on Effective Date 9 |
5. | Disposition of Claims 9 |
B. | Subsequent Issuances 9 |
C. | New Members 9 |
D. | Former Members 9 |
IV. | Minimum Stock Requirement 10 |
A. | Calculation of Minimum Stock Requirement 10 |
B. | Adjustments to Stock Requirements 12 |
1. | Adjustment to Membership Stock Requirement 12 |
2. | Adjustment to Activity-Based Stock Requirement 12 |
C. | Authorized Ranges 13 |
1. | Authorized Ranges for Membership Stock Requirement 13 |
2. | Authorized Ranges for Activity-Based Stock Requirement 13 |
D. | Factors to Consider in Establishing Adjustment Within Authorized Ranges 13 |
V. | Ownership and Transfer of Capital Stock 14 |
A. | Ownership Limited to Members 14 |
B. | Transfers at Par Value 14 |
VI. | Voting Rights 14 |
A. | Election of Directors 14 |
B. | Ratification of Voluntary Merger 14 |
VII. | Dividends 15 |
A. | Declaration of Dividends 15 |
B. | No Preference 15 |
C. | Stock Held by Withdrawing or Former Member 15 |
VIII. | Liquidation, Merger or Consolidation 15 |
A. | Liquidation 15 |
B. | Merger or Consolidation 15 |
C. | No Limitation on Finance Agency’s Authority 15 |
IX. | Redemption and Repurchase of Capital Stock (Continuing Membership) 16 |
A. | Redemption Upon Application by the Member 16 |
1. | Conditions Applicable to Redemption 16 |
2. | Cancellation of Redemption Notice 16 |
3. | Redemption 17 |
B. | Repurchase Upon Initiation by the Bank 17 |
C. | Continued Benefits of Ownership Prior to Redemption or Repurchase 17 |
D. | Limitations on Redemption and Repurchase of Capital Stock 17 |
X. | Redemption and Repurchase of Capital Stock (Withdrawal or Termination |
A. | Voluntary Withdrawal 17 |
1. | Notice of Intention to Withdraw from Membership 17 |
2. | Termination of Membership 18 |
3. | Continued Benefits of Membership Prior to Termination 18 |
4. | Cancellation of Notice of Withdrawal 18 |
5. | Circumstances Requiring Finance Agency Certification for Withdrawal 19 |
B. | Termination of Membership as a Result of Merger, Consolidation, Relocation, or Self-Liquidation Resulting in Cancellation of Charter 19 |
1. | Consolidation of Members 19 |
2. | Consolidation of Member into Nonmember 19 |
3. | Relocation of Principal Place of Business 20 |
4. | Self-Liquidation Resulting in a Cancellation of Charter 20 |
C. | Other Involuntary Termination of Membership 21 |
D. | Redemption 21 |
E. | Limitations on Redemption and Repurchase of Capital Stock Following Withdrawal or |
XI. | Priority of Redemption or Repurchase 22 |
A. | Initial Pro Rata Redemption 22 |
B. | Subsequent Pro Rata Redemption 22 |
C. | Pro Rata Repurchase 22 |
D. | No Priority for Notices of Redemption or Repurchase in the Event of Liquidation 23 |
XII. | Disposition of Claims 23 |
A. | In General 23 |
B. | Lien on Capital Stock 23 |
C. | Prepayment Fees 23 |
XIII. | Amendment to the Capital Plan 23 |
XIV. | Retained Earnings Enhancement Implementation and Definitions 23 |
A. | Implementation 24 |
B. | Definitions 24 |
XV. | Establishment of Restricted Retained Earnings 26 |
A. | Segregation of Account 26 |
B. | Funding of Account 26 |
1. | Date on Which Allocation Begins 26 |
2. | Ongoing Allocation 27 |
3. | Treatment of Quarterly Net Losses and Annual Net Losses 27 |
4. | Funding at the Special Contribution Amount 27 |
5. | Release of Restricted Retained Earnings 27 |
6. | No Effect on Rights of Shareholders as Owners of Retained Earnings 28 |
XVI. | Limitation on Dividends, Stock Purchase and Stock Redemption 28 |
A. | General Rule on Dividends 28 |
B. | Limitations on Repurchase and Redemption 28 |
XVII. | Termination of Retained Earnings Capital Plan Amendment Obligations 28 |
A. | Notice of Automatic Termination Event 28 |
1. | Action by FHLBanks 28 |
2. | Action by Finance Agency 29 |
3. | Occurrence of Automatic Termination Event Declaration Date 29 |
B. | Notice of Voluntary Termination 30 |
C. | Consequences of Automatic Termination Event or Vote to Terminate the Agreement 30 |
1. | Consequences of Voluntary Termination 30 |
2. | Consequences of an Automatic Termination Event Declaration Date 30 |
3. | Deletion of Operative Provisions of Retained Earnings Capital Plan Amendment 30 |
I. | Definitions |
A. | “Act” means the Federal Home Loan Bank Act, as amended from time to time. |
B. | “Activity-Based Stock Requirement” means the amount of Capital Stock that a Member must own for as long as a particular transaction between the Bank and the Member remains outstanding. |
C. | “Activity-Based Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own for as long as a particular transaction between the Bank and the Former Member remains outstanding. The Activity-Based Stock Retention Requirement for a Former Member shall be calculated according to the same formula used to calculate the Activity-Based Stock Requirement for a Member. |
D. | “Advance” or “Advances” means the principal balance of all loans from the Bank to a Member or Former Member that are outstanding from time to time and that are (1) provided pursuant to a written agreement, (2) supported by a note or other written evidence of the borrower’s obligation, and (3) fully secured by collateral in accordance with the Act and the Regulations, including, without limitation, all such loans that are outstanding on the Effective Date. |
E. | “Advances Stock Requirement” means the amount of Capital Stock that a Member must own for as long as Advances made by the Bank to the Member remain outstanding. |
F. | “Advances Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own for as long as Advances made by the Bank to the Former Member remain outstanding. The Advances Stock Retention Requirement for a Former Member shall be calculated according to the same formula used to calculate the Advances Stock Requirement for a Member. |
G. | “Bank” means the Federal Home Loan Bank of San Francisco. |
H. | “Board of Directors” means the board of directors of the Bank. |
I. | “Capital Plan” means this capital plan as adopted by the Board of Directors and approved by the Finance Agency. |
J. | “Capital Stock” means capital stock that has the characteristics of class B stock as described in the Act and the Regulations, and as specified in Section II.A. of the Capital Plan. |
K. | “Capital Stock Assessment” means the amount of Capital Stock that a Member must own, in addition to the greater of its Membership Stock Requirement or its Activity-Based Stock Requirement, or that a Former Member must own, in addition to the greater of its Membership Stock Retention Requirement or its Activity-Based Stock Retention Requirement, as applicable, for as long as may be necessary to enable the Bank to meet its Minimum Regulatory Capital Requirement and its Risk Management Policy Minimum, as determined by the Board of Directors in its sole discretion (subject to the regulatory oversight of the Finance Agency). |
L. | “Effective Date” of the Capital Plan means the date of the Exchange as determined by the Board of Directors. |
M. | “Excess Stock” of a Member or Former Member means the amount of Capital Stock held by the Member or Former Member that exceeds the amount of Capital Stock that the Member or Former Member is required to own in accordance with the provisions of the Capital Plan. |
N. | “Exchange” means the exchange on the Bank’s books of each share of Bank stock outstanding prior to the exchange on the Effective Date for one share of Capital Stock, upon which each share of Bank stock shall be retired. |
O. | “Finance Agency” means the Federal Housing Finance Agency, as successor to the Federal Housing Finance Board (“Finance Board”), or any successor agency to the Finance Agency. |
P. | “Former Member” means an institution, other than a Member, that owns Capital Stock, and includes without limitation (1) a former Member that has withdrawn voluntarily from Membership, (2) a former Member whose Membership has been terminated as a result of merger or consolidation into a nonmember, (3) a former Member whose Membership has been terminated as a result of relocation of its principal place of business, (4) a former Member whose Membership has been terminated involuntarily by the Board of Directors, (5) a former Member that has become subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law, (6) any other successor in interest to a Member or Former Member, and (7) a newly chartered nonmember institution under the control of a conservator, or deposit insurance agency, that has acquired some or all the assets and liabilities of a Member or Former Member. |
Q. | “Indebtedness” means all indebtedness of the Member or Former Member to the Bank that is outstanding from time to time, including, without limitation, all Advances and all other obligations and liabilities of the Member or Former Member to the Bank. |
R. | “Issue” or “Issuance” means the issuance of Capital Stock to a Member or Former Member by the Bank in (1) the Exchange, (2) a sale, (3) a transfer, or (4) a dividend. |
S. | “Member” means a member of the Bank. |
T. | “Member Mortgage Asset Program” means a program under which the Bank purchases mortgage loans from a Member. |
U. | “Member Mortgage Asset Stock Requirement” means the amount of Capital Stock that a Member must own for as long as the Bank owns any mortgage loan or any portion of any mortgage loan sold by the Member to the Bank under a Member Mortgage Asset Program. |
V. | “Member Mortgage Asset Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own for as long as the Bank owns any mortgage loan or any portion of any mortgage loan sold by the Former Member to the Bank under a Member Mortgage Asset Program. The Member Mortgage Asset Stock Retention Requirement for a Former Member shall be calculated according to the same formula used to calculate the Member Mortgage Asset Stock Requirement for a Member. |
W. | “Membership” means membership in the Bank. |
X. | “Membership Assets” of a Member means all of the assets of the Member (other than Capital Stock) of a type that, at the time of origination of a transaction between the Member and the Bank, may qualify as collateral security for the Member under the Act or the Regulations. (Assets deemed to be Membership Assets for purposes of calculating a Member’s Membership Stock Requirement may or may not be accepted by the Bank as collateral security for any particular transaction.) |
Y. | “Membership Asset Factor” means the percentage, from zero to one hundred, that the Bank has assigned to a category or type of asset that may constitute a Membership Asset of any Member. The Membership Asset Factor assigned to each category of Membership Assets is set forth in Appendix A. |
Z. | “Membership Asset Value” of a Member means the sum of the amounts of each category of the Member’s Membership Assets, as determined by the Bank from the Member’s relevant regulatory reports (or, for a Member that does not file periodic regulatory reports of its financial condition, its most recent financial statements or other recent financial information provided by the Member as required or requested by the Bank from time to time), multiplied in each case by the Membership Asset Factor applicable to each such asset category. |
AA. | “Membership Stock Requirement” means the amount of Capital Stock that a Member must own in order to become and remain a Member. |
BB. | “Membership Stock Retention Requirement” means the amount of Capital Stock that a Former Member must own until the expiration of the Redemption Period applicable to the Capital Stock. The Membership Stock Retention Requirement for a Former Member shall be the amount of Capital Stock that comprised its Membership Stock Requirement on the date on which its Membership was terminated, unless adjusted in accordance with the provisions of Section IV.B.1. of the Capital Plan. |
CC. | “Minimum Regulatory Capital Requirement” means each and all of the following: (1) the Regulatory Leverage Capital Requirement, (2) the Regulatory Risk-Based Capital Requirement, and (3) the Regulatory Total Capital Requirement. |
DD. | “Minimum Stock Requirement” for a Member means (1) the greater of (a) the Member’s Membership Stock Requirement or (b) its Activity-Based Stock Requirement, plus (2) its Capital Stock Assessment, if any. The Minimum Stock Requirement for a Member shall not include the amount of any Capital Stock Assessment imposed prior to the date of Membership. |
EE. | “Minimum Stock Retention Requirement” for a Former Member means (1) the greater of (a) the Former Member’s Membership Stock Retention Requirement or (b) its Activity-Based Stock Retention Requirement, plus (2) any Capital Stock Assessment imposed prior to the date on which the Former Member’s Membership terminated, except that the Minimum Stock Retention Requirement for a Former Member whose membership is terminated in accordance with the provisions of Sections X.B.(2) or (4) of the Capital Plan, or is involuntarily terminated in accordance with the provisions of Section X.C. of the Capital Plan as a result of becoming subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law shall be its Activity-Based Stock Retention Requirement. |
FF. | “Opt-Out Date” means the date that is three calendar months prior to the Effective Date. |
GG. | “Permanent Capital” means the sum of (1) the Bank’s retained earnings, determined in accordance with generally accepted accounting principles, and (2) the paid-in amounts for Issued and outstanding shares of Capital Stock. |
HH. | “Record Date” means (1) for purposes of Section VI.A., December 31 of the prior calendar year, and (2) for purposes of Section VI.B., the date established by the Board of Directors in accordance with the Regulations. |
II. | “Redeem” or “Redemption” means the acquisition and retirement by the Bank of Capital Stock and payment at par value to the Member or Former Member following the expiration of the Redemption Period. |
JJ. | “Redemption Period” for Capital Stock means the five-year period following (1) the Bank’s receipt of a Member’s written Redemption notice to the Bank provided in accordance with the provisions of Section IX.A. of the Capital Plan (which Redemption Period shall apply only to the |
KK. | “Regulations” means (i) the rules and regulations of the Finance Board (except to the extent that they are modified, terminated, set aside, or superseded by the Director of the Finance Agency, any court of competent jurisdiction, or operation of law), and (ii) the rules and regulations of the Finance Agency, both as amended from time to time. |
LL. | “Regulatory Leverage Capital Requirement” means the ratio of Total Capital to total assets that the Bank is required to maintain in accordance with the Regulations. |
MM. | “Regulatory Risk-Based Capital Requirement” means the amount of Permanent Capital that the Bank is required to maintain in accordance with the Regulations. |
NN. | “Regulatory Total Capital Requirement” means the amount of Total Capital that the Bank is required to maintain in accordance with the Regulations. |
OO. | “Repurchase” means the acquisition and retirement by the Bank of Excess Stock and payment at par value to the Member or Former Member without regard to the expiration of any Redemption Period. A “Repurchase” shall not include an acquisition of Capital Stock by the Bank related to the exercise of its rights as secured lender, and its security interest in Capital Stock pledged to secure any Advance. |
PP. | “Risk Management Policy Minimum” means the minimum capital ratios specified from time to time in the Bank’s risk management policy as in effect from time to time. |
QQ. | “Total Capital” means the sum of (1) Permanent Capital, (2) the amount of any general allowance for losses reserved on the books of the Bank, and (3) the value of other instruments identified in the Capital Plan that the Finance Agency has determined to be available to absorb losses incurred by the Bank. |
II. | Capital Stock |
A. | Characteristics of Capital Stock |
B. | Interest in Retained Earnings |
III. | Issuance of Capital Stock |
A. | Exchange Pursuant to Plan of Reorganization |
1. | Notice and Effective Date |
2. | Exchange |
3. | Right to Opt Out of Capital Plan |
4. | Member in Process of Withdrawing from Membership on Effective Date |
5. | Disposition of Claims |
B. | Subsequent Issuances |
C. | New Members |
D. | Former Members |
IV. | Minimum Stock Requirement |
A. | Calculation of Minimum Stock Requirement |
1. | The greater of: |
a. | The Member’s Membership Stock Requirement, which shall equal 1.00% of the Member’s Membership Asset Value, with each Member’s Membership Stock Requirement subject to a cap equal to $15 million; or |
b. | The Member’s Activity-Based Stock Requirement, which shall equal the sum of: |
i. | The Member’s Advances Stock Requirement, which shall equal 3.00%1 of the Member’s outstanding Advances; plus |
ii. | The Member’s Member Mortgage Asset Stock Requirement, which shall equal 3.00%1 of any portion of any mortgage loan sold by the Member and owned by the Bank under a Member Mortgage Asset Program; plus |
2. | The Member’s Capital Stock Assessment, if any. |
• | Member’s Advances Stock Requirement: Reduced from 3.0% to 2.7% of the Member’s outstanding advances. |
• | Member’s Mortgage Asset Stock Requirement: Reduced from 3.0% to 0.0% of any portion of any mortgage sold by the Member and owned by the Bank under a Member Mortgage Asset Program. |
a. | Member Options in the Event of Capital Stock Assessment |
i. | To the extent permitted under the relevant governing agreements between the Bank and the Member (and subject to the payment of any applicable prepayment or termination fee) the Member has reduced the amount of any transactions outstanding between the Bank and the Member, and thereby reduced its Activity-Based Stock Requirement and its Minimum Stock Requirement to a level such that the Member then holds Capital Stock in an amount at least equal to the Member’s adjusted Minimum Stock Requirement (including its Capital Stock Assessment); or |
ii. | The Member has provided written notice to the Bank not to Issue such Capital Stock, in which case the Member shall not be required to purchase additional Capital Stock to meets its Capital Stock Assessment. Such written notice shall constitute grounds for involuntary termination of Membership, and the Board of Directors shall terminate the Member’s Membership. The Bank may liquidate any Indebtedness of the Former Member in accordance with the relevant governing agreements and applicable Regulations. The Former Member shall have no right to exercise any of the benefits of Membership after the date on which its Membership terminates, other than to receive any dividends attributable to its Capital Stock (subject to the Bank’s lien thereon) through the date of Redemption or Repurchase by the Bank. |
b. | Reduction of Capital Stock Assessment |
B. | Adjustments to Stock Requirements |
1. | Adjustment to Membership Stock Requirement |
2. | Adjustment to Activity-Based Stock Requirement |
a. | Adjustment Caused by Change in Activity |
b. | Adjustment Caused by Change Within Authorized Ranges |
C. | Authorized Ranges |
1. | Authorized Ranges for Membership Stock Requirement |
2. | Authorized Ranges for Activity-Based Stock Requirement |
a. | The Advances Stock Requirement, which shall equal an amount not less than 2.00% nor greater than 5.00% of the Member’s outstanding Advances; plus |
b. | The Member Mortgage Asset Stock Requirement, which shall equal an amount not less than 0.00% nor greater than 5.00% of any portion of any mortgage loan sold by the Member and owned by the Bank under a Member Mortgage Asset Program. |
D. | Factors to Consider in Establishing Adjustment Within Authorized Ranges |
1. | The amount of Total Capital required for the Bank to meet its Minimum Regulatory Capital Requirement; |
2. | The amount of Total Capital required for the Bank to meet its Risk Management Policy Minimum; |
3. | The amount of Permanent Capital required for the Bank to meet the Regulatory Risk-Based Capital Requirement; |
4. | The amount of Total Capital required because of losses that have resulted in, or are expected to result in, charges against the Total Capital of the Bank; |
5. | The amount of retained earnings held by the Bank; and |
6. | Any other relevant factors as determined from time to time by the Board of Directors in its sole discretion (subject to the regulatory oversight of the Finance Agency). |
V. | Ownership and Transfer of Capital Stock |
A. | Ownership Limited to Members |
B. | Transfers at Par Value |
VI. | Voting Rights |
A. | Election of Directors |
B. | Ratification of Voluntary Merger |
VII. | Dividends |
A. | Declaration of Dividends |
B. | No Preference |
C. | Stock Held by Withdrawing or Former Member |
VIII. | Liquidation, Merger or Consolidation |
A. | Liquidation |
B. | Merger or Consolidation |
C. | No Limitation on Finance Agency’s Authority |
IX. | Redemption and Repurchase of Capital Stock (Continuing Membership) |
A. | Redemption Upon Application by the Member |
1. | Conditions Applicable to Redemption |
2. | Cancellation of Redemption Notice |
a. | Cancellation by Member |
i. | If the Bank receives the notice of cancellation within 30 months following the Redemption notice, the fee shall be equal to $0.50 multiplied by the number of shares of Capital Stock to which the cancellation notice applies. |
ii. | If the Bank receives the notice of cancellation more than 30 months following the Redemption notice, the fee shall be equal to $1.00 multiplied by the number of shares of Capital Stock to which the cancellation notice applies. |
b. | Automatic Cancellation of Redemption Notice |
c. | Waiver of Cancellation Fee |
3. | Redemption |
B. | Repurchase Upon Initiation by the Bank |
C. | Continued Benefits of Ownership Prior to Redemption or Repurchase |
D. | Limitations on Redemption and Repurchase of Capital Stock |
X. | Redemption and Repurchase of Capital Stock (Withdrawal or Termination of Membership) |
A. | Voluntary Withdrawal |
1. | Notice of Intention to Withdraw from Membership |
2. | Termination of Membership |
3. | Continued Benefits of Membership Prior to Termination |
4. | Cancellation of Notice of Withdrawal |
a. | Conditions Applicable to Cancellation |
i. | If the Bank receives the notice of cancellation within 30 months following the notice of intention to withdraw, the fee shall be equal to $0.50 multiplied by the number of shares of Capital Stock held by the Member on the date that the Bank receives the notice of cancellation. |
ii. | If the Bank receives the notice of cancellation more than 30 months following the notice of intention to withdraw, the fee shall be equal to $1.00 multiplied by the number of shares of Capital Stock held by the Member on the date that the Bank receives the notice of cancellation. |
b. | Waiver of Cancellation Fee |
5. | Circumstances Requiring Finance Agency Certification for Withdrawal |
B. | Termination of Membership as a Result of Merger, Consolidation, Relocation, or Self- |
1. | Consolidation of Members |
2. | Consolidation of Member into Nonmember |
3. | Relocation of Principal Place of Business |
4. | Self-Liquidation Resulting in a Cancellation of Charter |
C. | Other Involuntary Termination of Membership |
1. | Fails to comply with any requirement of the Act, the Regulations, or the Capital Plan; |
2. | Becomes insolvent or otherwise subject to the appointment of a conservator, receiver, or other legal custodian under federal or state law; or |
3. | Would jeopardize the safety or soundness of the Bank if it were to remain a Member. |
D. | Redemption |
E. | Limitations on Redemption and Repurchase of Capital Stock Following Withdrawal or Termination of Membership |
XI. | Priority of Redemption or Repurchase |
A. | Initial Pro Rata Redemption |
B. | Subsequent Pro Rata Redemption |
C. | Pro Rata Repurchase |
D. | No Priority for Notices of Redemption or Repurchase in the Event of Liquidation |
XII. | Disposition of Claims |
A. | In General |
B. | Lien on Capital Stock |
C. | Prepayment Fees |
XIII. | Amendment to the Capital Plan |
XIV. | Retained Earnings Enhancement Implementation and Definitions |
A. | Implementation |
B. | Definitions |
XV. | Establishment of Restricted Retained Earnings |
A. | Segregation of Account |
B. | Funding of Account |
1. | Date on Which Allocation Begins |
2. | Ongoing Allocation |
3. | Treatment of Quarterly Net Losses and Annual Net Losses |
4. | Funding at the Special Contribution Amount |
5. | Release of Restricted Retained Earnings |
6. | No Effect on Rights of Shareholders as Owners of Retained Earnings |
XVI. | Limitation on Dividends, Stock Purchase and Stock Redemption |
A. | General Rule on Dividends |
B. | Limitations on Repurchase and Redemption |
XVII. | Termination of Retained Earnings Capital Plan Amendment Obligations |
A. | Notice of Automatic Termination Event |
1. | Action by FHLBanks |
2. | Action by Finance Agency |
3. | Occurrence of Automatic Termination Event Declaration Date |
B. | Notice of Voluntary Termination |
C. | Consequences of Automatic Termination Event or Vote to Terminate the Agreement |
1. | Consequences of Voluntary Termination |
2. | Consequences of an Automatic Termination Event Declaration Date |
3. | Deletion of Operative Provisions of Retained Earnings Capital Plan Amendment |
Initial Value | |
Residential 1-4 Family First Mortgage Loans | 85% |
Residential 1-4 Family Second Mortgage Loans | 55% |
Home Equity Lines of Credit | 55% |
Multifamily First Mortgage Loans | 70% |
MBS Pass-Throughs | 95% |
CMO’s | 95% |
Other Investment Securities | 75% |
U.S. Agency and Government Securities | 97% |
Commercial Real Estate and Non-Residential First Mortgage Loans | 55% |
Investments in Mutual Funds and Other Investment Securities | 75% |
Small Business Loans | 30% |
Small Farm Loans | 30% |
Small Agribusiness Loans | 30% |
1. | 2016 Risk Management Goal: Continue to enhance and advance the function and approaches to the Bank’s risk management. |
2. | 2016 Franchise Enhancement Goal: Position the Bank and the FHLBank System to remain an integral component of the changing housing and financial services markets. Continue to meet the Bank's mission objectives within these markets as they are currently structured, but also influence and adapt to structural changes in those markets. |
3. | 2016 Community Investment Goal: Support and promote the Bank’s Affordable Housing Program and Community Investment Programs. |
Achievement Level | Measure Definition |
Far Exceeds | The most optimistic achievement level that far exceeds expected performance. |
Exceeds | An optimistic achievement level that exceeds expected performance. |
Meets | Performance that is expected under the Bank's Plan. |
Threshold | Minimum level of performance that must be achieved for awards to be paid. |
Percentage of Goal Achievement Scale | Aggregate Goal Achievement | Award Range (Percentage of 2016 Base Salary) |
0% - 150% | 150% = Far Exceeds | 50% |
125% = Exceeds | 48% | |
100% = Meets | 40% | |
75% = Threshold | 20% |
2016 President and CEO Goal Weights | ||
Corporate Goal Weights | Goal Weight (includes individual goals) | |
Individual | N/A | 10.0% |
Risk Management | 30.0% | 27.0% |
Franchise Enhancement | 50.0% | 45.0% |
Community Investment | 20.0% | 18.0% |
Total | 100.0% | 100.0% |
2016 Goals | 2016 Goal Components | Goal Weight | Goal Component Weight | 2016 Short-Term Incentive Plan Goal Measures | ||||
1) RISK MANAGEMENT | 30% | In the event of a Significant Deficiency or Material Weakness in internal control over financial reporting, a significant operations loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and appropriate adjustment to the Risk Management goal achievement level, if any. | ||||||
A) Strategic Sourcing and Vendor Management | 50% | 75%: | threshold | |||||
• | Strategic Sourcing: Adopt new Bank Purchasing Policy | |||||||
• | Vendor Management: Adopt Risk Management Tool for assessment and diligence of the Bank's Strategic vendors | |||||||
100%: | 75% achievement, plus: | |||||||
• | Strategic Sourcing: Attain 40% spend under management (SUM) | |||||||
• | Vendor Management: Rationalize vendor base into Strategic, Preferred, and Tactical vendor categories | |||||||
125%: | 100% achievement, plus: | |||||||
• | Strategic Sourcing: Attain 50% SUM | |||||||
• | Vendor Management: Adopt Risk Management Tool for assessment and diligence of Preferred vendors | |||||||
150%: | 125% achievement, plus: | |||||||
• | Strategic Sourcing: Attain 60% SUM | |||||||
• | Vendor Management: Adopt Risk Management Tool for assessment and diligence of Tactical vendors | |||||||
B) Business Continuity | 50% | 75%: | Develop and establish Business Continuity Management (BCM) Program Standards | |||||
100%: | Achieve 50% of targets in the BCM Program Planning and Exercise Standards | |||||||
125%: | Achieve 50% of targets in the BCM Program Threat Analysis and Crisis Management Standards | |||||||
150%: | Achieve 75% of targets in the BCM Program Education, Awareness and Training, and BCM Program Governance and Reporting Standards | |||||||
2) FRANCHISE ENHANCEMENT | 50% | |||||||
A) Financial Performance | 35% | Adjusted Return on Capital Spread | ||||||
75% | 100% | 125% | 150% | |||||
3.27% | 3.52% | 3.77% | 4.02% | |||||
Achievement level targets and measured performance exclude OTTI credit charges. | ||||||||
B) Technology | 25% | 75%: | Complete 2 strategic technology initiatives: [Technology Resiliency-Phase I and Vendor/Procurement Management] | |||||
100%: | 75% achievement, plus: complete 2 additional (total of 4) strategic technology initiatives | |||||||
125%: | 100% achievement, plus: complete 2 additional (total of 6) strategic technology initiatives | |||||||
150%: | 125% achievement, plus: complete 2 additional (total of 8) strategic technology initiatives | |||||||
Calypso Upgrade not included in the total, given dependency on the vendor to release the product before the upgrade can begin. | ||||||||
C) Member Business | 20% | Advances and Letters of Credit (LC) Volume Average Outstanding Daily Balance ($Bils) | ||||||
75% | 100% | 125% | 150% | |||||
$[*] | $[*] | $[*] | $[*] | |||||
5% | Mortgage Partnership Finance (MPF) Volume ($Mils) | |||||||
75% | 100% | 125% | 150% | |||||
$[*] | $[*] | $[*] | $[*] | |||||
5% | Mortgage Partnership Finance (MPF) (Conversions of New/Non-Selling PFIs) | |||||||
75% | 100% | 125% | 150% | |||||
[*] | [*] | [*] | [*] | |||||
Measured by existing non-sellers or new PFIs that sell loans. | ||||||||
10% | Recruitment (# of New Members) | |||||||
75% | 100% | 125% | 150% | |||||
7 | 9 | 11 | 13 | |||||
3) COMMUNITY INVESTMENT | 20% | |||||||
CIP/ACE Advances, Letters of Credit and AHEAD (# of Members) | 100% | (# of Members) | ||||||
75% | 100% | 125% | 150% | |||||
38 | 41 | 44 | 47 |
Achievement Level | Measure Definition |
Far Exceeds | The most optimistic achievement level that far exceeds expected performance. |
Exceeds | An optimistic achievement level that exceeds expected performance. |
Meets | Performance that is expected under the Bank's plan. |
Threshold | Minimum level of performance that must be achieved for awards to be paid. |
Percentage of Goal Achievement Scale | Aggregate Goal Achievement | Award Range (Percentage of 2016 Base Salary) EVP/SVP |
0% - 150% | 150% = Far Exceeds | 50.0% |
125% = Exceeds | 48.0% | |
100% = Meets | 40.0% | |
75% = Threshold | 20.0% |
2016 Executive Officer Goal Weights | ||||
Executive Vice President and Senior Vice Presidents | Senior Vice President, Chief Risk Officer | |||
Corporate Goal Weights | Goal Weight (includes individual goals) | Corporate Goal Weights | Goal Weight (includes individual goals) | |
Individual | N/A | 10.0% | N/A | 10.0% |
Risk Management | 30.0% | 27.0% | 60.0% | 54.0% |
Franchise Enhancement | 50.0% | 45.0% | 26.0% | 23.4% |
Community Investment | 20.0% | 18.0% | 14.0% | 12.6% |
Total | 100.0% | 100.0% | 100.0% | 100.0% |
2016 Goals | 2016 Goal Components | Goal Weight | Goal Component Weight | 2016 Short-Term Incentive Plan Goal Measures | ||||
1) RISK MANAGEMENT | 30% | In the event of a Significant Deficiency or Material Weakness in internal control over financial reporting, a significant operations loss, or a significant noncompliance with Bank policy as described in the Bank’s Risk Management Policy, the Board of Directors will assess the impact and appropriate adjustment to the Risk Management goal achievement level, if any. | ||||||
A) Strategic Sourcing and Vendor Management | 50% | 75%: | threshold | |||||
• | Strategic Sourcing: Adopt new Bank Purchasing Policy | |||||||
• | Vendor Management: Adopt Risk Management Tool for assessment and diligence of the Bank's Strategic vendors | |||||||
100%: | 75% achievement, plus: | |||||||
• | Strategic Sourcing: Attain 40% spend under management (SUM) | |||||||
• | Vendor Management: Rationalize vendor base into Strategic, Preferred, and Tactical vendor categories | |||||||
125%: | 100% achievement, plus: | |||||||
• | Strategic Sourcing: Attain 50% SUM | |||||||
• | Vendor Management: Adopt Risk Management Tool for assessment and diligence of Preferred vendors | |||||||
150%: | 125% achievement, plus: | |||||||
• | Strategic Sourcing: Attain 60% SUM | |||||||
• | Vendor Management: Adopt Risk Management Tool for assessment and diligence of Tactical vendors | |||||||
B) Business Continuity | 50% | 75%: | Develop and establish Business Continuity Management (BCM) Program Standards | |||||
100%: | Achieve 50% of targets in the BCM Program Planning and Exercise Standards | |||||||
125%: | Achieve 50% of targets in the BCM Program Threat Analysis and Crisis Management Standards | |||||||
150%: | Achieve 75% of targets in the BCM Program Education, Awareness and Training, and BCM Program Governance and Reporting Standards | |||||||
2) FRANCHISE ENHANCEMENT | 50% | |||||||
A) Financial Performance | 35% | Adjusted Return on Capital Spread | ||||||
75% | 100% | 125% | 150% | |||||
3.27% | 3.52% | 3.77% | 4.02% | |||||
Achievement level targets and measured performance exclude OTTI credit charges. | ||||||||
B) Technology | 25% | 75%: | Complete 2 strategic technology initiatives: [Technology Resiliency-Phase I and Vendor/Procurement Management] | |||||
100%: | 75% achievement, plus: complete 2 additional (total of 4) strategic technology initiatives | |||||||
125%: | 100% achievement, plus: complete 2 additional (total of 6) strategic technology initiatives | |||||||
150%: | 125% achievement, plus: complete 2 additional (total of 8) strategic technology initiatives | |||||||
Calypso Upgrade not included in the total, given dependency on the vendor to release the product before the upgrade can begin. | ||||||||
C) Member Business | 20% | Advances and Letters of Credit (LC) Volume Average Outstanding Daily Balance ($Bils) | ||||||
75% | 100% | 125% | 150% | |||||
$[*] | $[*] | $[*] | $[*] | |||||
5% | Mortgage Partnership Finance (MPF) Volume ($Mils) | |||||||
75% | 100% | 125% | 150% | |||||
$[*] | $[*] | $[*] | $[*] | |||||
5% | Mortgage Partnership Finance (MPF) (Conversions of New/Non-Selling PFIs) | |||||||
75% | 100% | 125% | 150% | |||||
[*] | [*] | [*] | [*] | |||||
Measured by existing non-sellers or new PFIs that sell loans. | ||||||||
10% | Recruitment (# of New Members) | |||||||
75% | 100% | 125% | 150% | |||||
7 | 9 | 11 | 13 | |||||
3) COMMUNITY INVESTMENT | 20% | |||||||
CIP/ACE Advances, Letters of Credit and AHEAD (# of Members) | 100% | (# of Members) | ||||||
75% | 100% | 125% | 150% | |||||
38 | 41 | 44 | 47 |
Achievement Level | Measure Definition |
Far Exceeds | The most optimistic achievement level that far exceeds expected performance. |
Exceeds | An optimistic achievement level that exceeds expected performance. |
Meets | Performance that is expected under the Bank's plan. |
Threshold | Minimum level of performance that must be achieved for awards to be paid. |
Adjusted Return on Capital Spread Goal (3-Year Average) 1 | Risk Management Goal (3-Year Average) 2 | ||||||
30% goal weight | % of Award Opportunity | 70% goal weight | % of Award Opportunity | ||||
Threshold | (75%) | 2.44% | 22.5% | Threshold | (75%) | Average of 3- Year Achievement | 52.5% |
Meets | (100%) | 2.69% | 30.0% | Meets | (100%) | 70.0% | |
Exceeds | (125%) | 2.94% | 37.5% | Exceeds | (125%) | 87.5% | |
Far Exceeds | (150%) | 3.19% | 45.0% | Far Exceeds | (150%) | 105.0% | |
1 Meets excludes OTTI impact, while measured performance includes OTTI impact. | |||||||
2 Measured by 3-year achievement levels of Risk Management goal under the respective STIPs. |
Percentage of Goal Achievement Scale | Aggregate Goal Achievement | Award Range (Percentage of 2016 Base Salary) | |
0% - 150% | 150% = Far Exceeds | 50.0% | |
125% = Exceeds | 48.0% | ||
100% = Meets | 40.0% | ||
75% = Threshold | 20.0% |
(Dollars in millions) | 2015 | 2014 | 2013 | 2012 | 2011 | ||||||||||||||
Earnings: | |||||||||||||||||||
Income before assessments | $ | 716 | $ | 241 | $ | 360 | $ | 551 | $ | 258 | |||||||||
Fixed charges | 430 | 467 | 605 | 647 | 754 | ||||||||||||||
Total earnings | $ | 1,146 | $ | 708 | $ | 965 | $ | 1,198 | $ | 1,012 | |||||||||
Fixed charges: | |||||||||||||||||||
Interest expense | $ | 429 | $ | 466 | $ | 604 | $ | 646 | $ | 753 | |||||||||
Estimated rental expense based on an interest factor | 1 | 1 | 1 | 1 | 1 | ||||||||||||||
Total fixed charges | $ | 430 | $ | 467 | $ | 605 | $ | 647 | $ | 754 | |||||||||
Ratio of earnings to fixed charges | 2.67 | 1.52 | 1.59 | 1.85 | 1.34 |
1. | I have reviewed this annual report on Form 10-K for the period ended December 31, 2015, of the Federal Home Loan Bank of San Francisco; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: March 11, 2016 | /S/ DEAN SCHULTZ | |
Dean Schultz President and Chief Executive Officer |
1. | I have reviewed this annual report on Form 10-K for the period ended December 31, 2015, of the Federal Home Loan Bank of San Francisco; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: March 11, 2016 | /S/ LISA B. MACMILLEN | |
Lisa B. MacMillen Executive Vice President and Chief Operating Officer |
1. | I have reviewed this annual report on Form 10-K for the period ended December 31, 2015, of the Federal Home Loan Bank of San Francisco; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
a. | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
b. | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c. | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d. | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officer(s) and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions): |
a. | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and |
b. | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. |
Date: March 11, 2016 | /S/ KENNETH C. MILLER | |
Kenneth C. Miller Senior Vice President and Chief Financial Officer |
1. | The Registrant's Annual Report on Form 10-K for the period ended December 31, 2015, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: March 11, 2016 | /S/ DEAN SCHULTZ | |
Dean Schultz President and Chief Executive Officer |
1. | The Registrant's Annual Report on Form 10-K for the period ended December 31, 2015, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: March 11, 2016 | /S/ LISA B. MACMILLEN | |
Lisa B. MacMillen Executive Vice President and Chief Operating Officer |
1. | The Registrant's Annual Report on Form 10-K for the period ended December 31, 2015, (“Report”) fully complies with the requirements of section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: March 11, 2016 | /S/ KENNETH C. MILLER | |
Kenneth C. Miller Senior Vice President and Chief Financial Officer |
Document and Entity Information Document - USD ($) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Feb. 29, 2016 |
Jun. 30, 2015 |
|
Document and Entity Information [Line Items] | |||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF SAN FRANCISCO | ||
Entity Central Index Key | 0001316944 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2015 | ||
Amendment Flag | false | ||
Document Fiscal Year Focus | 2015 | ||
Document Fiscal Period Focus | FY | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Common Stock, Shares Outstanding | 28,019,551 | ||
Entity Public Float | $ 0 |
Statements of Condition - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Assets: | |||||||||||
Cash and due from banks | $ 1,637 | $ 3,920 | |||||||||
Securities purchased under agreements to resell | 10,000 | 1,000 | |||||||||
Federal funds sold | 4,626 | 7,503 | |||||||||
Trading securities | [1] | 1,433 | 3,524 | ||||||||
Available-for-sale (AFS) securities | [1] | 5,414 | 6,371 | ||||||||
Held-to-maturity (HTM) securities (fair values were $10,821 and $13,657, respectively) | [2],[3],[4] | 10,802 | 13,551 | ||||||||
Advances (includes $3,677 and $5,137 at fair value under the fair value option, respectively) | 50,919 | 38,986 | |||||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $0 and $1, respectively | 655 | 708 | |||||||||
Accrued interest receivable | 56 | 67 | |||||||||
Premises, software, and equipment, net | 32 | 28 | |||||||||
Derivative assets, Net | 44 | 59 | |||||||||
Other assets | 89 | 90 | |||||||||
Total Assets | 85,707 | 75,807 | |||||||||
Liabilities: | |||||||||||
Deposits | 127 | 160 | |||||||||
Consolidated obligations: | |||||||||||
Bonds (includes $4,233 and $6,717 at fair value under the fair value option, respectively) | 51,835 | 47,045 | |||||||||
Discount Notes | 27,648 | 21,811 | |||||||||
Total consolidated obligations | 79,483 | 68,856 | |||||||||
Mandatorily redeemable capital stock | 488 | 719 | |||||||||
Accrued interest payable | 80 | 95 | |||||||||
Affordable Housing Program (AHP) payable | 172 | 147 | |||||||||
Derivative liabilities, Net | 6 | 20 | |||||||||
Other liabilities | 455 | 117 | |||||||||
Total Liabilities | $ 80,811 | $ 70,114 | |||||||||
Commitments and Contingencies (Note 20) | |||||||||||
Capital: | |||||||||||
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 23 shares and 33 shares, respectively | $ 2,253 | $ 3,278 | |||||||||
Unrestricted retained earnings | 610 | 294 | |||||||||
Restricted retained earnings | 2,018 | 2,065 | |||||||||
Total Retained Earnings | 2,628 | 2,359 | |||||||||
Accumulated Other Comprehensive Income (Loss) (AOCI) | 15 | 56 | |||||||||
Total Capital | 4,896 | 5,693 | |||||||||
Total Liabilities and Capital | $ 85,707 | $ 75,807 | |||||||||
|
Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Assets: | ||
Fair Value of Held-to-maturity securities | $ 10,821 | $ 13,657 |
Fair Value of Advances Under the Fair Value Option | 3,677 | 5,137 |
Allowance for credit losses on mortgage loans | $ 0 | 1 |
Capital: | ||
Common stock, par value | $ 100 | |
Statement of Condition Footnotes: | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 0 | 0 |
Trading securities pledged as collateral that may be repledged | 0 | 0 |
Held-to-maturity securities pledged as collateral that may be repledged | $ 0 | $ 0 |
Common Class B [Member] | ||
Capital: | ||
Common stock, par value | $ 100 | $ 100 |
Common stock, shares issued | 23 | 33 |
Common stock, shares outstanding | 23 | 33 |
Consolidated obligation bonds [Member] | ||
Liabilities: | ||
Fair Value of Bonds Under the Fair Value Option | $ 4,233 | $ 6,717 |
Statements of Comprehensive Income - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Net Income/(Loss) | $ 638 | $ 205 | $ 308 |
Other Comprehensive Income/(Loss): | |||
Net change in pension and postretirement benefits | (2) | (5) | 5 |
Net non-credit-related OTTI gain/(loss) on AFS securities: | |||
Non-credit-related OTTI loss transferred from HTM securities | (1) | 0 | (4) |
Net change in fair value of other-than-temporarily impaired securities | (29) | 209 | 644 |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (15) | (10) | (3) |
Total net non-credit-related OTTI gain/(loss) on AFS securities | (45) | 199 | 637 |
Net non-credit-related OTTI gain/(loss) on HTM securities: | |||
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (1) | 0 | (4) |
Accretion of Noncredit Related OTTI Loss | 6 | 7 | 7 |
Non-credit related OTTI loss transferred to AFS securities | 1 | 0 | 4 |
Total net non-credit-related OTTI gain/(loss) on HTM securities | 6 | 7 | 7 |
Total other comprehensive income/(loss) | (41) | 201 | 649 |
Total Comprehensive Income (Loss) | $ 597 | $ 406 | $ 957 |
Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions |
Total |
Retained Earnings [Member] |
Restricted [Member] |
Unrestricted [Member] |
Accumulated Other Comprehensive Income/(Loss) [Member] |
Common Class B - Putable [Member]
Common Stock [Member]
|
|||
---|---|---|---|---|---|---|---|---|---|
Balance, Shares at Dec. 31, 2012 | 42 | ||||||||
Balance at Dec. 31, 2012 | $ 5,613 | $ 2,247 | $ 2,001 | $ 246 | $ (794) | $ 4,160 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Issuance of capital stock, shares | 5 | ||||||||
Issuance of capital stock, value | 530 | $ 530 | |||||||
Repurchase of capital stock, shares | (12) | ||||||||
Repurchase of capital stock, value | (1,226) | $ (1,226) | |||||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | 0 | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (4) | [1] | $ (4) | ||||||
Comprehensive Income (Loss) | 957 | 308 | 76 | 232 | 649 | ||||
Cash dividends paid on capital stock | (161) | (161) | (161) | ||||||
Balance, Shares at Dec. 31, 2013 | 35 | ||||||||
Balance at Dec. 31, 2013 | 5,709 | 2,394 | 2,077 | 317 | (145) | $ 3,460 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Issuance of capital stock, shares | 8 | ||||||||
Issuance of capital stock, value | 762 | $ 762 | |||||||
Repurchase of capital stock, shares | (10) | ||||||||
Repurchase of capital stock, value | (941) | $ (941) | |||||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | 0 | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (3) | [1] | $ (3) | ||||||
Comprehensive Income (Loss) | 406 | 205 | (12) | 217 | 201 | ||||
Cash dividends paid on capital stock | (240) | (240) | 0 | (240) | |||||
Balance, Shares at Dec. 31, 2014 | 33 | ||||||||
Balance at Dec. 31, 2014 | 5,693 | 2,359 | 2,065 | 294 | 56 | $ 3,278 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||||||||
Issuance of capital stock, shares | 8 | ||||||||
Issuance of capital stock, value | 829 | $ 829 | |||||||
Repurchase of capital stock, shares | (14) | ||||||||
Repurchase of capital stock, value | (1,439) | $ (1,439) | |||||||
Net Shares Reclassified from/(to) Mandatorily Redeemable Capital Stock, Shares | (4) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net, value | (415) | [1] | $ (415) | ||||||
Comprehensive Income (Loss) | 597 | 638 | 103 | 535 | (41) | ||||
Transfers from restricted retained earnings | 0 | 0 | (150) | 150 | |||||
Cash dividends paid on capital stock | (369) | (369) | 0 | (369) | |||||
Balance, Shares at Dec. 31, 2015 | 23 | ||||||||
Balance at Dec. 31, 2015 | $ 4,896 | $ 2,628 | $ 2,018 | $ 610 | $ 15 | $ 2,253 | |||
|
Statements of Capital Accounts (Parenthetical) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Annualized Dividend Rate on Capital Stock | 12.39% | 7.02% | 3.99% |
Statements of Cash Flows - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Cash Flows from Operating Activities: | |||
Net Income/(Loss) | $ 638 | $ 205 | $ 308 |
Adjustments to reconcile net income/(loss) to net cash provided by operating activities: | |||
Depreciation and amortization | (80) | (90) | (68) |
Provision for/(reversal of) credit losses on mortgage loans | 1 | 0 | (1) |
Change in net fair value of trading securities | 2 | 1 | (2) |
Change in net fair value adjustment on advances and consolidated obligation bonds held under fair value option | 50 | 93 | 23 |
Change in net derivatives and hedging activities | (33) | (64) | 7 |
Net OTTI loss, credit-related | 15 | 4 | 7 |
Net change in: | |||
Accrued interest receivable | 16 | 18 | 21 |
Other assets | (9) | (4) | (8) |
Accrued interest payable | (20) | 1 | (85) |
Other liabilities | 109 | 1 | 18 |
Total adjustments | 51 | (40) | (88) |
Net cash provided by/(used in) operating activities | 689 | 165 | 220 |
Cash Flows from Investing Activities: | |||
Interest-bearing deposits | (404) | (352) | (128) |
Securities purchased under agreements to resell | (9,000) | (1,000) | 1,500 |
Federal funds sold | 2,877 | (5) | 3,359 |
Premises, software, and equipment | (12) | (12) | (8) |
Trading securities: | |||
Proceeds from maturities of long-term | 2,339 | 582 | 236 |
Purchases of long-term | 0 | (899) | (525) |
AFS securities: | |||
Proceeds from maturities of long-term | 996 | 938 | 1,283 |
HTM securities: | |||
Net (increase)/decrease in short-term | 0 | 1,660 | 79 |
Proceeds from maturities of long-term | 2,746 | 2,504 | 3,927 |
Purchases of long-term | 0 | (207) | (4,193) |
Advances: | |||
Principal collected | 1,057,469 | 780,733 | 529,782 |
Made to members | (1,069,480) | (775,375) | (530,789) |
Mortgage loans held for portfolio: | |||
Principal collected | 184 | 200 | 379 |
Purchases | (131) | (4) | 0 |
Proceeds from sale of foreclosed assets | 4 | 3 | 4 |
Net cash provided by/(used in) investing activities | (12,412) | 8,766 | 4,906 |
Cash Flows from Financing Activities: | |||
Net change in Deposits | 262 | 254 | 273 |
Net (payments)/proceeds on derivatives contracts with financing elements | 17 | 14 | 66 |
Net proceeds from issuance of consolidated obligations: | |||
Bonds | 38,935 | 31,415 | 29,195 |
Discount notes | 106,536 | 104,611 | 107,252 |
Bonds transferred from another Federal Home Loan Bank | 0 | 0 | 122 |
Payments for matured and retired consolidated obligations: | |||
Bonds | (33,968) | (37,446) | (45,827) |
Discount notes | (100,717) | (106,991) | (88,272) |
Proceeds from issuance of capital stock | 829 | 762 | 530 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (646) | (1,355) | (2,276) |
Payments for repurchase of capital stock | (1,439) | (941) | (1,226) |
Cash dividends paid | (369) | (240) | (161) |
Net cash provided by/(used in) financing activities | 9,440 | (9,917) | (324) |
Net increase/(decrease) in cash and due from banks | (2,283) | (986) | 4,802 |
Cash and due from banks at beginning of the period | 3,920 | 4,906 | 104 |
Cash and due from banks at end of period | 1,637 | 3,920 | 4,906 |
Supplemental Disclosures: | |||
Interest paid | 412 | 457 | 520 |
AHP payments | 53 | 40 | 45 |
Supplemental Disclosures of Noncash Investing Activities: | |||
Transfers of mortgage loans to real estate owned | 2 | 3 | 4 |
Transfers of other-than-temporarily impaired HTM securities to AFS securities | $ 15 | $ 0 | $ 72 |
Background Information |
12 Months Ended |
---|---|
Dec. 31, 2015 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations [Text Block] | The Federal Home Loan Bank of San Francisco (Bank), a federally chartered corporation exempt from ordinary federal, state, and local taxation except real property taxes, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages and targeted community development by providing a readily available, competitively priced source of funds to their member institutions. Each FHLBank is operated as a separate entity with its own management, employees, and board of directors. The Bank does not have any special purpose entities or any other type of off-balance sheet conduits. The Bank has a cooperative ownership structure. Regulated financial depositories and insurance companies engaged in residential housing finance, with principal places of business located in Arizona, California, and Nevada, are eligible to apply for membership. In addition, authorized community development financial institutions are eligible to be members of the Bank. All members are required to purchase capital stock in the Bank. State and local housing authorities that meet certain statutory criteria may also borrow from the Bank. While eligible to borrow, these housing authorities are not members of the Bank, and, as such, are not required to hold capital stock. To access the Bank's products and services, a financial institution must be approved for membership and purchase capital stock in the Bank. The member's capital stock requirement is generally based on its use of Bank products, subject to a minimum asset-based membership requirement that is intended to reflect the value to the member of having ready access to the Bank as a reliable source of competitively priced funds. Bank capital stock is issued, transferred, redeemed, and repurchased at its par value of $100 per share, subject to certain regulatory and statutory limits. It is not publicly traded. All shareholders may receive dividends on their capital stock, to the extent declared by the Bank's Board of Directors. The Bank conducts business with members in the ordinary course of business. See Note 21 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks for more information. The Federal Housing Finance Agency (Finance Agency), an independent federal agency in the executive branch of the United States government, supervises and regulates the FHLBanks and the FHLBanks' Office of Finance. The Office of Finance is a joint office of the FHLBanks that facilitates the issuance and servicing of the debt instruments (consolidated obligations) of the FHLBanks and prepares the combined quarterly and annual financial reports of the FHLBanks. The primary source of funds for the FHLBanks is the proceeds from the sale to the public of the FHLBanks' consolidated obligations through the Office of Finance using authorized securities dealers. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act), or regulations governing the operations of the FHLBanks, all the FHLBanks have joint and several liability for all FHLBank consolidated obligations. Other funds are provided by deposits, other borrowings, and the issuance of capital stock to members. The Bank primarily uses these funds to provide advances to members. |
Summary of Significant Accounting Policies |
12 Months Ended | ||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2015 | |||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||
Basis of Presentation | Summary of Significant Accounting Policies Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option, and accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates. Estimated Fair Values. Many of the Bank's financial instruments lack an available liquid trading market as characterized by frequent exchange transactions between a willing buyer and willing seller. Therefore, the Bank uses financial models employing significant assumptions and present value calculations for the purpose of determining estimated fair values. Thus, the fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future. Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank's financial instruments and related assumptions are detailed in Note 19 – Fair Value. Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. The Bank treats securities purchased under agreements to resell as collateralized financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality. Investment Securities. The Bank classifies investments as trading, available-for-sale (AFS), or held-to-maturity (HTM) at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs. The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI). HTM securities are carried at cost, adjusted for periodic principal repayments; amortization of premiums and accretion of discounts; and previous OTTI recognized in net income and AOCI. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity. Certain changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of 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 changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. The Bank calculates the amortization of purchase premiums and accretion of purchase discounts on investments using the level-yield method on a retrospective basis over the estimated life of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. A security is considered impaired when its fair value is less than its amortized cost basis. For impaired debt securities, an entity is required to assess whether: (i) it has the intent to sell the debt security; (ii) it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it does not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions is met, an OTTI on the security must be recognized. With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security is adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss is recognized in earnings, while the amount of non-credit-related impairment is recognized in AOCI. The total OTTI is presented in the Statements of Income with an offset for the amount of the total OTTI that is recognized in AOCI. This presentation provides additional information about the amounts that the entity does not expect to collect related to a debt security. The credit loss on a debt security is limited to the amount of that security's unrealized losses. For subsequent accounting of other-than-temporarily impaired securities, if the present value of cash flows expected to be collected is less than the amortized cost basis, the Bank records an additional OTTI. The amount of total OTTI for a security that was previously impaired is calculated as the difference between its amortized cost less the amount of OTTI recognized in AOCI prior to the determination of OTTI and its fair value. For an other-than-temporarily impaired security that was previously impaired and has subsequently incurred an additional OTTI related to credit loss (limited to that security's unrealized losses), this additional credit-related OTTI, up to the amount in AOCI, would be reclassified out of non-credit-related OTTI in AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings. Subsequent related increases and decreases (if not an OTTI) in the fair value of AFS securities will be netted against the non-credit component of OTTI previously recognized in AOCI. For securities classified as HTM, the OTTI recognized in AOCI is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). For securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional impairment on the security, the yield of the security is adjusted upward on a prospective basis when there is a significant increase in the expected cash flows. This accretion is included in net interest income in the Statements of Income. Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 18 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. Variable Interest Entities. The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of December 31, 2015, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value. Advances. The Bank reports advances (loans to members, former members or their successors, or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. The Bank amortizes premiums and accretes discounts and recognizes hedging adjustments resulting from the discontinuation of a hedging relationship to interest income using a level-yield methodology. Interest on advances is credited to income as earned. For advances carried at fair value, the Bank recognizes contractual interest in interest income. Advance Modifications. In cases in which the Bank funds an advance concurrent with or within a short period of time before or after the prepayment of a previous advance to the same member, the Bank evaluates whether the subsequent advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of the cash flows on the subsequent advance to the present value of the cash flows remaining on the previous advance. If there is at least a 10% difference in the present value of the cash flows or if the Bank concludes that the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the previous advance's contractual terms, then the subsequent advance is accounted for as a new advance. In all other instances, the subsequent advance is accounted for as a modification. Prepayment Fees. When a borrower prepays certain advances prior to the original maturity, the Bank may charge the borrower a prepayment fee. For certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in other income. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income. For prepaid advances that are not hedged or that are hedged but do not meet the hedge accounting requirements, the Bank records prepayment fees in interest income unless the Bank determines that the new advance represents a modification of the original advance. If the new advance represents a modification of the original advance, the prepayment fee on the original advance is deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization is recorded in interest income. Mortgage Loans Held in Portfolio. Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase conventional conforming fixed rate residential mortgage loans and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) from its participating members. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) Participating members originate or purchase the mortgage loans, credit-enhance them and sell them to the Bank, and generally retain the servicing of the loans. The Bank manages the interest rate risk, prepayment risk, and liquidity risk of each loan in its portfolio. The Bank and the participating financial institution (either the original participating member that sold the loans to the Bank or a successor to that member) share in the credit risk of the loans, with the Bank assuming the first loss obligation limited by the first loss account, and the participating financial institution assuming credit losses in excess of the first loss account, up to the amount of the credit enhancement obligation specified in the master agreement. The amount of the credit enhancement is calculated so that any Bank credit losses (excluding special hazard losses) in excess of the first loss account are limited to those that would be expected from an equivalent investment with a long-term credit rating of AA. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. (“MPF Xtra” is a registered trademark of the FHLBank of Chicago.) For taking on the credit enhancement obligation, the Bank pays the participating financial institution a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. Depending on the specific MPF product, all or a portion of the credit enhancement fee is paid monthly beginning with the month after each delivery of loans. The MPF Plus product also provides for a performance-based credit enhancement fee, which accrues monthly, beginning with the month after each delivery of loans, and is paid to the participating financial institution beginning 12 months later. The performance-based credit enhancement fee will be reduced by an amount equivalent to loan losses up to the amount of the first loss account established for each master commitment. The participating financial institutions obtain supplemental mortgage insurance (SMI) to cover their credit enhancement obligations under this product. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee. The Bank classifies mortgage loans as held for investment and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, note rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. The Bank records credit enhancement fees as a reduction to interest income. Allowance for Credit Losses. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Portfolio Segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each applicable portfolio segment. See Note 10 – Allowance for Credit Losses for more information. Impairment Methodology on Mortgage Loans. A mortgage loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Loans that are on non-accrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, there is no other available and reliable source of repayment. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as interest income on non-accrual loans noted below. The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial institution is reported 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. For any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. Real Estate Owned. Real estate owned (REO) includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses, and carrying costs are included in other non-interest expense in the Statements of Income. REO is recorded in “Other assets” in the Statements of Condition. At December 31, 2015, the Bank’s other assets included $2 of REO resulting from foreclosure of 21 mortgage loans held by the Bank. At December 31, 2014, the Bank’s other assets included $2 of REO resulting from foreclosure of 23 mortgage loans held by the Bank. Other Fees. Letter of credit fees are recorded as other income over the term of the letter of credit. Derivatives. All derivatives are recognized on the Statements of Condition at their fair value. The Bank has elected to report derivative assets and derivative liabilities net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to futures commission merchants (clearing agents) or counterparties. The fair values of derivatives are netted by clearing agent or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative. Each derivative is designated as one of the following:
If hedging relationships meet certain criteria, including but not limited to formal documentation of the hedging relationship and an expectation to be hedge effective, they are eligible for hedge accounting, and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and the related hedged items independently. This is known as the “long-haul” method of hedge accounting. Transactions that meet certain criteria qualify for the “short-cut” method of hedge accounting, in which an assumption can be made that the change in the fair value of a hedged item, because of changes in the benchmark rate, exactly offsets the change in the value of the related derivative. Under the shortcut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability. Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank records the changes in the fair value of the derivatives and the hedged item beginning on the trade date. Changes in the fair value of a derivative that qualifies as a fair value hedge and is designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability (hedged item) that are attributable to the hedged risk (including changes that reflect losses or gains on firm commitments), are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Changes in the fair value of a derivative that qualifies as a cash flow hedge and is designated as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI, a component of capital, until earnings are affected by the variability of the cash flows of the hedged transaction (until the periodic recognition of interest on a variable rate asset or liability is recorded in earnings). For both fair value and cash flow hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction) is recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Changes in the fair value of a derivative designated as an economic hedge or an intermediation hedge are recorded in current period earnings with no fair value adjustment to an asset or liability. An economic hedge is defined as a derivative hedging certain advances and consolidated obligation bonds for which the Bank elected the fair value option, or hedging specific or non-specific underlying assets, liabilities, or firm commitments, that does not qualify or was not designated for fair value or cash flow hedge accounting, but is an acceptable hedging strategy under the Bank's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank's income but are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. The derivatives used in intermediary activities do not qualify for hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank. Changes in the fair value of these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” In addition, the net settlements associated with these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Cash flows associated with these stand-alone derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be designated as a financing derivative. The net settlements of interest receivables and payables on derivatives designated as fair value or cash flow hedges are recognized as adjustments to the interest income or interest expense of the designated underlying hedged item. The net settlements of interest receivables and payables on intermediated derivatives for members and other economic hedges are recognized in other income as “Net gain/(loss) on derivatives and hedging activities.” The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value. When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology. When hedge accounting is discontinued because the Bank determines that the derivative no longer qualifies as an effective cash flow hedge of an existing hedged item, the Bank continues to carry the derivative on the Statements of Condition at its fair value and reclassifies the AOCI adjustment into earnings when earnings are affected by the existing hedged item (the original forecasted transaction). Under limited circumstances, when the Bank discontinues cash flow hedge accounting because it is no longer probable that the forecasted transaction will occur by the end of the originally specified time period, or within the following two months, but it is probable the transaction will still occur in the future, the gain or loss on the derivative remains in AOCI and is recognized in earnings when the forecasted transaction affects earnings. However, if it is probable that a forecasted transaction will not occur by the end of the originally specified time period or within the following two months, the gains and losses that were recorded in AOCI are recognized immediately in earnings. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statements of Condition at its fair value, removing from the Statements of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. The Bank may be the primary obligor on consolidated obligations and may make advances in which derivative instruments are embedded. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that: (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract, and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument equivalent to an economic hedge. However, the entire contract is carried on the Statements of Condition at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as trading, as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating the derivative from its host contract. Premises, Software, and Equipment. The Bank records premises, software, and equipment at cost less accumulated depreciation and amortization. The Bank's accumulated depreciation and amortization related to premises, software, and equipment totaled $52 and $67 at December 31, 2015 and 2014, respectively. Improvements and major renewals are capitalized; ordinary maintenance and repairs are expensed as incurred. Depreciation is computed on the straight-line method over the estimated useful lives of assets ranging from 3 to 10 years, and leasehold improvements are amortized on the straight-line method over the estimated useful life of the improvement or the remaining term of the lease, whichever is shorter. Depreciation and amortization expense was $8 for 2015, $9 for 2014, and $9 for 2013. The Bank includes gains and losses on disposal of premises, software, and equipment in other income. The net realized gain on disposal of premises, software, and equipment, primarily related to the 1999 sale of the Bank's building, was $1, $1, and $1 in 2015, 2014, and 2013, respectively. The cost of computer software developed or obtained for internal use is capitalized and depreciated over future periods. At December 31, 2015 and 2014, the Bank had $18 and $20 in unamortized computer software costs respectively. Depreciation of computer software costs charged to expense was $6, $7, and $7 in 2015, 2014, and 2013, respectively. Consolidated Obligations. Consolidated obligations are recorded at amortized cost unless the Bank has elected the fair value option, in which case the consolidated obligations are carried at fair value. Concessions on Consolidated Obligations. Concessions are paid to dealers in connection with the issuance of consolidated obligations for which the Bank is the primary obligor. The amount of the concession is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. Unamortized concessions were $9 and $12 at December 31, 2015 and 2014, respectively, and are included in “Other assets.” Amortization of concessions is included in consolidated obligation interest expense and totaled $7, $6, and $7, in 2015, 2014, and 2013, respectively. Discounts and Premiums on Consolidated Obligations. The discounts on consolidated obligation discount notes for which the Bank is the primary obligor are amortized to expense using the level-yield method over the term to maturity. The discounts and premiums on consolidated obligation bonds for which the Bank is the primary obligor are amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligation bonds. Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. See Note 15 – Capital for more information. If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense. Finance Agency Expenses. The FHLBanks fund a portion of the costs of operating the Finance Agency, and each FHLBank is assessed a proportionate share of those costs. The Finance Agency allocates its expenses and working capital fund among the FHLBanks based on the ratio between each FHLBank's minimum required regulatory capital and the aggregate minimum required regulatory capital of all the FHLBanks. Office of Finance Expenses. Each FHLBank is assessed a proportionate share of the cost of operating the Office of Finance, which facilitates the issuance and servicing of consolidated obligations. The Office of Finance allocates its operating and capital expenditures among the FHLBanks as follows: (1) two-thirds of the assessment is based on each FHLBank's share of total consolidated obligations outstanding, and (2) one-third of the assessment is based on an equal pro rata allocation. Affordable Housing Program. As more fully discussed in Note 13 – Affordable Housing Program, the FHLBank Act requires each FHLBank to establish and fund an Affordable Housing Program (AHP). The Bank charges the required funding for the AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal expenses, are recorded in Other Income/(Loss) in “Gains on litigation settlements, net” in the Statements of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the Statements of Income. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain. |
Recently Issued and Adopted Accounting Guidance |
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Dec. 31, 2015 | |||||||||||||||||||||||||||||
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |||||||||||||||||||||||||||||
Recently Issued and Adopted Accounting Guidance | Recently Issued and Adopted Accounting Guidance Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the Financial Accounting Standards Board (FASB) issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP. The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following:
The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, should be applied by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify a customer’s accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance became effective for the Bank for the interim and annual periods beginning after December 15, 2015, and was adopted prospectively. The adoption of this guidance did not have an impact on the Bank’s financial condition, results of operations, or cash flows. Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the Statements of Condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning after December 15, 2015, and was adopted retrospectively. Upon adoption of this guidance on January 1, 2016, the retrospective impact to the Bank’s Statements of Condition was a decrease of $9 and $12 to other assets and to consolidated obligations as of December 31, 2015, and December 31, 2014, respectively. The adoption of this guidance did not have an impact on the Bank’s results of operations or cash flows. Amendments to the Consolidation Guidance. On February 18, 2015, the FASB issued guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance primarily focuses on the following:
This guidance became effective for the Bank for interim and annual periods beginning after December 15, 2015. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. On August 27, 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued or within one year after the financial statements are available to be issued, when applicable. Substantial doubt exists if it is probable that the entity will be unable to meet its obligations for the assessed period. This guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2016, and early application is permitted. This guidance is not expected to affect the Bank’s financial condition, results of operations, or cash flows. Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure. On August 8, 2014, the FASB issued amended guidance relating to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. On June 12, 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015. The changes in accounting for transactions outstanding on the effective date are required to be presented on a cumulative-effect basis. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts. The guidance provides entities with the option of using either of the following adoption methods: a full retrospective method, applied retrospectively to each prior reporting period presented; or a modified retrospective method, with the cumulative effect of retrospectively applying this guidance recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows, but it is not expected to be material. On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016. Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. On January 17, 2014, the FASB issued guidance clarifying when consumer mortgage loans collateralized by real estate should be reclassified to REO. Specifically, these collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The guidance became effective for interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Regulatory Guidance Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). The guidance establishes a standard and uniform methodology for classifying loans, other real estate owned, and certain other assets (excluding investment securities) and prescribes the timing of asset charge-offs based on these classifications. The guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The Bank implemented the asset classification provisions as of January 1, 2014, and this adoption did not have any impact on the Bank’s financial condition, results of operations, or cash flows. The charge-off provisions were implemented on January 1, 2015, and resulted in a $1 charge-off to the Bank’s allowance for credit losses on the mortgage loan portfolio. The adoption of these charge-off provisions did not have a material effect on the Bank’s financial condition, results of operations, or cash flows. |
Cash and Due from Banks |
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Dec. 31, 2015 | |
Cash and Due from Banks [Abstract] | |
Cash and Cash Equivalents Disclosure [Text Block] | Cash and Due from Banks Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Bank are included in Cash and due from banks on the Statements of Condition. Cash and due from banks includes certain compensating balances, where the Bank maintains collected cash balances with commercial banks in consideration for certain services. There are no legal restrictions under these agreements on the withdrawal of these funds. The average collected cash balances were approximately $41 for 2015 and $2 for 2014. |
Trading Securities |
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||
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Trading Securities | Trading Securities The estimated fair value of trading securities as of December 31, 2015 and 2014, was as follows:
The net unrealized gain/(loss) on trading securities was $(2), $(1), and $2 for the years ended December 31, 2015, 2014, and 2013, respectively. These amounts represent the changes in the fair value of the securities during the reported periods. |
Available-for-Sale Securities |
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Available-for-sale Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities | Available-for-Sale Securities Available-for-sale (AFS) securities by major security type as of December 31, 2015 and 2014, were as follows:
Expected maturities of PLRMBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees. At December 31, 2015, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,023. At December 31, 2014, the amortized cost of the Bank’s PLRMBS classified as AFS included credit-related OTTI of $1,173. The following table summarizes the AFS securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 7 – Other-Than-Temporary Impairment Analysis.
As indicated in the tables above, as of December 31, 2015, the Bank’s investments classified as AFS had unrealized losses related to PLRMBS, which were primarily due to illiquidity in the PLRMBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their acquisition cost. Interest Rate Payment Terms. Interest rate payment terms for AFS securities at December 31, 2015 and 2014, are shown in the following table:
Certain MBS classified as fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:
See Note 7 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio. |
Held-to-Maturity Securities |
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Held-to-maturity Securities, Unclassified [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-maturity Securities | Held-to-Maturity Securities The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:
At December 31, 2015, the amortized cost of the Bank’s MBS classified as HTM included premiums of $39, discounts of $42, and credit-related OTTI of $8. At December 31, 2014, the amortized cost of the Bank’s MBS classified as HTM included premiums of $51, discounts of $55, and credit-related OTTI of $7. The following tables summarize the HTM securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 7 – Other-Than-Temporary Impairment Analysis.
As indicated in the tables above, the Bank’s investments classified as HTM had unrealized losses primarily related to CalHFA bonds and MBS. The unrealized losses associated with the CalHFA bonds were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. The unrealized losses associated with the PLRMBS were primarily due to illiquidity in the PLRMBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of the loan collateral underlying these securities, which caused these assets to be valued at discounts to their acquisition cost. Redemption Terms. The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of December 31, 2015 and 2014, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.
Interest Rate Payment Terms. Interest rate payment terms for HTM securities at December 31, 2015 and 2014, are detailed in the following table:
Certain MBS classified as fixed rate passthrough securities and fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:
See Note 7 – Other-Than-Temporary Impairment Analysis for information on the transfers of securities between the AFS portfolio and the HTM portfolio. |
Other-Than-Temporary Impairment Analysis |
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Other than Temporary Impairment Losses, Investments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other-than-Temporary Impairment Analysis | Other-Than-Temporary Impairment Analysis On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. PLRMBS. To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of December 31, 2015, using two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying loan collateral based on borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 3.0% to an increase of 8.0% over the 12-month period beginning October 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, default rates, and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in each securitization structure in accordance with the structure’s prescribed cash flow and loss allocation rules. When the credit enhancement for the senior securities in a securitization is derived from the presence of subordinated securities, losses are generally allocated first to the subordinated securities until their principal balance is reduced to zero. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best-estimate scenario and includes a base case housing price forecast that reflects the expectations for near- and long-term housing price behavior. At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS to the amortized cost basis of the securities to determine whether a credit loss exists. For the Bank’s variable rate and hybrid PLRMBS, the Bank uses the effective interest rate derived from a variable rate index (for example, the one-month London Interbank Offered Rate (LIBOR)) plus the contractual spread, plus or minus a fixed spread adjustment when there is an existing discount or premium on the security. As the implied forward rates of the index change over time, the effective interest rates derived from that index will also change over time. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows. For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. For securities determined to be other-than-temporarily impaired as of December 31, 2015 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the year ended December 31, 2015, and the related current credit enhancement for the Bank.
(1) Weighted average percentage is based on unpaid principal balance. Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar-weighted averages of all the PLRMBS investments in each category shown. The classification (Prime; Alt-A, option ARM; and Alt-A, other) is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination. The following table presents the credit-related OTTI, which is recognized in earnings, for the years ended December 31, 2015, 2014, and 2013.
(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013, respectively. Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuers’ creditworthiness, is not considered to be inconsistent with its original classification. In addition, other events that are isolated, nonrecurring, or unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized an OTTI credit loss on these HTM PLRMBS, which the Bank believes is evidence of a significant decline in the issuers’ creditworthiness. The decline in the issuers’ creditworthiness is the basis for the transfers to the AFS portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in view of changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank’s intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the year ended December 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the year ended December 31, 2014.
The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at December 31, 2015 and 2014, by loan collateral type:
For the Bank’s PLRMBS that were not other-than-temporarily impaired as of December 31, 2015, the Bank has experienced net unrealized losses primarily because of illiquidity in the PLRMBS market, uncertainty about the future condition of the housing and mortgage markets and the economy, and market expectations of the credit performance of loan collateral underlying these securities, which caused these assets to be valued at discounts to their acquisition cost. The Bank does not intend to sell these securities, it is not more likely than not that the Bank will be required to sell these securities before its anticipated recovery of the remaining amortized cost basis, and the Bank expects to recover the entire amortized cost basis of these securities. As a result, the Bank determined that, as of December 31, 2015, all of the gross unrealized losses on these PLRMBS are temporary. These securities were included in the securities that the Bank reviewed and analyzed for OTTI as discussed above, and the analyses performed indicated that these securities were not other-than-temporarily impaired. All Other Available-for-Sale and Held-to-Maturity Investments. For the Bank’s investments in housing finance agency bonds, which were issued by CalHFA, the gross unrealized losses were mainly due to an illiquid market, credit concerns regarding the underlying mortgage collateral, and credit concerns regarding the monoline insurance providers, causing these investments to be valued at a discount to their acquisition cost. The Bank independently modeled cash flows for the underlying collateral, using assumptions for default rates and loss severity that a market participant would deem reasonable, and concluded that the available credit support within the CalHFA structure more than offset the projected underlying collateral losses. The Bank determined that, as of December 31, 2015, all of the gross unrealized losses on the bonds are temporary because the underlying collateral and credit enhancements were sufficient to protect the Bank from losses. As a result, the Bank expects to recover the entire amortized cost basis of these securities. For its agency MBS, the Bank expects to recover the entire amortized cost basis of these securities because the Bank determined that the strength of the issuers’ guarantees through direct obligations or support from the U.S. government is sufficient to protect the Bank from losses. As a result, the Bank determined that, as of December 31, 2015, all of the gross unrealized losses on its agency MBS are temporary. |
Advances |
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Federal Home Loan Banks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | Advances The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from less than 30 days to 10 years, with the interest rates resetting periodically at a fixed spread to LIBOR or to another specified index. Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.25% to 8.57% at December 31, 2015, and 0.14% to 8.57% at December 31, 2014, as summarized below.
Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with partial prepayment symmetry outstanding totaling $3,510 at December 31, 2015, and $4,915 at December 31, 2014. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $15,425 at December 31, 2015, and $328 at December 31, 2014. The Bank’s advances at December 31, 2015 and 2014, included $140 of putable advances. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase. The following table summarizes advances at December 31, 2015 and 2014, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.
Credit and Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at December 31, 2015 and 2014. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the years ended December 31, 2015 and 2014.
The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances. For information related to the Bank’s credit risk on advances and allowance methodology for credit losses, see Note 10 – Allowance for Credit Losses. Interest Rate Payment Terms. Interest rate payment terms for advances at December 31, 2015 and 2014, are detailed below:
The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 18 – Derivatives and Hedging Activities and Note 19 – Fair Value. The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at December 31, 2015 or 2014. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 19 – Fair Value. Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income for the years ended December 31, 2015, 2014, and 2013, as follows:
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Mortgage Loans Held for Portfolio |
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Mortgage Loans on Real Estate [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase from members, for its own portfolio, conventional conforming fixed rate mortgage loans under the MPF Original product and FHA-insured or VA-guaranteed mortgage loans under the MPF Government product. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. As of December 31, 2015, the Bank had approved ten members as participating financial institutions since renewing its participation in the MPF Program in 2013. From May 2002 through October 2006, the Bank purchased conventional conforming fixed rate mortgage loans from its participating financial institutions under the MPF Original and MPF Plus products. Participating members originated or purchased the mortgage loans, credit-enhanced them and sold them to the Bank, and generally retained the servicing of the loans. The following table presents information as of December 31, 2015 and 2014, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.
Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years. The participating financial institution and the Bank share the risk of credit losses on conventional MPF loan products by structuring potential losses on conventional MPF loans into layers with respect to each master commitment. After any primary mortgage insurance, the Bank is obligated to incur the first layer or portion of credit losses not absorbed by the liquidation value of the real property securing the loan. Under the MPF Program, the participating financial institution’s credit enhancement protection consists of the credit enhancement amount, which may be a direct obligation of the participating financial institution or may be a supplemental mortgage insurance policy paid for by the participating financial institution, and may include a contingent performance-based credit enhancement fee payable to the participating financial institution. The participating financial institution is required to pledge collateral to secure any portion of its credit enhancement amount that is a direct obligation. For taking on the credit enhancement obligation, the Bank pays the participating financial institution or any successor a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. The Bank records credit enhancement fees as a reduction to interest income. The Bank reduced net interest income for credit enhancement fees totaling a de minimis amount in 2015, $1 in 2014, and $1 in 2013. For information related to the Bank’s credit risk on mortgage loans and allowance methodology for credit losses, see Note 10 – Allowance for Credit Losses. |
Allowance for Credit Losses |
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Loans and Leases Receivable, Allowance [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses | Allowance for Credit Losses An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Portfolio Segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each of the following portfolio segments:
Classes of Financing Receivables. Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments identified above is needed because the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level. Credit Products. The Bank lends to member financial institutions that have a principal place of business in Arizona, California, or Nevada. Under the FHLBank Act, the Bank is required to obtain sufficient collateral for credit products to protect the Bank from credit losses. Collateral eligible to secure credit products includes certain investment securities, residential mortgage loans, cash or deposits with the Bank, and other eligible real estate-related assets. The capital stock of the Bank owned by each borrowing member is pledged as additional collateral for the member's indebtedness to the Bank. The Bank may also accept secured small business, small farm, and small agribusiness loans, and securities representing a whole interest in such secured loans, as collateral from members that are community financial institutions. The Housing and Economic Recovery Act of 2008 (Housing Act) added secured loans for community development activities as collateral that the Bank may accept from community financial institutions. In addition, the Bank has advances outstanding to former members and member successors, which are also subject to these security terms. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At December 31, 2015 and 2014, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank's custodial agent. All loan collateral pledged to the Bank is subject to a UCC-1 financing statement. Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests. The Bank classifies as impaired any advance with respect to which it is probable that all principal and interest due will not be collected according to its contractual terms. Impaired advances are valued using the present value of expected future cash flows discounted at the advance's effective interest rate, the advance's observable market price or, if collateral-dependent, the fair value of the advance's underlying collateral. When an advance is classified as impaired, the accrual of interest is discontinued and unpaid accrued interest is reversed. Advances do not return to accrual status until they are brought current with respect to both principal and interest and until the future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At December 31, 2015 and 2014, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during 2015 and 2014. Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of December 31, 2015, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products. No member institutions were placed into receivership during 2015 or from January 1, 2016, to February 29, 2016. Mortgage Loans Held for Portfolio. A mortgage loan is considered to be impaired when it is reported 90 days or more past due (nonaccrual) or when it is probable, based on current information and events, that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, if it is considered likely that the borrower will default and there is no credit enhancement to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as interest income on nonaccrual loans, as noted below. The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial institution is reported 90 days or more past due or when the loan is in foreclosure. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. The following table presents information on delinquent mortgage loans as of December 31, 2015 and 2014.
Mortgage Loans Evaluated at the Individual Master Commitment Level – The credit risk analysis of all conventional MPF loans is performed at the individual master commitment level to determine the credit enhancements available to recover losses on MPF loans under each individual master commitment. Individually Evaluated Mortgage Loans – Certain conventional mortgage loans, primarily impaired mortgage loans that are considered collateral-dependent, may be specifically identified for purposes of calculating the allowance for credit losses. The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss on those loans on an individual loan basis. The Bank estimates the fair value of collateral using real estate broker price opinions or automated valuation models (AVMs) based on property characteristics as well as recent market sales and current listings. The resulting incurred loss, if any, is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs. Collectively Evaluated Mortgage Loans – The credit risk analysis of conventional loans collectively evaluated for impairment considers loan pool-specific attribute data, applies estimated loss severities, and considers the associated credit enhancements to determine the Bank's best estimate of probable incurred losses. The analysis includes estimating projected cash flows that the Bank is likely to collect based on an assessment of all available information, including prepayment speeds, default rates, and loss severity for the mortgage loans based on underlying loan-level borrower and loan characteristics; expected housing price changes; and interest rate assumptions. In performing a detailed cash flow analysis, the Bank develops its best estimate of the cash flows expected to be collected using a third-party model to project prepayments, default rates, and loss severities based on borrower characteristics and the particular attributes of the mortgage loans, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. The assumptions used as inputs to the model, including the forecast of future housing price changes, are consistent with assumptions used for the Bank's evaluation of its PLRMBS for OTTI. The allowance for credit losses on the mortgage loan portfolio was as follows:
The allowance for credit losses and recorded investment by impairment methodology for individually and collectively evaluated impaired loans are as follows:
The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows:
The average recorded investment on impaired loans individually evaluated for impairment is as follows:
The Bank and any participating financial institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally have a credit risk exposure at the time of purchase equivalent to assets rated AA, taking into consideration the credit risk sharing structure mandated by the Finance Agency’s acquired member assets (AMA) regulation. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single master commitment, as follows:
The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during 2015, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly. Allowance for Credit Losses on MPF Loans – The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses. For this component, the Bank established a de minimis allowance for credit losses for MPF Original loans as of December 31, 2015 and 2014. For MPF Plus loans, the Bank established an allowance for credit losses totaling a de minimis amount as of December 31, 2015, and $1 as of December 31, 2014. The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. For this component, the Bank established an allowance for credit losses for MPF Original loans totaling de minimis amounts as of December 31, 2015 and 2014, and for MPF Plus loans totaling de minimis amounts as of December 31, 2015 and 2014. Troubled Debt Restructurings – Troubled debt restructuring (TDR) is considered to have occurred when a concession is granted to the debtor for economic or legal reasons related to the debtor’s financial difficulties and that concession would not have been considered otherwise. An MPF loan considered a TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable. The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. The recorded investment of the Bank's nonperforming MPF loans classified as TDRs totaled $3 as of December 31, 2015, and $2 as of December 31, 2014. Term Securities Purchased Under Agreements to Resell. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. The Bank did not have any term securities purchased under agreements to resell at December 31, 2015 and 2014. Term Federal Funds Sold. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due. All investments in Federal funds sold as of December 31, 2015 and 2014, were repaid or are expected to be repaid according to the contractual terms. |
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Deposits | Deposits The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. Deposits as of December 31, 2015 and 2014, were as follows:
Interest Rate Payment Terms. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Interest rate payment terms for deposits at December 31, 2015 and 2014, are detailed in the following table:
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Consolidated Obligations |
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Consolidated Obligations | Consolidated Obligations Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the FHLBanks through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the FHLBank Act or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see Note 20 – Commitments and Contingencies. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks. The maturity of consolidated obligation bonds generally ranges from 6 months to 15 years, but the maturity is not subject to any statutory or regulatory limits. Consolidated obligation discount notes are primarily used to raise short-term funds. These notes are issued at less than their face amount and redeemed at par value when they mature. The par value of the outstanding consolidated obligations of the FHLBanks was $905,202 at December 31, 2015, and $847,175 at December 31, 2014. Regulations require the FHLBanks to maintain, for the benefit of investors in consolidated obligations, in the aggregate, unpledged qualifying assets in an amount equal to the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; assets with an assessment or credit rating at least equivalent to the current assessment or credit rating of the consolidated obligations; obligations, participations, mortgages, or other securities of or issued by the United States or an agency of the United States; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the FHLBank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they were free from lien or pledge for the purposes of compliance with these regulations. At December 31, 2015, the Bank had qualifying assets totaling $85,542, and the Bank's participation in consolidated obligations outstanding was $79,483. General Terms. Consolidated obligations are generally issued with either fixed rate payment terms or adjustable rate payment terms, which use a variety of indices for interest rate resets, including LIBOR, the Federal funds effective rate, and others. In addition, to meet the specific needs of certain investors, fixed rate and adjustable rate consolidated obligation bonds may contain certain embedded features, such as call options and complex coupon payment terms. In general, when such consolidated obligation bonds are issued for which the Bank is the primary obligor, the Bank simultaneously enters into interest rate exchange agreements containing offsetting features to, in effect, convert the terms of the bond to the terms of a simple adjustable rate bond indexed to LIBOR. In addition to having fixed rate or simple adjustable rate coupon payment terms, consolidated obligations may include:
Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014.
The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $8,005 at December 31, 2015, and $14,158 at December 31, 2014. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $4,835 at December 31, 2015, and $9,573 at December 31, 2014. The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate. The Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014, was as follows:
The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at December 31, 2015 and 2014, by the earlier of the year of contractual maturity or next call date.
Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face value and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:
(1) Represents yield to maturity excluding concession fees. Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at December 31, 2015 and 2014, are detailed in the following table.
Consolidated obligation bonds may be structured to meet the Bank's or the investors' needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment. In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. For more information, see Note 18 – Derivatives and Hedging Activities and Note 19 – Fair Value. The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at December 31, 2015 or 2014. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 19 – Fair Value. |
Affordable Housing Program |
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Affordable Housing Program [Text Block] | Affordable Housing Program The FHLBank Act requires each FHLBank to establish an Affordable Housing Program (AHP). Each FHLBank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Annually, the FHLBanks must set aside for their AHPs, in the aggregate, the greater of $100 or 10% of the current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP). The Bank accrues its AHP assessment monthly based on its net earnings. If the Bank experienced a net loss during a quarter but still had net earnings for the year, the Bank's obligation to the AHP would be calculated based on the Bank's year-to-date net earnings. If the Bank had net earnings in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the amount of the AHP liability would be equal to zero, since each FHLBank's required annual AHP contribution is limited to its annual net earnings. However, if the result of the aggregate 10% calculation is less than $100 for the FHLBanks combined, then the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals $100. The proration would be made on the basis of an FHLBank's income in relation to the income of all the FHLBanks for the previous year. There was no AHP shortfall, as described above, in 2015, 2014, or 2013. If an FHLBank finds that its required AHP assessments are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make such an application in 2015, 2014, or 2013. The Bank's total AHP assessments equaled $78, $36, and $52 during 2015, 2014, and 2013, respectively. These amounts were charged to earnings each year and recognized as a liability. As subsidies are disbursed, the AHP liability is reduced. The AHP liability was as follows:
All subsidies were distributed in the form of direct grants in 2015, 2014, and 2013. |
Accumulated Other Comprehensive Income (Loss) |
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Accumulated Other Comprehensive Income/(Loss) | Accumulated Other Comprehensive Income/(Loss) The following table summarizes the changes in AOCI for the years ended December 31, 2015, 2014, and 2013:
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Capital | Capital Capital Requirements. The Bank issues only one class of capital stock, Class B stock, with a par value of one hundred dollars per share, which may be redeemed (subject to certain conditions) upon five years' notice by the member to the Bank. In addition, at its discretion, under certain conditions, the Bank may repurchase excess capital stock at any time. (See “Excess Capital Stock” below for more information.) The capital stock may be issued, redeemed, and repurchased only at its stated par value, subject to certain statutory and regulatory requirements. The Bank may only redeem or repurchase capital stock from a shareholder if, following the redemption or repurchase, the shareholder will continue to meet its minimum capital stock requirement and the Bank will continue to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined. As of December 31, 2015 and 2014, the Bank was in compliance with these capital rules and requirements as shown in the following table.
The Bank's capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within limits established in the capital plan. Any changes to the capital plan must be approved by the Bank's Board of Directors and the Finance Agency. The Bank amended its capital plan, effective April 1, 2015, to lower the cap on the membership stock requirement to $15 from $25, lower the activity-based stock requirement to 3.0% from 4.7% for outstanding advances and to 3.0% from 5.0% for mortgage loans purchased and held by the Bank, and change the authorized ranges for the activity-based stock requirement to a range of 2.0% to 5.0% from a range of 4.4% to 5.0% for advances and to a range of 0.0% to 5.0% from a range of 5.0% to 5.7% for mortgage loans purchased and held by the Bank. Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7%, and the activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0%. A member's membership capital stock requirement is 1.0% of its membership asset value. The membership capital stock requirement for a member is capped at $15. The Bank may adjust the membership capital stock requirement for all members within a range of 0.5% to 1.5% of a member's membership asset value and may adjust the cap for all members within an authorized range of $10 to $50. A member's membership asset value is determined by multiplying the amount of the member's membership assets by the applicable membership asset factors. Membership assets are generally defined as assets (other than Bank capital stock) of a type that could qualify as collateral to secure a member's indebtedness to the Bank under applicable law, whether or not the assets are pledged to the Bank or accepted by the Bank as eligible collateral. The membership asset factors were initially based on the typical borrowing capacity percentages generally assigned by the Bank to the same types of assets when pledged to the Bank (although the factors may differ from the actual borrowing capacities, if any, assigned to particular assets pledged by a specific member at any point in time). A member's activity-based capital stock requirement is the sum of 2.7% of the member's outstanding advances plus 0.0% of any portion of any mortgage loan purchased and held by the Bank. The Bank may adjust the activity-based capital stock requirement for all members within a range of 2.0% to 5.0% of the member's outstanding advances and a range of 0.0% to 5.0% of any portion of any mortgage loan purchased and held by the Bank. Any member may withdraw from membership and, subject to certain statutory and regulatory restrictions, have its capital stock redeemed after giving the required notice. Members that withdraw from membership may not reapply for membership for five years, in accordance with Finance Agency rules. Mandatorily Redeemable Capital Stock. The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. The Bank has a cooperative ownership structure under which members, former members, and certain other nonmembers own the Bank's capital stock. Former members and certain other nonmembers are required to maintain their investment in the Bank's capital stock until their outstanding transactions are paid off or until their capital stock is redeemed following the relevant five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank's capital requirements. Capital stock cannot be issued, repurchased, redeemed, or transferred except between the Bank and its members (or their affiliates and successors) at the capital stock's par value of one hundred dollars per share. If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense. The Bank will not redeem or repurchase capital stock required to meet the minimum capital stock requirement until five years after the member's membership is terminated or after the Bank receives notice of the member's withdrawal, and the Bank will redeem or repurchase only the amounts that are in excess of the capital stock required to support activity (advances and mortgage loans) that may remain outstanding after the five-year redemption period has expired. The Bank will not redeem or repurchase activity-based capital stock as long as the activity remains outstanding, even after the expiration of the five-year redemption period. In both cases, the Bank will only redeem or repurchase capital stock if certain statutory and regulatory conditions are met. In accordance with the Bank's current practice, if activity-based capital stock becomes excess capital stock because an activity no longer remains outstanding, the Bank may repurchase the excess activity-based capital stock at its discretion, subject to certain statutory and regulatory conditions, on a scheduled quarterly basis. The Bank had mandatorily redeemable capital stock totaling $488 outstanding to 9 institutions at December 31, 2015, and $719 outstanding to 32 institutions at December 31, 2014. The change in mandatorily redeemable capital stock for the years ended December 31, 2015, 2014, and 2013 was as follows:
Cash dividends on mandatorily redeemable capital stock were recorded as interest expense in the amount of $65, $120, and $155 for the years ended December 31, 2015, 2014, and 2013, respectively. The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at December 31, 2015 and 2014.
A member may cancel its notice of redemption or notice of withdrawal from membership by providing written notice to the Bank prior to the end of the relevant five-year redemption period or the membership termination date. If the Bank receives the notice of cancellation within 30 months following the notice of redemption or notice of withdrawal, the member is charged a fee equal to fifty cents multiplied by the number of shares of capital stock affected. If the Bank receives the notice of cancellation more than 30 months following the notice of redemption or notice of withdrawal (or if the Bank does not redeem the member's capital stock because following the redemption the member would fail to meet its minimum capital stock requirement), the member is charged a fee equal to one dollar multiplied by the number of shares of capital stock affected. In certain cases the Board of Directors may waive a cancellation fee for bona fide business purposes. The Bank's capital stock is considered putable by the shareholder. There are significant statutory and regulatory restrictions on the Bank's obligation or ability to redeem outstanding capital stock, which include the following:
Mandatorily redeemable capital stock is considered capital for determining the Bank's compliance with its regulatory capital requirements. Based on Finance Agency interpretation, the classification of certain shares of the Bank's capital stock as mandatorily redeemable does not affect the definition of total capital for purposes of: determining the Bank's compliance with its regulatory capital requirements, calculating its mortgage-backed securities investment authority (300% of total capital), calculating its unsecured credit exposure to other GSEs (limited to 100% of total capital), or calculating its unsecured credit limits to other counterparties (various percentages of total capital depending on the rating of the counterparty). Excess Stock Repurchase, Retained Earnings, and Dividend Framework. By Finance Agency regulation, dividends may be paid only out of current net earnings or previously retained earnings. As required by the Finance Agency, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework is reviewed at least annually by the Bank's Board of Directors. It summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock. The Board of Directors may amend the Excess Stock Repurchase, Retained Earnings, and Dividend Framework from time to time. The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations. The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 200% as of December 31, 2015. In addition, the Bank monitors the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock each quarter. Retained Earnings Related to Valuation Adjustments – In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from gains or losses on derivatives and associated hedged items and financial instruments carried at fair value (valuation adjustments). In general, the Bank's derivatives and hedged instruments, as well as certain assets and liabilities that are carried at fair value, are held to the maturity, call, or put date. For these financial instruments, net valuation gains or losses are primarily a matter of timing and will generally reverse through changes in future valuations and settlements of contractual interest cash flows over the remaining contractual terms to maturity, or by the exercised call or put dates. However, the Bank may have instances in which hedging relationships are terminated prior to maturity or prior to the call or put dates. Terminating the hedging relationship may result in a realized gain or loss. In addition, the Bank may have instances in which it may sell trading securities prior to maturity, which may also result in a realized gain or loss. The purpose of retaining cumulative net gains in earnings resulting from valuation adjustments as restricted retained earnings is to provide sufficient retained earnings to offset future net losses that result from the reversal of cumulative net gains, so that potential dividend payouts in future periods are not necessarily affected by the reversals of these gains. Although restricting retained earnings in this way may preserve the Bank's ability to pay dividends, the reversal of the cumulative net gains in any given period may result in a net loss if the reversal exceeds net earnings before the impact of valuation adjustments for that period. Retained Earnings Related to Loss Protection and Capital Compliance – In addition to any cumulative net gains resulting from valuation adjustments, the Bank holds an additional amount in restricted retained earnings intended to protect paid-in capital from the effects of an extremely adverse credit event, an extremely adverse operations risk event, a cumulative net loss related to the Bank's derivatives and associated hedged items and financial instruments carried at fair value, an extremely adverse change in the market value of the Bank's capital, a significant amount of additional credit-related OTTI on PLRMBS, or some combination of these effects, especially in periods of extremely low net income resulting from an adverse interest rate environment, and to maintain capital compliance. On July 31, 2015, the Board of Directors set the required amount of restricted retained earnings for loss protection and capital compliance at $2,000. Restricted retained earnings available to meet this requirement include amounts related to the Bank’s buildup of retained earnings and to the Joint Capital Enhancement Agreement, but exclude retained earnings related to valuations adjustments. Restricted retained earnings for loss protection and capital compliance were $2,008 as of December 31, 2015. The Bank’s retained earnings requirement may be changed at any time. The Board of Directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate. Buildup – As of March 31, 2012, the Bank reached the $1,800 target for the buildup of retained earnings that had previously been set by the Board of Directors. On July 31, 2015, the Board of Directors lowered the requirement to $1,650 and transferred $150 to unrestricted retained earnings. Joint Capital Enhancement Agreement – The FHLBanks’ Joint Capital Enhancement Agreement, as amended (JCE Agreement), is intended to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends. Retained earnings related to the JCE Agreement totaled $358 and $230 at December 31, 2015 and 2014, respectively. The following table summarizes the activity related to retained earnings for the years ended December 31, 2015 and 2014:
Dividend Payments – Finance Agency rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings, and may not declare or pay dividends based on projected or anticipated earnings. There is no requirement that the Board of Directors declare and pay any dividend. A decision by the Board of Directors to declare or not declare a dividend is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks. In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. As of December 31, 2015, the Bank’s excess capital stock totaled $402, or 0.47% of total assets. The Bank paid dividends at an annualized rate of 12.39%, totaling $434, including $369 in dividends on capital stock and $65 in dividends on mandatorily redeemable capital stock. The dividends included four quarterly dividends and a special dividend in the amount of $145, including $120 on capital stock and $25 in dividends on mandatorily redeemable capital stock. The Bank paid dividends at an annualized rate of 7.02%, totaling $360, including $240 in dividends on capital stock and $120 in dividends on mandatorily redeemable capital stock in 2014. For the periods referenced above, the Bank paid dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income. On February 18, 2016, the Bank’s Board of Directors declared a cash dividend on the capital stock outstanding during the fourth quarter of 2015 at an annualized rate of 7.99%, totaling $55, including $45 in dividends on capital stock and $10 in dividends on mandatorily redeemable capital stock. The Bank recorded the dividend on February 18, 2016. The Bank expects to pay the dividend on or about March 17, 2016. Dividends on mandatorily redeemable capital stock will be recognized as interest expense in the first quarter of 2016. Excess Capital Stock – The Bank may repurchase some or all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank must give the shareholder 15 days’ written notice; however, the shareholder may waive this notice period. The Bank may also repurchase all of a member’s excess capital stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. A shareholder’s excess capital stock is defined as any capital stock holdings in excess of the shareholder’s minimum capital stock requirement, as established by the Bank’s capital plan. The Bank repurchased $2,032 and $2,000 in excess capital stock during 2015 and 2014, respectively. The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During 2015 and 2014, the Bank redeemed $53 and $296, respectively, in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank. On May 29, 2015, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework was revised to reinstate the Bank’s practice of repurchasing the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on a regular quarterly basis, at the Bank’s discretion and subject to certain statutory and regulatory requirements and to the Bank’s Risk Management Policy and capital plan limitations. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. In addition, at the Bank’s discretion, all of the excess stock held by a member may be repurchased upon request of a member, subject to the requirements and limitations mentioned above. In accordance with the revised Excess Stock Repurchase, Retained Earnings, and Dividend Framework, each quarter Bank management evaluates and determines the amount of capital stock to be repurchased in that quarter, if any, giving consideration to certain capital metrics and capital management objectives and strategies, and subject to the requirements and limitations mentioned above. At least 15 calendar days before any repurchase, the Bank will notify shareholders of its intention to repurchase capital stock and of the scheduled repurchase date. On the scheduled repurchase date, the Bank will calculate the amount of stock to be repurchased to ensure that each member and nonmember shareholder will continue to meet its minimum stock requirement after the repurchase. On February 19, 2016, the Bank announced that it plans to repurchase the surplus capital stock of all members and the excess capital stock of all nonmember shareholders on March 18, 2016. Excess capital stock totaled $402 as of December 31, 2015, and $1,118 as of December 31, 2014. Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of December 31, 2015 or 2014.
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Employee Retirement Plans and Incentive Compensation Plans |
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Compensation and Retirement Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Pension and Other Postretirement Benefits Disclosure [Text Block] | Employee Retirement Plans and Incentive Compensation Plans Defined Benefit Plans Qualified Defined Benefit Plan. The Bank provides retirement benefits through a Bank-sponsored Cash Balance Plan, a qualified defined benefit plan. The Cash Balance Plan is provided to all employees who have completed six months of Bank service. Under the plan, each eligible Bank employee accrues benefits annually equal to 6% of the employee's annual compensation, plus 6% interest on the benefits accrued to the employee through the prior yearend. The Cash Balance Plan is funded through a qualified trust established by the Bank. Non-Qualified Defined Benefit Plans. The Bank sponsors the following non-qualified defined benefit retirement plans:
Postretirement Health Benefit Plan. The Bank provides a postretirement health benefit plan to employees hired before January 1, 2003. The Bank's costs are capped at 1998 health care premium amounts. As a result, changes in health care cost trend rates will have no effect on the Bank's accumulated postretirement benefit obligation or service and interest costs. The following table summarizes the changes in the benefit obligations, plan assets, and funded status of the defined benefit Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan for the years ended December 31, 2015 and 2014.
Amounts recognized in the Statements of Condition at December 31, 2015 and 2014, consist of:
Amounts recognized in AOCI at December 31, 2015 and 2014, consist of:
The following table presents information for pension plans with benefit obligations in excess of plan assets at December 31, 2015 and 2014.
Components of the net periodic benefit costs and other amounts recognized in other comprehensive income for the years ended December 31, 2015, 2014, and 2013, were as follows:
The amounts in AOCI expected to be recognized as components of net periodic benefit cost in 2016 are as follows:
Weighted average assumptions used to determine the benefit obligations at December 31, 2015 and 2014, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:
Weighted average assumptions used to determine the net periodic benefit costs for the years ended December 31, 2015, 2014, and 2013, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:
The Bank uses a discount rate to determine the present value of its future benefit obligations. The discount rate was determined based on the Citigroup Pension Discount Curve at the measurement date. The Citigroup Pension Discount Curve is a yield curve that reflects the market-observed yields for high-quality fixed income securities for each maturity. The projected benefit payments for each year from the plan are discounted using the spot rates on the yield curve to derive a single equivalent discount rate. The discount rate is reset annually on the measurement date. The expected return on plan assets was determined based on: (i) the historical returns for each asset class, (ii) the expected future long-term returns for these asset classes, and (iii) the plan's target asset allocation. The table below presents the fair values of the Cash Balance Plan's assets as of December 31, 2015 and 2014, by asset category. See Note 19 – Fair Value for further information regarding the three levels of fair value measurement.
The Cash Balance Plan is administered by the Bank's Retirement Committee, which establishes the plan's Statement of Investment Policy and Objectives. The Retirement Committee has adopted a strategic asset allocation based on a stable distribution of assets among major asset classes. These asset classes include domestic large-, mid-, and small-capitalization equity investments; international equity investments; real return investments; and fixed income investments. The Retirement Committee has set the Cash Balance Plan's target allocation percentages for a mix of 60% equity, 10% real return, and 30% fixed income. The Retirement Committee reviews the performance of the Cash Balance Plan on a regular basis. The Cash Balance Plan's weighted average asset allocation at December 31, 2015 and 2014, by asset category was as follows:
The Bank contributed $4 in 2015 and expects to contribute $2 in 2016 to the Cash Balance Plan. The Bank contributed a de minimis amount in 2015 and expects to contribute $6 in 2016 to the non-qualified defined benefit plans and postretirement health benefit plan. The following are the estimated future benefit payments, which reflect expected future service, as appropriate:
Defined Contribution Plans Retirement Savings Plan. The Bank sponsors a qualified defined contribution retirement 401(k) savings plan, the Federal Home Loan Bank of San Francisco Savings Plan (Savings Plan). Contributions to the Savings Plan consist of elective participant contributions of up to 20% of each participant's base compensation and a Bank matching contribution of up to 6% of each participant's base compensation. The Bank contributed approximately $2, $2, and $2 during the years ended December 31, 2015, 2014, and 2013, respectively. Benefit Equalization Plan. The Bank sponsors a non-qualified retirement plan restoring benefits offered under the Savings Plan that have been limited by laws governing the plan. Contributions made during the years ended December 31, 2015, 2014, and 2013, were de minimis. Deferred Compensation Plan. The Bank maintains a deferred compensation plan that is available to all eligible Bank officers. The defined contribution portion of the plan is comprised of two components: (i) officer or director deferral of current compensation, and (ii) make-up matching contributions for officers that would have been made by the Bank under the Savings Plan had the compensation not been deferred. The make-up benefits under the Deferred Compensation Plan vest according to the corresponding provisions of the Savings Plan. The Deferred Compensation Plan liability consists of the accumulated compensation deferrals and accrued earnings on the deferrals, as well as the make-up matching contributions and any accrued earnings on the contributions. The Bank's obligation for this plan at December 31, 2015, 2014, and 2013, was $35, $33, and $30, respectively. Incentive Compensation Plans The Bank provides incentive compensation plans for many of its employees, including senior officers. Other liabilities include $12 and $12 for incentive compensation at December 31, 2015 and 2014, respectively. |
Segment Information |
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Segment Information | Segment Information The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance. The advances-related business consists of advances and other credit products, related financing and hedging instruments, other non-MBS investments associated with the Bank's role as a liquidity provider, and capital. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on all assets associated with the business activities in this segment and the cost of funding those activities, including the net settlements from associated interest rate exchange agreements, and from earnings on invested capital. The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program, the consolidated obligations specifically identified as funding those assets, and related hedging instruments. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements, less the provision for credit losses on mortgage loans. The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the years ended December 31, 2015, 2014, and 2013.
The following table presents total assets by operating segment at December 31, 2015, 2014, and 2013.
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Derivatives and Hedging Activities |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives and Hedging Activities | Derivatives and Hedging Activities General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances and the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivatives may be either uncleared or cleared. In an uncleared derivative transaction, the Bank’s counterparty is the executing bank or broker-dealer. In a cleared derivative transaction, the Bank may execute the transaction either directly with the executing bank or broker-dealer or on a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization or clearinghouse once the derivative transaction has been accepted for clearing. The Bank is not a derivative dealer and does not trade derivatives for short-term profit. Additional uses of interest rate exchange agreements include: (i) offsetting embedded features in assets and liabilities, (ii) hedging anticipated issuance of debt, (iii) matching against consolidated obligation discount notes or bonds to create the equivalent of callable or non-callable fixed rate debt, (iv) modifying the repricing frequency of assets and liabilities, (v) matching against certain advances and consolidated obligations for which the Bank elected the fair value option, and (vi) exactly offsetting other derivatives that may be executed with members (with the Bank serving as an intermediary) or cleared at a derivatives clearing organization. The Bank’s use of interest rate exchange agreements results in one of the following classifications: (i) a fair value hedge of an underlying financial instrument, (ii) an economic hedge of assets or liabilities, or (iii) an intermediary transaction for members. Interest Rate Swaps – An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, the party receives cash flows equivalent to the interest on the same notional principal amount at a variable rate for the same period of time. The variable rate received or paid by the Bank in most interest rate exchange agreements is indexed to LIBOR. Interest Rate Caps and Floors – In a cap agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate rises above a certain threshold (or cap) price. In a floor agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate falls below a certain threshold (or floor) price. Caps and floors may be used in conjunction with assets or liabilities. In general, caps and floors are designed as protection against the interest rate on a variable rate asset or liability rising above or falling below a certain level. Hedging Activities. The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness. This process includes linking all derivatives that are designated as fair value hedges to: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at hedge inception and on an ongoing basis) whether the hedging derivatives have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective hedges in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively. The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value. Intermediation and Offsetting Derivatives – As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivative transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. The Bank also enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Neither type of offsetting derivatives receives hedge accounting treatment and both are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank. The notional principal of the interest rate exchange agreements associated with derivatives with members or offsetting derivatives with other counterparties was $132 at December 31, 2015. The Bank had no interest rate exchange agreements with members or offsetting derivatives with other counterparties at December 31, 2014. Investments – The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM. The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into interest rate exchange agreements (economic hedges) that offset the changes in fair value or cash flows of the securities. The market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income. Advances – The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. Mortgage Loans – The Bank’s investment portfolio includes fixed rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate risk and prepayment risk associated with fixed rate mortgage loans through a combination of debt issuance and derivatives. The Bank uses both callable and non-callable debt to achieve cash flow patterns and market value sensitivities for liabilities similar to those expected on the mortgage loans. Net income could be reduced if the Bank replaces prepaid mortgages with lower-yielding assets and the Bank’s higher funding costs are not reduced accordingly. The Bank executes callable swaps in conjunction with the issuance of certain consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. Although these derivatives are economic hedges against the prepayment risk of specific loan pools and are referenced to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Consolidated Obligations – Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment. In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. The Bank did not have any consolidated obligations denominated in currencies other than U.S. dollars outstanding during 2015, 2014, or 2013. Credit Risk – The Bank is subject to credit risk as a result of the risk of potential nonperformance by counterparties to the derivative agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies and credit guidelines and Finance Agency regulations. The Bank also requires credit support agreements with collateral delivery thresholds on all uncleared derivatives. Currently, all of the Bank’s active uncleared derivative counterparties have a zero threshold. In addition, collateral related to derivative transactions with member institutions includes collateral pledged to the Bank, as evidenced by the Advances and Security Agreement, which may be held by the member institution for the benefit of the Bank. For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse. Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions. The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged. The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at December 31, 2015, was $35, for which the Bank had posted collateral with a fair value of $31 in the ordinary course of business. If the Bank’s credit rating at December 31, 2015, had been lowered from its current rating to the next lower rating, that would have triggered additional collateral to be delivered, and the Bank would have been required to deliver up to a total of $2 of additional collateral (at fair value) to its derivative counterparties at December 31, 2015. The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of December 31, 2015 and 2014. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.
The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the years ended December 31, 2015, 2014, and 2013.
The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the years ended December 31, 2015, 2014, and 2013.
The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met. The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of December 31, 2015 and 2014.
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Fair Value The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at December 31, 2015 and 2014. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities. The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2015 and 2014.
Fair Value Hierarchy. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows:
A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of December 31, 2015:
For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in or out as of the beginning of the quarter in which the changes occur. For the periods presented, the Bank did not have any reclassifications for transfers in or out of the fair value hierarchy levels. Summary of Valuation Methodologies and Primary Inputs. Cash and Due from Banks – The estimated fair value equals the carrying value. Federal Funds Sold and Securities Purchased Under Agreements to Resell – The estimated fair value of overnight Federal funds sold and securities purchased under agreements to resell approximates the carrying value. The estimated fair value of term Federal funds sold and term securities purchased under agreements to resell has been determined by calculating the present value of expected cash flows for the instruments and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. Investment Securities – Certificates of Deposit – The estimated fair values of these investments are determined by calculating the present value of expected cash flows and reducing the amount for accrued interest receivable, using market-observable inputs as of the last business day of the period or using industry standard analytical models and certain actual and estimated market information. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. Investment Securities – MBS – To value its MBS, the Bank obtains prices from four designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of price discrepancies identified by the Bank. At least annually, the Bank conducts reviews of the four pricing vendors to update and confirm its understanding of the vendors’ pricing processes, methodologies, and control procedures. The Bank’s valuation technique for estimating the fair values of its MBS first requires the establishment of a median vendor price for each security. If four vendor prices are received, the average of the middle two prices is the median price; if three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the default fair value) subject to additional validation. All vendor prices that are within a specified tolerance threshold of the median price are included in the cluster of vendor prices that are averaged to establish a default fair value. All vendor prices that are outside the threshold (outliers) are subject to further analysis including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities and/or dealer estimates, or use of internal model prices, which are deemed to be reflective of all relevant facts and circumstances that a market participant would consider. Such analysis is also applied in those limited instances where no third-party vendor price or only one third-party vendor price is available in order to arrive at an estimated fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the fair value rather than the default fair value. If, instead, the analysis confirms that an outlier is (or outliers are) not representative of fair value and the default fair value is the best estimate, then the default fair value is used as the fair value. If all vendor prices received for a security are outside the tolerance threshold level of the median price, then there is no default fair value, and the fair value is determined by an evaluation of all outlier prices (or the other prices, as appropriate) as described above. As of December 31, 2015, four vendor prices were received for most of the Bank’s MBS, and the fair value estimates for most of those securities were determined by averaging the four vendor prices. Based on the Bank’s reviews of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes that its fair value estimates are reasonable and that the fair value measurements are classified appropriately in the fair value hierarchy. Based on limited market liquidity for PLRMBS, the fair value measurements for these securities were classified as Level 3 within the fair value hierarchy. As an additional step, the Bank reviewed the fair value estimates of its PLRMBS as of December 31, 2015, for reasonableness using a market-implied yield test. The Bank calculated a market-implied yield for each of its PLRMBS using the estimated fair value derived from the process described above and the security’s projected cash flows from the Bank’s OTTI process and compared the market-implied yield to the yields for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary. Investment Securities – FFCB Bonds and CalHFA Bonds – The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS. Advances – Because quoted prices are not available for advances, the fair values are measured using model-based valuation techniques (such as calculating the present value of future cash flows and reducing the amount for accrued interest receivable). The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Pursuant to the Finance Agency’s advances regulation, advances with an original term to maturity or repricing period greater than six months generally require a prepayment fee sufficient to make the Bank financially indifferent to the borrower’s decision to prepay the advances. The Bank determined that no adjustment is required to the fair value measurement of advances for prepayment fees. In addition, the Bank did not adjust its fair value measurement of advances for creditworthiness primarily because advances were fully collateralized. Mortgage Loans Held for Portfolio – The estimated fair value for seasoned mortgage loans represents modeled prices based on observable market prices for seasoned agency mortgage-backed passthrough securities adjusted for differences in coupon, average loan rate, credit, and cash flow remittance between the Bank’s mortgage loans and the referenced instruments, while the estimated fair value for newly originated mortgage loans represents modeled prices based on MPF commitment rates. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. Loans to Other FHLBanks – Because these are overnight transactions, the estimated fair value approximates the recorded carrying value. Accrued Interest Receivable and Payable – The estimated fair value approximates the carrying value of accrued interest receivable and accrued interest payable. Other Assets – The estimated fair value of grantor trust assets is based on quoted market prices. Derivative Assets and Liabilities – In general, derivative instruments transacted and held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the overnight index swap (OIS) curve and volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew), adjusted for counterparty credit risk, as necessary. The Bank is subject to credit risk because of the risk of potential nonperformance by its derivative counterparties. To mitigate this risk, the Bank executes uncleared derivative transactions only with highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral credit support agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure limit according to the counterparty’s long-term debt or deposit credit rating, as determined by rating agencies or (ii) set at zero (subject to a minimum transfer amount). The Bank clears its cleared derivative transactions only through clearing agents that meet the Bank’s eligibility requirements, and the Bank’s credit exposure to the clearinghouse is secured by variation margin received from the clearinghouse. All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required. The fair values of the derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values because of their short-term nature. The fair values of derivatives that met the netting requirements are presented on a net basis. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Deposits – The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest payable. The discount rates used in these calculations are the cost of deposits with similar terms. Consolidated Obligations – Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank’s primary input for measuring the fair value of consolidated obligation bonds is a market-based CO Curve obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which is adjusted by indicative consolidated obligation spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). Adjustments may be necessary to reflect the Bank’s credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness and the creditworthiness of the other FHLBanks and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk. Mandatorily Redeemable Capital Stock – The estimated fair value of capital stock subject to mandatory redemption is generally at par value as indicated by contemporaneous purchases, redemptions, and repurchases at par value. Fair value includes estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid, and any subsequently declared capital stock dividend. The Bank’s capital stock can only be acquired by members at par value and redeemed or repurchased at par value, subject to statutory and regulatory requirements. The Bank’s capital stock is not traded, and no market mechanism exists for the exchange of Bank capital stock outside the cooperative ownership structure. Commitments – The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements and is recorded in other liabilities. The estimated fair value of off-balance sheet fixed rate commitments to fund advances and commitments to issue consolidated obligations takes into account the difference between current and committed interest rates. Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments often have a material effect on the fair value estimates. Fair Value Measurements. The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2015 and 2014, by level within the fair value hierarchy.
The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2015, 2014, and 2013.
Fair Value Option. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense. The Bank elected the fair value option for certain financial instruments as follows:
The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with using fair value only for the derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the years ended December 31, 2015, 2014, and 2013:
For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. For advances and consolidated obligations recorded under the fair value option, the Bank determined that no adjustments to the fair values of these instruments for instrument-specific credit risk were necessary for the years ended December 31, 2015, 2014, and 2013. The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at December 31, 2015 and 2014:
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Commitments and Contingencies |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Commitments and Contingencies As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of December 31, 2015, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The Bank determined that it was not necessary to recognize a liability for the fair value of the Bank's joint and several liability for all consolidated obligations. The joint and several obligations are mandated by the FHLBank Act or regulations governing the operations of the FHLBanks and are not the result of arms-length transactions among the FHLBanks. The FHLBanks have no control over the amount of the guarantee or the determination of how each FHLBank would perform under the joint and several obligations. Because the FHLBanks are subject to the authority of the Finance Agency as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' consolidated obligations, the FHLBanks' joint and several obligations are excluded from the initial recognition and measurement provisions. Accordingly, the Bank has not recognized a liability for its joint and several obligation related to other FHLBanks' participations in the consolidated obligations. The par value of the outstanding consolidated obligations of the FHLBanks was $905,202 at December 31, 2015, and $847,175 at December 31, 2014. The par value of the Bank’s participation in consolidated obligations was $79,355 at December 31, 2015, and $68,538 at December 31, 2014. The joint and several liability regulation provides a general framework for addressing the possibility that an FHLBank may be unable to repay its participation in the consolidated obligations for which it is the primary obligor. In accordance with this regulation, the president of each FHLBank is required to provide a quarterly certification that, among other things, the FHLBank will remain capable of making full and timely payment of all its current obligations, including direct obligations. In addition, the regulation requires that an FHLBank must provide written notice to the Finance Agency if at any time the FHLBank is unable to provide the quarterly certification; projects that it will be unable to fully meet all of its current obligations, including direct obligations, on a timely basis during the quarter; or negotiates or enters into an agreement with another FHLBank for financial assistance to meet its obligations. If an FHLBank gives any one of these notices (other than in a case of a temporary interruption in the FHLBank's debt servicing operations resulting from an external event such as a natural disaster or a power failure), it must promptly file a consolidated obligations payment plan for Finance Agency approval specifying the measures the FHLBank will undertake to make full and timely payments of all its current obligations. Notwithstanding any other provisions in the regulation, the regulation provides that the Finance Agency in its discretion may at any time order any FHLBank to make any principal or interest payment due on any consolidated obligation. To the extent an FHLBank makes any payment on any consolidated obligation on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank that is the primary obligor, which will have a corresponding obligation to reimburse the FHLBank for the payment and associated costs, including interest. The regulation also provides that the Finance Agency may allocate the outstanding liability of an FHLBank for consolidated obligations among the other FHLBanks on a pro rata basis in proportion to each FHLBank's participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. Off-balance sheet commitments as of December 31, 2015 and 2014, were as follows:
Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The original terms of these standby letters of credit range from 33 days to 15 years, including a final expiration in 2030. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $18 at December 31, 2015, and $12 at December 31, 2014. Letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the letters of credit outstanding as of December 31, 2015 and 2014. Commitments to fund advances totaled $10 at December 31, 2015, and $126 at December 31, 2014. Advances funded under advance commitments are fully collateralized at the time of funding (see Note 10 – Allowance for Credit Losses). Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability on the advance commitments outstanding as of December 31, 2015 and 2014. The Bank may enter into commitments that unconditionally obligate it to purchase mortgage loans from its members. Commitments are generally for periods not exceeding 45 days. Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition. The Bank executes over-the-counter uncleared interest rate exchange agreements with major banks and derivative entities affiliated with broker-dealers and with the Bank’s members. The Bank enters into master agreements with netting provisions and into bilateral credit support agreements with all active derivative dealer counterparties. All member counterparty master agreements, excluding those with derivative dealers, are subject to the terms of the Bank’s Advances and Security Agreement with members, and all member counterparties (except for those that are derivative dealers) must fully collateralize the Bank’s net credit exposure. For cleared derivatives, the clearinghouse is the Bank’s counterparty, and the Bank has clearing agreements with clearing agents that provide for delivery of initial margin to, and exchange of variation margin with, the clearinghouse. See Note 18 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit-risk-related contingent features. The Bank charged operating expenses for net rental and related costs of approximately $5, $5, and $5 for the years ended December 31, 2015, 2014, and 2013, respectively. Future minimum rentals at December 31, 2015, were as follows:
Lease agreements for Bank premises generally provide for increases in the basic rentals resulting from increases in property taxes and maintenance expenses. Such increases are not expected to have a material effect on the Bank's financial condition or results of operations. The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations. Other commitments and contingencies are discussed in Note 1 – Summary of Significant Accounting Policies, Note 8 – Advances, Note 9 – Mortgage Loans Held for Portfolio, Note 12 – Consolidated Obligations, Note 13 – Affordable Housing Program, Note 15 – Capital, Note 16 – Employee Retirement Plans and Incentive Compensation Plans, and Note 18 – Derivatives and Hedging Activities. |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks |
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Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks Transactions with Members and Nonmembers. The Bank has a cooperative ownership structure under which current member institutions, certain former members, and certain other nonmembers own the capital stock of the Bank. Former members and nonmembers that have outstanding transactions with the Bank are required to maintain their investment in the Bank's capital stock until their outstanding transactions mature or are paid off or until their capital stock is redeemed following the five-year redemption period for capital stock or is repurchased by the Bank, in accordance with the Bank's capital requirements. (For further information on concentration risk, see Note 15 – Capital and Note 8 – Advances). Under the FHLBank Act and Finance Agency regulations, each member eligible to vote is entitled to cast by ballot one vote for each share of stock that it was required to hold as of the record date, which is December 31, of the year prior to each election, subject to the limitation that no member may cast more votes than the average number of shares of the Bank’s stock that are required to be held by all members located in such member's state. As of and for the three-year period ending December 31, 2015, no shareholder owned more than 10% of the total voting interests in the Bank because of this statutory limit on members' voting rights. All advances are made to members, and all mortgage loans held for portfolio were purchased from members. The Bank also maintains deposit accounts for members, certain former members, and certain other nonmembers primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. All transactions with members and their affiliates are entered into in the ordinary course of business. The Bank may invest in Federal funds sold, interest-bearing deposits, commercial paper, and MBS and executes derivative transactions with members or their affiliates. The Bank purchases MBS through securities brokers or dealers and executes all MBS investments without preference to the status of the counterparty or the issuer of the investment as a nonmember, member, or affiliate of a member. When the Bank executes non-MBS investments with a member, the Bank may give consideration to the member’s secured credit and the Bank's advances pricing. As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between exactly offsetting derivative transactions with members and other counterparties. These transactions were executed at market rates. The FHLBank Act requires the Bank to establish an AHP. The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business. The FHLBank Act also requires the Bank to establish a Community Investment Program (CIP) and authorizes the Bank to offer additional CICA programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances to members or standby letters of credit for members for community lending and economic development projects. Only Bank members may submit applications for CICA subsidies. All CICA subsidies are made in the ordinary course of business. In instances where the member has an officer or director serving on the Bank’s Board of Directors, all of the aforementioned transactions with the member are subject to the same eligibility and credit criteria, as well as the same conditions, as comparable transactions with all other members, in accordance with regulations governing the operations of the FHLBanks. The following table shows transactions with members that have an officer or director serving on the Bank’s Board of Directors.
Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below. Overnight Funds. The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in other interest income and interest expense from other borrowings in the Statements of Income. Transactions with other FHLBanks, if any, are identified in the Bank’s financial statements. MPF Mortgage Loans. The Bank pays a transaction services fee to the FHLBank of Chicago for its participation in the MPF program. This fee is assessed monthly and is based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the years ended December 31, 2015, 2014, and 2013, the Bank recorded a de minimis amount in MPF transaction services fee expense to the FHLBank of Chicago, which was recorded in the Statements of Income as other expense Consolidated Obligations. The Bank may, from time to time, transfer to or assume from another FHLBank the outstanding primary liability for FHLBank consolidated obligations. During the years ended December 31, 2015 and 2014, the Bank did not transfer any debt to other FHLBanks or assume any debt from other FHLBanks. Transactions with the Office of Finance. The Bank’s proportionate share of the cost of operating the Office of Finance is identified in the Statements of Income. |
Other |
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Other Income and Expenses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Income and Other Expense Disclosure [Text Block] | Other The table below discloses the categories included in other operating expense for the years ended December 31, 2015, 2014, and 2013.
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Subsequent Events |
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Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events There were no material subsequent events identified, subsequent to December 31, 2015, until the time of the Form 10-K filing with the Securities and Exchange Commission. |
Summary of Significant Accounting Policies / Summary of Significant Accounting Policies (Policies) |
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Use of Estimates, Policy [Policy Text Block] | The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include estimating the allowance for credit losses on the advances and mortgage loan portfolios; accounting for derivatives; estimating fair values of investments classified as trading and available-for-sale, derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option, and accounting for other-than-temporary impairment (OTTI) for investment securities; and estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts on MBS and mortgage loans. Actual results could differ significantly from these estimates. |
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Fair Value of Financial Instruments, Policy [Policy Text Block] | Loans to Other FHLBanks – Because these are overnight transactions, the estimated fair value approximates the recorded carrying value. Accrued Interest Receivable and Payable – The estimated fair value approximates the carrying value of accrued interest receivable and accrued interest payable. Other Assets – The estimated fair value of grantor trust assets is based on quoted market prices. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense. The Bank elected the fair value option for certain financial instruments as follows:
The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with using fair value only for the derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. Investment Securities – MBS – To value its MBS, the Bank obtains prices from four designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, prices on benchmark securities, bids, offers, and other market-related data. Since many securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark yield curves, benchmarking of like securities, sector groupings, and matrix pricing, to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of price discrepancies identified by the Bank. For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. The change in fair value does not include changes in instrument-specific credit risk. The Bank calculated a market-implied yield for each of its PLRMBS using the estimated fair value derived from the process described above and the security’s projected cash flows from the Bank’s OTTI process and compared the market-implied yield to the yields for comparable securities according to dealers and other third-party sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary. Investment Securities – FFCB Bonds and CalHFA Bonds – The Bank estimates the fair values of these securities using the methodology described above for Investment Securities – MBS. Advances – Because quoted prices are not available for advances, the fair values are measured using model-based valuation techniques (such as calculating the present value of future cash flows and reducing the amount for accrued interest receivable). The Bank’s primary inputs for measuring the fair value of advances are market-based consolidated obligation yield curve (CO Curve) inputs obtained from the Office of Finance. The CO Curve is then adjusted to reflect the rates on replacement advances with similar terms and collateral. These spread adjustments are not market-observable and are evaluated for significance in the overall fair value measurement and the fair value hierarchy level of the advance. The Bank obtains market-observable inputs for complex advances. These inputs may include volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). The discount rates used in these calculations are the replacement advance rates for advances with similar terms. Cash and Due from Banks – The estimated fair value equals the carrying value. Federal Funds Sold and Securities Purchased Under Agreements to Resell – The estimated fair value of overnight Federal funds sold and securities purchased under agreements to resell approximates the carrying value. The estimated fair value of term Federal funds sold and term securities purchased under agreements to resell has been determined by calculating the present value of expected cash flows for the instruments and reducing the amount for accrued interest receivable. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. Investment Securities – Certificates of Deposit – The estimated fair values of these investments are determined by calculating the present value of expected cash flows and reducing the amount for accrued interest receivable, using market-observable inputs as of the last business day of the period or using industry standard analytical models and certain actual and estimated market information. The discount rates used in these calculations are the replacement rates for comparable instruments with similar terms. The Bank is subject to credit risk because of the risk of potential nonperformance by its derivative counterparties. To mitigate this risk, the Bank executes uncleared derivative transactions only with highly rated derivative dealers and major banks (derivative dealer counterparties) that meet the Bank’s eligibility criteria. In addition, the Bank has entered into master netting agreements and bilateral credit support agreements with all active derivative dealer counterparties that provide for delivery of collateral at specified levels to limit the Bank’s net unsecured credit exposure to these counterparties. Under these policies and agreements, the amount of unsecured credit exposure to an individual derivative dealer counterparty is either (i) limited to an absolute dollar credit exposure limit according to the counterparty’s long-term debt or deposit credit rating, as determined by rating agencies or (ii) set at zero (subject to a minimum transfer amount). The Bank clears its cleared derivative transactions only through clearing agents that meet the Bank’s eligibility requirements, and the Bank’s credit exposure to the clearinghouse is secured by variation margin received from the clearinghouse. All credit exposure from derivative transactions entered into by the Bank with member counterparties that are not derivative dealers must be fully secured by eligible collateral. The Bank evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and determined that no adjustments to the overall fair value measurements were required. The fair values of the derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values because of their short-term nature. The fair values of derivatives that met the netting requirements are presented on a net basis. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Derivative Assets and Liabilities – In general, derivative instruments transacted and held by the Bank for risk management activities are traded in over-the-counter markets where quoted market prices are not readily available. These derivatives are interest rate-related. For these derivatives, the Bank measures fair value using internally developed discounted cash flow models that use market-observable inputs, such as the overnight index swap (OIS) curve and volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew), adjusted for counterparty credit risk, as necessary. Consolidated Obligations – Because quoted prices in active markets are not generally available for identical liabilities, the Bank measures fair values using internally developed models that use primarily market-observable inputs. The Bank’s primary input for measuring the fair value of consolidated obligation bonds is a market-based CO Curve obtained from the Office of Finance. The Office of Finance constructs the CO Curve using the Treasury yield curve as a base curve, which is adjusted by indicative consolidated obligation spreads obtained from market-observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, and market activity for similar liabilities, such as recent GSE issuances or secondary market activity. For consolidated obligation bonds with embedded options, the Bank also obtains market-observable inputs, such as volatility assumptions, which are market-based expectations of future interest rate volatility implied from current market prices for similar options (swaption volatility and volatility skew). Adjustments may be necessary to reflect the Bank’s credit quality or the credit quality of the FHLBank System when valuing consolidated obligation bonds measured at fair value. The Bank monitors its own creditworthiness and the creditworthiness of the other FHLBanks and the FHLBank System to determine whether any adjustments are necessary for creditworthiness in its fair value measurement of consolidated obligation bonds. The credit ratings of the FHLBank System and any changes to the credit ratings are the basis for the Bank to determine whether the fair values of consolidated obligations have been significantly affected during the reporting period by changes in the instrument-specific credit risk. Deposits – The fair value of deposits is generally equal to the carrying value of the deposits because the deposits are primarily overnight deposits or due on demand. The Bank determines the fair values of term deposits by calculating the present value of expected future cash flows from the deposits and reducing the amount for accrued interest payable. The discount rates used in these calculations are the cost of deposits with similar terms. Mortgage Loans Held for Portfolio – The estimated fair value for seasoned mortgage loans represents modeled prices based on observable market prices for seasoned agency mortgage-backed passthrough securities adjusted for differences in coupon, average loan rate, credit, and cash flow remittance between the Bank’s mortgage loans and the referenced instruments, while the estimated fair value for newly originated mortgage loans represents modeled prices based on MPF commitment rates. Market prices are highly dependent on the underlying prepayment assumptions. Changes in the prepayment speeds often have a material effect on the fair value estimates. These underlying prepayment assumptions are susceptible to material changes in the near term because they are made at a specific point in time. Mandatorily Redeemable Capital Stock – The estimated fair value of capital stock subject to mandatory redemption is generally at par value as indicated by contemporaneous purchases, redemptions, and repurchases at par value. Fair value includes estimated dividends earned at the time of reclassification from capital to liabilities, until such amount is paid, and any subsequently declared capital stock dividend. The Bank’s capital stock can only be acquired by members at par value and redeemed or repurchased at par value, subject to statutory and regulatory requirements. The Bank’s capital stock is not traded, and no market mechanism exists for the exchange of Bank capital stock outside the cooperative ownership structure. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows:
A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of December 31, 2015:
Commitments – The estimated fair value of standby letters of credit is based on the present value of fees currently charged for similar agreements and is recorded in other liabilities. The estimated fair value of off-balance sheet fixed rate commitments to fund advances and commitments to issue consolidated obligations takes into account the difference between current and committed interest rates. |
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Loans and Leases Receivable, Origination Fees, Discounts or Premiums, and Direct Costs to Acquire Loans Policy [Policy Text Block] | The participating financial institution and the Bank share the risk of credit losses on conventional MPF loan products by structuring potential losses on conventional MPF loans into layers with respect to each master commitment. After any primary mortgage insurance, the Bank is obligated to incur the first layer or portion of credit losses not absorbed by the liquidation value of the real property securing the loan. Under the MPF Program, the participating financial institution’s credit enhancement protection consists of the credit enhancement amount, which may be a direct obligation of the participating financial institution or may be a supplemental mortgage insurance policy paid for by the participating financial institution, and may include a contingent performance-based credit enhancement fee payable to the participating financial institution. The participating financial institution is required to pledge collateral to secure any portion of its credit enhancement amount that is a direct obligation. For taking on the credit enhancement obligation, the Bank pays the participating financial institution or any successor a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. The Bank records credit enhancement fees as a reduction to interest income. |
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Repurchase and Resale Agreements Policy [Policy Text Block] | These investments provide short-term liquidity and are carried at cost. The Bank treats securities purchased under agreements to resell as collateralized financing arrangements because they effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. Securities purchased under agreements to resell are considered collateralized financing arrangements and effectively represent short-term loans to counterparties that are considered by the Bank to be of investment quality, which are classified as assets in the Statements of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. In accordance with the terms of these loans, if the market value of the underlying securities decreases below the market value required as collateral, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash. |
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Shares Subject to Mandatory Redemption, Changes in Redemption Value, Policy [Policy Text Block] | The Bank reclassifies the capital stock subject to redemption from capital to a liability after a member provides the Bank with a written notice of redemption; gives notice of intention to withdraw from membership; or attains nonmember status by merger or acquisition, charter termination, or other involuntary membership termination; or after a receiver or other liquidating agent for a member transfers the member's Bank capital stock to a nonmember entity, resulting in the member's shares then meeting the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statements of Income. The repayment of these mandatorily redeemable financial instruments (by repurchase or redemption of the shares) is reflected as a financing cash outflow in the Statements of Cash Flows once settled. See Note 15 – Capital for more information. If a member cancels its written notice of redemption or notice of withdrawal or if the Bank allows the transfer of mandatorily redeemable capital stock to a member, the Bank reclassifies mandatorily redeemable capital stock from a liability to capital. After the reclassification, dividends on the capital stock are no longer classified as interest expense. |
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Investment, Policy [Policy Text Block] | The Bank classifies investments as trading, available-for-sale (AFS), or held-to-maturity (HTM) at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. The Bank classifies certain investments as trading. These securities are held for liquidity purposes and carried at fair value with changes in the fair value of these investments recorded in other income. The Bank does not participate in speculative trading practices and holds these investments indefinitely as the Bank periodically evaluates its liquidity needs. The Bank classifies certain securities as AFS and carries these securities at their fair value. Unrealized gains and losses on these securities are recognized in accumulated other comprehensive income (AOCI). HTM securities are carried at cost, adjusted for periodic principal repayments; amortization of premiums and accretion of discounts; and previous OTTI recognized in net income and AOCI. The Bank classifies these investments as HTM securities because the Bank has the positive intent and ability to hold these securities until maturity. Certain changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, sales of 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 changes in market interest rates would not have a significant effect on the security's fair value, or (ii) the sale occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition because of prepayments on the debt security or scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. The Bank calculates the amortization of purchase premiums and accretion of purchase discounts on investments using the level-yield method on a retrospective basis over the estimated life of the securities. This method requires a retrospective adjustment of the effective yield each time the Bank changes the estimated life as if the new estimate had been known since the original acquisition date of the securities. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. A security is considered impaired when its fair value is less than its amortized cost basis. For impaired debt securities, an entity is required to assess whether: (i) it has the intent to sell the debt security; (ii) it is more likely than not that it will be required to sell the debt security before its anticipated recovery of the remaining amortized cost basis of the security; or (iii) it does not expect to recover the entire amortized cost basis of the impaired debt security. If any of these conditions is met, an OTTI on the security must be recognized. With respect to any debt security, a credit loss is defined as the amount by which the amortized cost basis exceeds the present value of the cash flows expected to be collected. If a credit loss exists but the entity does not intend to sell the debt security and it is not more likely than not that the entity will be required to sell the debt security before the anticipated recovery of its remaining amortized cost basis (the amortized cost basis less any current-period credit loss), the carrying value of the debt security is adjusted to its fair value. However, instead of recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss is recognized in earnings, while the amount of non-credit-related impairment is recognized in AOCI. The total OTTI is presented in the Statements of Income with an offset for the amount of the total OTTI that is recognized in AOCI. This presentation provides additional information about the amounts that the entity does not expect to collect related to a debt security. The credit loss on a debt security is limited to the amount of that security's unrealized losses. For subsequent accounting of other-than-temporarily impaired securities, if the present value of cash flows expected to be collected is less than the amortized cost basis, the Bank records an additional OTTI. The amount of total OTTI for a security that was previously impaired is calculated as the difference between its amortized cost less the amount of OTTI recognized in AOCI prior to the determination of OTTI and its fair value. For an other-than-temporarily impaired security that was previously impaired and has subsequently incurred an additional OTTI related to credit loss (limited to that security's unrealized losses), this additional credit-related OTTI, up to the amount in AOCI, would be reclassified out of non-credit-related OTTI in AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings. Subsequent related increases and decreases (if not an OTTI) in the fair value of AFS securities will be netted against the non-credit component of OTTI previously recognized in AOCI. For securities classified as HTM, the OTTI recognized in AOCI is accreted to the carrying value of each security on a prospective basis, based on the amount and timing of future estimated cash flows (with no effect on earnings unless the security is subsequently sold or there are additional decreases in cash flows expected to be collected). For securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a regular basis. If there is no additional impairment on the security, the yield of the security is adjusted upward on a prospective basis when there is a significant increase in the expected cash flows. This accretion is included in net interest income in the Statements of Income. On a quarterly basis, the Bank evaluates its individual AFS and HTM investment securities in an unrealized loss position for OTTI. PLRMBS. To assess whether it expects to recover the entire amortized cost basis of its PLRMBS, the Bank performed a cash flow analysis for all of its PLRMBS as of December 31, 2015, using two third-party models. The first model projects prepayments, default rates, and loss severities on the underlying loan collateral based on borrower characteristics and the particular attributes of the loans underlying the Bank’s securities, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. A significant input to the first model is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs), which are based on an assessment of the regional housing markets. CBSA refers collectively to metropolitan and micropolitan statistical areas as defined by the U.S. Office of Management and Budget. As currently defined, a CBSA must contain at least one urban area with a population of 10,000 or more people. The OTTI Governance Committee of the Federal Home Loan Banks (FHLBanks) developed a short-term housing price forecast with projected changes ranging from a decrease of 3.0% to an increase of 8.0% over the 12-month period beginning October 1, 2015. For the vast majority of markets, the projected short-term housing price changes range from an increase of 2.0% to an increase of 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, default rates, and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in each securitization structure in accordance with the structure’s prescribed cash flow and loss allocation rules. When the credit enhancement for the senior securities in a securitization is derived from the presence of subordinated securities, losses are generally allocated first to the subordinated securities until their principal balance is reduced to zero. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in assumptions and expectations. The scenario of cash flows determined based on the model approach described above reflects a best-estimate scenario and includes a base case housing price forecast that reflects the expectations for near- and long-term housing price behavior. At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS to the amortized cost basis of the securities to determine whether a credit loss exists. For the Bank’s variable rate and hybrid PLRMBS, the Bank uses the effective interest rate derived from a variable rate index (for example, the one-month London Interbank Offered Rate (LIBOR)) plus the contractual spread, plus or minus a fixed spread adjustment when there is an existing discount or premium on the security. As the implied forward rates of the index change over time, the effective interest rates derived from that index will also change over time. The Bank then uses the effective interest rate for the security prior to impairment for determining the present value of the future estimated cash flows. For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. |
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Pension and Other Postretirement Plans, Policy [Policy Text Block] | Retirement Savings Plan. The Bank sponsors a qualified defined contribution retirement 401(k) savings plan, the Federal Home Loan Bank of San Francisco Savings Plan (Savings Plan). Contributions to the Savings Plan consist of elective participant contributions of up to 20% of each participant's base compensation and a Bank matching contribution of up to 6% of each participant's base compensation. The Bank contributed approximately $2, $2, and $2 during the years ended December 31, 2015, 2014, and 2013, respectively. Benefit Equalization Plan. The Bank sponsors a non-qualified retirement plan restoring benefits offered under the Savings Plan that have been limited by laws governing the plan. Contributions made during the years ended December 31, 2015, 2014, and 2013, were de minimis. Deferred Compensation Plan. The Bank maintains a deferred compensation plan that is available to all eligible Bank officers. The defined contribution portion of the plan is comprised of two components: (i) officer or director deferral of current compensation, and (ii) make-up matching contributions for officers that would have been made by the Bank under the Savings Plan had the compensation not been deferred. The make-up benefits under the Deferred Compensation Plan vest according to the corresponding provisions of the Savings Plan. The Deferred Compensation Plan liability consists of the accumulated compensation deferrals and accrued earnings on the deferrals, as well as the make-up matching contributions and any accrued earnings on the contributions. The Bank's obligation for this plan at December 31, 2015, 2014, and 2013, was $35, $33, and $30, respectively. Incentive Compensation Plans The Bank provides incentive compensation plans for many of its employees, including senior officers. Other liabilities include $12 and $12 for incentive compensation at December 31, 2015 and 2014, respectively The Cash Balance Plan is administered by the Bank's Retirement Committee, which establishes the plan's Statement of Investment Policy and Objectives. The Retirement Committee has adopted a strategic asset allocation based on a stable distribution of assets among major asset classes. These asset classes include domestic large-, mid-, and small-capitalization equity investments; international equity investments; real return investments; and fixed income investments. The Retirement Committee has set the Cash Balance Plan's target allocation percentages for a mix of 60% equity, 10% real return, and 30% fixed income. The Retirement Committee reviews the performance of the Cash Balance Plan on a regular basis. The Bank uses a discount rate to determine the present value of its future benefit obligations. The discount rate was determined based on the Citigroup Pension Discount Curve at the measurement date. The Citigroup Pension Discount Curve is a yield curve that reflects the market-observed yields for high-quality fixed income securities for each maturity. The projected benefit payments for each year from the plan are discounted using the spot rates on the yield curve to derive a single equivalent discount rate. The discount rate is reset annually on the measurement date. The expected return on plan assets was determined based on: (i) the historical returns for each asset class, (ii) the expected future long-term returns for these asset classes, and (iii) the plan's target asset allocation. Qualified Defined Benefit Plan. The Bank provides retirement benefits through a Bank-sponsored Cash Balance Plan, a qualified defined benefit plan. The Cash Balance Plan is provided to all employees who have completed six months of Bank service. Under the plan, each eligible Bank employee accrues benefits annually equal to 6% of the employee's annual compensation, plus 6% interest on the benefits accrued to the employee through the prior yearend. The Cash Balance Plan is funded through a qualified trust established by the Bank. Non-Qualified Defined Benefit Plans. The Bank sponsors the following non-qualified defined benefit retirement plans:
Postretirement Health Benefit Plan. The Bank provides a postretirement health benefit plan to employees hired before January 1, 2003. The Bank's costs are capped at 1998 health care premium amounts. As a result, changes in health care cost trend rates will have no effect on the Bank's accumulated postretirement benefit obligation or service and interest costs. |
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Debt, Policy [Policy Text Block] | Consolidated obligations are recorded at amortized cost unless the Bank has elected the fair value option, in which case the consolidated obligations are carried at fair value. The discounts on consolidated obligation discount notes for which the Bank is the primary obligor are amortized to expense using the level-yield method over the term to maturity. The discounts and premiums on consolidated obligation bonds for which the Bank is the primary obligor are amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligation bonds. Concessions are paid to dealers in connection with the issuance of consolidated obligations for which the Bank is the primary obligor. The amount of the concession is allocated to the Bank by the Office of Finance based on the percentage of the debt issued for which the Bank is the primary obligor. Concessions paid on consolidated obligations designated under the fair value option are expensed as incurred. Concessions paid on consolidated obligations not designated under the fair value option are deferred and amortized to expense using the level-yield method over the remaining contractual life or on a retrospective basis over the estimated life of the consolidated obligations. Unamortized concessions were $9 and $12 at December 31, 2015 and 2014, respectively, and are included in “Other assets.” Amortization of concessions is included in consolidated obligation interest expense and totaled $7, $6, and $7, in 2015, 2014, and 2013, respectively. |
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Regulator Expenses, Cost Assessed on Federal Home Loan Bank, Policy [Policy Text Block] | The FHLBanks fund a portion of the costs of operating the Finance Agency, and each FHLBank is assessed a proportionate share of those costs. The Finance Agency allocates its expenses and working capital fund among the FHLBanks based on the ratio between each FHLBank's minimum required regulatory capital and the aggregate minimum required regulatory capital of all the FHLBanks. |
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Office of Finance Cost Assessed on Federal Home Loan Bank, Policy [Policy Text Block] | Each FHLBank is assessed a proportionate share of the cost of operating the Office of Finance, which facilitates the issuance and servicing of consolidated obligations. The Office of Finance allocates its operating and capital expenditures among the FHLBanks as follows: (1) two-thirds of the assessment is based on each FHLBank's share of total consolidated obligations outstanding, and (2) one-third of the assessment is based on an equal pro rata allocation. |
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Federal Home Loan Bank Assessments, Policy [Policy Text Block] | As more fully discussed in Note 13 – Affordable Housing Program, the FHLBank Act requires each FHLBank to establish and fund an Affordable Housing Program (AHP). The Bank charges the required funding for the AHP to earnings and establishes a liability. The AHP funds provide subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. The FHLBank Act requires each FHLBank to establish an Affordable Housing Program (AHP). Each FHLBank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Annually, the FHLBanks must set aside for their AHPs, in the aggregate, the greater of $100 or 10% of the current year's net earnings (income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP). The Bank accrues its AHP assessment monthly based on its net earnings. If the Bank experienced a net loss during a quarter but still had net earnings for the year, the Bank's obligation to the AHP would be calculated based on the Bank's year-to-date net earnings. If the Bank had net earnings in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the amount of the AHP liability would be equal to zero, since each FHLBank's required annual AHP contribution is limited to its annual net earnings. However, if the result of the aggregate 10% calculation is less than $100 for the FHLBanks combined, then the FHLBank Act requires that each FHLBank contribute such prorated sums as may be required to ensure that the aggregate contribution of the FHLBanks equals $100. The proration would be made on the basis of an FHLBank's income in relation to the income of all the FHLBanks for the previous year. There was no AHP shortfall, as described above, in 2015, 2014, or 2013. If an FHLBank finds that its required AHP assessments are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make such an application in 2015, 2014, or 2013. The FHLBank Act requires the Bank to establish an AHP. The Bank provides subsidies to members, which use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Subsidies may be in the form of direct grants or below-market interest rate advances. Only Bank members, along with their nonmember AHP project sponsors, may submit AHP applications. All AHP subsidies are made in the ordinary course of business. The FHLBank Act also requires the Bank to establish a Community Investment Program (CIP) and authorizes the Bank to offer additional CICA programs. Under these programs, the Bank provides subsidies in the form of grants and below-market interest rate advances to members or standby letters of credit for members for community lending and economic development projects. Only Bank members may submit applications for CICA subsidies. All CICA subsidies are made in the ordinary course of business. |
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Fair Value Measurement, Policy [Policy Text Block] | Many of the Bank's financial instruments lack an available liquid trading market as characterized by frequent exchange transactions between a willing buyer and willing seller. Therefore, the Bank uses financial models employing significant assumptions and present value calculations for the purpose of determining estimated fair values. Thus, the fair values may not represent the actual values of the financial instruments that could have been realized as of yearend or that will be realized in the future. Fair values for certain financial instruments are based on quoted prices, market rates, or replacement rates for similar financial instruments as of the last business day of the year. The estimated fair values of the Bank's financial instruments and related assumptions are detailed in Note 19 – Fair Value. |
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Letter of Credit Policy [Policy Text Block] | Letter of credit fees are recorded as other income over the term of the letter of credit. |
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Cash and Cash Equivalents, Policy [Policy Text Block] | These investments provide short-term liquidity and are carried at cost. The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality. Cash on hand, cash items in the process of collection, and amounts due from correspondent banks and the Federal Reserve Bank are included in Cash and due from banks on the Statements of Condition. Cash and due from banks includes certain compensating balances, where the Bank maintains collected cash balances with commercial banks in consideration for certain services. There are no legal restrictions under these agreements on the withdrawal of these funds. |
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Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | The Bank presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when they have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). The Bank has elected to offset its derivative asset and liability positions, as well as cash collateral received or pledged, when the netting requirements are met. The Bank did not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. Additional information regarding these agreements is provided in Note 18 – Derivatives and Hedging Activities. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met. |
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Consolidation, Variable Interest Entity, Policy [Policy Text Block] | The Bank’s investments in variable interest entities (VIEs) are limited to private-label residential mortgage-backed securities (PLRMBS). On an ongoing basis, the Bank performs a quarterly evaluation to determine whether it is the primary beneficiary in any VIE. The Bank evaluated its investments in VIEs as of December 31, 2015, to determine whether it is a primary beneficiary of any of these investments. The primary beneficiary is required to consolidate a VIE. The Bank determined that consolidation accounting is not required because the Bank is not the primary beneficiary of these VIEs for the periods presented. The Bank does not have the power to significantly affect the economic performance of any of these investments because it does not act as a key decision maker nor does it have the unilateral ability to replace a key decision maker. In addition, the Bank does not design, sponsor, transfer, service, or provide credit or liquidity support in any of its investments in VIEs. The Bank’s maximum loss exposure for these investments is limited to the carrying value. |
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Federal Home Loan Bank Advances, Disclosure [Text Block] | The Bank reports advances (loans to members, former members or their successors, or housing associates) either at amortized cost or at fair value when the fair value option is elected. Advances carried at amortized cost are reported net of premiums, discounts (including discounts related to the Affordable Housing Program), and hedging adjustments. The Bank amortizes premiums and accretes discounts and recognizes hedging adjustments resulting from the discontinuation of a hedging relationship to interest income using a level-yield methodology. Interest on advances is credited to income as earned. For advances carried at fair value, the Bank recognizes contractual interest in interest income. In cases in which the Bank funds an advance concurrent with or within a short period of time before or after the prepayment of a previous advance to the same member, the Bank evaluates whether the subsequent advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of the cash flows on the subsequent advance to the present value of the cash flows remaining on the previous advance. If there is at least a 10% difference in the present value of the cash flows or if the Bank concludes that the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the previous advance's contractual terms, then the subsequent advance is accounted for as a new advance. In all other instances, the subsequent advance is accounted for as a modification. |
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Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each applicable portfolio segment. See Note 10 – Allowance for Credit Losses for more information. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank's portfolio as of the Statements of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Portfolio Segments. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for each of the following portfolio segments:
Classes of Financing Receivables. Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments identified above is needed because the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level. The second component applies to loans that are not specifically identified as impaired and is based on the Bank’s estimate of probable credit losses on those loans as of the financial statement date. The Bank evaluates the credit loss exposure on a loan pool basis considering various observable data, such as delinquency statistics, past performance, current performance, loan portfolio characteristics, collateral valuations, industry data, and prevailing economic conditions. The Bank also considers the availability and collectability of credit enhancements from participating financial institutions or from mortgage insurers under the terms of each master commitment. The Bank and any participating financial institution share in the credit risk of the loans sold by that institution as specified in a master agreement. Loans purchased under the MPF Program generally have a credit risk exposure at the time of purchase equivalent to assets rated AA, taking into consideration the credit risk sharing structure mandated by the Finance Agency’s acquired member assets (AMA) regulation. The MPF Program structures potential credit losses on conventional MPF loans into layers with respect to each pool of loans purchased by the Bank under a single master commitment, as follows:
The Bank calculates its estimated allowance for credit losses on mortgage loans acquired under the MPF Original and MPF Plus products as described below. Effective January 1, 2015, the Bank implemented the accounting requirements of regulatory Advisory Bulletin 2012-02. As a result, for any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. As a result of these charge-offs during 2015, corresponding Allowance for Credit Losses on MPF Loans, which had previously provided for most of these expected losses, was reduced accordingly. Allowance for Credit Losses on MPF Loans – The Bank evaluates the allowance for credit losses on MPF mortgage loans based on two components. The first component applies to each individual loan that is specifically identified as impaired. The Bank evaluates the exposure on these loans by considering the first layer of loss protection (the liquidation value of the real property securing the loan) and the availability and collectability of credit enhancements under the terms of each master commitment and records a provision for credit losses. A mortgage loan is considered to be impaired when it is reported 90 days or more past due (nonaccrual) or when it is probable, based on current information and events, that the Bank will be unable to collect all principal and interest amounts due according to the contractual terms of the mortgage loan agreement. Loans that are on nonaccrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, if it is considered likely that the borrower will default and there is no credit enhancement to offset losses under the master commitment, or the collectability or availability of credit enhancement is deemed to be uncertain. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as interest income on nonaccrual loans, as noted below. The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial institution is reported 90 days or more past due or when the loan is in foreclosure. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. Mortgage Loans Evaluated at the Individual Master Commitment Level – The credit risk analysis of all conventional MPF loans is performed at the individual master commitment level to determine the credit enhancements available to recover losses on MPF loans under each individual master commitment. Individually Evaluated Mortgage Loans – Certain conventional mortgage loans, primarily impaired mortgage loans that are considered collateral-dependent, may be specifically identified for purposes of calculating the allowance for credit losses. The estimated credit losses on impaired collateral-dependent loans may be separately determined because sufficient information exists to make a reasonable estimate of the inherent loss on those loans on an individual loan basis. The Bank estimates the fair value of collateral using real estate broker price opinions or automated valuation models (AVMs) based on property characteristics as well as recent market sales and current listings. The resulting incurred loss, if any, is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs. Collectively Evaluated Mortgage Loans – The credit risk analysis of conventional loans collectively evaluated for impairment considers loan pool-specific attribute data, applies estimated loss severities, and considers the associated credit enhancements to determine the Bank's best estimate of probable incurred losses. The analysis includes estimating projected cash flows that the Bank is likely to collect based on an assessment of all available information, including prepayment speeds, default rates, and loss severity for the mortgage loans based on underlying loan-level borrower and loan characteristics; expected housing price changes; and interest rate assumptions. In performing a detailed cash flow analysis, the Bank develops its best estimate of the cash flows expected to be collected using a third-party model to project prepayments, default rates, and loss severities based on borrower characteristics and the particular attributes of the mortgage loans, in conjunction with assumptions related primarily to future changes in housing prices and interest rates. The assumptions used as inputs to the model, including the forecast of future housing price changes, are consistent with assumptions used for the Bank's evaluation of its PLRMBS for OTTI. |
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Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Nonperforming Loans Policy [Policy Text Block] | A mortgage loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Loans that are on non-accrual status and that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property, that is, there is no other available and reliable source of repayment. Collateral-dependent loans are impaired if the fair value of the underlying collateral less estimated selling costs is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as interest income on non-accrual loans noted below. The Bank places a mortgage loan on nonaccrual status when the collection of the contractual principal or interest from the participating financial institution is reported 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans first as interest income and then as a reduction of principal as specified in the contractual agreement, unless the collection of the remaining principal amount due is considered doubtful. If the collection of the remaining principal amount due is considered doubtful, then cash payments received would be applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on non-accrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal, or (2) it otherwise becomes well secured and in the process of collection. For any mortgage loans that are more than 180 days past due and that have any outstanding balance in excess of the fair value of the property, less cost to sell, this excess is charged off as a loss by the end of the month in which the applicable time period elapses. Likewise, when a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less cost to sell, in general within 60 days of receipt of the notification of filing from the bankruptcy court, unless it can be clearly demonstrated and documented that repayment is likely to occur. |
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Finance, Loan and Lease Receivables, Held for Investments, Foreclosed Assets Policy [Policy Text Block] | Real estate owned (REO) includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses, and carrying costs are included in other non-interest expense in the Statements of Income. REO is recorded in “Other assets” in the Statements of Condition. At December 31, 2015, the Bank’s other assets included $2 of REO resulting from foreclosure of 21 mortgage loans held by the Bank. At December 31, 2014, the Bank’s other assets included $2 of REO resulting from foreclosure of 23 mortgage loans held by the Bank. |
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Loans and Leases Receivable, Troubled Debt Restructuring Policy [Policy Text Block] | Troubled debt restructuring (TDR) is considered to have occurred when a concession is granted to the debtor for economic or legal reasons related to the debtor’s financial difficulties and that concession would not have been considered otherwise. An MPF loan considered a TDR is individually evaluated for impairment when determining its related allowance for credit losses. Credit loss is measured by factoring in expected cash flow shortfalls incurred as of the reporting date as well as the economic loss attributable to delaying the original contractual principal and interest due dates, if applicable. The Bank’s TDRs of MPF loans primarily involve modifying the borrower’s monthly payment for a period of up to 36 months to reflect a housing expense ratio that is no more than 31% of the borrower’s qualifying monthly income. The outstanding principal balance is re-amortized to reflect a principal and interest payment for a term not to exceed 40 years from the original note date and a housing expense ratio not to exceed 31%. This would result in a balloon payment at the original maturity date of the loan because the maturity date and number of remaining monthly payments are not adjusted. If the 31% ratio is still not achieved through re-amortization, the interest rate is reduced in 0.125% increments below the original note rate, to a floor rate of 3.00%, resulting in reduced principal and interest payments, for the temporary payment modification period of up to 36 months, until the 31% housing expense ratio is met. |
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Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy [Policy Text Block] | Credit Products. The Bank lends to member financial institutions that have a principal place of business in Arizona, California, or Nevada. Under the FHLBank Act, the Bank is required to obtain sufficient collateral for credit products to protect the Bank from credit losses. Collateral eligible to secure credit products includes certain investment securities, residential mortgage loans, cash or deposits with the Bank, and other eligible real estate-related assets. The capital stock of the Bank owned by each borrowing member is pledged as additional collateral for the member's indebtedness to the Bank. The Bank may also accept secured small business, small farm, and small agribusiness loans, and securities representing a whole interest in such secured loans, as collateral from members that are community financial institutions. The Housing and Economic Recovery Act of 2008 (Housing Act) added secured loans for community development activities as collateral that the Bank may accept from community financial institutions. In addition, the Bank has advances outstanding to former members and member successors, which are also subject to these security terms. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At December 31, 2015 and 2014, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank's custodial agent. All loan collateral pledged to the Bank is subject to a UCC-1 financing statement. Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests. The Bank classifies as impaired any advance with respect to which it is probable that all principal and interest due will not be collected according to its contractual terms. Impaired advances are valued using the present value of expected future cash flows discounted at the advance's effective interest rate, the advance's observable market price or, if collateral-dependent, the fair value of the advance's underlying collateral. When an advance is classified as impaired, the accrual of interest is discontinued and unpaid accrued interest is reversed. Advances do not return to accrual status until they are brought current with respect to both principal and interest and until the future principal payments are no longer in doubt. No advances were classified as impaired during the periods presented. The Bank manages its credit exposure related to credit products through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. At December 31, 2015 and 2014, none of the Bank’s credit products were past due, on nonaccrual status, or considered impaired. There were no troubled debt restructurings related to credit products during 2015 and 2014. Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, and the Bank’s credit extension and collateral policies as of December 31, 2015, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on credit products was deemed necessary by the Bank. The Bank has never experienced any credit losses on its credit products. |
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Derivatives, Policy [Policy Text Block] | All derivatives are recognized on the Statements of Condition at their fair value. The Bank has elected to report derivative assets and derivative liabilities net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to futures commission merchants (clearing agents) or counterparties. The fair values of derivatives are netted by clearing agent or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset, and if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be a financing derivative. Each derivative is designated as one of the following:
If hedging relationships meet certain criteria, including but not limited to formal documentation of the hedging relationship and an expectation to be hedge effective, they are eligible for hedge accounting, and the offsetting changes in fair value of the hedged items attributable to the hedged risk may be recorded in earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the hedging relationships at inception and on an ongoing basis and to calculate the changes in fair value of the derivatives and the related hedged items independently. This is known as the “long-haul” method of hedge accounting. Transactions that meet certain criteria qualify for the “short-cut” method of hedge accounting, in which an assumption can be made that the change in the fair value of a hedged item, because of changes in the benchmark rate, exactly offsets the change in the value of the related derivative. Under the shortcut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values or cash flows of the hedged asset or liability. Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship as of the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. The Bank records the changes in the fair value of the derivatives and the hedged item beginning on the trade date. Changes in the fair value of a derivative that qualifies as a fair value hedge and is designated as a fair value hedge, along with changes in the fair value of the hedged asset or liability (hedged item) that are attributable to the hedged risk (including changes that reflect losses or gains on firm commitments), are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Changes in the fair value of a derivative that qualifies as a cash flow hedge and is designated as a cash flow hedge, to the extent that the hedge is effective, are recorded in AOCI, a component of capital, until earnings are affected by the variability of the cash flows of the hedged transaction (until the periodic recognition of interest on a variable rate asset or liability is recorded in earnings). For both fair value and cash flow hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item or the variability in the cash flows of the forecasted transaction) is recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Changes in the fair value of a derivative designated as an economic hedge or an intermediation hedge are recorded in current period earnings with no fair value adjustment to an asset or liability. An economic hedge is defined as a derivative hedging certain advances and consolidated obligation bonds for which the Bank elected the fair value option, or hedging specific or non-specific underlying assets, liabilities, or firm commitments, that does not qualify or was not designated for fair value or cash flow hedge accounting, but is an acceptable hedging strategy under the Bank's risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank's income but are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. The derivatives used in intermediary activities do not qualify for hedge accounting treatment and are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank. Changes in the fair value of these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” In addition, the net settlements associated with these non-qualifying hedges are recorded in other income as “Net gain/(loss) on derivatives and hedging activities.” Cash flows associated with these stand-alone derivatives are reflected as cash flows from operating activities in the Statements of Cash Flows unless the derivative meets the criteria to be designated as a financing derivative. The net settlements of interest receivables and payables on derivatives designated as fair value or cash flow hedges are recognized as adjustments to the interest income or interest expense of the designated underlying hedged item. The net settlements of interest receivables and payables on intermediated derivatives for members and other economic hedges are recognized in other income as “Net gain/(loss) on derivatives and hedging activities.” The Bank may invest in U.S. Treasury and agency obligations, agency MBS, and the taxable portion of highly rated state or local housing finance agency obligations. In the past, the Bank has also invested in PLRMBS rated AAA at the time of acquisition. The interest rate and prepayment risk associated with these investment securities is managed through a combination of debt issuance and derivatives. The Bank may manage prepayment risk and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with a combination of consolidated obligations and callable swaps. The Bank may execute callable swaps in conjunction with the issuance of certain liabilities to create funding that is economically equivalent to fixed rate callable debt. Although these derivatives are economic hedges against prepayment risk and are designated to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. Investment securities may be classified as trading, AFS, or HTM. As an additional service to its members, the Bank has in the past entered into offsetting interest rate exchange agreements, acting as an intermediary between offsetting derivative transactions with members and other counterparties. This intermediation allows members indirect access to the derivatives market. The Bank also enters into derivatives to offset the economic effect of other derivatives that are no longer designated to advances, investments, or consolidated obligations. Neither type of offsetting derivatives receives hedge accounting treatment and both are separately marked to market through earnings. The net result of the accounting for these derivatives does not significantly affect the operating results of the Bank. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. The Bank executes callable swaps in conjunction with the issuance of certain consolidated obligations to create funding that is economically equivalent to fixed rate callable bonds. Although these derivatives are economic hedges against the prepayment risk of specific loan pools and are referenced to individual liabilities, they do not receive either fair value or cash flow hedge accounting treatment. |
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Derivatives, Hedge Discontinuances [Policy Text Block] | The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value or cash flows of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value. When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statements of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology. When hedge accounting is discontinued because the Bank determines that the derivative no longer qualifies as an effective cash flow hedge of an existing hedged item, the Bank continues to carry the derivative on the Statements of Condition at its fair value and reclassifies the AOCI adjustment into earnings when earnings are affected by the existing hedged item (the original forecasted transaction). Under limited circumstances, when the Bank discontinues cash flow hedge accounting because it is no longer probable that the forecasted transaction will occur by the end of the originally specified time period, or within the following two months, but it is probable the transaction will still occur in the future, the gain or loss on the derivative remains in AOCI and is recognized in earnings when the forecasted transaction affects earnings. However, if it is probable that a forecasted transaction will not occur by the end of the originally specified time period or within the following two months, the gains and losses that were recorded in AOCI are recognized immediately in earnings. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statements of Condition at its fair value, removing from the Statements of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. The Bank discontinues hedge accounting prospectively when: (i) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item (including hedged items such as firm commitments or forecasted transactions); (ii) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (iii) it is no longer probable that the forecasted transaction will occur in the originally expected period; (iv) a hedged firm commitment no longer meets the definition of a firm commitment; (v) it determines that designating the derivative as a hedging instrument is no longer appropriate; or (vi) it decides to use the derivative to offset changes in the fair value of other derivatives or instruments carried at fair value. |
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Derivatives, Embedded Derivatives [Policy Text Block] | The Bank may be the primary obligor on consolidated obligations and may make advances in which derivative instruments are embedded. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance or debt (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that: (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract, and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument equivalent to an economic hedge. However, the entire contract is carried on the Statements of Condition at fair value and no portion of the contract is designated as a hedging instrument if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as trading, as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating the derivative from its host contract. The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at December 31, 2015 or 2014. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). |
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Property, Plant and Equipment, Policy [Policy Text Block] | The Bank records premises, software, and equipment at cost less accumulated depreciation and amortization. The Bank's accumulated depreciation and amortization related to premises, software, and equipment totaled $52 and $67 at December 31, 2015 and 2014, respectively. Improvements and major renewals are capitalized; ordinary maintenance and repairs are expensed as incurred. Depreciation is computed on the straight-line method over the estimated useful lives of assets ranging from 3 to 10 years, and leasehold improvements are amortized on the straight-line method over the estimated useful life of the improvement or the remaining term of the lease, whichever is shorter. Depreciation and amortization expense was $8 for 2015, $9 for 2014, and $9 for 2013. The Bank includes gains and losses on disposal of premises, software, and equipment in other income. The net realized gain on disposal of premises, software, and equipment, primarily related to the 1999 sale of the Bank's building, was $1, $1, and $1 in 2015, 2014, and 2013, respectively. The cost of computer software developed or obtained for internal use is capitalized and depreciated over future periods. At December 31, 2015 and 2014, the Bank had $18 and $20 in unamortized computer software costs respectively. Depreciation of computer software costs charged to expense was $6, $7, and $7 in 2015, 2014, and 2013, respectively. |
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Derivatives, Methods of Accounting, Hedging Derivatives [Policy Text Block] | The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. This type of hedge relationship receives fair value option accounting treatment. In addition, for certain advances for which the Bank has elected the fair value option, the Bank will simultaneously execute an interest rate exchange agreement with terms that economically offset the terms of the advance. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. The Bank may also manage the risk arising from changing market prices or cash flows of investment securities classified as trading by entering into interest rate exchange agreements (economic hedges) that offset the changes in fair value or cash flows of the securities. The market value changes of both the trading securities and the associated interest rate exchange agreements are included in other income in the Statements of Income. The Bank is subject to credit risk as a result of the risk of potential nonperformance by counterparties to the derivative agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies and credit guidelines and Finance Agency regulations. The Bank also requires credit support agreements with collateral delivery thresholds on all uncleared derivatives. Currently, all of the Bank’s active uncleared derivative counterparties have a zero threshold. In addition, collateral related to derivative transactions with member institutions includes collateral pledged to the Bank, as evidenced by the Advances and Security Agreement, which may be held by the member institution for the benefit of the Bank. For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through the clearing agent, to the clearinghouse, exposes the Bank to institutional credit risk in the event that the clearing agent or the clearinghouse fails to meet its obligations. The use of cleared derivatives, however, mitigates the Bank’s overall credit risk exposure because a central counterparty is substituted for individual counterparties and variation margin is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse. Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions. The notional amount of an interest rate exchange agreement serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit risk and market risk. The risks of derivatives can be measured meaningfully on a portfolio basis by taking into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged. The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s and Standard & Poor’s to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. In addition, under some of its credit support agreements for uncleared derivative transactions, the amount of collateral that the Bank is required to deliver to a counterparty depends on the Bank’s credit rating. The Bank documents all relationships between derivative hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness. This process includes linking all derivatives that are designated as fair value hedges to: (i) assets and liabilities on the balance sheet, (ii) firm commitments, or (iii) forecasted transactions. The Bank also formally assesses (both at hedge inception and on an ongoing basis) whether the hedging derivatives have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective hedges in future periods. The Bank typically uses regression analyses or other statistical analyses to assess the effectiveness of its hedges. When it is determined that a derivative has not been or is not expected to be effective as a hedge, the Bank discontinues hedge accounting prospectively. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps); and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances and the issuance of consolidated obligation bonds to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and bonds are transacted and generally have the same maturity dates as the related advances and bonds. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Over-the-counter derivatives may be either uncleared or cleared. In an uncleared derivative transaction, the Bank’s counterparty is the executing bank or broker-dealer. In a cleared derivative transaction, the Bank may execute the transaction either directly with the executing bank or broker-dealer or on a swap execution facility, but in either case, the Bank’s counterparty is a derivatives clearing organization or clearinghouse once the derivative transaction has been accepted for clearing. The Bank is not a derivative dealer and does not trade derivatives for short-term profit. Additional uses of interest rate exchange agreements include: (i) offsetting embedded features in assets and liabilities, (ii) hedging anticipated issuance of debt, (iii) matching against consolidated obligation discount notes or bonds to create the equivalent of callable or non-callable fixed rate debt, (iv) modifying the repricing frequency of assets and liabilities, (v) matching against certain advances and consolidated obligations for which the Bank elected the fair value option, and (vi) exactly offsetting other derivatives that may be executed with members (with the Bank serving as an intermediary) or cleared at a derivatives clearing organization. The Bank’s use of interest rate exchange agreements results in one of the following classifications: (i) a fair value hedge of an underlying financial instrument, (ii) an economic hedge of assets or liabilities, or (iii) an intermediary transaction for members. Interest Rate Swaps – An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional principal amount at a predetermined fixed rate for a given period of time. In return for this promise, the party receives cash flows equivalent to the interest on the same notional principal amount at a variable rate for the same period of time. The variable rate received or paid by the Bank in most interest rate exchange agreements is indexed to LIBOR. Interest Rate Caps and Floors – In a cap agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate rises above a certain threshold (or cap) price. In a floor agreement, additional cash flow is generated if the price or interest rate of an underlying variable rate falls below a certain threshold (or floor) price. Caps and floors may be used in conjunction with assets or liabilities. In general, caps and floors are designed as protection against the interest rate on a variable rate asset or liability rising above or falling below a certain level. The Bank offers a wide array of advances structures to meet members’ funding needs. These advances may have maturities up to 30 years with fixed or adjustable rates and may include early termination features or options. The Bank may use derivatives to adjust the repricing and options characteristics of advances to more closely match the characteristics of the Bank’s funding liabilities. In general, whenever a member executes a fixed or variable rate advance with embedded options, the Bank will simultaneously execute an interest rate exchange agreement with terms that offset the terms and embedded options in the advance. The combination of the advance and the interest rate exchange agreement effectively creates a variable rate asset. Consolidated obligation bonds may be structured to meet the Bank’s or the investors’ needs. Common structures include fixed rate bonds with or without call options and adjustable rate bonds with or without embedded options. In general, when bonds are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that offset the terms and embedded options, if any, of the consolidated obligation bond. This combination of the consolidated obligation bond and the interest rate exchange agreement effectively creates an adjustable rate bond. The cost of this funding combination is generally lower than the cost that would be available through the issuance of an adjustable rate bond alone. These transactions generally receive fair value hedge accounting treatment. In addition, when certain consolidated obligation bonds for which the Bank has elected the fair value option are issued, the Bank simultaneously executes an interest rate exchange agreement with terms that economically offset the terms of the consolidated obligation bond. However, this type of hedge is treated as an economic hedge because these combinations generally do not meet the requirements for fair value hedge accounting treatment. The Bank’s investment portfolio includes fixed rate mortgage loans. The prepayment options embedded in mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate risk and prepayment risk associated with fixed rate mortgage loans through a combination of debt issuance and derivatives. The Bank uses both callable and non-callable debt to achieve cash flow patterns and market value sensitivities for liabilities similar to those expected on the mortgage loans. Net income could be reduced if the Bank replaces prepaid mortgages with lower-yielding assets and the Bank’s higher funding costs are not reduced accordingly. |
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Deposits, Policy [Policy Text Block] | The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. |
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Stockholders' Equity, Policy [Policy Text Block] | The Bank's capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within limits established in the capital plan. Any changes to the capital plan must be approved by the Bank's Board of Directors and the Finance Agency. The Bank amended its capital plan, effective April 1, 2015, to lower the cap on the membership stock requirement to $15 from $25, lower the activity-based stock requirement to 3.0% from 4.7% for outstanding advances and to 3.0% from 5.0% for mortgage loans purchased and held by the Bank, and change the authorized ranges for the activity-based stock requirement to a range of 2.0% to 5.0% from a range of 4.4% to 5.0% for advances and to a range of 0.0% to 5.0% from a range of 5.0% to 5.7% for mortgage loans purchased and held by the Bank. Effective August 3, 2015, the Bank reduced its activity-based stock requirements within the ranges authorized by the Bank’s capital plan. The activity-based stock requirement for advances was reduced from 3.0% to 2.7%, and the activity-based stock requirement for mortgage loans purchased from the member and held by the Bank was reduced from 3.0% to 0.0%. A member's membership capital stock requirement is 1.0% of its membership asset value. The membership capital stock requirement for a member is capped at $15. The Bank may adjust the membership capital stock requirement for all members within a range of 0.5% to 1.5% of a member's membership asset value and may adjust the cap for all members within an authorized range of $10 to $50. A member's membership asset value is determined by multiplying the amount of the member's membership assets by the applicable membership asset factors. Membership assets are generally defined as assets (other than Bank capital stock) of a type that could qualify as collateral to secure a member's indebtedness to the Bank under applicable law, whether or not the assets are pledged to the Bank or accepted by the Bank as eligible collateral. The membership asset factors were initially based on the typical borrowing capacity percentages generally assigned by the Bank to the same types of assets when pledged to the Bank (although the factors may differ from the actual borrowing capacities, if any, assigned to particular assets pledged by a specific member at any point in time). A member's activity-based capital stock requirement is the sum of 2.7% of the member's outstanding advances plus 0.0% of any portion of any mortgage loan purchased and held by the Bank. The Bank may adjust the activity-based capital stock requirement for all members within a range of 2.0% to 5.0% of the member's outstanding advances and a range of 0.0% to 5.0% of any portion of any mortgage loan purchased and held by the Bank. The Bank issues only one class of capital stock, Class B stock, with a par value of one hundred dollars per share, which may be redeemed (subject to certain conditions) upon five years' notice by the member to the Bank. In addition, at its discretion, under certain conditions, the Bank may repurchase excess capital stock at any time. (See “Excess Capital Stock” below for more information.) The capital stock may be issued, redeemed, and repurchased only at its stated par value, subject to certain statutory and regulatory requirements. The Bank may only redeem or repurchase capital stock from a shareholder if, following the redemption or repurchase, the shareholder will continue to meet its minimum capital stock requirement and the Bank will continue to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. Under the Housing Act, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined. The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the three-month LIBOR for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 200% as of December 31, 2015. In addition, the Bank monitors the condition of its PLRMBS portfolio, the ratio of the Bank’s estimated market value of total capital to par value of capital stock, its overall financial performance and retained earnings, developments in the mortgage and credit markets, and other relevant information as the basis for determining the payment of dividends and the repurchase of excess capital stock each quarter. Retained Earnings Related to Valuation Adjustments – In accordance with the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework, the Bank retains in restricted retained earnings any cumulative net gains in earnings (net of applicable assessments) resulting from gains or losses on derivatives and associated hedged items and financial instruments carried at fair value (valuation adjustments). In general, the Bank's derivatives and hedged instruments, as well as certain assets and liabilities that are carried at fair value, are held to the maturity, call, or put date. For these financial instruments, net valuation gains or losses are primarily a matter of timing and will generally reverse through changes in future valuations and settlements of contractual interest cash flows over the remaining contractual terms to maturity, or by the exercised call or put dates. However, the Bank may have instances in which hedging relationships are terminated prior to maturity or prior to the call or put dates. Terminating the hedging relationship may result in a realized gain or loss. In addition, the Bank may have instances in which it may sell trading securities prior to maturity, which may also result in a realized gain or loss. The purpose of retaining cumulative net gains in earnings resulting from valuation adjustments as restricted retained earnings is to provide sufficient retained earnings to offset future net losses that result from the reversal of cumulative net gains, so that potential dividend payouts in future periods are not necessarily affected by the reversals of these gains. Although restricting retained earnings in this way may preserve the Bank's ability to pay dividends, the reversal of the cumulative net gains in any given period may result in a net loss if the reversal exceeds net earnings before the impact of valuation adjustments for that period. Retained Earnings Related to Loss Protection and Capital Compliance – In addition to any cumulative net gains resulting from valuation adjustments, the Bank holds an additional amount in restricted retained earnings intended to protect paid-in capital from the effects of an extremely adverse credit event, an extremely adverse operations risk event, a cumulative net loss related to the Bank's derivatives and associated hedged items and financial instruments carried at fair value, an extremely adverse change in the market value of the Bank's capital, a significant amount of additional credit-related OTTI on PLRMBS, or some combination of these effects, especially in periods of extremely low net income resulting from an adverse interest rate environment, and to maintain capital compliance. On July 31, 2015, the Board of Directors set the required amount of restricted retained earnings for loss protection and capital compliance at $2,000. Restricted retained earnings available to meet this requirement include amounts related to the Bank’s buildup of retained earnings and to the Joint Capital Enhancement Agreement, but exclude retained earnings related to valuations adjustments. Restricted retained earnings for loss protection and capital compliance were $2,008 as of December 31, 2015. The Bank’s retained earnings requirement may be changed at any time. The Board of Directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate. Buildup – As of March 31, 2012, the Bank reached the $1,800 target for the buildup of retained earnings that had previously been set by the Board of Directors. On July 31, 2015, the Board of Directors lowered the requirement to $1,650 and transferred $150 to unrestricted retained earnings. Joint Capital Enhancement Agreement – The FHLBanks’ Joint Capital Enhancement Agreement, as amended (JCE Agreement), is intended to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends. |
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Segment Reporting, Policy [Policy Text Block] | The Bank uses an analysis of financial performance based on the balances and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and to determine the allocation of resources to these two major business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance. The advances-related business consists of advances and other credit products, related financing and hedging instruments, other non-MBS investments associated with the Bank's role as a liquidity provider, and capital. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on all assets associated with the business activities in this segment and the cost of funding those activities, including the net settlements from associated interest rate exchange agreements, and from earnings on invested capital. The mortgage-related business consists of MBS investments, mortgage loans acquired through the MPF Program, the consolidated obligations specifically identified as funding those assets, and related hedging instruments. Adjusted net interest income for this segment is derived primarily from the difference, or spread, between the yield on the MBS and mortgage loans and the cost of the consolidated obligations funding those assets, including the net settlements from associated interest rate exchange agreements, less the provision for credit losses on mortgage loans. |
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Fair Value Transfer, Policy [Policy Text Block] | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Such reclassifications are reported as transfers in or out as of the beginning of the quarter in which the changes occur. For the periods presented, the Bank did not have any reclassifications for transfers in or out of the fair value hierarchy levels. |
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Subsequent Events, Policy [Policy Text Block] | There were no material subsequent events identified, subsequent to December 31, 2015, until the time of the Form 10-K filing with the Securities and Exchange Commission. |
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New Accounting Pronouncements, Policy [Policy Text Block] | Recognition of Lease Assets and Lease Liabilities. On February 25, 2016, the Financial Accounting Standards Board (FASB) issued guidance that requires recognition of lease assets and lease liabilities on the Statements of Condition and disclosure of key information about leasing arrangements. In particular, this guidance requires a lessee of operating or finance leases to recognize on the Statements of Condition a liability to make lease payments and a right-of-use asset representing its right to use the underlying asset for the lease term. However, for leases with a term of 12 months or less, a lessee is permitted to make an accounting policy election not to recognize lease assets and lease liabilities. Under previous GAAP, a lessee was not required to recognize lease assets and lease liabilities arising from operating leases on the Statements of Condition. While this guidance does not fundamentally change lessor accounting, some changes have been made to align that guidance with the lessee guidance and other areas within GAAP. The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2019, and early application is permitted. The guidance requires lessors and lessees to recognize and measure leases at the beginning of the earliest period presented in the financial statements using a modified retrospective approach. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. Recognition and Measurement of Financial Assets and Financial Liabilities. On January 5, 2016, the FASB issued amended guidance on certain aspects of recognition, measurement, presentation, and disclosure of financial instruments. This guidance includes, but is not limited to, the following:
The guidance becomes effective for the Bank for the interim and annual periods beginning on January 1, 2018, and early adoption is only permitted for certain provisions. The amendments, in general, should be applied by means of a cumulative-effect adjustment to the balance sheet as of the beginning of the period of adoption. The Bank is in the process of evaluating this guidance, and its effect on the Bank’s financial condition, results of operations, and cash flows has not yet been determined. Customer’s Accounting for Fees Paid in a Cloud Computing Arrangement. On April 15, 2015, the FASB issued amendments to clarify a customer’s accounting for fees paid in a cloud computing arrangement. The amendments provide guidance to customers on determining whether a cloud computing arrangement includes a software license that should be accounted for as internal-use software. If the arrangement does not contain a software license, it would be accounted for as a service contract. This guidance became effective for the Bank for the interim and annual periods beginning after December 15, 2015, and was adopted prospectively. The adoption of this guidance did not have an impact on the Bank’s financial condition, results of operations, or cash flows. Simplifying the Presentation of Debt Issuance Costs. On April 7, 2015, the FASB issued guidance to simplify the presentation of debt issuance costs. This guidance requires that debt issuance costs related to a recognized debt liability be presented on the Statements of Condition as a direct deduction from the carrying amount of that debt liability, consistent with the presentation of debt discounts. The adoption of this guidance will result in a reclassification of unamortized debt issuance costs from other assets to consolidated obligations on the Bank’s Statements of Condition. This guidance became effective for the Bank for the interim and annual periods beginning after December 15, 2015, and was adopted retrospectively. Upon adoption of this guidance on January 1, 2016, the retrospective impact to the Bank’s Statements of Condition was a decrease of $9 and $12 to other assets and to consolidated obligations as of December 31, 2015, and December 31, 2014, respectively. The adoption of this guidance did not have an impact on the Bank’s results of operations or cash flows. Amendments to the Consolidation Guidance. On February 18, 2015, the FASB issued guidance intended to enhance consolidation guidance for legal entities such as limited partnerships, limited liability corporations, and securitization structures (collateralized debt obligations, collateralized loan obligations, and mortgage-backed security transactions). The new guidance primarily focuses on the following:
This guidance became effective for the Bank for interim and annual periods beginning after December 15, 2015. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Disclosure of Uncertainties about an Entity’s Ability to Continue as a Going Concern. On August 27, 2014, the FASB issued guidance about management’s responsibility to evaluate whether there is substantial doubt about an entity’s ability to continue as a going concern and to provide related footnote disclosures. This guidance requires management to perform interim and annual assessments of an entity’s ability to continue as a going concern within one year after the date the financial statements are issued or within one year after the financial statements are available to be issued, when applicable. Substantial doubt exists if it is probable that the entity will be unable to meet its obligations for the assessed period. This guidance becomes effective for the Bank for the interim and annual periods ending after December 15, 2016, and early application is permitted. This guidance is not expected to affect the Bank’s financial condition, results of operations, or cash flows. Classification of Certain Government-Guaranteed Mortgage Loans upon Foreclosure. On August 8, 2014, the FASB issued amended guidance relating to the classification and measurement of certain government-guaranteed mortgage loans upon foreclosure. The amendments in this guidance require that a mortgage loan be derecognized and that a separate other receivable be recognized upon foreclosure if certain conditions are met. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures. On June 12, 2014, the FASB issued amended guidance for repurchase-to-maturity transactions and repurchase agreements executed as repurchase financings. Specifically, this guidance requires entities to account for (1) repurchase-to-maturity transactions as secured borrowings rather than as sales with forward repurchase agreements; and (2) repurchase agreements executed contemporaneously with the initial transfer of the underlying financial asset with the same counterparty as separate transactions only. In addition, this guidance requires a transferor to disclose additional information about certain transactions, including those in which it retains substantially all of the exposure to the economic returns of the underlying transferred asset over the transaction’s term. This guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2015. The changes in accounting for transactions outstanding on the effective date are required to be presented on a cumulative-effect basis. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Revenue from Contracts with Customers. On May 28, 2014, the FASB issued its guidance on revenue from contracts with customers. This guidance outlines a comprehensive model for recognizing revenue arising from contracts with customers and supersedes most current revenue recognition guidance. In addition, this guidance amends the existing requirements for the recognition of a gain or loss on the transfer of non-financial assets that are not in a contract with a customer. This guidance applies to all contracts with customers except those that are within the scope of certain other standards, such as financial instruments, certain guarantees, insurance contracts, and lease contracts. The guidance provides entities with the option of using either of the following adoption methods: a full retrospective method, applied retrospectively to each prior reporting period presented; or a modified retrospective method, with the cumulative effect of retrospectively applying this guidance recognized at the date of initial application. The Bank is in the process of evaluating this guidance and its effect on the Bank’s financial condition, results of operations, and cash flows, but it is not expected to be material. On August 12, 2015, the FASB issued an amendment to defer the effective date of the guidance issued in May 2014 by one year. The guidance is effective for the Bank for interim and annual periods beginning after December 15, 2017. Early application is permitted only as of the interim and annual reporting periods beginning after December 15, 2016. Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. On January 17, 2014, the FASB issued guidance clarifying when consumer mortgage loans collateralized by real estate should be reclassified to REO. Specifically, these collateralized mortgage loans should be reclassified to REO when either the creditor obtains legal title to the residential real estate property upon completion of a foreclosure or the borrower conveys all interest in the residential real estate property to the creditor to satisfy the loan through completion of a deed in lieu of foreclosure or through a similar legal agreement. The guidance became effective for interim and annual periods beginning on January 1, 2015, and was adopted prospectively. The adoption of this guidance did not affect the Bank’s financial condition, results of operations, or cash flows. Regulatory Guidance Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. On April 9, 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02). The guidance establishes a standard and uniform methodology for classifying loans, other real estate owned, and certain other assets (excluding investment securities) and prescribes the timing of asset charge-offs based on these classifications. The guidance is generally consistent with the Uniform Retail Credit Classification and Account Management Policy issued by the federal banking regulators in June 2000. The Bank implemented the asset classification provisions as of January 1, 2014, and this adoption did not have any impact on the Bank’s financial condition, results of operations, or cash flows. The charge-off provisions were implemented on January 1, 2015, and resulted in a $1 charge-off to the Bank’s allowance for credit losses on the mortgage loan portfolio. The adoption of these charge-off provisions did not have a material effect on the Bank’s financial condition, results of operations, or cash flows |
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Federal Home Loan Bank Advances, Prepayment Fees, Policy [Policy Text Block] | When a borrower prepays certain advances prior to the original maturity, the Bank may charge the borrower a prepayment fee. For certain advances with partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit, depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. For prepaid advances that are hedged and meet the hedge accounting requirements, the Bank terminates the hedging relationship upon prepayment and records the associated fair value gains and losses, adjusted for the prepayment fees, in interest income. If a new advance represents a modification of an original hedged advance, the fair value gains or losses on the advance and the prepayment fees are included in the carrying amount of the modified advance, and gains or losses and prepayment fees are amortized in interest income over the life of the modified advance using the level-yield method. If the modified advance is also hedged and the hedge meets the hedge accounting requirements, the modified advance is marked to fair value after the modification, and subsequent fair value changes are recorded in other income. If the prepayment represents an extinguishment of the original hedged advance, the prepayment fee and any fair value gain or loss are immediately recognized in interest income. For prepaid advances that are not hedged or that are hedged but do not meet the hedge accounting requirements, the Bank records prepayment fees in interest income unless the Bank determines that the new advance represents a modification of the original advance. If the new advance represents a modification of the original advance, the prepayment fee on the original advance is deferred, recorded in the basis of the modified advance, and amortized over the life of the modified advance using the level-yield method. This amortization is recorded in interest income. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as interest income in the Statements of Income |
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Loans and Leases Receivable, Mortgage Banking Activities, Policy [Policy Text Block] | Under the Mortgage Partnership Finance® (MPF®) Program, the Bank may purchase conventional conforming fixed rate residential mortgage loans and mortgage loans insured by the Federal Housing Administration (FHA) or guaranteed by the Department of Veterans Affairs (VA) from its participating members. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) Participating members originate or purchase the mortgage loans, credit-enhance them and sell them to the Bank, and generally retain the servicing of the loans. The Bank manages the interest rate risk, prepayment risk, and liquidity risk of each loan in its portfolio. The Bank and the participating financial institution (either the original participating member that sold the loans to the Bank or a successor to that member) share in the credit risk of the loans, with the Bank assuming the first loss obligation limited by the first loss account, and the participating financial institution assuming credit losses in excess of the first loss account, up to the amount of the credit enhancement obligation specified in the master agreement. The amount of the credit enhancement is calculated so that any Bank credit losses (excluding special hazard losses) in excess of the first loss account are limited to those that would be expected from an equivalent investment with a long-term credit rating of AA. In addition, the Bank may facilitate the purchase of conforming fixed rate mortgage loans from members for concurrent sale to Fannie Mae under the MPF Xtra® product and of jumbo fixed rate mortgage loans for concurrent sale to Redwood Residential Acquisition Corporation, a subsidiary of Redwood Trust, Inc., a real estate investment trust, under the MPF Direct product. (“MPF Xtra” is a registered trademark of the FHLBank of Chicago.) |
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Finance, Loan and Lease Receivables, Held-for-investment, Policy [Policy Text Block] | For taking on the credit enhancement obligation, the Bank pays the participating financial institution a credit enhancement fee, which is calculated on the remaining unpaid principal balance of the mortgage loans. Depending on the specific MPF product, all or a portion of the credit enhancement fee is paid monthly beginning with the month after each delivery of loans. The MPF Plus product also provides for a performance-based credit enhancement fee, which accrues monthly, beginning with the month after each delivery of loans, and is paid to the participating financial institution beginning 12 months later. The performance-based credit enhancement fee will be reduced by an amount equivalent to loan losses up to the amount of the first loss account established for each master commitment. The participating financial institutions obtain supplemental mortgage insurance (SMI) to cover their credit enhancement obligations under this product. If the SMI provider's claims-paying ability rating falls below a specified level, the participating financial institution has six months to either replace the SMI policy or assume the credit enhancement obligation and fully collateralize the obligation; otherwise the Bank may choose not to pay the participating financial institution its performance-based credit enhancement fee. The Bank classifies mortgage loans as held for investment and, accordingly, reports them at their principal amount outstanding net of unamortized premiums, discounts, and unrealized gains and losses from loans initially classified as mortgage loan commitments. The Bank defers and amortizes these amounts as interest income using the level-yield method on a retrospective basis over the estimated life of the related mortgage loan. Actual prepayment experience and estimates of future principal prepayments are used in calculating the estimated life of the mortgage loans. The Bank aggregates the mortgage loans by similar characteristics (type, maturity, note rate, and acquisition date) in determining prepayment estimates. A retrospective adjustment is required each time the Bank changes the estimated amounts as if the new estimate had been known since the original acquisition date of the assets. The Bank uses nationally recognized, market-based, third-party prepayment models to project estimated lives. The Bank records credit enhancement fees as a reduction to interest income. |
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Revenue Recognition Accounting Policy, Gross and Net Revenue Disclosure [Policy Text Block] | Litigation settlement gains, net of related legal expenses, are recorded in Other Income/(Loss) in “Gains on litigation settlements, net” in the Statements of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. Prior to being realized or realizable, the Bank considers potential litigation settlement gains to be gain contingencies, and therefore they are not recorded in the Statements of Income. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain |
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Term Federal Funds Sold [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | The Bank invests in Federal funds sold with counterparties that are considered by the Bank to be of investment quality, and these investments are evaluated for purposes of an allowance for credit losses only if the investment is not paid when due |
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Term Securities Purchased Under Agreements To Resell [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | If an agreement to resell is deemed to be impaired, the difference between the fair value of the collateral and the amortized cost of the agreement is charged to earnings. |
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Investment, Policy [Policy Text Block] | Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security because of certain changes in circumstances, such as evidence of significant deterioration in the issuers’ creditworthiness, is not considered to be inconsistent with its original classification. In addition, other events that are isolated, nonrecurring, or unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. Beginning in the first quarter of 2011, the Bank elected to transfer any PLRMBS that incurred a credit-related OTTI charge during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized an OTTI credit loss on these HTM PLRMBS, which the Bank believes is evidence of a significant decline in the issuers’ creditworthiness. The decline in the issuers’ creditworthiness is the basis for the transfers to the AFS portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in view of changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank’s intent to hold these securities for an indefinite period of time. The Bank does not intend to sell its other-than-temporarily impaired securities and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. |
Trading Securities (Tables) |
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Trading Securities (and Certain Trading Assets) [Table Text Block] | The estimated fair value of trading securities as of December 31, 2015 and 2014, was as follows:
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Available-for-Sale Securities (Tables) |
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Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities [Table Text Block] | Available-for-sale (AFS) securities by major security type as of December 31, 2015 and 2014, were as follows:
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Schedule of Available-for-sale Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes the AFS securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to total gross unrealized losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of AFS securities, see Note 7 – Other-Than-Temporary Impairment Analysis.
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Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest rate payment terms for AFS securities at December 31, 2015 and 2014, are shown in the following table:
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Schedule of Investments With Converted Interest Rate [Table Text Block] | Certain MBS classified as fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:
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Held-to-Maturity Securities (Tables) |
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Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Held-to-maturity Securities [Table Text Block] | The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:
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Held-to-maturity Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments [Table Text Block] | The following tables summarize the HTM securities with unrealized losses as of December 31, 2015 and 2014. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. Total unrealized losses in the following table will not agree to the total gross unrecognized holding losses in the table above. The unrealized losses in the following table also include non-credit-related OTTI losses recognized in AOCI. For OTTI analysis of HTM securities, see Note 7 – Other-Than-Temporary Impairment Analysis.
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Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, carrying value, and estimated fair value of non-MBS securities by contractual maturity (based on contractual final principal payment) and of MBS as of December 31, 2015 and 2014, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers generally have the right to prepay the underlying obligations without prepayment fees.
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Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest rate payment terms for HTM securities at December 31, 2015 and 2014, are detailed in the following table:
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Schedule of Investments With Converted Interest Rate [Table Text Block] | Certain MBS classified as fixed rate passthrough securities and fixed rate collateralized mortgage obligations have an initial fixed interest rate that subsequently converts to an adjustable interest rate on a specified date as follows:
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Other-Than-Temporary Impairment Analysis (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Other than Temporary Impairment Losses, Investments [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings [Table Text Block] | For securities determined to be other-than-temporarily impaired as of December 31, 2015 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the amount of credit loss recognized in earnings during the year ended December 31, 2015, and the related current credit enhancement for the Bank.
(1) Weighted average percentage is based on unpaid principal balance. |
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Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | The following table presents the credit-related OTTI, which is recognized in earnings, for the years ended December 31, 2015, 2014, and 2013.
(2) The total accretion or amortization associated with other-than-temporarily impaired PLRMBS (amount recognized in interest income) totaled $82, $66, and $20 for the years ended December 31, 2015, 2014, and 2013, respectively. |
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Schedule of Transfers From Held to Maturity to Available for Sale [Table Text Block] | The following table summarizes the PLRMBS transferred from the Bank’s HTM portfolio to its AFS portfolio during the year ended December 31, 2015. The amounts shown represent the values when the securities were transferred from the HTM portfolio to the AFS portfolio. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the year ended December 31, 2014.
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Schedule of Other Than Temporarily Impaired Charges Incurred During Life of the Securities [Table Text Block] | The following tables present the Bank’s AFS and HTM PLRMBS that incurred OTTI losses anytime during the life of the securities at December 31, 2015 and 2014, by loan collateral type:
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Advances (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Federal Home Loan Banks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank, Advances [Table Text Block] | The following table summarizes advances at December 31, 2015 and 2014, by the earlier of the year of contractual maturity or next call date for callable advances and by the earlier of the year of contractual maturity or next put date for putable advances.
The following tables present the concentration in advances to the top five borrowers and their affiliates at December 31, 2015 and 2014. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the years ended December 31, 2015 and 2014.
The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.25% to 8.57% at December 31, 2015, and 0.14% to 8.57% at December 31, 2014, as summarized below.
Interest rate payment terms for advances at December 31, 2015 and 2014, are detailed below:
The net amount of prepayment fees is reflected as interest income in the Statements of Income for the years ended December 31, 2015, 2014, and 2013, as follows:
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Mortgage Loans Held for Portfolio (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans on Real Estate [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Participating Mortgage Loans [Table Text Block] | The following table presents information as of December 31, 2015 and 2014, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes.
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Allowance for Credit Losses (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Loans and Leases Receivable, Allowance [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Past Due Financing Receivables [Table Text Block] | The following table presents information on delinquent mortgage loans as of December 31, 2015 and 2014.
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Allowance for Credit Losses on Financing Receivables [Table Text Block] | The allowance for credit losses on the mortgage loan portfolio was as follows:
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Schedule of Allowance for Credit Losses and Recorded Investment by Impairment Methodology [Table Text Block] | The allowance for credit losses and recorded investment by impairment methodology for individually and collectively evaluated impaired loans are as follows:
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Schedule of Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans [Table Text Block] | The recorded investment, unpaid principal balance, and related allowance of impaired loans individually evaluated for impairment are as follows:
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Schedule of Average Recorded Investment on Impaired Loans [Table Text Block] | The average recorded investment on impaired loans individually evaluated for impairment is as follows:
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Deposits (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Deposit Liabilities by Component [Table Text Block] | Deposits as of December 31, 2015 and 2014, were as follows:
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Schedule of Interest Rate Payment Terms On Deposit Liabilities [Table Text Block] | Interest rate payment terms for deposits at December 31, 2015 and 2014, are detailed in the following table:
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Consolidated Obligations (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt [Table Text Block] | The following is a summary of the Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014.
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Schedule of Long-term Debt by Call Feature [Table Text Block] | The Bank’s participation in consolidated obligation bonds at December 31, 2015 and 2014, was as follows:
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Schedule of Maturities of Long-term Debt by Contractual or Next Call Date [Table Text Block] | The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at December 31, 2015 and 2014, by the earlier of the year of contractual maturity or next call date.
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Schedule of Short-term Debt [Table Text Block] | The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:
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Schedule of Interest Rate Payment Terms for Debt [Table Text Block] | Interest rate payment terms for consolidated obligations at December 31, 2015 and 2014, are detailed in the following table.
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Affordable Housing Program (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Banks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Activity in Affordable Housing Program Obligation [Table Text Block] | The AHP liability was as follows:
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Accumulated Other Comprehensive Income (Loss) (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table summarizes the changes in AOCI for the years ended December 31, 2015, 2014, and 2013:
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Capital (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | As of December 31, 2015 and 2014, the Bank was in compliance with these capital rules and requirements as shown in the following table.
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Schedule of Mandatorily Redeemable Capital Stock [Table Text Block] | The Bank had mandatorily redeemable capital stock totaling $488 outstanding to 9 institutions at December 31, 2015, and $719 outstanding to 32 institutions at December 31, 2014. The change in mandatorily redeemable capital stock for the years ended December 31, 2015, 2014, and 2013 was as follows:
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Schedule of Mandatorily Redeemable Capital Stock by Maturity Date [Table Text Block] | The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at December 31, 2015 and 2014.
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Schedule of Restricted Retained Earnings [Table Text Block] | The following table summarizes the activity related to retained earnings for the years ended December 31, 2015 and 2014:
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Schedule of Concentration in Capital Stock Held [Table Text Block] | The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of December 31, 2015 or 2014.
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Employee Retirement Plans and Incentive Compensation Plans (Tables) |
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Compensation and Retirement Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Changes in Projected Benefit Obligations [Table Text Block] | The following table summarizes the changes in the benefit obligations, plan assets, and funded status of the defined benefit Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan for the years ended December 31, 2015 and 2014.
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Schedule of Amounts Recognized in Balance Sheet [Table Text Block] | Amounts recognized in the Statements of Condition at December 31, 2015 and 2014, consist of:
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Schedule of Net Periodic Benefit Cost Not yet Recognized [Table Text Block] | Amounts recognized in AOCI at December 31, 2015 and 2014, consist of:
The amounts in AOCI expected to be recognized as components of net periodic benefit cost in 2016 are as follows:
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Schedule of Benefit Obligations in Excess of Fair Value of Plan Assets [Table Text Block] | The following table presents information for pension plans with benefit obligations in excess of plan assets at December 31, 2015 and 2014.
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Schedule of Net Benefit Costs [Table Text Block] | Components of the net periodic benefit costs and other amounts recognized in other comprehensive income for the years ended December 31, 2015, 2014, and 2013, were as follows:
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Schedule of Assumptions Used [Table Text Block] | Weighted average assumptions used to determine the benefit obligations at December 31, 2015 and 2014, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:
Weighted average assumptions used to determine the net periodic benefit costs for the years ended December 31, 2015, 2014, and 2013, for the Cash Balance Plan, non-qualified defined benefit plans, and postretirement health benefit plan were as follows:
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Schedule of Allocation of Plan Assets [Table Text Block] | The table below presents the fair values of the Cash Balance Plan's assets as of December 31, 2015 and 2014, by asset category. See Note 19 – Fair Value for further information regarding the three levels of fair value measurement.
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Schedule of Weighted Average Asset Allocation of Defined Benefit Plan Assets [Table Text Block] | The Cash Balance Plan's weighted average asset allocation at December 31, 2015 and 2014, by asset category was as follows:
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Schedule of Expected Benefit Payments [Table Text Block] | The following are the estimated future benefit payments, which reflect expected future service, as appropriate:
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Segment Information (Tables) |
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Operating Profit (Loss) from Segments to Consolidated [Table Text Block] | The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the years ended December 31, 2015, 2014, and 2013.
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Schedule of Segment Assets by Segment [Table Text Block] | The following table presents total assets by operating segment at December 31, 2015, 2014, and 2013.
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Derivatives and Hedging Activities (Tables) |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table summarizes the fair value of derivative instruments including the effect of netting adjustments and cash collateral as of December 31, 2015 and 2014. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.
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Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents the components of net gain/(loss) on derivatives and hedging activities as presented in the Statements of Income for the years ended December 31, 2015, 2014, and 2013.
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Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block] | The following table presents, by type of hedged item, the gains and losses on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the years ended December 31, 2015, 2014, and 2013.
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Schedule of Derivative Instruments, Offsetting Derivative Assets and Liabilities [Table Text Block] | The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of December 31, 2015 and 2014.
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Fair Value (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping [Table Text Block] | The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2015 and 2014.
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Table Text Block] | The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2015 and 2014, by level within the fair value hierarchy.
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Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2015, 2014, and 2013.
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Fair Value, Option, Quantitative Disclosures [Table Text Block] | The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the years ended December 31, 2015, 2014, and 2013:
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Fair Value Option, Quantitative Disclosure, Difference Between Aggregate Fair Value and Aggregate Remaining Contractual Principal Balance Outstanding [Table Text Block] | The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at December 31, 2015 and 2014:
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Commitments and Contingencies (Tables) |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments [Table Text Block] | Off-balance sheet commitments as of December 31, 2015 and 2014, were as follows:
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Schedule of Future Minimum Rental Payments for Operating Leases [Table Text Block] | Future minimum rentals at December 31, 2015, were as follows:
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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) |
12 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Certain Members and Nonmembers and Other FHLBanks, by Balance Sheet Grouping [Table Text Block] |
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Transactions with Certain Members and Nonmembers and Other FHLBanks, Income Statement [Table Text Block] |
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Other (Tables) |
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Dec. 31, 2015 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other Income and Expenses [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Other Operating Cost and Expense, by Component [Table Text Block] | The table below discloses the categories included in other operating expense for the years ended December 31, 2015, 2014, and 2013.
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Summary of Significant Accounting Policies Narrative (Details) $ in Millions |
12 Months Ended | ||
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Dec. 31, 2015
USD ($)
loan
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Dec. 31, 2014
USD ($)
loan
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Dec. 31, 2013
USD ($)
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Investment Securities [Abstract] | |||
Substantial Portion Collected, Percent | 85.00% | ||
Real Estate Owned [Abstract] | |||
Real Estate Owned, Number of Loans | loan | 21 | 23 | |
Real Estate Acquired Through Foreclosure | $ 2 | $ 2 | |
Property, Plant and Equipment [Abstract] | |||
Accumulated Depreciation and Amortization, Property, Plant, and Equipment | 52 | 67 | |
Depreciation and Amortization | 8 | 9 | $ 9 |
Net Realized Gain (Loss) on Disposition of Property Plant Equipment | 1 | 1 | 1 |
Capitalized Computer Software, Net | 18 | 20 | |
Capitalized Computer Software, Amortization | $ 6 | 7 | 7 |
Maximum [Member] | |||
Property, Plant and Equipment [Abstract] | |||
Property, Plant and Equipment, Estimated Useful Lives | P10Y | ||
Minimum [Member] | |||
Property, Plant and Equipment [Abstract] | |||
Property, Plant and Equipment, Estimated Useful Lives | P3Y | ||
Other Assets [Member] | |||
Debt Disclosure [Abstract] | |||
Unamortized Concessions on Consolidated Obligations | $ 9 | 12 | |
Interest Expense [Member] | |||
Debt Disclosure [Abstract] | |||
Amortization of Concessions included in CO interest expense | $ 7 | $ 6 | $ 7 |
Recently Issued and Adopted Accounting Guidance Narrative (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Jan. 01, 2015 |
Dec. 31, 2014 |
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Accounting Policies [Line Items] | |||
Charge-off Provision, AB 2012-02 Effective Jan 1, 2015 | $ 1 | ||
Other Liabilities [Member] | |||
Accounting Policies [Line Items] | |||
Retrospective Impact of Debt Issuance Cost Guidance Effective Jan. 1, 2016, Decrease in Assets and Liabilities | $ 9 | $ 12 |
Cash and Due from Banks (Details) - USD ($) $ in Millions |
12 Months Ended | |
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Dec. 31, 2015 |
Dec. 31, 2014 |
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Cash and Due from Banks [Abstract] | ||
Average Collected Cash Balances With Commercial Banks | $ 41 | $ 2 |
Trading Securities (Details) - USD ($) $ in Millions |
12 Months Ended | ||||
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Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
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Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Net unrealized gain/(loss) on trading securities | $ (2) | $ (1) | $ 2 | ||
Trading securities | [1] | 1,433 | 3,524 | ||
Non-MBS - GSE - FFCB bonds [Member] | |||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Trading securities | 1,424 | 3,513 | |||
MBS - Other US Obligations - Ginnie Mae [Member] | |||||
Schedule of Trading Securities and Other Trading Assets [Line Items] | |||||
Trading securities | $ 9 | $ 11 | |||
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Available-for-Sale Securities (Narrative) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Dec. 31, 2012 |
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Schedule of Available-for-sale Securities [Line Items] | ||||
Credit-related OTTI | $ 1,255 | $ 1,314 | $ 1,378 | $ 1,397 |
Available-for-sale Securities [Member] | Collateralized Mortgage Backed Securities [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Credit-related OTTI | $ 1,023 | $ 1,173 |
Available-for-Sale Securities (AFS Securities by Major Security Type) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
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Schedule of Available-for-sale Securities [Line Items] | |||||||
Amortized Cost | [1] | $ 5,371 | $ 6,283 | ||||
OTTI Recognized in AOCI | (165) | (192) | |||||
Gross Unrealized Gains | 222 | 282 | |||||
Gross Unrealized Losses | (14) | (2) | |||||
Estimated Fair Value | [2] | 5,414 | 6,371 | ||||
PLRMBS [Member] | Prime [Member] | Residential Mortgage Backed Securities [Member] | |||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||
Amortized Cost | 489 | 565 | |||||
OTTI Recognized in AOCI | (1) | (4) | |||||
Gross Unrealized Gains | 23 | 31 | |||||
Gross Unrealized Losses | 0 | 0 | |||||
Estimated Fair Value | 511 | 592 | |||||
PLRMBS [Member] | Alt-A, Option ARM [Member] | Residential Mortgage Backed Securities [Member] | |||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||
Amortized Cost | 956 | 1,031 | |||||
OTTI Recognized in AOCI | (37) | (43) | |||||
Gross Unrealized Gains | 64 | 77 | |||||
Gross Unrealized Losses | (3) | 0 | |||||
Estimated Fair Value | 980 | 1,065 | |||||
PLRMBS [Member] | Alt-A, other [Member] | Residential Mortgage Backed Securities [Member] | |||||||
Schedule of Available-for-sale Securities [Line Items] | |||||||
Amortized Cost | 3,926 | 4,687 | |||||
OTTI Recognized in AOCI | (127) | (145) | |||||
Gross Unrealized Gains | 135 | 174 | |||||
Gross Unrealized Losses | (11) | (2) | |||||
Estimated Fair Value | $ 3,923 | $ 4,714 | |||||
|
Available-for-Sale Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 168 | $ 474 |
Less Than 12 Months: Unrealized Losses | 2 | 15 |
12 Months or More: Estimated Fair Value | 1,981 | 2,298 |
12 Months or More: Unrealized Losses | 177 | 179 |
Estimated Fair Value | 2,149 | 2,772 |
Unrealized Losses | 179 | 194 |
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 0 | 71 |
Less Than 12 Months: Unrealized Losses | 0 | 3 |
12 Months or More: Estimated Fair Value | 25 | 36 |
12 Months or More: Unrealized Losses | 1 | 1 |
Estimated Fair Value | 25 | 107 |
Unrealized Losses | 1 | 4 |
Alt-A, Option ARM [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 0 | 0 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 435 | 580 |
12 Months or More: Unrealized Losses | 40 | 43 |
Estimated Fair Value | 435 | 580 |
Unrealized Losses | 40 | 43 |
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Available-for-sale Securities [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 168 | 403 |
Less Than 12 Months: Unrealized Losses | 2 | 12 |
12 Months or More: Estimated Fair Value | 1,521 | 1,682 |
12 Months or More: Unrealized Losses | 136 | 135 |
Estimated Fair Value | 1,689 | 2,085 |
Unrealized Losses | $ 138 | $ 147 |
Available-for-Sale Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
||
---|---|---|---|---|
Schedule of Available-for-sale Securities [Line Items] | ||||
AFS Securities, Amortized Cost | [1] | $ 5,371 | $ 6,283 | |
Fixed Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
AFS Securities, Amortized Cost | 1,540 | 1,917 | ||
Fixed Interest Rate [Member] | Collateralized mortgage obligations [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
AFS Securities, Amortized Cost | 201 | 297 | ||
Converts in 1 year or less | 102 | 71 | ||
Converts after 1 year through 5 years | 99 | 226 | ||
Variable Interest Rate [Member] | Collateralized Mortgage Backed Securities [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
AFS Securities, Amortized Cost | $ 3,831 | $ 4,366 | ||
|
Held-to-Maturity Securities (Classification of Held-to-Maturity Securities) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Dec. 31, 2012 |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [1],[2] | $ 10,816 | $ 13,571 | ||||||||||
OTTI Recognized in AOCI | [2] | (14) | (20) | ||||||||||
HTM securities, Carrying Value | [1],[2],[3] | 10,802 | 13,551 | ||||||||||
Gross Unrecognized Holding Gain | 127 | 217 | |||||||||||
Gross Unrecognized Holding Loss | (108) | (111) | |||||||||||
HTM Securities, Fair Value | 10,821 | 13,657 | |||||||||||
Credit-related OTTI | 1,255 | 1,314 | $ 1,378 | $ 1,397 | |||||||||
Housing finance agency bonds [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 275 | 328 | ||||||||||
OTTI Recognized in AOCI | [2] | 0 | 0 | ||||||||||
HTM securities, Carrying Value | [2] | 275 | 328 | ||||||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||||||
Gross Unrecognized Holding Loss | (33) | (45) | |||||||||||
HTM Securities, Fair Value | 242 | 283 | |||||||||||
MBS - Other US Obligations - Ginnie Mae [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 1,227 | 1,513 | ||||||||||
OTTI Recognized in AOCI | [2] | 0 | 0 | ||||||||||
HTM securities, Carrying Value | 1,227 | [1] | 1,513 | [2] | |||||||||
Gross Unrecognized Holding Gain | 4 | 15 | |||||||||||
Gross Unrecognized Holding Loss | (3) | (2) | |||||||||||
HTM Securities, Fair Value | 1,228 | 1,526 | |||||||||||
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 1,501 | 1,900 | ||||||||||
OTTI Recognized in AOCI | [2] | (14) | (20) | ||||||||||
HTM securities, Carrying Value | [2] | 1,487 | 1,880 | ||||||||||
Gross Unrecognized Holding Gain | 14 | 20 | |||||||||||
Gross Unrecognized Holding Loss | (40) | (46) | |||||||||||
HTM Securities, Fair Value | 1,461 | 1,854 | |||||||||||
MBS [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 10,541 | 13,243 | ||||||||||
OTTI Recognized in AOCI | [2] | (14) | (20) | ||||||||||
HTM securities, Carrying Value | [2] | 10,527 | 13,223 | ||||||||||
Gross Unrecognized Holding Gain | 127 | 217 | |||||||||||
Gross Unrecognized Holding Loss | (75) | (66) | |||||||||||
HTM Securities, Fair Value | 10,579 | 13,374 | |||||||||||
Held-to-maturity Securities, Premiums | 39 | 51 | |||||||||||
Held-to-maturity Securities, Discounts | 42 | 55 | |||||||||||
MBS [Member] | Held-to-maturity Securities [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Credit-related OTTI | 8 | 7 | |||||||||||
Single Family [Member] | GSEs [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 7,813 | 9,830 | ||||||||||
OTTI Recognized in AOCI | [2] | 0 | 0 | ||||||||||
HTM securities, Carrying Value | [2] | 7,813 | 9,830 | ||||||||||
Gross Unrecognized Holding Gain | 109 | 182 | |||||||||||
Gross Unrecognized Holding Loss | (32) | (18) | |||||||||||
HTM Securities, Fair Value | 7,890 | 9,994 | |||||||||||
Single Family [Member] | Freddie Mac [Member] | GSEs [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 3,677 | 4,517 | ||||||||||
OTTI Recognized in AOCI | [2] | 0 | 0 | ||||||||||
HTM securities, Carrying Value | [2] | 3,677 | 4,517 | ||||||||||
Gross Unrecognized Holding Gain | 39 | 61 | |||||||||||
Gross Unrecognized Holding Loss | (20) | (12) | |||||||||||
HTM Securities, Fair Value | 3,696 | 4,566 | |||||||||||
Single Family [Member] | Fannie Mae [Member] | GSEs [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 4,136 | 5,313 | ||||||||||
OTTI Recognized in AOCI | [2] | 0 | 0 | ||||||||||
HTM securities, Carrying Value | [2] | 4,136 | 5,313 | ||||||||||
Gross Unrecognized Holding Gain | 70 | 121 | |||||||||||
Gross Unrecognized Holding Loss | (12) | (6) | |||||||||||
HTM Securities, Fair Value | 4,194 | 5,428 | |||||||||||
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 905 | 1,133 | ||||||||||
OTTI Recognized in AOCI | [2] | 0 | 0 | ||||||||||
HTM securities, Carrying Value | [2] | 905 | 1,133 | ||||||||||
Gross Unrecognized Holding Gain | 0 | 1 | |||||||||||
Gross Unrecognized Holding Loss | (27) | (27) | |||||||||||
HTM Securities, Fair Value | 878 | 1,107 | |||||||||||
Alt-A, Option ARM [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 0 | 14 | ||||||||||
OTTI Recognized in AOCI | [2] | 0 | 0 | ||||||||||
HTM securities, Carrying Value | [2] | 0 | 14 | ||||||||||
Gross Unrecognized Holding Gain | 0 | 0 | |||||||||||
Gross Unrecognized Holding Loss | 0 | (1) | |||||||||||
HTM Securities, Fair Value | 0 | 13 | |||||||||||
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | |||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||
Amortized Cost | [2] | 596 | 753 | ||||||||||
OTTI Recognized in AOCI | [2] | (14) | (20) | ||||||||||
HTM securities, Carrying Value | [2] | 582 | 733 | ||||||||||
Gross Unrecognized Holding Gain | 14 | 19 | |||||||||||
Gross Unrecognized Holding Loss | (13) | (18) | |||||||||||
HTM Securities, Fair Value | $ 583 | $ 734 | |||||||||||
|
Held-to-Maturity Securities (Securities with Unrealized Losses) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | $ 3,805 | $ 1,333 |
Less Than 12 Months, Unrealized losses | 33 | 4 |
12 Months or More, Estimated Fair Value | 1,665 | 3,363 |
12 Months Or More, Unrealized losses | 89 | 127 |
Total, Estimated Fair Value | 5,470 | 4,696 |
Total, Unrealized Losses | 122 | 131 |
CalHFA bonds [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 0 | 0 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 240 | 283 |
12 Months Or More, Unrealized losses | 33 | 45 |
Total, Estimated Fair Value | 240 | 283 |
Total, Unrealized Losses | 33 | 45 |
MBS - Other US Obligations - Ginnie Mae [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 799 | 131 |
Less Than 12 Months, Unrealized losses | 3 | 0 |
12 Months or More, Estimated Fair Value | 2 | 94 |
12 Months Or More, Unrealized losses | 0 | 2 |
Total, Estimated Fair Value | 801 | 225 |
Total, Unrealized Losses | 3 | 2 |
PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 175 | 294 |
Less Than 12 Months, Unrealized losses | 1 | 2 |
12 Months or More, Estimated Fair Value | 1,249 | 1,380 |
12 Months Or More, Unrealized losses | 53 | 64 |
Total, Estimated Fair Value | 1,424 | 1,674 |
Total, Unrealized Losses | 54 | 66 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 3,805 | 1,333 |
Less Than 12 Months, Unrealized losses | 33 | 4 |
12 Months or More, Estimated Fair Value | 1,425 | 3,080 |
12 Months Or More, Unrealized losses | 56 | 82 |
Total, Estimated Fair Value | 5,230 | 4,413 |
Total, Unrealized Losses | 89 | 86 |
Single Family [Member] | GSEs [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 2,831 | 908 |
Less Than 12 Months, Unrealized losses | 29 | 2 |
12 Months or More, Estimated Fair Value | 174 | 1,606 |
12 Months Or More, Unrealized losses | 3 | 16 |
Total, Estimated Fair Value | 3,005 | 2,514 |
Total, Unrealized Losses | 32 | 18 |
Single Family [Member] | Freddie Mac [Member] | GSEs [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 1,736 | 622 |
Less Than 12 Months, Unrealized losses | 20 | 1 |
12 Months or More, Estimated Fair Value | 20 | 1,044 |
12 Months Or More, Unrealized losses | 0 | 11 |
Total, Estimated Fair Value | 1,756 | 1,666 |
Total, Unrealized Losses | 20 | 12 |
Single Family [Member] | Fannie Mae [Member] | GSEs [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 1,095 | 286 |
Less Than 12 Months, Unrealized losses | 9 | 1 |
12 Months or More, Estimated Fair Value | 154 | 562 |
12 Months Or More, Unrealized losses | 3 | 5 |
Total, Estimated Fair Value | 1,249 | 848 |
Total, Unrealized Losses | 12 | 6 |
Prime [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 165 | 264 |
Less Than 12 Months, Unrealized losses | 1 | 2 |
12 Months or More, Estimated Fair Value | 676 | 682 |
12 Months Or More, Unrealized losses | 26 | 25 |
Total, Estimated Fair Value | 841 | 946 |
Total, Unrealized Losses | 27 | 27 |
Alt-A, Option ARM [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 0 | 0 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 0 | 13 |
12 Months Or More, Unrealized losses | 0 | 1 |
Total, Estimated Fair Value | 0 | 13 |
Total, Unrealized Losses | 0 | 1 |
Alt-A, other [Member] | PLRMBS [Member] | Residential Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Less Than 12 Months, Estimated Fair Value | 10 | 30 |
Less Than 12 Months, Unrealized losses | 0 | 0 |
12 Months or More, Estimated Fair Value | 573 | 685 |
12 Months Or More, Unrealized losses | 27 | 38 |
Total, Estimated Fair Value | 583 | 715 |
Total, Unrealized Losses | $ 27 | $ 38 |
Held-to-Maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
|||||||
---|---|---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [1],[2] | $ 10,816 | $ 13,571 | ||||||
HTM securities, Carrying Value | [1],[2],[3] | 10,802 | 13,551 | ||||||
HTM Securities, Fair Value | 10,821 | 13,657 | |||||||
Other Than Mortgage Backed Securities [Member] | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Due after 5 years through 10 years, Amortized Cost | [1] | 60 | 78 | ||||||
Due after 5 years through 10 years, Carrying Value | [1] | 60 | 78 | ||||||
Due after 5 years through 10 years, Estimated Fair Value | 56 | 70 | |||||||
Due after 10 years, Amortized Cost | [1] | 215 | 250 | ||||||
Due after 10 years, Carrying Value | [1] | 215 | 250 | ||||||
Due after 10 years, Estimated Fair Value | 186 | 213 | |||||||
Amortized Cost | 275 | 328 | |||||||
HTM securities, Carrying Value | 275 | 328 | |||||||
HTM Securities, Fair Value | 242 | 283 | |||||||
Collateralized Mortgage Backed Securities [Member] | |||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||
Amortized Cost | [2] | 10,541 | 13,243 | ||||||
HTM securities, Carrying Value | [2] | 10,527 | 13,223 | ||||||
HTM Securities, Fair Value | $ 10,579 | $ 13,374 | |||||||
|
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
|||||
---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | [1],[2] | $ 10,816 | $ 13,571 | ||||
Other Than Mortgage Backed Securities [Member] | |||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | 275 | 328 | |||||
Other Than Mortgage Backed Securities [Member] | Variable Interest Rate [Member] | |||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | 275 | 328 | |||||
Mortgage Passthrough Securities [Member] | Fixed Interest Rate [Member] | |||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | 146 | 285 | |||||
Converts in 1 year or less | 22 | 79 | |||||
Converts after 1 year through 5 years | 119 | 140 | |||||
Converts after 5 years through 10 years | 0 | 59 | |||||
Total | 141 | 278 | |||||
Mortgage Passthrough Securities [Member] | Variable Interest Rate [Member] | |||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | 416 | 415 | |||||
Collateralized Mortgage Obligations [Member] | Fixed Interest Rate [Member] | |||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | 7,224 | 9,249 | |||||
Converts in 1 year or less | 7 | 73 | |||||
Converts after 1 year through 5 years | 13 | 26 | |||||
Total | 20 | 99 | |||||
Collateralized Mortgage Obligations [Member] | Variable Interest Rate [Member] | |||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | 2,755 | 3,294 | |||||
Collateralized Mortgage Backed Securities [Member] | |||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||
Amortized Cost | [2] | $ 10,541 | $ 13,243 | ||||
|
Other-Than-Temporary Impairment Analysis (Narrative) (Details) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2015
USD ($)
|
Dec. 31, 2014
USD ($)
|
|
Other than Temporary Impairment, Disclosure [Line Items] | ||
Core-Based Statistical Areas, Current Requirements, Urban Area, Population | 10,000 | |
Projected change in the twelve month housing price percentage rate, maximum decrease | 3.00% | |
Projected change in the twelve month housing price percentage rate, maximum increase | 8.00% | |
Projected House Price Rate, minimum increase in vast majority of markets | 2.00% | |
Projected House Price Rate, maximum increase in vast majority of markets | 5.00% | |
Period Assumed For Housing Markets That Have Reached Trough | 12 months | |
PLRMBS [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Fair Value | $ 15 | $ 0 |
Minimum [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Core-Based Statistical Areas, Current Requirements, Number of Urban Areas | 1 |
Other-Than-Temporary Impairment Analysis (Significant Inputs for Other-Than-Temporarily Impaired PLRMBS) (Details) - Residential Mortgage Backed Securities [Member] - PLRMBS [Member] |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2015 |
[1] | |||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 11.70% | |||
Default Rates, Weighted Average | 21.00% | |||
Loss Severities, Weighted Average | 36.30% | |||
Current Credit Enhancement, Weighted Average | 10.80% | |||
Prime [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 13.20% | |||
Default Rates, Weighted Average | 3.80% | |||
Loss Severities, Weighted Average | 20.90% | |||
Current Credit Enhancement, Weighted Average | 19.00% | |||
Prime [Member] | Securitization in 2007 [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 13.20% | |||
Default Rates, Weighted Average | 3.70% | |||
Loss Severities, Weighted Average | 20.80% | |||
Current Credit Enhancement, Weighted Average | 19.20% | |||
Prime [Member] | Securitization in 2006 [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 13.10% | |||
Default Rates, Weighted Average | 18.10% | |||
Loss Severities, Weighted Average | 32.50% | |||
Current Credit Enhancement, Weighted Average | 0.00% | |||
Alt-A, Option ARM [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 5.90% | |||
Default Rates, Weighted Average | 35.90% | |||
Loss Severities, Weighted Average | 38.20% | |||
Current Credit Enhancement, Weighted Average | 9.30% | |||
Alt-A, Option ARM [Member] | Securitization in 2006 [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 5.70% | |||
Default Rates, Weighted Average | 39.90% | |||
Loss Severities, Weighted Average | 39.20% | |||
Current Credit Enhancement, Weighted Average | 6.10% | |||
Alt-A, Option ARM [Member] | Securitization in 2005 [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 7.40% | |||
Default Rates, Weighted Average | 11.10% | |||
Loss Severities, Weighted Average | 32.50% | |||
Current Credit Enhancement, Weighted Average | 29.40% | |||
Alt-A, other [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 12.20% | |||
Default Rates, Weighted Average | 20.00% | |||
Loss Severities, Weighted Average | 36.40% | |||
Current Credit Enhancement, Weighted Average | 10.80% | |||
Alt-A, other [Member] | Securitization in 2007 [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 11.30% | |||
Default Rates, Weighted Average | 24.70% | |||
Loss Severities, Weighted Average | 34.80% | |||
Current Credit Enhancement, Weighted Average | 10.30% | |||
Alt-A, other [Member] | Securitization in 2006 [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 10.20% | |||
Default Rates, Weighted Average | 26.50% | |||
Loss Severities, Weighted Average | 38.70% | |||
Current Credit Enhancement, Weighted Average | 19.60% | |||
Alt-A, other [Member] | Securitization in 2005 [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 13.30% | |||
Default Rates, Weighted Average | 14.90% | |||
Loss Severities, Weighted Average | 36.90% | |||
Current Credit Enhancement, Weighted Average | 5.80% | |||
Alt-A, other [Member] | Securitization in 2004 and Earlier [Member] | ||||
Other than Temporary Impairment, Disclosure [Line Items] | ||||
Prepayment Rates, Weighted Average | 17.30% | |||
Default Rates, Weighted Average | 7.10% | |||
Loss Severities, Weighted Average | 30.70% | |||
Current Credit Enhancement, Weighted Average | 13.30% | |||
|
Other-Than-Temporary Impairment Analysis (OTTI Rollforward) (Details) - USD ($) $ in Millions |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
||||||
Other than Temporary Impairment Losses, Investments [Abstract] | ||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Total accretion or amortization | $ 82 | $ 66 | $ 20 | |||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||||||
Balance, beginning of the period | 1,314 | 1,378 | 1,397 | |||||
Additional charges on securities for which OTTI was previously recognized | [1] | 15 | 4 | 7 | ||||
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities | [2] | (74) | (68) | (26) | ||||
Balance, end of the period | $ 1,255 | $ 1,314 | $ 1,378 | |||||
|
Other-Than-Temporary Impairment Analysis (Transfers) (Details) - PLRMBS [Member] - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Significant Inputs for Credit Loss Measurement [Line Items] | ||
Amortized Cost | $ 16 | |
OTTI Recognized in AOCI | (1) | |
Gross Unrecognized Holding Gains (Losses) | 0 | |
Estimated Fair Value | 15 | $ 0 |
Prime [Member] | ||
Significant Inputs for Credit Loss Measurement [Line Items] | ||
Amortized Cost | 4 | |
OTTI Recognized in AOCI | 0 | |
Gross Unrecognized Holding Gains (Losses) | 0 | |
Estimated Fair Value | 4 | |
Alt-A, Option ARM [Member] | ||
Significant Inputs for Credit Loss Measurement [Line Items] | ||
Amortized Cost | 12 | |
OTTI Recognized in AOCI | (1) | |
Gross Unrecognized Holding Gains (Losses) | 0 | |
Estimated Fair Value | $ 11 |
Other-Than-Temporary Impairment Analysis (OTTI Impaired PLRMBS) (Details) - PLRMBS [Member] - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Available-for-sale Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | $ 6,384 | $ 7,447 |
Amortized Cost | 5,371 | 6,283 |
Estimated Fair Value | 5,414 | 6,371 |
Held-to-maturity Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 111 | 132 |
Amortized Cost | 107 | 128 |
Carrying Value | 93 | 108 |
Estimated Fair Value | 107 | 127 |
Prime [Member] | Available-for-sale Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 591 | 682 |
Amortized Cost | 489 | 565 |
Estimated Fair Value | 511 | 592 |
Prime [Member] | Held-to-maturity Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 0 | 0 |
Amortized Cost | 0 | 0 |
Carrying Value | 0 | 0 |
Estimated Fair Value | 0 | 0 |
Alt-A, Option ARM [Member] | Available-for-sale Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 1,269 | 1,391 |
Amortized Cost | 956 | 1,031 |
Estimated Fair Value | 980 | 1,065 |
Alt-A, Option ARM [Member] | Held-to-maturity Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 0 | 0 |
Amortized Cost | 0 | 0 |
Carrying Value | 0 | 0 |
Estimated Fair Value | 0 | 0 |
Alt-A, other [Member] | Available-for-sale Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 4,524 | 5,374 |
Amortized Cost | 3,926 | 4,687 |
Estimated Fair Value | 3,923 | 4,714 |
Alt-A, other [Member] | Held-to-maturity Securities [Member] | ||
Securities that Incurred an Other Than Temporary Impairment Charge [Abstract] | ||
Unpaid Principal Balance | 111 | 132 |
Amortized Cost | 107 | 128 |
Carrying Value | 93 | 108 |
Estimated Fair Value | $ 107 | $ 127 |
Advances (Narrative) (Details) - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Advances [Line Items] | ||
Advances, Par Value | $ 50,841 | $ 38,830 |
Advances With Partial Prepayment Symmetry Outstanding | $ 3,510 | $ 4,915 |
Minimum [Member] | ||
Advances [Line Items] | ||
Advances, Maturity Period, Fixed Rate | 1 day | |
Advances, Maturity Period, Variable Rate | 30 days | |
Advances, Interest Rate | 0.25% | 0.14% |
Maximum [Member] | ||
Advances [Line Items] | ||
Advances, Maturity Period, Fixed Rate | 30 years | |
Advances, Maturity Period, Variable Rate | 10 years | |
Advances, Interest Rate | 8.57% | 8.57% |
Advances, Callable Option [Member] | ||
Advances [Line Items] | ||
Advances, Par Value | $ 15,425 | $ 328 |
Advances, Putable Option [Member] | ||
Advances [Line Items] | ||
Advances, Par Value | $ 140 | $ 140 |
Advances (Redemption Terms) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Federal Home Loan Bank Advances, Maturities [Abstract] | ||
Within 1 year | $ 24,807 | $ 21,328 |
After 1 year through 2 years | 4,252 | 7,597 |
After 2 years through 3 years | 6,208 | 3,235 |
After 3 years through 4 years | 6,877 | 3,216 |
After 4 years through 5 years | 2,022 | 1,655 |
After 5 years | 6,675 | 1,799 |
Total par amount | 50,841 | 38,830 |
Valuation adjustments for hedging activities | 40 | 67 |
Valuation adjustments under fair value option | 38 | 89 |
Advances | $ 50,919 | $ 38,986 |
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | ||
Within 1 year | 0.59% | 0.63% |
After 1 year through 2 years | 1.19% | 1.07% |
After 2 years through 3 years | 1.19% | 1.39% |
After 3 years through 4 years | 0.89% | 1.65% |
After 4 years through 5 years | 1.11% | 1.82% |
After 5 years | 1.11% | 2.81% |
Total par value | 0.84% | 1.02% |
Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Within 1 year | $ 25,983 | $ 21,460 |
After 1 year through 2 years | 6,124 | 7,693 |
After 2 years through 3 years | 8,432 | 3,258 |
After 3 years through 4 years | 3,173 | 3,291 |
After 4 years through 5 years | 5,706 | 1,646 |
After 5 years | 1,423 | 1,482 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Within 1 year | 24,947 | 21,468 |
After 1 year through 2 years | 4,152 | 7,597 |
After 2 years through 3 years | 6,168 | 3,135 |
After 3 years through 4 years | 6,877 | 3,176 |
After 4 years through 5 years | 2,022 | 1,655 |
After 5 years | 6,675 | 1,799 |
Total par amount | $ 50,841 | $ 38,830 |
Advances (Credit and Concentration Risk) (Details) $ in Millions |
12 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2015
USD ($)
bank
|
Dec. 31, 2014
USD ($)
|
|||||||||||
Advances [Line Items] | ||||||||||||
Number Of Top Advances Borrowers | bank | 5 | |||||||||||
Advances Outstanding | $ 50,841 | $ 38,830 | ||||||||||
Percentage of Total Advances Outstanding | 100.00% | 100.00% | ||||||||||
Interest Income from Advances | [1] | $ 398 | $ 431 | |||||||||
Percentage of Total Interest Income from Advances | 100.00% | 100.00% | ||||||||||
JPMorgan Chase Bank National Association [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | [3] | $ 14,813 | [2] | $ 819 | ||||||||
Percentage of Total Advances Outstanding | [3] | 29.00% | [2] | 2.00% | ||||||||
Interest Income from Advances | [1],[3] | $ 65 | [2] | $ 7 | ||||||||
Percentage of Total Interest Income from Advances | [3] | 16.00% | [2] | 2.00% | ||||||||
JPMorgan Bank And Trust Company National Association [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | [2] | $ 3,000 | ||||||||||
Percentage of Total Advances Outstanding | [2] | 8.00% | ||||||||||
Interest Income from Advances | [1],[2] | $ 54 | ||||||||||
Percentage of Total Interest Income from Advances | [2] | 13.00% | ||||||||||
JPMorgan Chase And Co [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 3,819 | |||||||||||
Percentage of Total Advances Outstanding | 10.00% | |||||||||||
Interest Income from Advances | [1] | $ 61 | ||||||||||
Percentage of Total Interest Income from Advances | 15.00% | |||||||||||
Bank of the West [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 6,791 | $ 5,484 | ||||||||||
Percentage of Total Advances Outstanding | 13.00% | 14.00% | ||||||||||
Interest Income from Advances | [1] | $ 27 | $ 29 | |||||||||
Percentage of Total Interest Income from Advances | 7.00% | 7.00% | ||||||||||
First Republic Bank [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 4,000 | $ 5,275 | ||||||||||
Percentage of Total Advances Outstanding | 8.00% | 13.00% | ||||||||||
Interest Income from Advances | [1] | $ 75 | $ 86 | |||||||||
Percentage of Total Interest Income from Advances | 19.00% | 20.00% | ||||||||||
CIT Bank, N.A. (formerly OneWest Bank, N.A.) [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | [4] | $ 3,113 | $ 3,364 | |||||||||
Percentage of Total Advances Outstanding | [4] | 6.00% | 9.00% | |||||||||
Interest Income from Advances | [1],[4] | $ 19 | $ 28 | |||||||||
Percentage of Total Interest Income from Advances | [4] | 5.00% | 6.00% | |||||||||
Citibank N.A. [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | [3] | $ 3,000 | ||||||||||
Percentage of Total Advances Outstanding | [3] | 6.00% | ||||||||||
Interest Income from Advances | [1],[3] | $ 5 | ||||||||||
Percentage of Total Interest Income from Advances | [3] | 1.00% | ||||||||||
Banamex USA [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 0 | |||||||||||
Percentage of Total Advances Outstanding | 0.00% | |||||||||||
Interest Income from Advances | [1] | $ 0 | ||||||||||
Percentage of Total Interest Income from Advances | 0.00% | |||||||||||
Citigroup Inc. [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 3,000 | |||||||||||
Percentage of Total Advances Outstanding | 6.00% | |||||||||||
Interest Income from Advances | [1] | $ 5 | ||||||||||
Percentage of Total Interest Income from Advances | 1.00% | |||||||||||
Bank of America California N A [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 3,500 | |||||||||||
Percentage of Total Advances Outstanding | 9.00% | |||||||||||
Interest Income from Advances | [1] | $ 18 | ||||||||||
Percentage of Total Interest Income from Advances | 4.00% | |||||||||||
Subtotal | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 31,717 | $ 21,442 | ||||||||||
Percentage of Total Advances Outstanding | 62.00% | 55.00% | ||||||||||
Interest Income from Advances | [1] | $ 191 | $ 222 | |||||||||
Percentage of Total Interest Income from Advances | 48.00% | 52.00% | ||||||||||
Other Borrowers [Member] | ||||||||||||
Advances [Line Items] | ||||||||||||
Advances Outstanding | $ 19,124 | $ 17,388 | ||||||||||
Percentage of Total Advances Outstanding | 38.00% | 45.00% | ||||||||||
Interest Income from Advances | [1] | $ 207 | $ 209 | |||||||||
Percentage of Total Interest Income from Advances | 52.00% | 48.00% | ||||||||||
|
Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Prepayment Fees, Net [Abstract] | |||
Prepayment Fees Received | $ 28 | $ 16 | $ 14 |
Fair Value Adjustments | (20) | (10) | (9) |
Net | 8 | 6 | 5 |
Advance Principal Prepaid | 2,229 | 1,650 | $ 365 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||
Fixed Rate, due within 1 year | 13,073 | 15,422 | |
Fixed Rate, due after 1 year | 9,381 | 12,330 | |
Advances, Total Fixed Rate | 22,454 | 27,752 | |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||
Adjustable Rate, due within 1 year | 11,734 | 5,906 | |
Adjustable Rate, due after 1 year | 16,653 | 5,172 | |
Advances, Total Adjustable Rate | 28,387 | 11,078 | |
Total par amount | $ 50,841 | $ 38,830 |
Mortgage Loans Held for Portfolio (Details) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015
USD ($)
Institutions
|
Dec. 31, 2014
USD ($)
|
Dec. 31, 2013
USD ($)
|
|
Mortgage Loans on Real Estate [Line Items] | |||
Credit Enhancement Fees | $ 1 | $ 1 | |
Number of Institutions Participating in Renewed MPF Program | Institutions | 10 | ||
Unpaid principal balance | $ 653 | 713 | |
Unamortized premiums | 10 | 6 | |
Unamortized discounts | (8) | (10) | |
Mortgage loans held for portfolio | 655 | 709 | |
Less: Allowance for credit losses | 0 | (1) | |
Total mortgage loans held for portfolio, net | $ 655 | 708 | |
Fixed rate medium-term mortgage loans [Member] | Maximum [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | ||
Fixed rate long-term mortgage loans [Member] | Minimum [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Mortgage Loans on Real Estate, Original Contractual Terms | 15 years | ||
Conventional Mortgage Loan [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 653 | 713 | |
Single Family [Member] | Fixed rate medium-term mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | 100 | 160 | |
Single Family [Member] | Fixed rate long-term mortgage loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Unpaid principal balance | $ 553 | $ 553 |
Allowance for Credit Losses (Narrative) (Details) $ in Millions |
2 Months Ended | 12 Months Ended | |||
---|---|---|---|---|---|
Feb. 29, 2016
Institutions
|
Dec. 31, 2015
USD ($)
Institutions
|
Dec. 31, 2014
USD ($)
|
Dec. 31, 2013
USD ($)
|
Dec. 31, 2012
USD ($)
|
|
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions | 0 | ||||
Period Loan Receivable Becomes Nonaccrual Status | 90 days | ||||
Period Loan Receivable Evaluated for Charge-Off | 180 days | ||||
Loan to Value Ratio Above Which a Borrower is Required to Obtain Primary Mortgage Insurance | 80.00% | ||||
Allowance for credit losses on mortgage loans | $ 0 | $ 1 | |||
Troubled Debt Restructuring Modification Period | 36 months | ||||
Troubled Debt Restructuring Modification, Housing Expense Ratio, Maximum | 31.00% | ||||
Troubled Debt Restructuring Loan Modification for Principal and Interest Payment Term, Maximum | 40 years | ||||
Troubled Debt Restructuring Loan Modification Interest Rate Reduction Period if Expense Ratio is Not Met | 36 months | ||||
Troubled Debt Restructuring Modification Incremental Interest Decrease Percent | 0.125% | ||||
Troubled Debt Restructuring Modification Interest Decrease Floor, Percent | 3.00% | ||||
MPF Plus Loans, Specifically Identified As Impaired [Member] | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for credit losses on mortgage loans | 1 | ||||
Subsequent Event [Member] | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Number of Member Institutions Placed Into Receivership or Liquidation | Institutions | 0 | ||||
Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Allowance for credit losses on mortgage loans | $ 0 | 1 | $ 2 | $ 3 | |
Nonperforming TDR [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||
Troubled Debt Restructuring, Modifications, Recorded Investment | $ 3 | $ 2 |
Allowance for Credit Losses (Delinquent Mortgage Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
|||||||
---|---|---|---|---|---|---|---|---|---|
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||
Past due | [1] | $ 33 | $ 39 | ||||||
Total current loans | [1] | 625 | 673 | ||||||
Total mortgage loans, gross | [1] | 658 | 712 | ||||||
In process of foreclosure, included above | [1],[2] | 7 | 11 | ||||||
Nonaccrual loans | [1] | 18 | 22 | ||||||
Loans Past Due 90 days or more and still accruing interest | [1] | $ 0 | $ 0 | ||||||
Serious delinquencies as a percentage of total mortgage loans outstanding | [1],[3] | 2.76% | 3.12% | ||||||
30 to 59 Days delinquent [Member] | |||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||
Past due | [1] | $ 10 | $ 12 | ||||||
60 to 89 Days delinquent [Member] | |||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||
Past due | [1] | 5 | 5 | ||||||
90 Days ore more delinquent [Member] | |||||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | |||||||||
Past due | [1] | $ 18 | $ 22 | ||||||
|
Allowance for Credit Losses (Rollforward) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Balance, beginning of the period | $ 1 | ||
Provision for/(reversal of) credit losses on mortgage loans | 1 | $ 0 | $ (1) |
Balance, end of the period | 0 | 1 | |
Conventional Mortgage Loan [Member] | |||
Financing Receivable, Allowance for Credit Losses [Roll Forward] | |||
Balance, beginning of the period | 1 | 2 | 3 |
(Charge-offs)/recoveries | (2) | (1) | 0 |
Provision for/(reversal of) credit losses on mortgage loans | 1 | 0 | (1) |
Balance, end of the period | $ 0 | $ 1 | $ 2 |
Allowance for Credit Losses (By Impairment Methodology) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Dec. 31, 2012 |
||
---|---|---|---|---|---|---|
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Total Allowance for Credit Losses | $ 0 | $ 1 | ||||
Conventional Mortgage Loan [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Individually evaluated for impairment, Allowance for credit losses | 0 | 1 | ||||
Total Allowance for Credit Losses | 0 | 1 | $ 2 | $ 3 | ||
Individually evaluated for impairment, Recorded investment | 14 | 20 | ||||
Collectively evaluated for impairment, Recorded investment | 644 | 692 | ||||
Total mortgage loans, gross | [1] | $ 658 | $ 712 | |||
|
Allowance for Credit Losses (Recorded Investment, Average Recorded Investment, Unpaid Principal Balance and Related Allowance of Impaired Loans) (Details) - Conventional Mortgage Loan [Member] - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Impaired Financing Receivable, Recorded Investment [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Recorded Investment | $ 13 | $ 14 |
Impaired Financing Receivable, with Related Allowance, Recorded Investment | 1 | 6 |
Impaired Financing Receivable, Recorded Investment | 14 | 20 |
Impaired Financing Receivable, Unpaid Principal Balance [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Unpaid Principal Balance | 13 | 14 |
Impaired Financing Receivable, with Related Allowance, Unpaid Principal Balance | 1 | 6 |
Impaired Financing Receivable, Unpaid Principal Balance | 14 | 20 |
Impaired Financing Receivable, Related Allowance | 0 | 1 |
Impaired Financing Receivable, Average Recorded Investment [Abstract] | ||
Impaired Financing Receivable, with No Related Allowance, Average Recorded Investment | 15 | 17 |
Impaired Financing Receivable, with Related Allowance, Average Recorded Investment | 1 | 7 |
Impaired Financing Receivable, Average Recorded Investment | $ 16 | $ 24 |
Deposits (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Deposits [Line Items] | ||
Interest-bearing Deposit Liabilities, Domestic | $ 124 | $ 159 |
Noninterest-bearing Deposits | 3 | 1 |
Deposits | 127 | 160 |
Adjustable rate [Member] | ||
Deposits [Line Items] | ||
Interest-bearing Deposit, Demand and Overnight | $ 124 | $ 159 |
Weighted Average Rate Domestic Deposit | 0.01% | 0.01% |
Consolidated Obligations Narrative (Details) - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Qualifying asset balance requirement | $ 85,542 | $ 79,483 |
Consolidated Obligations, Bonds, Par | 51,692 | 46,723 |
Total consolidated obligations, par | 79,355 | 68,538 |
Derivative, Notional Amount | 79,789 | 62,297 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | 8,005 | 14,158 |
Consolidated obligation bonds [Member] | Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Derivative, Notional Amount | 4,835 | 9,573 |
FHLBanks [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 905,202 | $ 847,175 |
Minimum [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Federal Home Loan Bank, CO Bonds, Maturity period | 6 months | |
Maximum [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Federal Home Loan Bank, CO Bonds, Maturity period | 15 years |
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | $ 51,692 | $ 46,723 |
Consolidated Obligations, Bonds | 51,835 | 47,045 |
Consolidated obligation bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Within 1 year | 29,114 | 21,044 |
After 1 year through 2 years | 11,264 | 9,871 |
After 2 years through 3 years | 5,162 | 4,518 |
After 3 years through 4 years | 1,430 | 2,336 |
After 4 years through 5 years | 1,740 | 3,103 |
After 5 years | 2,982 | 5,851 |
Unamortized premiums | 27 | 58 |
Unamortized discounts | (9) | (13) |
Valuation adjustments for hedging activities | 142 | 308 |
Fair value option valuation adjustments | $ (17) | $ (31) |
Within 1 year, Weighted Average Interest Rate | 1.03% | 0.36% |
After 1 year through 2 years, Weighted Average Interest Rate | 0.91% | 2.43% |
After 2 years through 3 years, Weighted Average Interest Rate | 1.28% | 1.70% |
After 3 years through 4 years, Weighted Average Interest Rate | 1.44% | 1.49% |
After 4 years through 5 years, Weighted Average Interest Rate | 1.67% | 1.71% |
After 5 years, Weighted Average Interest Rate | 2.43% | 2.13% |
Total par amount, Weighted Average Interest Rate | 1.14% | 1.29% |
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | $ 51,692 | $ 46,723 |
Non-callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | 43,687 | 32,565 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | $ 8,005 | $ 14,158 |
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | $ 51,692 | $ 46,723 |
Consolidated obligation bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Within 1 year | 29,114 | 21,044 |
After 1 year through 2 years | 11,264 | 9,871 |
After 2 years through 3 years | 5,162 | 4,518 |
After 3 years through 4 years | 1,430 | 2,336 |
After 4 years through 5 years | 1,740 | 3,103 |
After 5 years | 2,982 | 5,851 |
Consolidated obligation bonds [Member] | Earlier of Contractual Maturity or Next Call Date [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Within 1 year | 36,469 | 33,558 |
After 1 year through 2 years | 10,914 | 9,156 |
After 2 years through 3 years | 3,282 | 2,043 |
After 3 years through 4 years | 455 | 1,010 |
After 4 years through 5 years | 395 | 385 |
After 5 years | $ 177 | $ 571 |
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
||
---|---|---|---|---|
Short-term Debt [Line Items] | ||||
Consolidated Obligations, Discount Notes, Par | $ 27,663 | $ 21,815 | ||
Consolidated Obligations, Discount Notes | 27,648 | 21,811 | ||
Consolidated Obligation, Discount Notes [Member] | ||||
Short-term Debt [Line Items] | ||||
Unamortized discounts | $ (15) | $ (4) | ||
Par amount, Weighted Average Interest Rate | [1] | 0.25% | 0.09% | |
|
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | $ 51,692 | $ 46,723 |
Consolidated Obligations, Discount Notes, Par | 27,663 | 21,815 |
Total consolidated obligations, par | 79,355 | 68,538 |
Fixed rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | 28,942 | 39,324 |
Adjustable rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | 20,815 | 3,678 |
Step-up [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | 1,110 | 2,654 |
Step-down [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | 550 | 500 |
Fixed rate that converts to adjustable rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | 175 | 467 |
Range Bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Consolidated Obligations, Bonds, Par | $ 100 | $ 100 |
Affordable Housing Program Narrative (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Federal Home Loan Banks [Abstract] | |||
AHP, Contribution Requirement, Amount | $ 100 | ||
AHP, Contribution Requirement, Percentage | 10.00% | ||
Affordable Housing Program Assessment | $ 78 | $ 36 | $ 52 |
Affordable Housing Program Schedule of Change in AHP Liability (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Affordable Housing Program [Roll Forward] | |||
AHP Obligation, beginning of the period | $ 147 | $ 151 | $ 144 |
AHP Assessment | 78 | 36 | 52 |
AHP Grant Payments | (53) | (40) | (45) |
AHP Obligation, end of the period | $ 172 | $ 147 | $ 151 |
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
AOCI Balance, beginning of period | $ 56 | ||
Net change in pension and postretirement benefits | (2) | $ (5) | $ 5 |
Non-credit related OTTI loss, Total | (16) | (10) | (7) |
Non-credit-related OTTI loss transferred from HTM securities | (1) | 0 | (4) |
Non-credit related OTTI loss transferred to AFS | 1 | 0 | 4 |
Net change in fair value | (29) | 209 | 644 |
Accretion of Noncredit Related OTTI Loss | 6 | 7 | 7 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | |||
AOCI Balance, end of period | 15 | 56 | |
Accumulated Other-than-Temporary Impairment [Member] | Available-for-sale Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
AOCI Balance, beginning of period | 88 | (111) | (748) |
Non-credit-related OTTI loss, Available-for-sale Securities | (18) | (10) | (3) |
Non-credit-related OTTI loss transferred from HTM securities | (1) | (4) | |
Net change in fair value | (29) | 209 | 644 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | |||
Non-credit-related OTTI to credit-related OTTI, AFS | 3 | ||
Net current period other comprehensive income/(loss) | (45) | 199 | 637 |
AOCI Balance, end of period | 43 | 88 | (111) |
Accumulated Other-than-Temporary Impairment [Member] | Held-to-maturity Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
AOCI Balance, beginning of period | (20) | (27) | (34) |
Non-credit-related OTTI loss, Held-to-maturity Securities | (1) | 0 | (4) |
Non-credit related OTTI loss transferred to AFS | 1 | 4 | |
Accretion of Noncredit Related OTTI Loss | 6 | 7 | 7 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | |||
Non-credit-related OTTI to credit-related OTTI, HTM | 0 | 0 | |
Net current period other comprehensive income/(loss) | 6 | 7 | 7 |
AOCI Balance, end of period | (14) | (20) | (27) |
Accumulated Defined Benefit Plans Adjustment [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
AOCI Balance, beginning of period | (12) | (7) | (12) |
Net change in pension and postretirement benefits | (2) | (5) | 5 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | |||
Net current period other comprehensive income/(loss) | (2) | (5) | 5 |
AOCI Balance, end of period | (14) | (12) | (7) |
Accumulated Other Comprehensive Income/(Loss) [Member] | |||
Accumulated Other Comprehensive Income (Loss) [Line Items] | |||
AOCI Balance, beginning of period | 56 | (145) | (794) |
Net change in pension and postretirement benefits | (2) | (5) | 5 |
Non-credit-related OTTI loss, Available-for-sale Securities | (3) | ||
Non-credit-related OTTI loss, Held-to-maturity Securities | (4) | ||
Non-credit related OTTI loss, Total | (19) | (10) | |
Non-credit-related OTTI loss transferred from HTM securities | 0 | 0 | |
Net change in fair value | (29) | 209 | 644 |
Accretion of Noncredit Related OTTI Loss | 6 | 7 | 7 |
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | |||
Non-credit-related OTTI to credit-related OTTI, AFS | 3 | ||
Net current period other comprehensive income/(loss) | (41) | 201 | 649 |
AOCI Balance, end of period | $ 15 | $ 56 | $ (145) |
Capital (Capital Requirements) (Details) - USD ($) $ in Millions |
4 Months Ended | 5 Months Ended | 12 Months Ended | |
---|---|---|---|---|
Aug. 02, 2015 |
Dec. 31, 2015 |
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Capital [Line Items] | ||||
Membership Capital Stock Requirement Cap | $ 15 | $ 25 | ||
Risk-Based Capital, Required | $ 2,684 | 2,684 | 3,231 | |
Risk-Based Capital, Actual | 5,369 | 5,369 | 6,356 | |
Regulatory Capital, Required | 3,428 | 3,428 | 3,032 | |
Regulatory Capital, Actual | $ 5,369 | $ 5,369 | $ 6,356 | |
Regulatory Capital Ratio, Required | 4.00% | 4.00% | 4.00% | |
Regulatory Capital Ratio, Actual | 6.26% | 6.26% | 8.38% | |
Leverage Capital, Required | $ 4,285 | $ 4,285 | $ 3,790 | |
Leverage Capital, Actual | $ 8,054 | $ 8,054 | $ 9,534 | |
Leverage ratio - Required | 5.00% | 5.00% | 5.00% | |
Leverage Ratio, Actual | 9.40% | 12.58% | ||
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | 1.5 | ||
Membership Capital Stock Requirement | 1.00% | |||
Minimum [Member] | ||||
Capital [Line Items] | ||||
Membership Capital Stock Requirement Cap | $ 10 | |||
Membership Capital Stock Requirement | 0.50% | |||
Maximum [Member] | ||||
Capital [Line Items] | ||||
Membership Capital Stock Requirement Cap | $ 50 | |||
Membership Capital Stock Requirement | 1.50% | |||
Federal Home Loan Bank Advances [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 3.00% | 2.70% | 4.70% | |
Federal Home Loan Bank Advances [Member] | Minimum [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 2.00% | 4.40% | ||
Federal Home Loan Bank Advances [Member] | Maximum [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 5.00% | 5.00% | ||
Mortgage Loans on Real Estate [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 3.00% | 0.00% | 5.00% | |
Mortgage Loans on Real Estate [Member] | Minimum [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 0.00% | 5.00% | ||
Mortgage Loans on Real Estate [Member] | Maximum [Member] | ||||
Capital [Line Items] | ||||
Membership Activity-based Stock Requirement | 5.00% | 5.70% |
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Dec. 31, 2015
USD ($)
Institutions
|
Dec. 31, 2014
USD ($)
Institutions
|
Dec. 31, 2013
USD ($)
|
||||||
Capital [Line Items] | ||||||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 9 | 32 | ||||||
Interest Expense on Mandatorily Redeemable Capital Stock | [1] | $ 65 | $ 120 | $ 155 | ||||
MBS Investment Authority | 300.00% | |||||||
Unsecured Credit Exposure to other GSE | 100.00% | |||||||
Mandatorily Redeemable Capital Stock [Roll Forward] | ||||||||
Balance at the beginning of the period | $ 719 | 2,071 | 4,343 | |||||
Reclassified from/(to) capital during the period | [2] | 415 | 3 | 4 | ||||
Redemption of mandatorily redeemable capital stock | (53) | (296) | (502) | |||||
Repurchase of excess mandatorily redeemable capital stock | (593) | (1,059) | (1,774) | |||||
Balance at the end of the period | 488 | $ 719 | $ 2,071 | |||||
JPMorgan Chase Bank National Association [Member] | ||||||||
Mandatorily Redeemable Capital Stock [Roll Forward] | ||||||||
Reclassified from/(to) capital during the period | $ 403 | |||||||
|
Capital (By Redemption Period) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Dec. 31, 2012 |
||
---|---|---|---|---|---|---|
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||||
Within 1 year | $ 82 | $ 51 | ||||
After 1 year through 2 years | 1 | 582 | ||||
After 2 years through 3 years | 0 | 9 | ||||
After 3 years through 4 years | 0 | 1 | ||||
After 4 years through 5 years | 381 | 2 | ||||
Past Contractual Redemption Date Because of Remaining Activity | [1] | 24 | 74 | |||
Total | $ 488 | $ 719 | $ 2,071 | $ 4,343 | ||
|
Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions |
12 Months Ended | |||||||
---|---|---|---|---|---|---|---|---|
Mar. 17, 2016 |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Feb. 18, 2016 |
Dec. 31, 2012 |
|||
Capital [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | $ 4,896 | $ 5,693 | $ 5,709 | $ 5,613 | ||||
Net Income/(Loss) | $ 638 | $ 205 | $ 308 | |||||
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70% | 70.00% | |||||||
Ratio of Market Value of Capital to Par Value of Capital Stock | 200.00% | |||||||
Dividends, Cash, Annualized Rate | 12.39% | 7.02% | 3.99% | |||||
Payments of Dividends | $ 434 | $ 360 | ||||||
Cash dividends paid on capital stock | (369) | (240) | $ (161) | |||||
Mandatorily redeemable capital stock | [1] | $ 65 | 120 | 155 | ||||
Joint Capital Enhancement Agreement Percentage | 20.00% | |||||||
Restricted Retained Earnings for Loss Protection and Capital Compliance, set by the Board | $ 2,000 | |||||||
Restricted Retained Earnings for Loss Protection and Capital Compliance | 2,008 | |||||||
Restricted Retained Earnings Activity [Roll Forward] | ||||||||
Balance at beginning of the period | 2,065 | |||||||
Transfers from restricted retained earnings | 0 | |||||||
Balance at end of the period | 2,018 | 2,065 | ||||||
Retained Earnings, Unappropriated [Member] | ||||||||
Capital [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 610 | 294 | 317 | 246 | ||||
Net Income/(Loss) | 535 | 217 | ||||||
Cash dividends paid on capital stock | (369) | (240) | (161) | |||||
Restricted Retained Earnings Activity [Roll Forward] | ||||||||
Transfers from restricted retained earnings | 150 | |||||||
Restricted [Member] | ||||||||
Capital [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 2,018 | 2,065 | 2,077 | 2,001 | ||||
Net Income/(Loss) | 103 | (12) | ||||||
Cash dividends paid on capital stock | 0 | 0 | ||||||
Restricted Retained Earnings Activity [Roll Forward] | ||||||||
Balance at beginning of the period | 2,065 | 2,077 | ||||||
Transfers from restricted retained earnings | (150) | |||||||
Balance at end of the period | 2,018 | 2,065 | 2,077 | |||||
Retained Earnings [Member] | ||||||||
Capital [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 2,628 | 2,359 | 2,394 | $ 2,247 | ||||
Net Income/(Loss) | 638 | 205 | ||||||
Cash dividends paid on capital stock | (369) | (240) | (161) | |||||
Restricted Retained Earnings Activity [Roll Forward] | ||||||||
Transfers from restricted retained earnings | 0 | |||||||
Retained Earnings, Appropriated, Valuation Adjustments [Member] | ||||||||
Capital [Line Items] | ||||||||
Net Income/(Loss) | (25) | (53) | ||||||
Cash dividends paid on capital stock | 0 | 0 | ||||||
Restricted Retained Earnings Activity [Roll Forward] | ||||||||
Balance at beginning of the period | 35 | 88 | ||||||
Transfers from restricted retained earnings | 0 | |||||||
Balance at end of the period | 10 | 35 | 88 | |||||
Retained Earnings, Appropriated, Buildup [Member] | ||||||||
Capital [Line Items] | ||||||||
Net Income/(Loss) | 0 | 0 | ||||||
Cash dividends paid on capital stock | 0 | 0 | ||||||
Restricted Retained Earnings Activity [Roll Forward] | ||||||||
Balance at beginning of the period | 1,800 | 1,800 | ||||||
Transfers from restricted retained earnings | (150) | |||||||
Balance at end of the period | 1,650 | 1,800 | 1,800 | |||||
Retained Earnings, Appropriated, Joint Capital Enhancement Agreement [Member] | ||||||||
Capital [Line Items] | ||||||||
Net Income/(Loss) | 128 | 41 | ||||||
Cash dividends paid on capital stock | 0 | 0 | ||||||
Restricted Retained Earnings Activity [Roll Forward] | ||||||||
Balance at beginning of the period | 230 | 189 | ||||||
Transfers from restricted retained earnings | 0 | |||||||
Balance at end of the period | $ 358 | $ 230 | $ 189 | |||||
Minimum [Member] | ||||||||
Capital [Line Items] | ||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 70.00% | |||||||
Percent of Average Balance of Outstanding Consolidated Obligations Prescribed per the Joint Capital Enhancement Agreement For Each Previous Quarter | 1.00% | |||||||
Maximum [Member] | ||||||||
Capital [Line Items] | ||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 100.00% | |||||||
Subsequent Event [Member] | ||||||||
Subsequent Events [Abstract] | ||||||||
Dividends, Cash Declared, Annualized Rate | 7.99% | |||||||
Interest and Dividends Payable, Current | $ 55 | |||||||
Dividends Payable, Amount | 45 | |||||||
Interest Payable, Current | $ 10 | |||||||
Dividends Payable, Date to be Paid | Mar. 17, 2016 | |||||||
Special Dividend in Cash [Member] | ||||||||
Capital [Line Items] | ||||||||
Payments of Dividends | $ 145 | |||||||
Special Dividend in Cash [Member] | Retained Earnings, Unappropriated [Member] | ||||||||
Capital [Line Items] | ||||||||
Cash dividends paid on capital stock | (120) | |||||||
Mandatorily redeemable capital stock | $ 25 | |||||||
|
Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions |
12 Months Ended | |||
---|---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Feb. 19, 2016 |
|
Capital [Line Items] | ||||
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period | $ 2,032 | $ 2,000 | ||
Surplus Capital Stock Threshold Percentage, Amount Over Minimum Capital Stock Requirement | 115.00% | |||
Financial Instruments Subject to Mandatory Redemption, Redemption | $ 53 | 296 | $ 502 | |
Common stock, par value | $ 100 | |||
Excess Capital | $ 402 | $ 1,118 | ||
Excess Capital Stock and Excess Mandatorily Redeemable Capital Stock, Redemption, Period of Written Notice | 15 days | |||
Mandatorily Redeemable Capital Stock, Redemption Period | 5 years | |||
Excess Capital to Assets | 0.47% | |||
Subsequent Event [Member] | ||||
Subsequent Events [Abstract] | ||||
Surplus and Excess Capital Stock Repurchased, Percentage | 100.00% | |||
Minimum [Member] | ||||
Capital [Line Items] | ||||
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent | 1.00% |
Capital (Concentration) (Details) - USD ($) $ in Millions |
12 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | $ 2,741 | $ 3,997 | ||||||||
Concentration of total capital stock outstanding | 100.00% | 100.00% | ||||||||
Reclassified from/(to) capital during the period | [1] | $ 415 | $ 3 | $ 4 | ||||||
JPMorgan Chase Bank National Association [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Reclassified from/(to) capital during the period | $ 403 | |||||||||
Capital Stock Ownership By Third Party [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Concentration Risk Benchmark, Percent | 10.00% | |||||||||
Capital Stock Ownership By Third Party [Member] | JPMorgan Bank And Trust Company National Association [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | $ 0 | $ 268 | ||||||||
Concentration of total capital stock outstanding | 0.00% | 7.00% | ||||||||
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase Bank National Association [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | [2],[3] | $ 400 | $ 68 | |||||||
Concentration of total capital stock outstanding | [2],[3] | 15.00% | 2.00% | |||||||
Capital Stock Ownership By Third Party [Member] | JPMorgan Chase And Co [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | $ 400 | $ 336 | ||||||||
Concentration of total capital stock outstanding | 15.00% | 9.00% | ||||||||
Capital Stock Ownership By Third Party [Member] | Citibank N.A. [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | [3] | $ 81 | $ 577 | |||||||
Concentration of total capital stock outstanding | [3] | 3.00% | 14.00% | |||||||
Capital Stock Ownership By Third Party [Member] | Banamex USA [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | $ 4 | $ 2 | ||||||||
Concentration of total capital stock outstanding | 0.00% | 0.00% | ||||||||
Capital Stock Ownership By Third Party [Member] | Citigroup Inc. [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | $ 85 | $ 579 | ||||||||
Concentration of total capital stock outstanding | 3.00% | 14.00% | ||||||||
Capital Stock Ownership By Third Party [Member] | Subtotal [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | $ 485 | $ 915 | ||||||||
Concentration of total capital stock outstanding | 18.00% | 23.00% | ||||||||
Capital Stock Ownership By Third Party [Member] | Third Party, All Others [Member] | ||||||||||
Concentration Risk [Line Items] | ||||||||||
Capital Stock Outstanding | $ 2,256 | $ 3,082 | ||||||||
Concentration of total capital stock outstanding | 82.00% | 77.00% | ||||||||
|
Employee Retirement Plans and Incentive Compensation Plans (Changes in Benefit Obligation and Plan Assets) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Cash Balance Plan | |||
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward] | |||
Benefit obligation, beginning of the year | $ 43 | $ 37 | |
Service cost | 3 | 2 | $ 3 |
Interest cost | 2 | 2 | 1 |
Actuarial gain/(loss) | (1) | 3 | |
Benefits paid | (1) | (1) | |
Benefit obligation, end of the year | 46 | 43 | 37 |
Defined Benefit Plan, Change in Fair Value of Plan Assets [Roll Forward] | |||
Fair value of plan assets, beginning of the year | 41 | 38 | |
Actual return on plan assets | (1) | 2 | |
Employer contributions | 4 | 2 | |
Benefits paid | (1) | (1) | |
Fair value of plan assets, end of the year | 43 | 41 | 38 |
Funded status at the end of the year | (3) | (2) | |
Non-Qualified Defined Benefit Plans | |||
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward] | |||
Benefit obligation, beginning of the year | 23 | 21 | |
Service cost | 1 | 1 | 2 |
Interest cost | 1 | 1 | 1 |
Actuarial gain/(loss) | (1) | 0 | |
Benefits paid | 0 | 0 | |
Benefit obligation, end of the year | 24 | 23 | 21 |
Defined Benefit Plan, Change in Fair Value of Plan Assets [Roll Forward] | |||
Fair value of plan assets, beginning of the year | 0 | 0 | |
Actual return on plan assets | 0 | 0 | |
Employer contributions | 0 | 0 | |
Benefits paid | 0 | 0 | |
Fair value of plan assets, end of the year | 0 | 0 | 0 |
Funded status at the end of the year | (24) | (23) | |
Post-retirement Health Benefit Plan | |||
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward] | |||
Benefit obligation, beginning of the year | 2 | 2 | |
Service cost | 0 | 0 | 0 |
Interest cost | 0 | 0 | 0 |
Actuarial gain/(loss) | 0 | 0 | |
Benefits paid | 0 | 0 | |
Benefit obligation, end of the year | 2 | 2 | 2 |
Defined Benefit Plan, Change in Fair Value of Plan Assets [Roll Forward] | |||
Fair value of plan assets, beginning of the year | 0 | 0 | |
Actual return on plan assets | 0 | 0 | |
Employer contributions | 0 | 0 | |
Benefits paid | 0 | 0 | |
Fair value of plan assets, end of the year | 0 | 0 | $ 0 |
Funded status at the end of the year | $ (2) | $ (2) |
Employee Retirement Plans and Incentive Compensation Plans (Amounts recognized in Statements of Condition) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Other liabilities - accrued benefit liability | $ (3) | $ (2) |
Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Other liabilities - accrued benefit liability | (24) | (23) |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Other liabilities - accrued benefit liability | $ (2) | $ (2) |
Employee Retirement Plans and Incentive Compensation Plans (Amounts recognized in AOCI) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net loss/(gain) | $ 12 | $ 9 |
Prior Service Cost | 0 | 0 |
AOCI | 12 | 9 |
Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net loss/(gain) | 3 | 4 |
Prior Service Cost | 0 | 1 |
AOCI | 3 | 5 |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Net loss/(gain) | (1) | (2) |
Prior Service Cost | 0 | 0 |
AOCI | $ (1) | $ (2) |
Employee Retirement Plans and Incentive Compensation Plans (Benefit Obligations in Excess of Plan Assets) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
---|---|---|---|
Cash Balance Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Projected benefit obligation, Pension Plans with ABO in excess of Plan assets | $ 46 | $ 43 | |
Accumulated benefit obligation, Pension Plans with ABO in excess of Plan Assets | 44 | 41 | |
Fair value of plan assets | 43 | 41 | $ 38 |
Non-Qualified Defined Benefit Plans | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Projected benefit obligation, Pension Plans with ABO in excess of Plan assets | 24 | 23 | |
Accumulated benefit obligation, Pension Plans with ABO in excess of Plan Assets | 24 | 22 | |
Fair value of plan assets | 0 | 0 | 0 |
Post-retirement Health Benefit Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Projected benefit obligation, Pension Plans with ABO in excess of Plan assets | 2 | 2 | |
Accumulated benefit obligation, Pension Plans with ABO in excess of Plan Assets | 2 | 2 | |
Fair value of plan assets | $ 0 | $ 0 | $ 0 |
Employee Retirement Plans and Incentive Compensation Plans (Components of Net Periodic Benefit Costs) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Defined Benefit Plan Disclosure [Line Items] | |||
Amortization of net loss/(gain) | $ 0 | ||
Amortization of net loss/(gain) | 0 | ||
Total recognized in other comprehensive income | $ 2 | $ 5 | (5) |
Cash Balance Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Service cost | 3 | 2 | 3 |
Interest cost | 2 | 2 | 1 |
Expected return on plan assets | (3) | (3) | (3) |
Amortization of net loss/(gain) | 0 | 0 | 1 |
Net periodic benefit cost | 2 | 1 | 2 |
Net loss/(gain) | 3 | 4 | (5) |
Prior Service Cost | 0 | 0 | 0 |
Amortization of net loss/(gain) | 0 | 0 | (1) |
Total recognized in other comprehensive income | 3 | 4 | (5) |
Total recognized in net periodic benefit cost and other comprehensive income | 5 | 5 | (3) |
Non-Qualified Defined Benefit Plans | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Service cost | 1 | 1 | 2 |
Interest cost | 1 | 1 | 1 |
Expected return on plan assets | 0 | 0 | 0 |
Amortization of net loss/(gain) | 1 | 0 | 0 |
Net periodic benefit cost | 3 | 2 | 3 |
Net loss/(gain) | (1) | 1 | 0 |
Prior Service Cost | 0 | 0 | 1 |
Amortization of net loss/(gain) | (1) | 0 | 0 |
Total recognized in other comprehensive income | (2) | 1 | 1 |
Total recognized in net periodic benefit cost and other comprehensive income | 1 | 3 | 4 |
Post-retirement Health Benefit Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Service cost | 0 | 0 | 0 |
Interest cost | 0 | 0 | 0 |
Expected return on plan assets | 0 | 0 | 0 |
Amortization of net loss/(gain) | (1) | 0 | 0 |
Net periodic benefit cost | (1) | 0 | 0 |
Net loss/(gain) | 0 | 0 | (1) |
Prior Service Cost | 0 | 0 | 0 |
Amortization of net loss/(gain) | 1 | 0 | 0 |
Total recognized in other comprehensive income | 1 | 0 | (1) |
Total recognized in net periodic benefit cost and other comprehensive income | $ 0 | $ 0 | $ (1) |
Employee Retirement Plans and Incentive Compensation Plans Amounts in AOCI expected to be Amortized for next year (Details) $ in Millions |
12 Months Ended |
---|---|
Dec. 31, 2015
USD ($)
| |
Cash Balance Plan | |
Defined Benefit Plan Disclosure [Line Items] | |
Defined Benefit Plan, Future Amortization of Gain (Loss) | $ 1 |
Non-Qualified Defined Benefit Plans | |
Defined Benefit Plan Disclosure [Line Items] | |
Defined Benefit Plan, Future Amortization of Gain (Loss) | 0 |
Post-retirement Health Benefit Plan | |
Defined Benefit Plan Disclosure [Line Items] | |
Defined Benefit Plan, Future Amortization of Gain (Loss) | $ 0 |
Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Assumptions in Determining Benefit Obligations) (Details) |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Discount rate | 3.75% | 3.50% |
Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Discount rate | 3.75% | 3.50% |
Post-retirement Health Benefit Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Discount rate | 4.00% | 3.75% |
Rate of salary increase | 0.00% | 0.00% |
Through 2015 | Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Rate of salary increase | 3.00% | 3.00% |
Through 2015 | Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Rate of salary increase | 3.00% | 3.00% |
Thereafter | Cash Balance Plan | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Rate of salary increase | 4.00% | 4.00% |
Thereafter | Non-Qualified Defined Benefit Plans | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Rate of salary increase | 4.00% | 4.00% |
Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Assumptions in Determining Net Periodic Benefit Cost) (Details) |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Cash Balance Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Discount rate | 3.50% | 4.25% | 3.25% |
Expected return on plan assets | 8.00% | 8.00% | 8.00% |
Non-Qualified Defined Benefit Plans | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Discount rate | 3.50% | 4.25% | 3.25% |
Expected return on plan assets | 0.00% | 0.00% | 0.00% |
Post-retirement Health Benefit Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Discount rate | 3.75% | 4.75% | 3.75% |
Rate of salary increase | 0.00% | 0.00% | 0.00% |
Expected return on plan assets | 0.00% | 0.00% | 0.00% |
Through 2015 | Cash Balance Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Rate of salary increase | 3.00% | 3.00% | 3.00% |
Through 2015 | Non-Qualified Defined Benefit Plans | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Rate of salary increase | 3.00% | 3.00% | 3.00% |
Thereafter | Cash Balance Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Rate of salary increase | 4.00% | 4.00% | 4.00% |
Thereafter | Non-Qualified Defined Benefit Plans | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Rate of salary increase | 4.00% | 4.00% | 4.00% |
Employee Retirement Plans and Incentive Compensation Plans (Fair Value of Cash Balance Plan) (Details) - Cash Balance Plan - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
---|---|---|---|
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | $ 43 | $ 41 | $ 38 |
Fair Value, Inputs, Level 1 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 43 | 41 | |
Fair Value, Inputs, Level 2 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Cash and cash equivalents | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 2 | 1 | |
Cash and cash equivalents | Fair Value, Inputs, Level 1 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 2 | 1 | |
Cash and cash equivalents | Fair Value, Inputs, Level 2 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Cash and cash equivalents | Fair Value, Inputs, Level 3 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Equity mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 24 | 25 | |
Equity mutual funds | Fair Value, Inputs, Level 1 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 24 | 25 | |
Equity mutual funds | Fair Value, Inputs, Level 2 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Equity mutual funds | Fair Value, Inputs, Level 3 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Fixed income mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 14 | 13 | |
Fixed income mutual funds | Fair Value, Inputs, Level 1 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 14 | 13 | |
Fixed income mutual funds | Fair Value, Inputs, Level 2 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Fixed income mutual funds | Fair Value, Inputs, Level 3 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Real estate mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 2 | 1 | |
Real estate mutual funds | Fair Value, Inputs, Level 1 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 2 | 1 | |
Real estate mutual funds | Fair Value, Inputs, Level 2 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Real estate mutual funds | Fair Value, Inputs, Level 3 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Other mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 1 | 1 | |
Other mutual funds | Fair Value, Inputs, Level 1 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 1 | 1 | |
Other mutual funds | Fair Value, Inputs, Level 2 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | 0 | 0 | |
Other mutual funds | Fair Value, Inputs, Level 3 [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Fair value of plan assets | $ 0 | $ 0 |
Employee Retirement Plans and Incentive Compensation Plans (Weighted-Average Asset Allocation of Cash Balance Plan) (Details) - Cash Balance Plan |
Dec. 31, 2015 |
Dec. 31, 2014 |
---|---|---|
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Actual Plan Asset Allocations | 100.00% | 100.00% |
Cash and cash equivalents | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Actual Plan Asset Allocations | 6.00% | 4.00% |
Equity mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Actual Plan Asset Allocations | 56.00% | 61.00% |
Fixed income mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Actual Plan Asset Allocations | 32.00% | 31.00% |
Real estate mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Actual Plan Asset Allocations | 4.00% | 2.00% |
Other mutual funds | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Actual Plan Asset Allocations | 2.00% | 2.00% |
Employee Retirement Plans and Incentive Compensation Plans (Future benefit payments) (Details) $ in Millions |
Dec. 31, 2015
USD ($)
|
---|---|
Cash Balance Plan | |
Defined Benefit Plan Disclosure [Line Items] | |
2016 | $ 4 |
2017 | 3 |
2018 | 3 |
2019 | 4 |
2020 | 4 |
2021 - 2025 | 22 |
Non-Qualified Defined Benefit Plans | |
Defined Benefit Plan Disclosure [Line Items] | |
2016 | 6 |
2017 | 1 |
2018 | 4 |
2019 | 1 |
2020 | 1 |
2021 - 2025 | 16 |
Post-retirement Health Benefit Plan | |
Defined Benefit Plan Disclosure [Line Items] | |
2016 | 0 |
2017 | 0 |
2018 | 0 |
2019 | 0 |
2020 | 0 |
2021 - 2025 | $ 1 |
Employee Retirement Plans and Incentive Compensation Plans (Narrative) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Contribution Plan, Maximum Annual Contributions per Employee, Percent | 20.00% | ||
Defined Contribution Plan, Employer Matching Contribution, Percent of Employees' Gross Pay | 6.00% | ||
Defined Contribution Plan, Cost Recognized | $ 2 | $ 2 | $ 2 |
Deferred Compensation Arrangement with Individual, Recorded Liability | 35 | 33 | $ 30 |
Defined Contribution Plan, Employer Discretionary Contribution Amount Liability | $ 12 | 12 | |
Cash Balance Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
CBP Eligibility Required Service Period | 6 months | ||
Cash Balance Plan Defined Benefit Accrual Percentage | 6.00% | ||
Cash Balance Plan Defined Benefit Interest | 6.00% | ||
Employer contributions | $ 4 | 2 | |
Cash Balance Plan, Expected Future Employer Contributions, Next Twelve Months | 2 | ||
Defined Benefit Plan, Expected Future Benefit Payments, Next Twelve Months | $ 4 | ||
Non-Qualified Defined Benefit Plan - SERP | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Supplemental Executive Retirement Plan Defined Benefit Interest | 6.00% | ||
Non-Qualified Defined Benefit Plans and Postretirement Health Benefit | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Employer contributions | $ 0 | $ 0 | |
Defined Benefit Plan, Expected Future Benefit Payments, Next Twelve Months | $ 6 | ||
Equity mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Target Plan Asset Allocations | 60.00% | ||
Real estate mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Target Plan Asset Allocations | 10.00% | ||
Fixed income mutual funds | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Target Plan Asset Allocations | 30.00% |
Segment Information (Details) $ in Millions |
12 Months Ended | |||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Dec. 31, 2015
USD ($)
segment
|
Dec. 31, 2014
USD ($)
|
Dec. 31, 2013
USD ($)
|
||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Total accretion or amortization | $ 82 | $ 66 | $ 20 | |||||||||
Number of Operating Segments | segment | 2 | |||||||||||
Adjusted Net Interest Income | $ 506 | 576 | 624 | |||||||||
Amortization of Basis Adjustments | [1] | (17) | (19) | (48) | ||||||||
Income/ (Expense) on Economic Hedges | [2] | (18) | (64) | 34 | ||||||||
Interest Expense on Mandatorily Redeemable Capital Stock | [3] | 65 | 120 | 155 | ||||||||
Net Interest Income After Mortgage Loan Loss Provision | 476 | 539 | 483 | |||||||||
Other Income/(Loss) | 388 | (154) | 5 | |||||||||
Other Expense | 148 | 144 | 128 | |||||||||
Income Before AHP Assessments | 716 | 241 | 360 | |||||||||
Net OTTI loss, credit-related | (15) | (4) | (7) | |||||||||
Assets | 85,707 | 75,807 | 85,774 | |||||||||
Advances-Related Business [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Adjusted Net Interest Income | 155 | 166 | 175 | |||||||||
Assets | 69,051 | 55,424 | 62,297 | |||||||||
Mortgage-Related Business [Member] | ||||||||||||
Segment Reporting Information [Line Items] | ||||||||||||
Adjusted Net Interest Income | [4] | 351 | 410 | 449 | ||||||||
Assets | $ 16,656 | $ 20,383 | $ 23,477 | |||||||||
|
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Millions |
12 Months Ended | |
---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
|
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 79,789 | $ 62,297 |
Derivative, Net Liability Position, Aggregate Fair Value | 35 | |
Collateral Already Posted, Aggregate Fair Value | 31 | |
Additional Collateral, Aggregate Fair Value | 2 | |
Derivatives With Intermediary Transactions and Offsetting Derivatives [Member] | ||
Derivative [Line Items] | ||
Derivative, Notional Amount | $ 132 | $ 0 |
Maximum [Member] | ||
Derivative [Line Items] | ||
Advances, Maturity Term | 30 years |
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
|||
---|---|---|---|---|---|
Derivatives, Fair Value [Line Items] | |||||
Derivative, Notional Amount | $ 79,789 | $ 62,297 | |||
Derivative Asset, Fair Value, Gross Asset | 256 | 455 | |||
Derivative Asset, Total collateral and netting adjustments | [1] | (212) | (396) | ||
Derivative Assets as reported on the Statements of Condition | 44 | 59 | |||
Derivative Liability, Fair Value, Gross Liability | 143 | 233 | |||
Derivative Liability, Total collateral and netting adjustments | [1] | (137) | (213) | ||
Derivative Liabilities as reported on the Statements of Condition | 6 | 20 | |||
Cash collateral posted | 132 | 248 | |||
Cash collateral posted and related accrued interest | 57 | 65 | |||
Designated as Hedging Instrument [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative, Notional Amount | 27,110 | 28,018 | |||
Derivative Asset, Fair Value, Gross Asset | 192 | 374 | |||
Derivative Liability, Fair Value, Gross Liability | 71 | 103 | |||
Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative, Notional Amount | 27,110 | 28,018 | |||
Derivative Asset, Fair Value, Gross Asset | 192 | 374 | |||
Derivative Liability, Fair Value, Gross Liability | 71 | 103 | |||
Not Designated as Hedging Instrument [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative, Notional Amount | 52,679 | 34,279 | |||
Derivative Asset, Fair Value, Gross Asset | 64 | 81 | |||
Derivative Liability, Fair Value, Gross Liability | 72 | 130 | |||
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative, Notional Amount | 50,444 | 31,973 | |||
Derivative Asset, Fair Value, Gross Asset | 58 | 72 | |||
Derivative Liability, Fair Value, Gross Liability | 71 | 129 | |||
Not Designated as Hedging Instrument [Member] | Interest rate caps and floors [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative, Notional Amount | 2,230 | 2,306 | |||
Derivative Asset, Fair Value, Gross Asset | 6 | 9 | |||
Derivative Liability, Fair Value, Gross Liability | 1 | 1 | |||
Mortgages [Member] | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments [Member] | |||||
Derivatives, Fair Value [Line Items] | |||||
Derivative, Notional Amount | 5 | 0 | |||
Derivative Asset, Fair Value, Gross Asset | 0 | 0 | |||
Derivative Liability, Fair Value, Gross Liability | $ 0 | $ 0 | |||
|
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) related to fair value hedge ineffectiveness | $ (10) | $ (12) | $ (2) |
Total net gain/(loss) related to derivatives not designated as hedging instruments | (6) | (52) | 28 |
Net gain/(loss) on derivatives and hedging activities | (16) | (64) | 26 |
Interest rate swaps [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain (loss) related to fair value hedge ineffectiveness | (10) | (12) | (2) |
Total net gain/(loss) related to derivatives not designated as hedging instruments | 13 | 26 | (8) |
Interest rate caps and floors [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain/(loss) related to derivatives not designated as hedging instruments | (3) | (14) | 2 |
Net settlements [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain/(loss) related to derivatives not designated as hedging instruments | (18) | (64) | 34 |
Mortgages [Member] | Mortgage delivery commitments [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Total net gain/(loss) related to derivatives not designated as hedging instruments | $ 2 | $ 0 | $ 0 |
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions |
12 Months Ended | |||||
---|---|---|---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Gain/(Loss) on Derivatives | $ (151) | $ (166) | $ (195) | |||
Gain/(Loss) on Hedged Item | 141 | 154 | 193 | |||
Net Fair Value Hedge Ineffectiveness | (10) | (12) | (2) | |||
Effect of Derivatives on Net Interest Income | 151 | [1] | 132 | 240 | ||
Advances [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Gain/(Loss) on Derivatives | 19 | 23 | 178 | |||
Gain/(Loss) on Hedged Item | (20) | (23) | (175) | |||
Net Fair Value Hedge Ineffectiveness | (1) | 0 | 3 | |||
Effect of Derivatives on Net Interest Income | (106) | [1] | (128) | (126) | ||
Consolidated obligation bonds [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Gain/(Loss) on Derivatives | (170) | (189) | (373) | |||
Gain/(Loss) on Hedged Item | 161 | 177 | 368 | |||
Net Fair Value Hedge Ineffectiveness | (9) | (12) | (5) | |||
Effect of Derivatives on Net Interest Income | $ 257 | [1] | $ 260 | $ 366 | ||
|
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
|||
---|---|---|---|---|---|
Derivative [Line Items] | |||||
Derivative Asset, Fair Value, Gross Recognized Amount | $ 256 | $ 455 | |||
Derivative Asset, Total collateral and netting adjustments | [1] | (212) | (396) | ||
Derivative Assets as reported on the Statements of Condition | 44 | 59 | |||
Derivative Asset, Fair Value, Net Unsecured Amount | 33 | 34 | |||
Derivative Liability, Fair Value, Gross Recognized Amount | 143 | 233 | |||
Derivative Liability, Total collateral and netting adjustments | [1] | (137) | (213) | ||
Derivative Liabilities as reported on the Statements of Condition | 6 | 20 | |||
Derivative Liability, Fair Value, Net Unsecured Amount | 6 | 20 | |||
Uncleared derivatives [Member] | |||||
Derivative [Line Items] | |||||
Derivative Asset, Fair Value, Gross Recognized Amount | 166 | 352 | |||
Derivative Asset, Total collateral and netting adjustments | (149) | (324) | |||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 17 | 28 | |||
Derivative Asset, Collateral Received or Pledged not offset, Can Be Sold or Repledged | 11 | 25 | |||
Derivative Asset, Fair Value, Net Unsecured Amount | 6 | 3 | |||
Derivative Liability, Fair Value, Gross Recognized Amount | 93 | 199 | |||
Derivative Liability, Total collateral and netting adjustments | (87) | (179) | |||
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 6 | 20 | |||
Derivative Liability, Collateral Received or Pledged not offset, Can be sold or repledged | 0 | 0 | |||
Derivative Liability, Fair Value, Net Unsecured Amount | 6 | 20 | |||
Cleared derivatives [Member] | |||||
Derivative [Line Items] | |||||
Derivative Asset, Fair Value, Gross Recognized Amount | 90 | 103 | |||
Derivative Asset, Total collateral and netting adjustments | (63) | (72) | |||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 27 | 31 | |||
Derivative Asset, Fair Value, Net Unsecured Amount | 27 | 31 | |||
Derivative Liability, Fair Value, Gross Recognized Amount | 50 | 34 | |||
Derivative Liability, Total collateral and netting adjustments | (50) | (34) | |||
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment | 0 | 0 | |||
Derivative Liability, Fair Value, Net Unsecured Amount | $ 0 | $ 0 | |||
|
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Dec. 31, 2012 |
|||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets | |||||||||||||||||||||
Cash and due from banks | $ 1,637 | $ 3,920 | |||||||||||||||||||
Securities purchased under agreements to resell | 10,000 | 1,000 | |||||||||||||||||||
Federal funds sold | 4,626 | 7,503 | |||||||||||||||||||
Trading securities | [1] | 1,433 | 3,524 | ||||||||||||||||||
Available-for-sale (AFS) securities | [1] | 5,414 | 6,371 | ||||||||||||||||||
HTM securities, Carrying Value | [2],[3],[4] | 10,802 | 13,551 | ||||||||||||||||||
HTM Securities, Fair Value | 10,821 | 13,657 | |||||||||||||||||||
Accrued interest receivable | 56 | 67 | |||||||||||||||||||
Derivative assets, Net | 44 | 59 | |||||||||||||||||||
Derivative Asset, Fair Value, Gross Asset | 256 | 455 | |||||||||||||||||||
Derivative Asset, Netting adjustments | [5] | (212) | (396) | ||||||||||||||||||
Liabilities | |||||||||||||||||||||
Total Consolidated Obligations | 79,483 | 68,856 | |||||||||||||||||||
Mandatorily redeemable capital stock | 488 | 719 | $ 2,071 | $ 4,343 | |||||||||||||||||
Accrued interest payable | 80 | 95 | |||||||||||||||||||
Derivative liabilities, Net | 6 | 20 | |||||||||||||||||||
Derivative Liability, Fair Value, Gross Liability | 143 | 233 | |||||||||||||||||||
Derivative Liability, Netting adjustments | [5] | (137) | (213) | ||||||||||||||||||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Cash and due from banks | 1,637 | 3,920 | |||||||||||||||||||
Securities purchased under agreements to resell | 10,000 | 1,000 | |||||||||||||||||||
Federal funds sold | 4,626 | 7,503 | |||||||||||||||||||
Trading securities | 1,433 | 3,524 | |||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | |||||||||||||||||||
HTM securities, Carrying Value | 10,802 | 13,551 | |||||||||||||||||||
Advances | 50,919 | 38,986 | |||||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 655 | 708 | |||||||||||||||||||
Accrued interest receivable | 56 | 67 | |||||||||||||||||||
Derivative assets, Net | [6] | 44 | 59 | ||||||||||||||||||
Other Assets | [7] | 10 | 11 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||
Deposits | 127 | 160 | |||||||||||||||||||
Total Consolidated Obligations | 79,483 | 68,856 | |||||||||||||||||||
Mandatorily redeemable capital stock | 488 | 719 | |||||||||||||||||||
Accrued interest payable | 80 | 95 | |||||||||||||||||||
Derivative liabilities, Net | [6] | 6 | 20 | ||||||||||||||||||
Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Cash and due from banks | 1,637 | 3,920 | |||||||||||||||||||
Securities purchased under agreements to resell | 10,000 | 1,000 | |||||||||||||||||||
Federal funds sold | 4,626 | 7,503 | |||||||||||||||||||
Trading securities | 1,433 | 3,524 | |||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | |||||||||||||||||||
HTM Securities, Fair Value | 10,821 | 13,657 | |||||||||||||||||||
Advances | 50,844 | 39,060 | |||||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 694 | 769 | |||||||||||||||||||
Accrued interest receivable | 56 | 67 | |||||||||||||||||||
Derivative assets, Net | [6] | 44 | 59 | ||||||||||||||||||
Other Assets | [7] | 10 | 11 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||
Deposits | 127 | 160 | |||||||||||||||||||
Total Consolidated Obligations | 79,413 | 68,832 | |||||||||||||||||||
Mandatorily redeemable capital stock | 488 | 719 | |||||||||||||||||||
Accrued interest payable | 80 | 95 | |||||||||||||||||||
Derivative liabilities, Net | [6] | 6 | 20 | ||||||||||||||||||
Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Cash and due from banks | 1,637 | 3,920 | |||||||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | |||||||||||||||||||
Federal funds sold | 0 | 0 | |||||||||||||||||||
Trading securities | 0 | 0 | |||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | |||||||||||||||||||
HTM Securities, Fair Value | 0 | 0 | |||||||||||||||||||
Advances | 0 | 0 | |||||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | |||||||||||||||||||
Accrued interest receivable | 0 | 0 | |||||||||||||||||||
Derivative Asset, Fair Value, Gross Asset | [6] | 0 | 0 | ||||||||||||||||||
Other Assets | [7] | 10 | 11 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||
Deposits | 0 | 0 | |||||||||||||||||||
Total Consolidated Obligations | 0 | 0 | |||||||||||||||||||
Mandatorily redeemable capital stock | 488 | 719 | |||||||||||||||||||
Accrued interest payable | 0 | 0 | |||||||||||||||||||
Derivative Liability, Fair Value, Gross Liability | [6] | 0 | 0 | ||||||||||||||||||
Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Cash and due from banks | 0 | 0 | |||||||||||||||||||
Securities purchased under agreements to resell | 10,000 | 1,000 | |||||||||||||||||||
Federal funds sold | 4,626 | 7,503 | |||||||||||||||||||
Trading securities | 1,433 | 3,524 | |||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | |||||||||||||||||||
HTM Securities, Fair Value | 9,118 | 11,521 | |||||||||||||||||||
Advances | 50,844 | 39,060 | |||||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 694 | 769 | |||||||||||||||||||
Accrued interest receivable | 56 | 67 | |||||||||||||||||||
Derivative Asset, Fair Value, Gross Asset | [6] | 256 | 455 | ||||||||||||||||||
Derivative Asset, Netting adjustments | [6] | (212) | (396) | ||||||||||||||||||
Other Assets | [7] | 0 | 0 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||
Deposits | 127 | 160 | |||||||||||||||||||
Total Consolidated Obligations | 79,413 | 68,832 | |||||||||||||||||||
Mandatorily redeemable capital stock | 0 | 0 | |||||||||||||||||||
Accrued interest payable | 80 | 95 | |||||||||||||||||||
Derivative Liability, Fair Value, Gross Liability | [6] | 143 | 233 | ||||||||||||||||||
Derivative Liability, Netting adjustments | [6] | (137) | (213) | ||||||||||||||||||
Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||
Assets | |||||||||||||||||||||
Cash and due from banks | 0 | 0 | |||||||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | |||||||||||||||||||
Federal funds sold | 0 | 0 | |||||||||||||||||||
Trading securities | 0 | 0 | |||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | |||||||||||||||||||
HTM Securities, Fair Value | 1,703 | 2,136 | |||||||||||||||||||
Advances | 0 | 0 | |||||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | |||||||||||||||||||
Accrued interest receivable | 0 | 0 | |||||||||||||||||||
Derivative Asset, Fair Value, Gross Asset | [6] | 0 | 0 | ||||||||||||||||||
Other Assets | [7] | 0 | 0 | ||||||||||||||||||
Liabilities | |||||||||||||||||||||
Deposits | 0 | 0 | |||||||||||||||||||
Total Consolidated Obligations | 0 | 0 | |||||||||||||||||||
Mandatorily redeemable capital stock | 0 | 0 | |||||||||||||||||||
Accrued interest payable | 0 | 0 | |||||||||||||||||||
Derivative Liability, Fair Value, Gross Liability | [6] | 0 | 0 | ||||||||||||||||||
Consolidated Obligation, Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Discount notes | 27,648 | 21,811 | |||||||||||||||||||
Consolidated Obligation, Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Discount notes | 27,640 | 21,811 | |||||||||||||||||||
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Discount notes | 0 | 0 | |||||||||||||||||||
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Discount notes | 27,640 | 21,811 | |||||||||||||||||||
Consolidated Obligation, Discount Notes [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Discount notes | 0 | 0 | |||||||||||||||||||
Standby Letters of Credit [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | 18 | 12 | |||||||||||||||||||
Standby Letters of Credit [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | 18 | 12 | |||||||||||||||||||
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | 0 | 0 | |||||||||||||||||||
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | 18 | 12 | |||||||||||||||||||
Standby Letters of Credit [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | 0 | 0 | |||||||||||||||||||
Commitments to fund advances [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 0 | |||||||||||||||||||
Commitments to fund advances [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 2 | |||||||||||||||||||
Commitments to fund advances [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 0 | |||||||||||||||||||
Commitments to fund advances [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 2 | |||||||||||||||||||
Commitments to fund advances [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 0 | |||||||||||||||||||
Consolidated Obligations, Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 0 | |||||||||||||||||||
Consolidated Obligations, Bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 1 | |||||||||||||||||||
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 1 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 0 | |||||||||||||||||||
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 2 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 1 | |||||||||||||||||||
Consolidated Obligations, Bonds [Member] | Fair Value, Inputs, Level 3 [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Other | |||||||||||||||||||||
Other commitments | [8] | 0 | |||||||||||||||||||
Consolidated obligation bonds [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Consolidated obligation bonds | 4,233 | 6,717 | |||||||||||||||||||
Consolidated obligation bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Consolidated obligation bonds | 51,835 | 47,045 | |||||||||||||||||||
Consolidated obligation bonds [Member] | Estimate of Fair Value, Fair Value Disclosure [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Consolidated obligation bonds | 51,773 | 47,021 | |||||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Consolidated obligation bonds | 0 | 0 | |||||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Consolidated obligation bonds | 51,773 | 47,021 | |||||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member] | |||||||||||||||||||||
Liabilities | |||||||||||||||||||||
Consolidated obligation bonds | $ 0 | $ 0 | |||||||||||||||||||
|
Fair Value (Summary of Valuation Methodologies and Primary Inputs) (Details) |
Dec. 31, 2015
vendor
price
|
---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 4 |
MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of designated third-party pricing vendors | vendor | 4 |
Four vendor prices received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 4 |
Median price, number of prices | 2 |
Three vendor prices received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 3 |
Two vendor prices received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 2 |
Median price, number of prices | 2 |
One vendor price received [Member] | MBS [Member] | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Number of third-party vendor prices received | 1 |
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | [1] | $ 1,433 | $ 3,524 | |||||||||||||||||
Available-for-sale (AFS) securities | [1] | 5,414 | 6,371 | |||||||||||||||||
Advances, Fair Value Disclosure | 3,677 | 5,137 | ||||||||||||||||||
Derivative Asset, Netting adjustments | [2] | (212) | (396) | |||||||||||||||||
Derivative assets, Net | 44 | 59 | ||||||||||||||||||
Derivative Liability, Netting adjustments | [2] | (137) | (213) | |||||||||||||||||
Derivative liabilities, Net | 6 | 20 | ||||||||||||||||||
Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||||||||||||||
Other Assets | [3] | 10 | 11 | |||||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | ||||||||||||||||||
Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 1,433 | 3,524 | ||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||||||||||||||
Derivative Asset, Netting adjustments | [4] | (212) | (396) | |||||||||||||||||
Other Assets | [3] | 0 | 0 | |||||||||||||||||
Derivative Liability, Netting adjustments | [4] | (137) | (213) | |||||||||||||||||
Mortgage loans held for portfolio | 694 | 769 | ||||||||||||||||||
Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | ||||||||||||||||||
Other Assets | [3] | 0 | 0 | |||||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | ||||||||||||||||||
Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Advances, Fair Value Disclosure | [5] | 3,677 | 5,137 | |||||||||||||||||
Derivative Asset, Netting adjustments | [6] | (212) | (396) | |||||||||||||||||
Derivative Liability, Netting adjustments | [6] | (137) | (213) | |||||||||||||||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||||||||||||||
Advances, Fair Value Disclosure | [5] | 0 | 0 | |||||||||||||||||
Other Assets | 10 | 11 | ||||||||||||||||||
Total fair value measurements – Assets | 10 | 11 | ||||||||||||||||||
Total recurring fair value measurements – Liabilities | 0 | 0 | ||||||||||||||||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 1,433 | 3,524 | ||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||||||||||||||
Advances, Fair Value Disclosure | [5] | 3,677 | 5,137 | |||||||||||||||||
Other Assets | 0 | 0 | ||||||||||||||||||
Total fair value measurements – Assets | 5,366 | 9,116 | ||||||||||||||||||
Total recurring fair value measurements – Liabilities | 4,376 | 6,950 | ||||||||||||||||||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | ||||||||||||||||||
Advances, Fair Value Disclosure | [5] | 0 | 0 | |||||||||||||||||
Other Assets | 0 | 0 | ||||||||||||||||||
Total fair value measurements – Assets | 5,414 | 6,371 | ||||||||||||||||||
Total recurring fair value measurements – Liabilities | 0 | 0 | ||||||||||||||||||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Total fair value measurements – Assets | [7] | 0 | ||||||||||||||||||
REO | 0 | [7] | 0 | |||||||||||||||||
Mortgage loans held for portfolio | [7] | 0 | ||||||||||||||||||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Total fair value measurements – Assets | [7] | 0 | ||||||||||||||||||
REO | 0 | [7] | 0 | |||||||||||||||||
Mortgage loans held for portfolio | [7] | 0 | ||||||||||||||||||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Total fair value measurements – Assets | [7] | 6 | ||||||||||||||||||
REO | 1 | [7] | 1 | |||||||||||||||||
Mortgage loans held for portfolio | [7] | 5 | ||||||||||||||||||
FFCB bonds [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 1,424 | 3,513 | ||||||||||||||||||
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 1,424 | 3,513 | ||||||||||||||||||
FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
Ginnie Mae | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 9 | 11 | ||||||||||||||||||
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 9 | 11 | ||||||||||||||||||
Ginnie Mae | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 0 | 0 | ||||||||||||||||||
Consolidated obligation bonds [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | 4,233 | 6,717 | ||||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | 0 | 0 | ||||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | 51,773 | 47,021 | ||||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | 0 | 0 | ||||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | [8] | 4,233 | 6,717 | |||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | [8] | 0 | 0 | |||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | [8] | 4,233 | 6,717 | |||||||||||||||||
Consolidated obligation bonds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | [8] | 0 | 0 | |||||||||||||||||
Estimate of Fair Value Measurement [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 1,433 | 3,524 | ||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | ||||||||||||||||||
Derivative assets, Net | [4] | 44 | 59 | |||||||||||||||||
Other Assets | [3] | 10 | 11 | |||||||||||||||||
Derivative liabilities, Net | [4] | 6 | 20 | |||||||||||||||||
Mortgage loans held for portfolio | 694 | 769 | ||||||||||||||||||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 1,433 | 3,524 | ||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | ||||||||||||||||||
Other Assets | 10 | 11 | ||||||||||||||||||
Total fair value measurements – Assets | 10,578 | 15,102 | ||||||||||||||||||
Total recurring fair value measurements – Liabilities | 4,239 | 6,737 | ||||||||||||||||||
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Nonrecurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Total fair value measurements – Assets | [7] | 6 | ||||||||||||||||||
REO | 1 | [7] | 1 | |||||||||||||||||
Mortgage loans held for portfolio | [7] | 5 | ||||||||||||||||||
Estimate of Fair Value Measurement [Member] | FFCB bonds [Member] | Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 1,424 | 3,513 | ||||||||||||||||||
Estimate of Fair Value Measurement [Member] | Ginnie Mae | Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Trading securities | 9 | 11 | ||||||||||||||||||
Estimate of Fair Value Measurement [Member] | Consolidated obligation bonds [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Consolidated obligation bonds | 51,773 | 47,021 | ||||||||||||||||||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||||||||||||||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Available-for-sale (AFS) securities | 0 | 0 | ||||||||||||||||||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | ||||||||||||||||||
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value Measurement [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Available-for-sale (AFS) securities | 5,414 | 6,371 | ||||||||||||||||||
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Derivative Asset, Netting adjustments | [6] | (212) | (396) | |||||||||||||||||
Derivative Liability, Netting adjustments | [6] | (137) | (213) | |||||||||||||||||
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Derivative assets, Net | 0 | 0 | ||||||||||||||||||
Derivative liabilities, Net | 0 | 0 | ||||||||||||||||||
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Derivative assets, Net | 256 | 455 | ||||||||||||||||||
Derivative liabilities, Net | 143 | 233 | ||||||||||||||||||
Interest rate swaps [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Derivative assets, Net | 0 | 0 | ||||||||||||||||||
Derivative liabilities, Net | 0 | 0 | ||||||||||||||||||
Interest rate swaps [Member] | Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member] | ||||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||||||||||||||||||
Derivative assets, Net | 44 | 59 | ||||||||||||||||||
Derivative liabilities, Net | $ 6 | $ 20 | ||||||||||||||||||
|
Fair Value (Level 3) (Details) - USD ($) $ in Millions |
12 Months Ended | ||||
---|---|---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Net OTTI loss, credit-related | [1] | $ (15) | $ (4) | $ (7) | |
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (15) | (10) | (3) | ||
Residential Mortgage Backed Securities [Member] | PLRMBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member] | |||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||||
Balance, beginning of the period | 6,371 | 7,047 | 7,604 | ||
Interest Income | 83 | 66 | 21 | ||
Net OTTI loss, credit-related | (15) | (4) | (7) | ||
Unrealized gain/(loss) of other-than temporarily impaired securities included in AOCI | (29) | 209 | 644 | ||
Net amount of OTTI loss reclassified to/(from) other income/(loss) | (15) | (10) | (3) | ||
Settlements | (996) | (937) | (1,284) | ||
Transfers of HTM securities to AFS securities | 15 | 0 | 72 | ||
Balance, end of the period | 5,414 | 6,371 | 7,047 | ||
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period | $ 68 | $ 62 | $ 15 | ||
|
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|||||
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward] | |||||||
Balance, beginning of the period | $ 5,137 | ||||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | (50) | $ (93) | $ (23) | ||||
Balance, end of the period | 3,677 | 5,137 | |||||
Advances [Member] | |||||||
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward] | |||||||
Balance, beginning of the period | 5,137 | [1] | 7,069 | 7,390 | |||
New transactions elected for fair value option | 1,018 | 783 | 837 | ||||
Maturities and terminations | (2,442) | (2,700) | (988) | ||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | (31) | (11) | (169) | ||||
Change in accrued interest | (5) | (4) | (1) | ||||
Balance, end of the period | 3,677 | [1] | 5,137 | [1] | 7,069 | ||
Consolidated obligation bonds [Member] | |||||||
Advances and Consolidated Obligation Bonds, Fair Value Option [Roll Forward] | |||||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds held under fair value option | 19 | 82 | (146) | ||||
Balance, beginning of the period | 6,717 | 10,115 | 27,884 | ||||
New transactions elected for fair value option | 2,585 | 3,607 | 3,547 | ||||
Maturities and terminations | (5,083) | (7,088) | (21,165) | ||||
Change in accrued interest | (5) | 1 | (5) | ||||
Balance, end of the period | $ 4,233 | $ 6,717 | $ 10,115 | ||||
|
Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions |
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
Dec. 31, 2012 |
|||||
---|---|---|---|---|---|---|---|---|---|
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||||
Fair Value of Advances Under the Fair Value Option | $ 3,677 | $ 5,137 | |||||||
Fair Value Over/(Under) Principal Balance | 38 | 89 | |||||||
Advances [Member] | |||||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||||
Principal Balance | [1] | 3,639 | 5,048 | ||||||
Fair Value of Advances Under the Fair Value Option | 3,677 | [1] | 5,137 | [1] | $ 7,069 | $ 7,390 | |||
Fair Value Over/(Under) Principal Balance | [1] | 38 | 89 | ||||||
Consolidated obligation bonds [Member] | |||||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||||
Principal Balance | 4,250 | 6,748 | |||||||
Fair Value of Bonds Under the Fair Value Option | 4,233 | 6,717 | $ 10,115 | $ 27,884 | |||||
Fair Value Over/(Under) Principal Balance | $ (17) | $ (31) | |||||||
|
Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions |
12 Months Ended | ||||||
---|---|---|---|---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
||||||
Loss Contingencies [Line Items] | |||||||
Total consolidated obligations, par | $ 79,355 | $ 68,538 | |||||
Standby Letters Of Credit, Final Expiration | 2030 | ||||||
Other Liabilities | $ 455 | 117 | |||||
Commitments to purchase mortgage loans, maximum term | 45 days | ||||||
FHLBanks [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 905,202 | 847,175 | |||||
Standby letters of credit outstanding [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Expire Within One Year | 9,072 | 2,699 | |||||
Expire After One Year | 3,237 | 2,711 | |||||
Total | 12,309 | 5,410 | |||||
Other Liabilities | 18 | 12 | |||||
Commitments to fund advances [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Expire Within One Year | [1] | 5 | 121 | ||||
Expire After One Year | [1] | 5 | 5 | ||||
Total | [1] | 10 | 126 | ||||
Commitments to Issue consolidated obligations, discount notes [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Expire Within One Year | 300 | 3 | |||||
Expire After One Year | 0 | 0 | |||||
Total | 300 | 3 | |||||
Commitments to issue consolidated obligation bonds, par | |||||||
Loss Contingencies [Line Items] | |||||||
Expire Within One Year | [2] | 110 | 0 | ||||
Expire After One Year | [2] | 0 | 0 | ||||
Total | [2] | 110 | 0 | ||||
Interest rate swaps [Member] | Commitments to fund advances [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Total | 0 | 100 | |||||
Interest rate swaps [Member] | Commitments to issue consolidated obligation bonds, par | |||||||
Loss Contingencies [Line Items] | |||||||
Total | $ 110 | 0 | |||||
Minimum [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Standby Letters Of Credit, Original Terms | 33 days | ||||||
Maximum [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Standby Letters Of Credit, Original Terms | 15 years | ||||||
Guarantee of Indebtedness of Others [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Total consolidated obligations, par | $ 79,355 | 68,538 | |||||
Mortgages [Member] | Commitments to purchase mortgage loans [Member] | |||||||
Loss Contingencies [Line Items] | |||||||
Expire Within One Year | 5 | 0 | |||||
Expire After One Year | 0 | 0 | |||||
Total | $ 5 | $ 0 | |||||
|
Commitments and Contingencies Schedule of Future Minimum Rental Payments (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Operating Leased Assets [Line Items] | |||
Operating Leases, Rent Expense, Net | $ 5 | $ 5 | $ 5 |
2016 | 4 | ||
2017 | 4 | ||
2018 | 4 | ||
2019 | 3 | ||
2020 | 2 | ||
Total | $ 17 |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Assets: | |||
Advances | $ 50,919 | $ 38,986 | |
Mortgage loans held for portfolio | 655 | 708 | |
Accrued interest receivable | 56 | 67 | |
Capital [Abstract] | |||
Capital stock | 2,253 | 3,278 | |
Interest Income: | |||
Advances | 291 | 299 | $ 340 |
Mortgage loans held for portfolio | 33 | 42 | 50 |
Transaction with Member Officer or Director [Member] | |||
Assets: | |||
Advances | 3,297 | 2,080 | |
Mortgage loans held for portfolio | 24 | 32 | |
Accrued interest receivable | 5 | 6 | |
Liabilities: | |||
Deposits | 4 | 3 | |
Capital [Abstract] | |||
Capital stock | 119 | 162 | |
Interest Income: | |||
Advances | 35 | 42 | 65 |
Mortgage loans held for portfolio | $ 1 | $ 2 | $ 3 |
Minimum [Member] | |||
Related Party Transaction [Line Items] | |||
Transactions with Certain Members and Nonmembers, Voting Interest, Percent | 10.00% |
Other (Details) - USD ($) $ in Millions |
12 Months Ended | ||
---|---|---|---|
Dec. 31, 2015 |
Dec. 31, 2014 |
Dec. 31, 2013 |
|
Other Income and Expenses [Abstract] | |||
Professional and Contract Services | $ 50 | $ 48 | $ 33 |
Travel | 2 | 2 | 2 |
Occupancy | 5 | 5 | 5 |
Equipment | 10 | 10 | 9 |
Other | 4 | 4 | 4 |
Total | $ 71 | $ 69 | $ 53 |
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