QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation | |||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) | ||
(Address of principal executive offices) | (Zip Code) |
Large accelerated Filer ☐ | Accelerated Filer ☐ | ||
☒ | Smaller reporting company | ||
Emerging growth company |
Page 1 of |
PART I - FINANCIAL INFORMATION | ||
Item 1. | Financial Statements (Unaudited): | |
Statements of Condition - September 30, 2019 and December 31, 2018 | ||
Statements of Income - Three and nine months ended September 30, 2019 and 2018 | ||
Statements of Comprehensive Income - Three and nine months ended September 30, 2019 and 2018 | ||
Statements of Capital - Three and nine months ended September 30, 2019 and 2018 | ||
Statements of Cash Flows - Nine months ended September 30, 2019 and 2018 | ||
Notes to Unaudited Financial Statements | ||
Item 2. | Management's Discussion and Analysis of Financial Condition and Results of Operations | |
Item 3. | Quantitative and Qualitative Disclosures About Market Risk | |
Item 4. | Controls and Procedures | |
PART II - OTHER INFORMATION | ||
Item 1A. | Risk Factors | |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds | |
Item 6. | Exhibits | |
Signatures |
September 30, 2019 | December 31, 2018 | ||||||
ASSETS | |||||||
Cash and due from banks | $ | $ | |||||
Interest-bearing deposits | |||||||
Securities purchased under agreements to resell | |||||||
Federal funds sold | |||||||
Investment securities: | |||||||
Trading securities | |||||||
Available-for-sale securities | |||||||
Held-to-maturity securities (includes $0 and $0 pledged as collateral at September 30, 2019 and December 31, 2018, respectively, that may be repledged) (a) | |||||||
Total investment securities | |||||||
Advances (includes $10,267 and $10,008 at fair value under fair value option at September 30, 2019 and December 31, 2018, respectively) | |||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $740 and $840 at September 30, 2019 and December 31, 2018, respectively | |||||||
Accrued interest receivable | |||||||
Derivative assets | |||||||
Other assets | |||||||
TOTAL ASSETS | $ | $ | |||||
LIABILITIES | |||||||
Deposits | $ | $ | |||||
Consolidated Obligations: | |||||||
Discount Notes (includes $13,914,315 and $0 at fair value under fair value option at September 30, 2019 and December 31, 2018, respectively) | |||||||
Bonds (includes $5,436,423 and $3,906,610 at fair value under fair value option at September 30, 2019 and December 31, 2018, respectively) | |||||||
Total Consolidated Obligations | |||||||
Mandatorily redeemable capital stock | |||||||
Accrued interest payable | |||||||
Affordable Housing Program payable | |||||||
Derivative liabilities | |||||||
Other liabilities | |||||||
Total liabilities | |||||||
Commitments and contingencies | |||||||
CAPITAL | |||||||
Capital stock Class B putable ($100 par value); issued and outstanding shares: 35,975 shares at September 30, 2019 and 43,205 shares at December 31, 2018 | |||||||
Retained earnings: | |||||||
Unrestricted | |||||||
Restricted | |||||||
Total retained earnings | |||||||
Accumulated other comprehensive loss | ( | ) | ( | ) | |||
Total capital | |||||||
TOTAL LIABILITIES AND CAPITAL | $ | $ |
(a) | Fair values: $14,082,525 and $15,575,368 at September 30, 2019 and December 31, 2018, respectively. |
(In thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
INTEREST INCOME: | |||||||||||||||
Advances | $ | $ | $ | $ | |||||||||||
Prepayment fees on Advances, net | |||||||||||||||
Interest-bearing deposits | |||||||||||||||
Securities purchased under agreements to resell | |||||||||||||||
Federal funds sold | |||||||||||||||
Investment securities: | |||||||||||||||
Trading securities | |||||||||||||||
Available-for-sale securities | |||||||||||||||
Held-to-maturity securities | |||||||||||||||
Total investment securities | |||||||||||||||
Mortgage loans held for portfolio | |||||||||||||||
Loans to other FHLBanks | |||||||||||||||
Total interest income | |||||||||||||||
INTEREST EXPENSE: | |||||||||||||||
Consolidated Obligations: | |||||||||||||||
Discount Notes | |||||||||||||||
Bonds | |||||||||||||||
Total Consolidated Obligations | |||||||||||||||
Deposits | |||||||||||||||
Loans from other FHLBanks | |||||||||||||||
Mandatorily redeemable capital stock | |||||||||||||||
Total interest expense | |||||||||||||||
NET INTEREST INCOME | |||||||||||||||
NON-INTEREST INCOME (LOSS): | |||||||||||||||
Net gains (losses) on investment securities | |||||||||||||||
Net gains (losses) on financial instruments held under fair value option | ( | ) | ( | ) | ( | ) | |||||||||
Net gains (losses) on derivatives and hedging activities | ( | ) | ( | ) | ( | ) | ( | ) | |||||||
Other, net | |||||||||||||||
Total non-interest income (loss) | ( | ) | ( | ) | ( | ) | |||||||||
NON-INTEREST EXPENSE: | |||||||||||||||
Compensation and benefits | |||||||||||||||
Other operating expenses | |||||||||||||||
Finance Agency | |||||||||||||||
Office of Finance | |||||||||||||||
Other | |||||||||||||||
Total non-interest expense | |||||||||||||||
INCOME BEFORE ASSESSMENTS | |||||||||||||||
Affordable Housing Program assessments | |||||||||||||||
NET INCOME | $ | $ | $ | $ |
(In thousands) | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Net income | $ | $ | $ | $ | |||||||||||
Other comprehensive income adjustments: | |||||||||||||||
Net unrealized gains (losses) on available-for-sale securities | ( | ) | ( | ) | ( | ) | |||||||||
Pension and postretirement benefits | |||||||||||||||
Total other comprehensive income (loss) adjustments | |||||||||||||||
Comprehensive income | $ | $ | $ | $ |
(In thousands) | Capital Stock Class B - Putable | Retained Earnings | Accumulated Other Comprehensive | Total | ||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Loss | Capital | ||||||||||||||||||||
BALANCE, JUNE 30, 2018 | $ | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||||||
Proceeds from sale of capital stock | ||||||||||||||||||||||||||
Repurchase of capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Cash dividends on capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2018 | $ | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
BALANCE, JUNE 30, 2019 | $ | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||||||
Proceeds from sale of capital stock | ||||||||||||||||||||||||||
Repurchase of capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Cash dividends on capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2019 | $ | $ | $ | $ | $ | ( | ) | $ |
(In thousands) | Capital Stock Class B - Putable | Retained Earnings | Accumulated Other Comprehensive | Total | ||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | Loss | Capital | ||||||||||||||||||||
BALANCE, DECEMBER 31, 2017 | $ | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||||||
Proceeds from sale of capital stock | ||||||||||||||||||||||||||
Repurchase of capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Cash dividends on capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2018 | $ | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
BALANCE, DECEMBER 31, 2018 | $ | $ | $ | $ | $ | ( | ) | $ | ||||||||||||||||||
Comprehensive income (loss) | ||||||||||||||||||||||||||
Proceeds from sale of capital stock | ||||||||||||||||||||||||||
Repurchase of capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
Cash dividends on capital stock | ( | ) | ( | ) | ( | ) | ||||||||||||||||||||
BALANCE, SEPTEMBER 30, 2019 | $ | $ | $ | $ | $ | ( | ) | $ |
(In thousands) | Nine Months Ended September 30, | ||||||
2019 | 2018 | ||||||
OPERATING ACTIVITIES: | |||||||
Net income | $ | $ | |||||
Adjustments to reconcile net income to net cash provided by operating activities: | |||||||
Depreciation and amortization | |||||||
Net change in derivative and hedging activities | ( | ) | |||||
Net change in fair value adjustments on trading securities | ( | ) | ( | ) | |||
Net change in fair value adjustments on financial instruments held under fair value option | ( | ) | |||||
Other adjustments | |||||||
Net change in: | |||||||
Accrued interest receivable | ( | ) | ( | ) | |||
Other assets | ( | ) | |||||
Accrued interest payable | |||||||
Other liabilities | |||||||
Total adjustments | ( | ) | |||||
Net cash provided by (used in) operating activities | ( | ) | |||||
INVESTING ACTIVITIES: | |||||||
Net change in: | |||||||
Interest-bearing deposits | ( | ) | ( | ) | |||
Securities purchased under agreements to resell | |||||||
Federal funds sold | ( | ) | ( | ) | |||
Premises, software, and equipment | ( | ) | ( | ) | |||
Trading securities: | |||||||
Proceeds from maturities | |||||||
Purchases | ( | ) | ( | ) | |||
Available-for-sale securities: | |||||||
Proceeds from maturities | |||||||
Purchases | ( | ) | ( | ) | |||
Held-to-maturity securities: | |||||||
Proceeds from maturities | |||||||
Purchases | ( | ) | ( | ) | |||
Advances: | |||||||
Repaid | |||||||
Originated | ( | ) | ( | ) | |||
Mortgage loans held for portfolio: | |||||||
Principal collected | |||||||
Purchases | ( | ) | ( | ) | |||
Net cash provided by (used in) investing activities | ( | ) | |||||
The accompanying notes are an integral part of these financial statements. | |||||||
(continued from previous page) | |||||||
FEDERAL HOME LOAN BANK OF CINCINNATI | |||||||
STATEMENTS OF CASH FLOWS | |||||||
(Unaudited) | |||||||
(In thousands) | Nine Months Ended September 30, | ||||||
2019 | 2018 | ||||||
FINANCING ACTIVITIES: | |||||||
Net change in deposits and pass-through reserves | $ | $ | |||||
Net proceeds (payments) on derivative contracts with financing elements | ( | ) | ( | ) | |||
Net proceeds from issuance of Consolidated Obligations: | |||||||
Discount Notes | |||||||
Bonds | |||||||
Payments for maturing and retiring Consolidated Obligations: | |||||||
Discount Notes | ( | ) | ( | ) | |||
Bonds | ( | ) | ( | ) | |||
Proceeds from issuance of capital stock | |||||||
Payments for repurchase of capital stock | ( | ) | ( | ) | |||
Payments for repurchase/redemption of mandatorily redeemable capital stock | ( | ) | ( | ) | |||
Cash dividends paid | ( | ) | ( | ) | |||
Net cash provided by (used in) financing activities | ( | ) | |||||
Net increase (decrease) in cash and due from banks | ( | ) | |||||
Cash and due from banks at beginning of the period | |||||||
Cash and due from banks at end of the period | $ | $ | |||||
Supplemental Disclosures: | |||||||
Interest paid | $ | $ | |||||
Affordable Housing Program payments, net | $ | $ |
Fair Value | September 30, 2019 | December 31, 2018 | |||||
Non-mortgage-backed securities (non-MBS): | |||||||
U.S. Treasury obligations | $ | $ | |||||
GSE obligations | |||||||
Total non-MBS | |||||||
Mortgage-backed securities (MBS): | |||||||
U.S. obligation single-family MBS | |||||||
Total | $ | $ |
Nine Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Net gains (losses) on trading securities held at period end | $ | $ | |||||
Net gains (losses) on trading securities | $ | $ |
September 30, 2019 | |||||||||||||||
Amortized Cost (1) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Certificates of deposit | $ | $ | $ | $ | |||||||||||
GSE obligations | ( | ) | |||||||||||||
Total | $ | $ | $ | ( | ) | $ | |||||||||
December 31, 2018 | |||||||||||||||
Amortized Cost (1) | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Certificates of deposit | $ | $ | $ | ( | ) | $ | |||||||||
GSE obligations | ( | ) | |||||||||||||
Total | $ | $ | $ | ( | ) | $ |
(1) | Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments. |
September 30, 2019 | December 31, 2018 | ||||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||
Due in 1 year or less | $ | $ | $ | $ | |||||||||||
Due after 1 year through 5 years | |||||||||||||||
Due after 5 years through 10 years | |||||||||||||||
Due after 10 years | |||||||||||||||
Total | $ | $ | $ | $ |
September 30, 2019 | December 31, 2018 | ||||||
Amortized cost of available-for-sale securities: | |||||||
Fixed-rate | $ | $ |
September 30, 2019 | |||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||
Non-MBS: | |||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | |||||||||||
Total non-MBS | |||||||||||||||
MBS: | |||||||||||||||
U.S. obligation single-family MBS | ( | ) | |||||||||||||
GSE single-family MBS | ( | ) | |||||||||||||
GSE multi-family MBS | ( | ) | |||||||||||||
Total MBS | ( | ) | |||||||||||||
Total | $ | $ | $ | ( | ) | $ | |||||||||
December 31, 2018 | |||||||||||||||
Amortized Cost (1) | Gross Unrecognized Holding Gains | Gross Unrecognized Holding Losses | Fair Value | ||||||||||||
Non-MBS: | |||||||||||||||
U.S. Treasury obligations | $ | $ | $ | ( | ) | $ | |||||||||
Total non-MBS | ( | ) | |||||||||||||
MBS: | |||||||||||||||
U.S. obligation single-family MBS | ( | ) | |||||||||||||
GSE single-family MBS | ( | ) | |||||||||||||
GSE multi-family MBS | ( | ) | |||||||||||||
Total MBS | ( | ) | |||||||||||||
Total | $ | $ | $ | ( | ) | $ |
(1) | Carrying value equals amortized cost. |
September 30, 2019 | December 31, 2018 | ||||||
Premiums | $ | $ | |||||
Discounts | ( | ) | ( | ) | |||
Net purchased premiums | $ | $ |
September 30, 2019 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
MBS: | |||||||||||||||||||||||
U.S. obligation single-family MBS | $ | $ | ( | ) | $ | $ | $ | $ | ( | ) | |||||||||||||
GSE single-family MBS | ( | ) | ( | ) | ( | ) | |||||||||||||||||
GSE multi-family MBS | ( | ) | ( | ) | ( | ) | |||||||||||||||||
Total | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | ( | ) | |||||||||||
December 31, 2018 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or more | Total | |||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||
Non-MBS: | |||||||||||||||||||||||
U.S. Treasury obligations | $ | $ | ( | ) | $ | $ | $ | $ | ( | ) | |||||||||||||
Total non-MBS | ( | ) | ( | ) | |||||||||||||||||||
MBS: | |||||||||||||||||||||||
U.S. obligation single-family MBS | ( | ) | ( | ) | ( | ) | |||||||||||||||||
GSE single-family MBS | ( | ) | ( | ) | ( | ) | |||||||||||||||||
GSE multi-family MBS | ( | ) | ( | ) | ( | ) | |||||||||||||||||
Total MBS | ( | ) | ( | ) | ( | ) | |||||||||||||||||
Total | $ | $ | ( | ) | $ | $ | ( | ) | $ | $ | ( | ) |
September 30, 2019 | December 31, 2018 | ||||||||||||||
Year of Maturity | Amortized Cost (1) | Fair Value | Amortized Cost (1) | Fair Value | |||||||||||
Non-MBS: | |||||||||||||||
Due in 1 year or less | $ | $ | $ | $ | |||||||||||
Due after 1 year through 5 years | |||||||||||||||
Due after 5 years through 10 years | |||||||||||||||
Due after 10 years | |||||||||||||||
Total non-MBS | |||||||||||||||
MBS (2) | |||||||||||||||
Total | $ | $ | $ | $ |
(1) | Carrying value equals amortized cost. |
(2) | MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. |
September 30, 2019 | December 31, 2018 | ||||||
Amortized cost of non-MBS: | |||||||
Fixed-rate | $ | $ | |||||
Total amortized cost of non-MBS | |||||||
Amortized cost of MBS: | |||||||
Fixed-rate | |||||||
Variable-rate | |||||||
Total amortized cost of MBS | |||||||
Total | $ | $ |
September 30, 2019 | December 31, 2018 | ||||||||||||
Redemption Term | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | |||||||||
Due in 1 year or less | $ | % | $ | % | |||||||||
Due after 1 year through 2 years | |||||||||||||
Due after 2 years through 3 years | |||||||||||||
Due after 3 years through 4 years | |||||||||||||
Due after 4 years through 5 years | |||||||||||||
Thereafter | |||||||||||||
Total principal amount | |||||||||||||
Commitment fees | ( | ) | ( | ) | |||||||||
Discount on Affordable Housing Program (AHP) Advances | ( | ) | ( | ) | |||||||||
Premiums | |||||||||||||
Discounts | ( | ) | ( | ) | |||||||||
Hedging adjustments | ( | ) | |||||||||||
Fair value option valuation adjustments and accrued interest | |||||||||||||
Total | $ | $ |
Redemption Term or Next Call Date | September 30, 2019 | December 31, 2018 | |||||
Due in 1 year or less | $ | $ | |||||
Due after 1 year through 2 years | |||||||
Due after 2 years through 3 years | |||||||
Due after 3 years through 4 years | |||||||
Due after 4 years through 5 years | |||||||
Thereafter | |||||||
Total principal amount | $ | $ |
Redemption Term or Next Put Date | September 30, 2019 | December 31, 2018 | |||||
Due in 1 year or less | $ | $ | |||||
Due after 1 year through 2 years | |||||||
Due after 2 years through 3 years | |||||||
Due after 3 years through 4 years | |||||||
Due after 4 years through 5 years | |||||||
Thereafter | |||||||
Total principal amount | $ | $ |
September 30, 2019 | December 31, 2018 | ||||||
Total fixed-rate (1) | $ | $ | |||||
Total variable-rate (1) | |||||||
Total principal amount | $ | $ |
(1) | Payment terms based on current interest rate terms, which reflect any option exercises or rate conversions that have occurred subsequent to the related Advance issuance. |
September 30, 2019 | December 31, 2018 | |||||||||||||
Principal | % of Total Principal Amount of Advances | Principal | % of Total Principal Amount of Advances | |||||||||||
JPMorgan Chase Bank, N.A. | $ | % | JPMorgan Chase Bank, N.A. | $ | % | |||||||||
U.S. Bank, N.A. | U.S. Bank, N.A. | |||||||||||||
Third Federal Savings and Loan Association | Third Federal Savings and Loan Association | |||||||||||||
Fifth Third Bank | Total | $ | % | |||||||||||
Total | $ | % |
September 30, 2019 | December 31, 2018 | ||||||
Unpaid principal balance: | |||||||
Fixed rate medium-term single-family mortgage loans (1) | $ | $ | |||||
Fixed rate long-term single-family mortgage loans | |||||||
Total unpaid principal balance | |||||||
Premiums | |||||||
Discounts | ( | ) | ( | ) | |||
Hedging basis adjustments (2) | |||||||
Total mortgage loans held for portfolio | $ | $ |
(1) | Medium-term is defined as a term of 15 years or less. |
(2) | Represents the unamortized balance of the mortgage purchase commitments' market values at the time of settlement. The market value of the commitment is included in the basis of the mortgage loan and amortized accordingly. |
September 30, 2019 | December 31, 2018 | ||||||
Unpaid principal balance: | |||||||
Conventional mortgage loans | $ | $ | |||||
Federal Housing Administration (FHA) mortgage loans | |||||||
Total unpaid principal balance | $ | $ |
September 30, 2019 | December 31, 2018 | |||||||||||||
Principal | % of Total | Principal | % of Total | |||||||||||
Union Savings Bank | $ | % | Union Savings Bank | $ | % | |||||||||
Guardian Savings Bank FSB | Guardian Savings Bank FSB | |||||||||||||
FirstBank |
Three Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Balance, beginning of period | $ | $ | |||||
Net charge offs | ( | ) | ( | ) | |||
Balance, end of period | $ | $ | |||||
Nine Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Balance, beginning of period | $ | $ | |||||
Net charge offs | ( | ) | ( | ) | |||
Balance, end of period | $ | $ |
September 30, 2019 | December 31, 2018 | ||||||
Allowance for credit losses: | |||||||
Collectively evaluated for impairment | $ | $ | |||||
Individually evaluated for impairment | |||||||
Total allowance for credit losses | $ | $ | |||||
Recorded investment: | |||||||
Collectively evaluated for impairment | $ | $ | |||||
Individually evaluated for impairment | |||||||
Total recorded investment | $ | $ |
Nine Months Ended | |||
September 30, 2019 | |||
LRA at beginning of year | $ | ||
Additions | |||
Claims | ( | ) | |
Scheduled distributions | ( | ) | |
LRA at end of period | $ |
September 30, 2019 | |||||||||||
Conventional MPP Loans | FHA Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | $ | $ | ||||||||
Past due 60-89 days delinquent | |||||||||||
Past due 90 days or more delinquent | |||||||||||
Total past due | |||||||||||
Total current mortgage loans | |||||||||||
Total mortgage loans | $ | $ | $ | ||||||||
Other delinquency statistics: | |||||||||||
In process of foreclosure, included above (1) | $ | $ | $ | ||||||||
Serious delinquency rate (2) | % | % | % | ||||||||
Past due 90 days or more still accruing interest (3) | $ | $ | $ | ||||||||
Loans on non-accrual status, included above | $ | $ | $ | ||||||||
December 31, 2018 | |||||||||||
Conventional MPP Loans | FHA Loans | Total | |||||||||
Past due 30-59 days delinquent | $ | $ | $ | ||||||||
Past due 60-89 days delinquent | |||||||||||
Past due 90 days or more delinquent | |||||||||||
Total past due | |||||||||||
Total current mortgage loans | |||||||||||
Total mortgage loans | $ | $ | $ | ||||||||
Other delinquency statistics: | |||||||||||
In process of foreclosure, included above (1) | $ | $ | $ | ||||||||
Serious delinquency rate (2) | % | % | % | ||||||||
Past due 90 days or more still accruing interest (3) | $ | $ | $ | ||||||||
Loans on non-accrual status, included above | $ | $ | $ |
(1) | Includes loans where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. |
(2) | Loans that are 90 days or more past due or in the process of foreclosure (including past due or current loans in the process of foreclosure) expressed as a percentage of the total loan portfolio class recorded investment amount. |
(3) | Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status. |
September 30, 2019 | |||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives designated as fair value hedging instruments: | |||||||||||
Interest rate swaps | $ | $ | $ | ||||||||
Derivatives not designated as hedging instruments: | |||||||||||
Interest rate swaps | |||||||||||
Interest rate swaptions | |||||||||||
Forward rate agreements | |||||||||||
Mortgage delivery commitments | |||||||||||
Total derivatives not designated as hedging instruments | |||||||||||
Total derivatives before adjustments | $ | ||||||||||
Netting adjustments and cash collateral (1) | ( | ) | |||||||||
Total derivative assets and total derivative liabilities | $ | $ | |||||||||
December 31, 2018 | |||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||
Derivatives designated as fair value hedging instruments: | |||||||||||
Interest rate swaps | $ | $ | $ | ||||||||
Derivatives not designated as hedging instruments: | |||||||||||
Interest rate swaps | |||||||||||
Interest rate swaptions | |||||||||||
Forward rate agreements | |||||||||||
Mortgage delivery commitments | |||||||||||
Total derivatives not designated as hedging instruments | |||||||||||
Total derivatives before adjustments | $ | ||||||||||
Netting adjustments and cash collateral (1) | ( | ) | |||||||||
Total derivative assets and total derivative liabilities | $ | $ |
(1) | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty. Cash collateral posted and related accrued interest was (in thousands) $ |
Three Months Ended September 30, 2019 | |||||||||||
Advances | Available-for-sale Securities | Consolidated Bonds | |||||||||
Total interest income (expense) recorded in the Statements of Income | $ | $ | $ | ( | ) | ||||||
Impact of Fair Value Hedging Relationships on the Statements of Income (1) | |||||||||||
Interest income/expense: | |||||||||||
Net interest settlements | $ | $ | ( | ) | $ | ||||||
Gain (loss) on derivatives | ( | ) | ( | ) | ( | ) | |||||
Gain (loss) on hedged items | |||||||||||
Effect on net interest income | $ | $ | ( | ) | $ |
Three Months Ended September 30, 2018 (2) | |||||||||||
Advances | Available-for-sale securities | Consolidated Bonds | |||||||||
Impact of Fair Value Hedging Relationships on the Statements of Income (1) | |||||||||||
Interest income/expense: | |||||||||||
Net interest settlements (3) | $ | $ | ( | ) | $ | ( | ) | ||||
Effect on net interest income | $ | $ | ( | ) | $ | ( | ) | ||||
Non-interest income (loss): | |||||||||||
Gain (loss) on derivatives | $ | $ | $ | ||||||||
Gain (loss) on hedged items | ( | ) | ( | ) | ( | ) | |||||
Effect on non-interest income (loss) | $ | ( | ) | $ | $ |
Nine Months Ended September 30, 2019 | |||||||||||
Advances | Available-for-sale Securities | Consolidated Bonds | |||||||||
Total interest income (expense) recorded in the Statements of Income | $ | $ | $ | ( | ) | ||||||
Impact of Fair Value Hedging Relationships on the Statements of Income (1) | |||||||||||
Interest income/expense: | |||||||||||
Net interest settlements | $ | $ | ( | ) | $ | ||||||
Gain (loss) on derivatives | ( | ) | ( | ) | |||||||
Gain (loss) on hedged items | ( | ) | |||||||||
Effect on net interest income | $ | $ | ( | ) | $ |
Nine Months Ended September 30, 2018 (2) | |||||||||||
Advances | Available-for-sale securities | Consolidated Bonds | |||||||||
Impact of Fair Value Hedging Relationships on the Statements of Income (1) | |||||||||||
Interest income/expense: | |||||||||||
Net interest settlements (3) | $ | $ | ( | ) | $ | ( | ) | ||||
Effect on net interest income | $ | $ | ( | ) | $ | ( | ) | ||||
Non-interest income (loss): | |||||||||||
Gain (loss) on derivatives | $ | $ | $ | ||||||||
Gain (loss) on hedged items | ( | ) | ( | ) | ( | ) | |||||
Effect on non-interest income (loss) | $ | $ | $ | ( | ) |
(1) | Includes interest rate swaps. |
(2) | Prior period amounts were not conformed to new hedge accounting guidance adopted January 1, 2019. |
(3) | Excludes (amortization)/accretion on closed fair value hedge relationships of (in thousands) $( |
September 30, 2019 | ||||||||||||||||
Hedged Item | Amortized Cost of Hedged Asset/ Liability (1) | Basis Adjustment for Active Hedging Relationships Included in Amortized Cost | Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | Cumulative Amount of Fair Value Hedging Basis Adjustments | ||||||||||||
Advances | $ | $ | $ | $ | ||||||||||||
Available-for-sale securities | ||||||||||||||||
Consolidated Bonds |
(1) | Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Three Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Derivatives designated as fair value hedging relationships: | |||||||
Interest rate swaps | N/A | $ | ( | ) | |||
Derivatives not designated as hedging instruments: | |||||||
Economic hedges: | |||||||
Interest rate swaps | $ | ( | ) | ||||
Interest rate swaptions | ( | ) | |||||
Forward rate agreements | ( | ) | |||||
Net interest settlements | ( | ) | ( | ) | |||
Mortgage delivery commitments | ( | ) | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | ( | ) | ( | ) | |||
Price alignment amount (1) | ( | ) | |||||
Net gains (losses) on derivatives and hedging activities | $ | ( | ) | $ | ( | ) | |
Nine Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Derivatives designated as fair value hedging relationships: | |||||||
Interest rate swaps | N/A | $ | |||||
Derivatives not designated as hedging instruments: | |||||||
Economic hedges: | |||||||
Interest rate swaps | $ | ( | ) | ( | ) | ||
Interest rate swaptions | |||||||
Forward rate agreements | ( | ) | |||||
Net interest settlements | ( | ) | ( | ) | |||
Mortgage delivery commitments | ( | ) | |||||
Total net gains (losses) related to derivatives not designated as hedging instruments | ( | ) | ( | ) | |||
Price alignment amount (1) | ( | ) | |||||
Net gains (losses) on derivatives and hedging activities | $ | ( | ) | $ | ( | ) |
(1) | This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
September 30, 2019 | |||||||||||||||
Derivative Instruments Meeting Netting Requirements | |||||||||||||||
Amount Recognized | Gross Amount of Netting Adjustments and Cash Collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | ||||||||||||
Derivative Assets: | |||||||||||||||
Uncleared | $ | $ | ( | ) | $ | $ | |||||||||
Cleared | |||||||||||||||
Total | $ | ||||||||||||||
Derivative Liabilities: | |||||||||||||||
Uncleared | $ | $ | ( | ) | $ | $ | |||||||||
Cleared | ( | ) | |||||||||||||
Total | $ | ||||||||||||||
December 31, 2018 | |||||||||||||||
Derivative Instruments Meeting Netting Requirements | |||||||||||||||
Amount Recognized | Gross Amount of Netting Adjustments and Cash Collateral | Derivative Instruments Not Meeting Netting Requirements (1) | Total Derivative Assets and Total Derivative Liabilities | ||||||||||||
Derivative Assets: | |||||||||||||||
Uncleared | $ | $ | ( | ) | $ | $ | |||||||||
Cleared | |||||||||||||||
Total | $ | ||||||||||||||
Derivative Liabilities: | |||||||||||||||
Uncleared | $ | $ | ( | ) | $ | $ | |||||||||
Cleared | ( | ) | |||||||||||||
Total | $ |
(1) | Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement. |
September 30, 2019 | December 31, 2018 | ||||||
Interest bearing: | |||||||
Demand and overnight | $ | $ | |||||
Term | |||||||
Other | |||||||
Total interest bearing | |||||||
Non-interest bearing: | |||||||
Other | |||||||
Total non-interest bearing | |||||||
Total deposits | $ | $ |
Book Value | Principal Amount | Weighted Average Interest Rate (1) | ||||||||
September 30, 2019 | $ | $ | % | |||||||
December 31, 2018 | $ | $ | % |
(1) | Represents an implied rate without consideration of concessions. |
September 30, 2019 | December 31, 2018 | |||||||||||||
Year of Original Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in 1 year or less | $ | % | $ | % | ||||||||||
Due after 1 year through 2 years | ||||||||||||||
Due after 2 years through 3 years | ||||||||||||||
Due after 3 years through 4 years | ||||||||||||||
Due after 4 years through 5 years | ||||||||||||||
Thereafter | ||||||||||||||
Total principal amount | ||||||||||||||
Premiums | ||||||||||||||
Discounts | ( | ) | ( | ) | ||||||||||
Hedging adjustments | ( | ) | ||||||||||||
Fair value option valuation adjustment and accrued interest | ( | ) | ||||||||||||
Total | $ | $ |
September 30, 2019 | December 31, 2018 | ||||||
Principal Amount of Consolidated Bonds: | |||||||
Non-callable | $ | $ | |||||
Callable | |||||||
Total principal amount | $ | $ |
Year of Original Contractual Maturity or Next Call Date | September 30, 2019 | December 31, 2018 | ||||||
Due in 1 year or less | $ | $ | ||||||
Due after 1 year through 2 years | ||||||||
Due after 2 years through 3 years | ||||||||
Due after 3 years through 4 years | ||||||||
Due after 4 years through 5 years | ||||||||
Thereafter | ||||||||
Total principal amount | $ | $ |
September 30, 2019 | December 31, 2018 | ||||||
Principal Amount of Consolidated Bonds: | |||||||
Fixed-rate | $ | $ | |||||
Variable-rate | |||||||
Step-up | |||||||
Total principal amount | $ | $ |
Balance at December 31, 2018 | $ | ||
Assessments (current year additions) | |||
Subsidy uses, net | ( | ) | |
Balance at September 30, 2019 | $ |
September 30, 2019 | December 31, 2018 | ||||||||||||||
Minimum Requirement | Actual | Minimum Requirement | Actual | ||||||||||||
Risk-based capital | $ | $ | $ | $ | |||||||||||
Capital-to-assets ratio (regulatory) | 4.00 | % | % | 4.00 | % | % | |||||||||
Regulatory capital | $ | $ | $ | $ | |||||||||||
Leverage capital-to-assets ratio (regulatory) | 5.00 | % | % | 5.00 | % | % | |||||||||
Leverage capital | $ | $ | $ | $ |
Balance, December 31, 2018 | $ | ||
Capital stock subject to mandatory redemption reclassified from equity | |||
Repurchase/redemption of mandatorily redeemable capital stock | ( | ) | |
Balance, September 30, 2019 | $ |
Contractual Year of Redemption | September 30, 2019 | December 31, 2018 | ||||||
Year 1 | $ | $ | ||||||
Year 2 | ||||||||
Year 3 | ||||||||
Year 4 | ||||||||
Year 5 | ||||||||
Thereafter (1) | ||||||||
Past contractual redemption date due to remaining activity (2) | ||||||||
Total | $ | $ |
(1) | Represents mandatorily redeemable capital stock resulting from a Finance Agency rule effective February 19, 2016, that made captive insurance companies ineligible for FHLB membership. Captive insurance companies that were admitted as FHLB members prior to September 12, 2014, will have their membership terminated no later than February 19, 2021. Captive insurance companies that were admitted as FHLB members on or after September 12, 2014, had their membership terminated no later than February 19, 2017. The related mandatorily redeemable capital stock is not required to be redeemed until five years after the member's termination. |
(2) | Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Net unrealized gains (losses) on available-for-sale securities | Pension and postretirement benefits | Total accumulated other comprehensive income (loss) | |||||||||
BALANCE, JUNE 30, 2018 | $ | $ | ( | ) | $ | ( | ) | ||||
Other comprehensive income before reclassification: | |||||||||||
Net unrealized gains (losses) | ( | ) | ( | ) | |||||||
Reclassifications from other comprehensive income (loss) to net income: | |||||||||||
Amortization - pension and postretirement benefits | |||||||||||
Net current period other comprehensive income (loss) | ( | ) | |||||||||
BALANCE, SEPTEMBER 30, 2018 | $ | $ | ( | ) | $ | ( | ) | ||||
BALANCE, JUNE 30, 2019 | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||
Other comprehensive income before reclassification: | |||||||||||
Net unrealized gains (losses) | ( | ) | ( | ) | |||||||
Reclassifications from other comprehensive income (loss) to net income: | |||||||||||
Amortization - pension and postretirement benefits | |||||||||||
Net current period other comprehensive income (loss) | ( | ) | |||||||||
BALANCE, SEPTEMBER 30, 2019 | $ | ( | ) | $ | ( | ) | $ | ( | ) |
Net unrealized gains (losses) on available-for-sale securities | Pension and postretirement benefits | Total accumulated other comprehensive income (loss) | |||||||||
BALANCE, DECEMBER 31, 2017 | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||
Other comprehensive income before reclassification: | |||||||||||
Net unrealized gains (losses) | |||||||||||
Reclassifications from other comprehensive income (loss) to net income: | |||||||||||
Amortization - pension and postretirement benefits | |||||||||||
Net current period other comprehensive income (loss) | |||||||||||
BALANCE, SEPTEMBER 30, 2018 | $ | $ | ( | ) | $ | ( | ) | ||||
BALANCE, DECEMBER 31, 2018 | $ | ( | ) | $ | ( | ) | $ | ( | ) | ||
Other comprehensive income before reclassification: | |||||||||||
Net unrealized gains (losses) | ( | ) | ( | ) | |||||||
Reclassifications from other comprehensive income (loss) to net income: | |||||||||||
Amortization - pension and postretirement benefits | |||||||||||
Net current period other comprehensive income (loss) | ( | ) | |||||||||
BALANCE, SEPTEMBER 30, 2019 | $ | ( | ) | $ | ( | ) | $ | ( | ) |
Three Months Ended September 30, | |||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Net Periodic Benefit Cost | |||||||||||||||
Service cost | $ | $ | $ | $ | |||||||||||
Interest cost | |||||||||||||||
Amortization of net loss | |||||||||||||||
Net periodic benefit cost | $ | $ | $ | $ | |||||||||||
Nine Months Ended September 30, | |||||||||||||||
Defined Benefit Retirement Plan | Postretirement Benefits Plan | ||||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Net Periodic Benefit Cost | |||||||||||||||
Service cost | $ | $ | $ | $ | |||||||||||
Interest cost | |||||||||||||||
Amortization of net loss | |||||||||||||||
Net periodic benefit cost | $ | $ | $ | $ |
Three Months Ended September 30, | |||||||||||
Traditional Member Finance | MPP | Total | |||||||||
2019 | |||||||||||
Net interest income | $ | $ | $ | ||||||||
Non-interest income (loss) | ( | ) | |||||||||
Non-interest expense | |||||||||||
Income before assessments | |||||||||||
Affordable Housing Program assessments | |||||||||||
Net income | $ | $ | $ | ||||||||
2018 | |||||||||||
Net interest income | $ | $ | $ | ||||||||
Non-interest income (loss) | ( | ) | ( | ) | ( | ) | |||||
Non-interest expense | |||||||||||
Income before assessments | |||||||||||
Affordable Housing Program assessments | |||||||||||
Net income | $ | $ | $ |
Nine Months Ended September 30, | |||||||||||
Traditional Member Finance | MPP | Total | |||||||||
2019 | |||||||||||
Net interest income | $ | $ | $ | ||||||||
Non-interest income (loss) | ( | ) | ( | ) | |||||||
Non-interest expense | |||||||||||
Income before assessments | |||||||||||
Affordable Housing Program assessments | |||||||||||
Net income | $ | $ | $ | ||||||||
2018 | |||||||||||
Net interest income | $ | $ | $ | ||||||||
Non-interest income (loss) | ( | ) | ( | ) | ( | ) | |||||
Non-interest expense | |||||||||||
Income before assessments | |||||||||||
Affordable Housing Program assessments | |||||||||||
Net income | $ | $ | $ |
Assets | |||||||||||
Traditional Member Finance | MPP | Total | |||||||||
September 30, 2019 | $ | $ | $ | ||||||||
December 31, 2018 |
September 30, 2019 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | ||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||
Securities purchased under agreements to resell | — | ||||||||||||||||||||||
Federal funds sold | — | ||||||||||||||||||||||
Trading securities | — | ||||||||||||||||||||||
Available-for-sale securities | — | ||||||||||||||||||||||
Held-to-maturity securities | — | ||||||||||||||||||||||
Advances (2) | — | ||||||||||||||||||||||
Mortgage loans held for portfolio, net | — | ||||||||||||||||||||||
Accrued interest receivable | — | ||||||||||||||||||||||
Derivative assets | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | — | ||||||||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||
Discount Notes (3) | — | ||||||||||||||||||||||
Bonds (4) | — | ||||||||||||||||||||||
Mandatorily redeemable capital stock | — | ||||||||||||||||||||||
Accrued interest payable | — | ||||||||||||||||||||||
Derivative liabilities | ( | ) | |||||||||||||||||||||
Other: | |||||||||||||||||||||||
Standby bond purchase agreements | — |
(1) | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
(2) | Includes (in thousands) $ |
(3) | Includes (in thousands) $ |
(4) | Includes (in thousands) $ |
December 31, 2018 | |||||||||||||||||||||||
Fair Value | |||||||||||||||||||||||
Financial Instruments | Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | ||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||
Securities purchased under agreements to resell | — | ||||||||||||||||||||||
Federal funds sold | — | ||||||||||||||||||||||
Trading securities | — | ||||||||||||||||||||||
Available-for-sale securities | — | ||||||||||||||||||||||
Held-to-maturity securities | — | ||||||||||||||||||||||
Advances (2) | — | ||||||||||||||||||||||
Mortgage loans held for portfolio, net | — | ||||||||||||||||||||||
Accrued interest receivable | — | ||||||||||||||||||||||
Derivative assets | |||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Deposits | — | ||||||||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||||||
Discount Notes | — | ||||||||||||||||||||||
Bonds (3) | — | ||||||||||||||||||||||
Mandatorily redeemable capital stock | — | ||||||||||||||||||||||
Accrued interest payable | — | ||||||||||||||||||||||
Derivative liabilities | ( | ) | |||||||||||||||||||||
Other: | |||||||||||||||||||||||
Standby bond purchase agreements | — |
(1) | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
(2) | Includes (in thousands) $ |
(3) | Includes (in thousands) $ |
Fair Value Measurements at September 30, 2019 | |||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | $ | — | |||||||||||||
GSE obligations | — | ||||||||||||||||||
U.S. obligation single-family MBS | — | ||||||||||||||||||
Total trading securities | — | ||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Certificates of deposit | — | ||||||||||||||||||
GSE obligations | — | ||||||||||||||||||
Total available-for-sale securities | — | ||||||||||||||||||
Advances | — | ||||||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate related | |||||||||||||||||||
Forward rate agreements | — | ||||||||||||||||||
Mortgage delivery commitments | — | ||||||||||||||||||
Total derivative assets | |||||||||||||||||||
Total assets at fair value | $ | $ | $ | $ | $ | ||||||||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||||
Consolidated Obligations: | |||||||||||||||||||
Discount Notes | $ | $ | $ | $ | $ | — | |||||||||||||
Bonds | — | ||||||||||||||||||
Total Consolidated Obligations | — | ||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate related | ( | ) | |||||||||||||||||
Forward rate agreements | — | ||||||||||||||||||
Mortgage delivery commitments | — | ||||||||||||||||||
Total derivative liabilities | ( | ) | |||||||||||||||||
Total liabilities at fair value | $ | $ | $ | $ | $ | ( | ) |
(1) | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
Fair Value Measurements at December 31, 2018 | |||||||||||||||||||
Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | |||||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
GSE obligations | $ | $ | $ | $ | $ | — | |||||||||||||
U.S. obligation single-family MBS | — | ||||||||||||||||||
Total trading securities | — | ||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Certificates of deposit | — | ||||||||||||||||||
GSE obligations | — | ||||||||||||||||||
Total available-for-sale securities | — | ||||||||||||||||||
Advances | — | ||||||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest rate related | |||||||||||||||||||
Mortgage delivery commitments | — | ||||||||||||||||||
Total derivative assets | |||||||||||||||||||
Total assets at fair value | $ | $ | $ | $ | $ | ||||||||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||||
Consolidated Obligation Bonds | $ | $ | $ | $ | $ | — | |||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest rate related | ( | ) | |||||||||||||||||
Forward rate agreements | — | ||||||||||||||||||
Mortgage delivery commitments | — | ||||||||||||||||||
Total derivative liabilities | ( | ) | |||||||||||||||||
Total liabilities at fair value | $ | $ | $ | $ | $ | ( | ) | ||||||||||||
Nonrecurring fair value measurements - Assets (2) | |||||||||||||||||||
Mortgage loans held for portfolio | $ | $ | $ | $ |
(1) | Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. |
(2) | The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2018. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
Net Gains (Losses) from Changes in Fair Value Recognized in Earnings | 2019 | 2018 | 2019 | 2018 | |||||||||||
Advances | $ | $ | ( | ) | $ | $ | ( | ) | |||||||
Consolidated Discount Notes | ( | ) | ( | ) | |||||||||||
Consolidated Bonds | ( | ) | ( | ) | ( | ) | |||||||||
Total net gains (losses) | $ | ( | ) | $ | ( | ) | $ | ( | ) | $ |
▪ | The FHLB is a federally chartered GSE, and as a result of this status, the FHLB’s Consolidated Obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not Obligations of the United States and are not guaranteed by the United States. |
▪ | The FHLB is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all Consolidated Obligations of each of the other FHLBanks. |
September 30, 2019 | December 31, 2018 | ||||||||||||||||||||||
Aggregate Unpaid Principal Balance | Aggregate Fair Value | Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance | Aggregate Unpaid Principal Balance | Aggregate Fair Value | Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance | ||||||||||||||||||
Advances (1) | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Consolidated Discount Notes | ( | ) | |||||||||||||||||||||
Consolidated Bonds | ( | ) |
(1) | At September 30, 2019 and December 31, 2018, none of the Advances were 90 days or more past due or had been placed on non-accrual status. |
September 30, 2019 | December 31, 2018 | ||||||||||||||||||||||
Notional Amount | Expire within one year | Expire after one year | Total | Expire within one year | Expire after one year | Total | |||||||||||||||||
Standby Letters of Credit | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Commitments for standby bond purchases | |||||||||||||||||||||||
Commitments to purchase mortgage loans | |||||||||||||||||||||||
Unsettled Consolidated Bonds, principal amount (1) | |||||||||||||||||||||||
Unsettled Consolidated Discount Notes, principal amount (1) |
(1) | Expiration is based on settlement period rather than underlying contractual maturity of Consolidated Obligations. |
Average Daily Balances for the Nine Months Ended September 30, | |||||||
2019 | 2018 | ||||||
Loans to other FHLBanks | $ | $ | |||||
Borrowings from other FHLBanks |
September 30, 2019 | December 31, 2018 | ||||||||||||
Balance | % of Total (1) | Balance | % of Total (1) | ||||||||||
Advances | $ | % | $ | % | |||||||||
MPP | |||||||||||||
Regulatory capital stock |
(1) | Percentage of total principal (Advances), unpaid principal balance (MPP), and regulatory capital stock. |
Regulatory Capital Stock | Advance | MPP Unpaid | ||||||||||||
September 30, 2019 | Balance | % of Total | Principal | Principal Balance | ||||||||||
JPMorgan Chase Bank, N.A. | $ | % | $ | $ | ||||||||||
U.S. Bank, N.A. |
Regulatory Capital Stock | Advance | MPP Unpaid | ||||||||||||
December 31, 2018 | Balance | % of Total | Principal | Principal Balance | ||||||||||
JPMorgan Chase Bank, N.A. | $ | % | $ | $ | ||||||||||
U.S. Bank, N.A. | ||||||||||||||
The Huntington National Bank |
▪ | the effects of economic, financial, credit, market, and member conditions on our financial condition and results of operations, including changes in economic growth, general liquidity conditions, inflation and deflation, interest rates, interest rate spreads, interest rate volatility, mortgage originations, prepayment activity, housing prices, asset delinquencies, and members' mergers and consolidations, deposit flows, liquidity needs, and loan demand; |
▪ | political events, including legislative, regulatory, federal government, judicial or other developments that could affect us, our members, our counterparties, other Federal Home Loan Banks (FHLBanks) and other government-sponsored enterprises (GSEs), and/or investors in the Federal Home Loan Bank System's (FHLBank System) debt securities, which are called Consolidated Obligations or Obligations; |
▪ | competitive forces, including those related to other sources of funding available to members, to purchases of mortgage loans, and to our issuance of Consolidated Obligations; |
▪ | the financial results and actions of other FHLBanks that could affect our ability, in relation to the FHLBank System's joint and several liability for Consolidated Obligations, to access the capital markets on favorable terms or preserve our profitability, or could alter the regulations and legislation to which we are subject; |
▪ | changes in ratings assigned to FHLBank System Obligations or the FHLB that could raise our funding cost; |
▪ | changes in investor demand for Obligations; |
▪ | the volatility of market prices, interest rates, credit quality, and other indices that could affect the value of investments and collateral we hold as security for member obligations and/or for counterparty obligations; |
▪ | uncertainties relating to the phasing out of the London InterBank Offered Rate (LIBOR) that could impact our mortgage-backed securities (MBS) investments, Advances, Consolidated Obligations, derivatives, and collateral; |
▪ | the ability to attract and retain skilled management and other key employees; |
▪ | the ability to develop and support technology and information systems that effectively manage the risks we face (including cybersecurity risks); |
▪ | the risk of loss arising from failures or interruptions in our ongoing business operations, internal controls, information systems or other operating technologies; |
▪ | the ability to successfully manage new products and services; and |
▪ | the risk of loss arising from litigation filed against us or one or more other FHLBanks. |
(Dollars in millions) | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | September 30, 2018 | ||||||||||||||
STATEMENT OF CONDITION DATA AT PERIOD END: | |||||||||||||||||||
Total assets | $ | 100,211 | $ | 96,424 | $ | 103,378 | $ | 99,203 | $ | 99,796 | |||||||||
Advances | 46,358 | 42,869 | 54,880 | 54,822 | 57,771 | ||||||||||||||
Mortgage loans held for portfolio | 10,885 | 10,640 | 10,520 | 10,502 | 10,182 | ||||||||||||||
Allowance for credit losses on mortgage loans | 1 | 1 | 1 | 1 | 1 | ||||||||||||||
Investments (1) | 42,442 | 42,444 | 37,550 | 33,614 | 31,580 | ||||||||||||||
Consolidated Obligations, net: | |||||||||||||||||||
Discount Notes | 49,553 | 41,493 | 44,212 | 46,944 | 45,313 | ||||||||||||||
Bonds | 44,591 | 48,780 | 52,124 | 45,659 | 46,913 | ||||||||||||||
Total Consolidated Obligations, net | 94,144 | 90,273 | 96,336 | 92,603 | 92,226 | ||||||||||||||
Mandatorily redeemable capital stock | 26 | 23 | 23 | 23 | 22 | ||||||||||||||
Capital: | |||||||||||||||||||
Capital stock - putable | 3,597 | 3,806 | 4,059 | 4,320 | 4,242 | ||||||||||||||
Retained earnings | 1,055 | 1,037 | 1,031 | 1,023 | 1,008 | ||||||||||||||
Accumulated other comprehensive loss | (12 | ) | (12 | ) | (13 | ) | (13 | ) | (15 | ) | |||||||||
Total capital | 4,640 | 4,831 | 5,077 | 5,330 | 5,235 | ||||||||||||||
STATEMENT OF INCOME DATA FOR THE QUARTER: | |||||||||||||||||||
Net interest income | $ | 87 | $ | 97 | $ | 122 | $ | 121 | $ | 130 | |||||||||
Non-interest income (loss) | 5 | (3 | ) | (18 | ) | (11 | ) | (9 | ) | ||||||||||
Non-interest expense | 22 | 23 | 23 | 21 | 19 | ||||||||||||||
Affordable Housing Program assessments | 7 | 7 | 8 | 9 | 10 | ||||||||||||||
Net income | $ | 63 | $ | 64 | $ | 73 | $ | 80 | $ | 92 | |||||||||
FINANCIAL RATIOS FOR THE QUARTER: | |||||||||||||||||||
Dividend payout ratio (2) | 71.7 | % | 90.1 | % | 89.4 | % | 80.8 | % | 74.0 | % | |||||||||
Weighted average dividend rate (3) | 4.50 | 5.50 | 6.00 | 6.00 | 6.00 | ||||||||||||||
Return on average equity | 5.36 | 5.09 | 5.59 | 5.90 | 6.87 | ||||||||||||||
Return on average assets | 0.26 | 0.26 | 0.28 | 0.30 | 0.36 | ||||||||||||||
Net interest margin (4) | 0.36 | 0.40 | 0.47 | 0.46 | 0.52 | ||||||||||||||
Average equity to average assets | 4.86 | 5.15 | 5.07 | 5.16 | 5.27 | ||||||||||||||
Regulatory capital ratio (5) | 4.67 | 5.05 | 4.95 | 5.41 | 5.28 | ||||||||||||||
Operating expense to average assets (6) | 0.069 | 0.069 | 0.070 | 0.064 | 0.060 |
(1) | Investments include interest bearing deposits in banks, securities purchased under agreements to resell, Federal funds sold, trading securities, available-for-sale securities, and held-to-maturity securities. |
(2) | Dividend payout ratio is dividends declared in the period as a percentage of net income. |
(3) | Weighted average dividend rates are dividends paid divided by the average number of shares of capital stock eligible for dividends. |
(4) | Net interest margin is net interest income as a percentage of average earning assets. |
(5) | Regulatory capital ratio is period-end regulatory capital (capital stock, mandatorily redeemable capital stock and retained earnings) as a percentage of period-end total assets. |
(6) | Operating expenses comprise compensation and benefits and other operating expenses, which are included in non-interest expense. |
Ending Balances | Average Balances | ||||||||||||||||||||||
September 30, | December 31, | Nine Months Ended September 30, | Year Ended December 31, | ||||||||||||||||||||
(In millions) | 2019 | 2018 | 2018 | 2019 | 2018 | 2018 | |||||||||||||||||
Mission Asset Activity: | |||||||||||||||||||||||
Advances (principal) | $ | 46,186 | $ | 57,886 | $ | 54,872 | $ | 51,353 | $ | 66,005 | $ | 65,593 | |||||||||||
Mortgage Purchase Program (MPP): | |||||||||||||||||||||||
Mortgage loans held for portfolio (principal) | 10,637 | 9,955 | 10,272 | 10,371 | 9,612 | 9,743 | |||||||||||||||||
Mandatory Delivery Contracts (notional) | 738 | 298 | 146 | 417 | 294 | 287 | |||||||||||||||||
Total MPP | 11,375 | 10,253 | 10,418 | 10,788 | 9,906 | 10,030 | |||||||||||||||||
Letters of Credit (notional) | 16,090 | 13,952 | 14,847 | 14,878 | 14,785 | 14,619 | |||||||||||||||||
Total Mission Asset Activity | $ | 73,651 | $ | 82,091 | $ | 80,137 | $ | 77,019 | $ | 90,696 | $ | 90,242 |
Three Months Ended September 30, | Nine Months Ended September 30, | Year Ended December 31, | |||||||||||||||||
(Dollars in millions) | 2019 | 2018 | 2019 | 2018 | 2018 | ||||||||||||||
Net income | $ | 63 | $ | 92 | $ | 200 | $ | 259 | $ | 339 | |||||||||
Affordable Housing Program assessments | 7 | 10 | 22 | 29 | 38 | ||||||||||||||
Return on average equity (ROE) | 5.36 | % | 6.87 | % | 5.35 | % | 6.41 | % | 6.29 | % | |||||||||
Return on average assets | 0.26 | 0.36 | 0.27 | 0.33 | 0.32 | ||||||||||||||
Weighted average dividend rate | 4.50 | 6.00 | 5.36 | 5.84 | 5.88 | ||||||||||||||
Average 3-month LIBOR | 2.20 | 2.34 | 2.46 | 2.20 | 2.31 | ||||||||||||||
ROE spread to 3-month LIBOR | 3.16 | 4.53 | 2.89 | 4.21 | 3.98 | ||||||||||||||
Dividend rate spread to 3-month LIBOR | 2.30 | 3.66 | 2.90 | 3.64 | 3.57 |
Nine Months Ended September 30, | |||||||||||||||||||||||||||||
Quarter 3 2019 | Quarter 2 2019 | Quarter 1 2019 | 2019 | 2018 | Year 2018 | ||||||||||||||||||||||||
Ending | Average | Ending | Average | Ending | Average | Average | Average | Ending | Average | ||||||||||||||||||||
Federal funds effective | 1.90 | % | 2.19 | % | 2.40 | % | 2.40 | % | 2.43 | % | 2.40 | % | 2.33 | % | 1.71 | % | 2.40 | % | 1.83 | % | |||||||||
Secured Overnight Financing Rate (SOFR) | 2.35 | 2.26 | 2.50 | 2.43 | 2.65 | 2.44 | 2.38 | 1.71 | 3.00 | 1.85 | |||||||||||||||||||
3-month LIBOR | 2.09 | 2.20 | 2.32 | 2.51 | 2.60 | 2.69 | 2.46 | 2.20 | 2.81 | 2.31 | |||||||||||||||||||
2-year LIBOR | 1.63 | 1.70 | 1.81 | 2.20 | 2.38 | 2.62 | 2.17 | 2.67 | 2.66 | 2.75 | |||||||||||||||||||
10-year LIBOR | 1.56 | 1.70 | 1.96 | 2.30 | 2.41 | 2.67 | 2.22 | 2.91 | 2.71 | 2.95 | |||||||||||||||||||
2-year U.S. Treasury | 1.62 | 1.69 | 1.76 | 2.13 | 2.26 | 2.49 | 2.10 | 2.43 | 2.49 | 2.52 | |||||||||||||||||||
10-year U.S. Treasury | 1.67 | 1.79 | 2.01 | 2.33 | 2.41 | 2.65 | 2.26 | 2.87 | 2.69 | 2.91 | |||||||||||||||||||
15-year mortgage current coupon (1) | 2.20 | 2.22 | 2.29 | 2.63 | 2.67 | 2.97 | 2.60 | 3.13 | 3.06 | 3.20 | |||||||||||||||||||
30-year mortgage current coupon (1) | 2.60 | 2.62 | 2.73 | 3.07 | 3.11 | 3.41 | 3.03 | 3.57 | 3.51 | 3.65 |
(1) | Simple average of current coupon rates of Fannie Mae and Freddie Mac par MBS indications. |
(Dollars in millions) | September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | |||||||||||||||||||||||
Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | Balance | Percent(1) | ||||||||||||||||||||
Adjustable/Variable-Rate Indexed: | |||||||||||||||||||||||||||
LIBOR | $ | 13,604 | 29 | % | $ | 16,127 | 37 | % | $ | 20,462 | 38 | % | $ | 28,740 | 52 | % | |||||||||||
SOFR | 1,050 | 2 | 1,050 | 3 | 1,400 | 2 | 1,400 | 3 | |||||||||||||||||||
Other | 379 | 1 | 416 | 1 | 394 | 1 | 744 | 1 | |||||||||||||||||||
Total | 15,033 | 32 | 17,593 | 41 | 22,256 | 41 | 30,884 | 56 | |||||||||||||||||||
Fixed-Rate: | |||||||||||||||||||||||||||
Repurchase based (REPO) | 13,399 | 29 | 7,520 | 17 | 15,187 | 28 | 7,003 | 13 | |||||||||||||||||||
Regular Fixed-Rate | 12,364 | 27 | 11,486 | 27 | 10,991 | 20 | 10,972 | 20 | |||||||||||||||||||
Putable (2) | 1,414 | 3 | 1,020 | 3 | 885 | 1 | 460 | 1 | |||||||||||||||||||
Amortizing/Mortgage Matched | 2,583 | 6 | 2,646 | 6 | 2,753 | 5 | 2,702 | 5 | |||||||||||||||||||
Other | 1,393 | 3 | 2,490 | 6 | 2,806 | 5 | 2,851 | 5 | |||||||||||||||||||
Total | 31,153 | 68 | 25,162 | 59 | 32,622 | 59 | 23,988 | 44 | |||||||||||||||||||
Total Advances Principal | $ | 46,186 | 100 | % | $ | 42,755 | 100 | % | $ | 54,878 | 100 | % | $ | 54,872 | 100 | % | |||||||||||
Letters of Credit (notional) | $ | 16,090 | $ | 15,697 | $ | 13,812 | $ | 14,847 |
(1) | As a percentage of total Advances principal. |
(2) | Excludes Putable Advances where the related put options have expired or where the Advance is indexed to a variable-rate. These Advances are classified based on their current terms. |
September 30, 2019 | June 30, 2019 | March 31, 2019 | December 31, 2018 | ||||||||
Average Advances-to-assets for members | |||||||||||
Assets less than $1.0 billion (546 members) | 2.71 | % | 2.67 | % | 2.82 | % | 3.05 | % | |||
Assets over $1.0 billion (93 members) | 3.87 | 3.65 | 3.67 | 4.26 | |||||||
All members | 2.88 | 2.81 | 2.94 | 3.22 |
(Dollars in millions) | ||||||||||||||||
September 30, 2019 | December 31, 2018 | |||||||||||||||
Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | Name | Principal Amount of Advances | Percent of Total Principal Amount of Advances | |||||||||||
JPMorgan Chase Bank, N.A. | $ | 8,050 | 17 | % | JPMorgan Chase Bank, N.A. | $ | 23,400 | 43 | % | |||||||
U.S. Bank, N.A. | 4,974 | 11 | U.S. Bank, N.A. | 4,574 | 8 | |||||||||||
Third Federal Savings and Loan Association | 3,896 | 8 | Third Federal Savings and Loan Association | 3,727 | 7 | |||||||||||
Fifth Third Bank | 2,856 | 6 | Nationwide Life Insurance Company | 2,510 | 5 | |||||||||||
1st Tennessee Bank, N.A. | 2,150 | 4 | Pinnacle Bank | 1,444 | 3 | |||||||||||
Total of Top 5 | $ | 21,926 | 46 | % | Total of Top 5 | $ | 35,655 | 66 | % |
(In millions) | MPP Principal | ||
Balance at December 31, 2018 | $ | 10,272 | |
Principal purchases | 1,587 | ||
Principal reductions | (1,222 | ) | |
Balance at September 30, 2019 | $ | 10,637 |
Nine Months Ended | Year Ended | ||||||||||||||
(In millions) | September 30, 2019 | December 31, 2018 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Liquidity investments | $ | 28,406 | $ | 21,358 | $ | 17,858 | $ | 13,989 | |||||||
MBS | 14,036 | 15,451 | 15,756 | 15,741 | |||||||||||
Other investments (1) | — | 203 | — | 64 | |||||||||||
Total investments | $ | 42,442 | $ | 37,012 | $ | 33,614 | $ | 29,794 |
(1) | The average balance includes the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end. |
(In millions) | MBS Principal | ||
Balance at December 31, 2018 | $ | 15,734 | |
Principal purchases | 909 | ||
Principal paydowns | (2,625 | ) | |
Balance at September 30, 2019 | $ | 14,018 |
Nine Months Ended | Year Ended | ||||||||||||||
(In millions) | September 30, 2019 | December 31, 2018 | |||||||||||||
Ending Balance | Average Balance | Ending Balance | Average Balance | ||||||||||||
Discount Notes: | |||||||||||||||
Unswapped | $ | 35,703 | $ | 41,570 | $ | 47,071 | $ | 49,273 | |||||||
Swapped | 13,937 | 3,546 | — | — | |||||||||||
Total par Discount Notes | 49,640 | 45,116 | 47,071 | 49,273 | |||||||||||
Other items (1) | (87 | ) | (104 | ) | (127 | ) | (88 | ) | |||||||
Total Discount Notes | 49,553 | 45,012 | 46,944 | 49,185 | |||||||||||
Bonds: | |||||||||||||||
Unswapped fixed-rate | 22,850 | 25,096 | 25,982 | 26,566 | |||||||||||
Unswapped adjustable-rate (2) | 15,904 | 16,899 | 15,470 | 16,967 | |||||||||||
Swapped fixed-rate | 5,769 | 5,832 | 4,195 | 5,982 | |||||||||||
Total par Bonds | 44,523 | 47,827 | 45,647 | 49,515 | |||||||||||
Other items (1) | 68 | 40 | 12 | (13 | ) | ||||||||||
Total Bonds | 44,591 | 47,867 | 45,659 | 49,502 | |||||||||||
Total Consolidated Obligations (3) | $ | 94,144 | $ | 92,879 | $ | 92,603 | $ | 98,687 |
(1) | Includes unamortized premiums/discounts, fair value option valuation adjustments, hedging and other basis adjustments. |
(2) | Unswapped adjustable-rate Bonds are indexed to either LIBOR or SOFR. At September 30, 2019, 1 percent were indexed to LIBOR and 99 percent were indexed to SOFR. At December 31, 2018, 69 percent were indexed to LIBOR and 31 percent were indexed to SOFR. |
(3) | The 11 FHLBanks have joint and several liability for the par amount of all of the Consolidated Obligations issued on their behalves. The par amount of the outstanding Consolidated Obligations for all of the FHLBanks was (in millions) $1,010,271 and $1,031,617 at September 30, 2019 and December 31, 2018, respectively. |
Nine Months Ended | Year Ended | ||||||||||||||
(In millions) | September 30, 2019 | December 31, 2018 | |||||||||||||
Period End | Average | Period End | Average | ||||||||||||
GAAP and Regulatory Capital | |||||||||||||||
GAAP Capital Stock | $ | 3,597 | $ | 3,949 | $ | 4,320 | $ | 4,387 | |||||||
Mandatorily Redeemable Capital Stock | 26 | 25 | 23 | 30 | |||||||||||
Regulatory Capital Stock | 3,623 | 3,974 | 4,343 | 4,417 | |||||||||||
Retained Earnings | 1,055 | 1,066 | 1,023 | 1,025 | |||||||||||
Regulatory Capital | $ | 4,678 | $ | 5,040 | $ | 5,366 | $ | 5,442 |
Nine Months Ended | Year Ended | ||||||||||
September 30, 2019 | December 31, 2018 | ||||||||||
Period End | Average | Period End | Average | ||||||||
GAAP and Regulatory Capital-to-Assets Ratio | |||||||||||
GAAP | 4.63 | % | 5.03 | % | 5.37 | % | 5.11 | % | |||
Regulatory (1) | 4.67 | 5.07 | 5.41 | 5.16 |
(1) | At all times, the FHLBanks must maintain at least a four percent minimum regulatory capital-to-assets ratio. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||
(Dollars in millions) | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||
Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | Amount | ROE (1) | ||||||||||||||||||||
Net interest income | $ | 87 | 7.46 | % | $ | 130 | 9.76 | % | $ | 307 | 8.21 | % | $ | 377 | 9.34 | % | |||||||||||
Non-interest income (loss): | |||||||||||||||||||||||||||
Net gains (losses) on investment securities | 70 | 6.00 | 1 | 0.06 | 264 | 7.05 | 1 | 0.02 | |||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (60 | ) | (5.15 | ) | (9 | ) | (0.66 | ) | (238 | ) | (6.37 | ) | (46 | ) | (1.15 | ) | |||||||||||
Net gains (losses) on financial instruments held under fair value option | (8 | ) | (0.74 | ) | (4 | ) | (0.27 | ) | (51 | ) | (1.35 | ) | 12 | 0.30 | |||||||||||||
Other non-interest income, net | 3 | 0.26 | 3 | 0.20 | 8 | 0.22 | 8 | 0.20 | |||||||||||||||||||
Total non-interest income (loss) | 5 | 0.37 | (9 | ) | (0.67 | ) | (17 | ) | (0.45 | ) | (25 | ) | (0.63 | ) | |||||||||||||
Total income | 92 | 7.83 | 121 | 9.09 | 290 | 7.76 | 352 | 8.71 | |||||||||||||||||||
Non-interest expense | 22 | 1.87 | 19 | 1.45 | 68 | 1.81 | 64 | 1.58 | |||||||||||||||||||
Affordable Housing Program assessments | 7 | 0.60 | 10 | 0.77 | 22 | 0.60 | 29 | 0.72 | |||||||||||||||||||
Net income | $ | 63 | 5.36 | % | $ | 92 | 6.87 | % | $ | 200 | 5.35 | % | $ | 259 | 6.41 | % |
(1) | The ROE amounts have been computed using dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may produce nominally different results. |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||
(Dollars in millions) | 2019 | 2018 | 2019 | 2018 | |||||||||||||||||||||||
Amount | % of Earning Assets | Amount | % of Earning Assets | Amount | % of Earning Assets | Amount | % of Earning Assets | ||||||||||||||||||||
Components of net interest rate spread: | |||||||||||||||||||||||||||
Net (amortization)/accretion (1) (2) | $ | (12 | ) | (0.05 | )% | $ | (5 | ) | (0.02 | )% | $ | (23 | ) | (0.03 | )% | $ | (13 | ) | (0.02 | )% | |||||||
Prepayment fees on Advances, net (2) | 1 | — | — | — | 1 | — | 1 | — | |||||||||||||||||||
Other components of net interest rate spread | 70 | 0.30 | 107 | 0.43 | 236 | 0.32 | 313 | 0.40 | |||||||||||||||||||
Total net interest rate spread | 59 | 0.25 | 102 | 0.41 | 214 | 0.29 | 301 | 0.38 | |||||||||||||||||||
Earnings from funding assets with interest-free capital | 28 | 0.11 | 28 | 0.11 | 93 | 0.12 | 76 | 0.10 | |||||||||||||||||||
Total net interest income/net interest margin (3) | $ | 87 | 0.36 | % | $ | 130 | 0.52 | % | $ | 307 | 0.41 | % | $ | 377 | 0.48 | % |
(1) | Includes monthly recognition of premiums and discounts paid on purchases of mortgage assets, premiums, discounts and concessions paid on Consolidated Obligations and other hedging basis adjustments. |
(2) | This component of net interest rate spread has been segregated to display its relative impact. |
(3) | Net interest margin is net interest income as a percentage of average total interest earning assets. |
▪ | Lower spreads on Advances-Unfavorable: Lower spreads earned on certain Advances decreased net interest income by an estimated $53 million. The lower spreads were driven by a narrower spread on LIBOR-indexed Advances funded with Discount Notes and a change in composition of Advances as a result of paydowns of Advances that earned relatively higher spreads. |
▪ | Lower average Advance balances-Unfavorable: The $14.5 billion decline in average Advance balances decreased net interest income by an estimated $23 million. The decline in average Advance balances was primarily due to the reduction in borrowings by a few large-asset members. |
▪ | Lower spreads on non-mortgage investments-Unfavorable: Lower spreads on non-mortgage investments decreased net interest income by an estimated $8 million. This decrease in net interest income was partially offset by earnings increases in non-interest income related to derivatives and hedging activities and fair value adjustments as many of these non-mortgage investments were classified as trading securities and hedged with interest rate swaps. |
▪ | Growth in average MPP balances-Favorable: The $0.8 billion increase in the average balance of mortgage loans held for portfolio improved net interest income by an estimated $7 million. |
(Dollars in millions) | Three Months Ended | Three Months Ended | |||||||||||||||||||
September 30, 2019 | September 30, 2018 | ||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Advances | $ | 44,153 | $ | 268 | 2.41 | % | $ | 59,109 | $ | 342 | 2.30 | % | |||||||||
Mortgage loans held for portfolio (2) | 10,749 | 83 | 3.08 | 10,005 | 80 | 3.18 | |||||||||||||||
Federal funds sold and securities purchased under resale agreements | 13,369 | 76 | 2.24 | 12,005 | 60 | 1.98 | |||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 1,178 | 6 | 2.12 | 2,539 | 15 | 2.25 | |||||||||||||||
Mortgage-backed securities | 14,908 | 95 | 2.52 | 16,385 | 101 | 2.45 | |||||||||||||||
Other investments (4) | 10,546 | 63 | 2.36 | 41 | — | 2.22 | |||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||
Total interest-earning assets | 94,903 | 591 | 2.47 | 100,084 | 598 | 2.37 | |||||||||||||||
Less: allowance for credit losses on mortgage loans | 1 | 1 | |||||||||||||||||||
Other assets | 520 | 289 | |||||||||||||||||||
Total assets | $ | 95,422 | $ | 100,372 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Term deposits | $ | 39 | — | 2.47 | $ | 86 | — | 1.83 | |||||||||||||
Other interest bearing deposits (5) | 829 | 4 | 1.96 | 707 | 3 | 1.72 | |||||||||||||||
Discount Notes | 43,332 | 239 | 2.18 | 41,694 | 208 | 1.98 | |||||||||||||||
Unswapped fixed-rate Bonds | 23,952 | 138 | 2.29 | 26,391 | 138 | 2.07 | |||||||||||||||
Unswapped adjustable-rate Bonds | 15,149 | 90 | 2.35 | 19,126 | 97 | 2.02 | |||||||||||||||
Swapped Bonds | 6,565 | 33 | 1.97 | 6,434 | 21 | 1.28 | |||||||||||||||
Mandatorily redeemable capital stock | 27 | — | 3.75 | 26 | 1 | 6.22 | |||||||||||||||
Other borrowings | — | — | 2.19 | — | — | — | |||||||||||||||
Total interest-bearing liabilities | 89,893 | 504 | 2.22 | 94,464 | 468 | 1.96 | |||||||||||||||
Non-interest bearing deposits | 9 | 5 | |||||||||||||||||||
Other liabilities | 881 | 613 | |||||||||||||||||||
Total capital | 4,639 | 5,290 | |||||||||||||||||||
Total liabilities and capital | $ | 95,422 | $ | 100,372 | |||||||||||||||||
Net interest rate spread | 0.25 | % | 0.41 | % | |||||||||||||||||
Net interest income and net interest margin (6) | $ | 87 | 0.36 | % | $ | 130 | 0.52 | % | |||||||||||||
Average interest-earning assets to interest-bearing liabilities | 105.57 | % | 105.95 | % |
(1) | Amounts used to calculate average rates are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results. |
(2) | Non-accrual loans are included in average balances used to determine average rate. |
(3) | Includes certificates of deposit that are classified as available-for-sale securities. |
(4) | Includes available-for-sale securities based on their amortized costs. The yield information does not give effect to changes in fair value that are reflected as a component of stockholders' equity for available-for-sale securities. |
(5) | The average balance amounts include the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end. |
(6) | Net interest margin is net interest income as a percentage of average total interest earning assets. |
(Dollars in millions) | Nine Months Ended | Nine Months Ended | |||||||||||||||||||
September 30, 2019 | September 30, 2018 | ||||||||||||||||||||
Average Balance | Interest | Average Rate (1) | Average Balance | Interest | Average Rate (1) | ||||||||||||||||
Assets: | |||||||||||||||||||||
Advances | $ | 51,397 | $ | 992 | 2.58 | % | $ | 65,905 | $ | 1,010 | 2.05 | % | |||||||||
Mortgage loans held for portfolio (2) | 10,607 | 258 | 3.25 | 9,836 | 236 | 3.20 | |||||||||||||||
Federal funds sold and securities purchased under resale agreements | 13,404 | 240 | 2.39 | 12,409 | 163 | 1.76 | |||||||||||||||
Interest-bearing deposits in banks (3) (4) (5) | 1,560 | 29 | 2.47 | 1,768 | 28 | 2.13 | |||||||||||||||
Mortgage-backed securities | 15,451 | 304 | 2.64 | 15,748 | 279 | 2.36 | |||||||||||||||
Other investments (4) | 6,597 | 115 | 2.33 | 36 | — | 1.82 | |||||||||||||||
Loans to other FHLBanks | 4 | — | 2.43 | 2 | — | 1.46 | |||||||||||||||
Total interest-earning assets | 99,020 | 1,938 | 2.62 | 105,704 | 1,716 | 2.17 | |||||||||||||||
Less: allowance for credit losses on mortgage loans | 1 | 1 | |||||||||||||||||||
Other assets | 423 | 279 | |||||||||||||||||||
Total assets | $ | 99,442 | $ | 105,982 | |||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||
Term deposits | $ | 53 | 1 | 2.44 | $ | 76 | 1 | 1.65 | |||||||||||||
Other interest bearing deposits (5) | 701 | 11 | 2.11 | 623 | 7 | 1.50 | |||||||||||||||
Discount Notes | 45,012 | 795 | 2.36 | 47,273 | 605 | 1.71 | |||||||||||||||
Unswapped fixed-rate Bonds | 25,140 | 427 | 2.27 | 26,696 | 411 | 2.06 | |||||||||||||||
Unswapped adjustable-rate Bonds | 16,899 | 309 | 2.45 | 18,689 | 251 | 1.80 | |||||||||||||||
Swapped Bonds | 5,828 | 87 | 2.00 | 6,598 | 63 | 1.27 | |||||||||||||||
Mandatorily redeemable capital stock | 25 | 1 | 4.86 | 27 | 1 | 6.01 | |||||||||||||||
Other borrowings | — | — | 2.14 | — | — | 1.81 | |||||||||||||||
Total interest-bearing liabilities | 93,658 | 1,631 | 2.33 | 99,982 | 1,339 | 1.79 | |||||||||||||||
Non-interest bearing deposits | 9 | 4 | |||||||||||||||||||
Other liabilities | 772 | 593 | |||||||||||||||||||
Total capital | 5,003 | 5,403 | |||||||||||||||||||
Total liabilities and capital | $ | 99,442 | $ | 105,982 | |||||||||||||||||
Net interest rate spread | 0.29 | % | 0.38 | % | |||||||||||||||||
Net interest income and net interest margin (6) | $ | 307 | 0.41 | % | $ | 377 | 0.48 | % | |||||||||||||
Average interest-earning assets to interest-bearing liabilities | 105.73 | % | 105.72 | % |
(1) | Amounts used to calculate average rates are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results. |
(2) | Non-accrual loans are included in average balances used to determine average rate. |
(3) | Includes certificates of deposit that are classified as available-for-sale securities. |
(4) | Includes available-for-sale securities based on their amortized costs. The yield information does not give effect to changes in fair value that are reflected as a component of stockholders' equity for available-for-sale securities. |
(5) | The average balance amounts include the rights or obligations to cash collateral, which are included in the fair value of derivative assets or derivative liabilities on the Statements of Condition at period end. |
(6) | Net interest margin is net interest income as a percentage of average total interest earning assets. |
(In millions) | Three Months Ended September 30, 2019 over 2018 | Nine Months Ended September 30, 2019 over 2018 | |||||||||||||||||||||
Volume (1)(3) | Rate (2)(3) | Total | Volume (1)(3) | Rate (2)(3) | Total | ||||||||||||||||||
Increase (decrease) in interest income | |||||||||||||||||||||||
Advances | $ | (90 | ) | $ | 16 | $ | (74 | ) | $ | (249 | ) | $ | 231 | $ | (18 | ) | |||||||
Mortgage loans held for portfolio | 6 | (3 | ) | 3 | 19 | 3 | 22 | ||||||||||||||||
Federal funds sold and securities purchased under resale agreements | 7 | 9 | 16 | 14 | 63 | 77 | |||||||||||||||||
Interest-bearing deposits in banks | (8 | ) | (1 | ) | (9 | ) | (3 | ) | 4 | 1 | |||||||||||||
MBS | (9 | ) | 3 | (6 | ) | (6 | ) | 31 | 25 | ||||||||||||||
Other investments | 63 | — | 63 | 115 | — | 115 | |||||||||||||||||
Loans to other FHLBanks | — | — | — | — | — | — | |||||||||||||||||
Total | (31 | ) | 24 | (7 | ) | (110 | ) | 332 | 222 | ||||||||||||||
Increase (decrease) in interest expense | |||||||||||||||||||||||
Term deposits | — | — | — | — | — | — | |||||||||||||||||
Other interest-bearing deposits | 1 | — | 1 | 1 | 3 | 4 | |||||||||||||||||
Discount Notes | 9 | 22 | 31 | (30 | ) | 220 | 190 | ||||||||||||||||
Unswapped fixed-rate Bonds | (14 | ) | 14 | — | (25 | ) | 41 | 16 | |||||||||||||||
Unswapped adjustable-rate Bonds | (22 | ) | 15 | (7 | ) | (26 | ) | 84 | 58 | ||||||||||||||
Swapped Bonds | — | 12 | 12 | (8 | ) | 32 | 24 | ||||||||||||||||
Mandatorily redeemable capital stock | — | (1 | ) | (1 | ) | — | — | — | |||||||||||||||
Other borrowings | — | — | — | — | — | — | |||||||||||||||||
Total | (26 | ) | 62 | 36 | (88 | ) | 380 | 292 | |||||||||||||||
Increase (decrease) in net interest income | $ | (5 | ) | $ | (38 | ) | $ | (43 | ) | $ | (22 | ) | $ | (48 | ) | $ | (70 | ) |
(1) | Volume changes are calculated as the change in volume multiplied by the prior year rate. |
(2) | Rate changes are calculated as the change in rate multiplied by the prior year average balance. |
(3) | Changes that are not identifiable as either volume-related or rate-related, but rather are equally attributable to both volume and rate changes, have been allocated to the volume and rate categories based upon the proportion of the absolute value of the volume and rate changes. |
(In millions) | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||
2019 | 2018 | 2019 | 2018 | ||||||||||||
Advances: | |||||||||||||||
Amortization of hedging activities in net interest income | $ | — | $ | — | $ | — | $ | (1 | ) | ||||||
Gains (losses) on designated fair value hedges | (4 | ) | N/A | (7 | ) | N/A | |||||||||
Net interest settlements included in net interest income | 8 | 8 | 34 | 15 | |||||||||||
Mortgage loans: | |||||||||||||||
Amortization of derivative fair value adjustments in net interest income | (1 | ) | — | (2 | ) | (1 | ) | ||||||||
Consolidated Obligation Bonds: | |||||||||||||||
Net interest settlements included in net interest income | 1 | (1 | ) | 1 | (3 | ) | |||||||||
Increase (decrease) to net interest income | $ | 4 | $ | 7 | $ | 26 | $ | 10 |
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||
Three Months Ended September 30, 2019 | |||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | (1 | ) | $ | (84 | ) | $ | — | $ | 7 | $ | 1 | $ | 19 | $ | — | $ | (58 | ) | ||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | 3 | — | (6 | ) | (1 | ) | — | — | (4 | ) | ||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 2 | 2 | |||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (1 | ) | (81 | ) | — | 1 | — | 19 | 2 | (60 | ) | ||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 70 | — | — | — | — | — | 70 | |||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (6 | ) | (2 | ) | — | — | (8 | ) | ||||||||||||||||||||
Total net effect on non-interest income | $ | (1 | ) | $ | (11 | ) | $ | — | $ | (5 | ) | $ | (2 | ) | $ | 19 | $ | 2 | $ | 2 | |||||||||||
Three Months Ended September 30, 2018 | |||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | (1 | ) | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | (1 | ) | |||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | — | — | (1 | ) | 10 | — | (1 | ) | — | 8 | |||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | — | — | (16 | ) | — | — | — | (16 | ) | |||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (1 | ) | — | (1 | ) | (6 | ) | — | (1 | ) | — | (9 | ) | ||||||||||||||||||
Gains (losses) on trading securities (2) | — | 1 | — | — | — | — | — | 1 | |||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (4 | ) | — | — | — | (4 | ) | |||||||||||||||||||||
Total net effect on non-interest income | $ | (1 | ) | $ | 1 | $ | (1 | ) | $ | (10 | ) | $ | — | $ | (1 | ) | $ | — | $ | (12 | ) |
(In millions) | Advances | Investment Securities | Mortgage Loans | Bonds | Discount Notes | Balance Sheet (1) | Other | Total | |||||||||||||||||||||||
Nine Months Ended September 30, 2019 | |||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | $ | (3 | ) | $ | (284 | ) | $ | 3 | $ | 54 | $ | 1 | $ | 4 | $ | — | $ | (225 | ) | ||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | 1 | 8 | — | (23 | ) | (1 | ) | — | — | (15 | ) | ||||||||||||||||||||
Price alignment amount | — | — | — | — | — | — | 2 | 2 | |||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (2 | ) | (276 | ) | 3 | 31 | — | 4 | 2 | (238 | ) | ||||||||||||||||||||
Gains (losses) on trading securities (2) | — | 264 | — | — | — | — | — | 264 | |||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | (49 | ) | (2 | ) | — | — | (51 | ) | ||||||||||||||||||||
Total net effect on non-interest income | $ | (2 | ) | $ | (12 | ) | $ | 3 | $ | (18 | ) | $ | (2 | ) | $ | 4 | $ | 2 | $ | (25 | ) | ||||||||||
Nine Months Ended September 30, 2018 | |||||||||||||||||||||||||||||||
Net effect of derivatives and hedging activities | |||||||||||||||||||||||||||||||
Gains (losses) on fair value hedges | $ | 2 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 2 | |||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting | 2 | — | (1 | ) | (10 | ) | — | — | — | (9 | ) | ||||||||||||||||||||
Net interest settlements on derivatives not receiving hedge accounting | — | — | — | (39 | ) | — | — | — | (39 | ) | |||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | 4 | — | (1 | ) | (49 | ) | — | — | — | (46 | ) | ||||||||||||||||||||
Gains (losses) on trading securities (2) | — | — | — | — | — | — | — | — | |||||||||||||||||||||||
Gains (losses) on financial instruments held under fair value option (3) | — | — | — | 12 | — | — | — | 12 | |||||||||||||||||||||||
Total net effect on non-interest income | $ | 4 | $ | — | $ | (1 | ) | $ | (37 | ) | $ | — | $ | — | $ | — | $ | (34 | ) |
(1) | Balance sheet includes swaptions, which are not designated as hedging a specific financial instrument. |
(2) | Includes only those gains (losses) on trading securities that have an assigned economic derivative; therefore, this line item may not agree to the Statement of Income. |
(3) | Includes only those gains or losses on financial instruments held at fair value that have an economic derivative "assigned." |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||
(Dollars in millions) | 2019 | 2018 | 2019 | 2018 | |||||||||||
Non-interest expense | |||||||||||||||
Compensation and benefits | $ | 11 | $ | 10 | $ | 35 | $ | 34 | |||||||
Other operating expense | 6 | 5 | 17 | 15 | |||||||||||
Finance Agency | 2 | 2 | 5 | 5 | |||||||||||
Office of Finance | 1 | 1 | 4 | 4 | |||||||||||
Other | 2 | 1 | 7 | 6 | |||||||||||
Total non-interest expense | $ | 22 | $ | 19 | $ | 68 | $ | 64 | |||||||
Average total assets | $ | 95,422 | $ | 100,372 | $ | 99,442 | $ | 105,982 | |||||||
Average regulatory capital | 4,678 | 5,331 | 5,040 | 5,446 | |||||||||||
Total non-interest expense to average total assets (1) | 0.09 | % | 0.08 | % | 0.09 | % | 0.08 | % | |||||||
Total non-interest expense to average regulatory capital (1) | 1.85 | 1.44 | 1.79 | 1.56 |
(1) | Amounts used to calculate percentages are based on dollars in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results. |
(Dollars in millions) | Traditional Member Finance | MPP | Total | ||||||||
Three Months Ended September 30, 2019 | |||||||||||
Net interest income | $ | 65 | $ | 22 | $ | 87 | |||||
Net income | $ | 34 | $ | 29 | $ | 63 | |||||
Average assets | $ | 82,494 | $ | 12,928 | $ | 95,422 | |||||
Assumed average capital allocation | $ | 4,011 | $ | 628 | $ | 4,639 | |||||
Return on average assets (1) | 0.16 | % | 0.88 | % | 0.26 | % | |||||
Return on average equity (1) | 3.36 | % | 18.16 | % | 5.36 | % | |||||
Three Months Ended September 30, 2018 | |||||||||||
Net interest income | $ | 102 | $ | 28 | $ | 130 | |||||
Net income | $ | 70 | $ | 22 | $ | 92 | |||||
Average assets | $ | 88,441 | $ | 11,931 | $ | 100,372 | |||||
Assumed average capital allocation | $ | 4,661 | $ | 629 | $ | 5,290 | |||||
Return on average assets (1) | 0.31 | % | 0.73 | % | 0.36 | % | |||||
Return on average equity (1) | 5.93 | % | 13.81 | % | 6.87 | % |
(Dollars in millions) | Traditional Member Finance | MPP | Total | ||||||||
Nine Months Ended September 30, 2019 | |||||||||||
Net interest income | $ | 226 | $ | 81 | $ | 307 | |||||
Net income | $ | 130 | $ | 70 | $ | 200 | |||||
Average assets | $ | 86,200 | $ | 13,242 | $ | 99,442 | |||||
Assumed average capital allocation | $ | 4,337 | $ | 666 | $ | 5,003 | |||||
Return on average assets (1) | 0.20 | % | 0.71 | % | 0.27 | % | |||||
Return on average equity (1) | 4.01 | % | 14.05 | % | 5.35 | % | |||||
Nine Months Ended September 30, 2018 | |||||||||||
Net interest income | $ | 299 | $ | 78 | $ | 377 | |||||
Net income | $ | 197 | $ | 62 | $ | 259 | |||||
Average assets | $ | 94,236 | $ | 11,746 | $ | 105,982 | |||||
Assumed average capital allocation | $ | 4,803 | $ | 600 | $ | 5,403 | |||||
Return on average assets (1) | 0.28 | % | 0.71 | % | 0.33 | % | |||||
Return on average equity (1) | 5.48 | % | 13.86 | % | 6.41 | % |
(1) | Amounts used to calculate returns are based on numbers in thousands. Accordingly, recalculations based upon the disclosed amounts in millions may not produce the same results. |
(Dollars in millions) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | ||||||||||||||||||||
Average Results | |||||||||||||||||||||||||||
2019 Year-to-Date | |||||||||||||||||||||||||||
Market Value of Equity | $ | 4,607 | $ | 4,654 | $ | 4,771 | $ | 4,845 | $ | 4,790 | $ | 4,709 | $ | 4,659 | |||||||||||||
% Change from Flat Case | (4.9 | )% | (3.9 | )% | (1.5 | )% | — | (1.1 | )% | (2.8 | )% | (3.8 | )% | ||||||||||||||
2018 Full Year | |||||||||||||||||||||||||||
Market Value of Equity | $ | 4,936 | $ | 5,154 | $ | 5,306 | $ | 5,264 | $ | 5,176 | $ | 5,105 | $ | 5,045 | |||||||||||||
% Change from Flat Case | (6.2 | )% | (2.1 | )% | 0.8 | % | — | (1.7 | )% | (3.0 | )% | (4.2 | )% | ||||||||||||||
Month-End Results | |||||||||||||||||||||||||||
September 30, 2019 | |||||||||||||||||||||||||||
Market Value of Equity | $ | 4,499 | $ | 4,499 | $ | 4,421 | $ | 4,495 | $ | 4,477 | $ | 4,379 | $ | 4,299 | |||||||||||||
% Change from Flat Case | 0.1 | % | 0.1 | % | (1.7 | )% | — | (0.4 | )% | (2.6 | )% | (4.4 | )% | ||||||||||||||
December 31, 2018 | |||||||||||||||||||||||||||
Market Value of Equity | $ | 4,736 | $ | 4,911 | $ | 5,130 | $ | 5,149 | $ | 5,043 | $ | 4,951 | $ | 4,906 | |||||||||||||
% Change from Flat Case | (8.0 | )% | (4.6 | )% | (0.4 | )% | — | (2.1 | )% | (3.8 | )% | (4.7 | )% |
(In years) | Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||
Average Results | ||||||||||||||||||||
2019 Year-to-Date | (1.2 | ) | (2.6 | ) | (3.8 | ) | (0.7 | ) | 1.6 | 1.1 | 0.9 | |||||||||
2018 Full Year | (4.5 | ) | (4.7 | ) | (0.9 | ) | 1.7 | 1.4 | 1.2 | 1.1 | ||||||||||
Month-End Results | ||||||||||||||||||||
September 30, 2019 | — | 0.1 | (4.1 | ) | (2.5 | ) | 1.5 | 1.8 | 1.4 | |||||||||||
December 31, 2018 | (3.8 | ) | (5.6 | ) | (2.5 | ) | 1.2 | 2.0 | 1.0 | 0.6 |
Down 300 | Down 200 | Down 100 | Flat Rates | Up 100 | Up 200 | Up 300 | |||||||||||||
Average Results | |||||||||||||||||||
2019 Year-to-Date | (33.7 | )% | (27.8 | )% | (10.5 | )% | — | (2.1 | )% | (7.1 | )% | (9.6 | )% | ||||||
2018 Full Year | (35.9 | )% | (15.2 | )% | 0.3 | % | — | (4.3 | )% | (7.4 | )% | (10.0 | )% | ||||||
Month-End Results | |||||||||||||||||||
September 30, 2019 | (12.2 | )% | (12.2 | )% | (10.3 | )% | — | 0.8 | % | (6.0 | )% | (11.3 | )% | ||||||
December 31, 2018 | (41.2 | )% | (24.7 | )% | (3.6 | )% | — | (7.0 | )% | (13.2 | )% | (15.9 | )% |
(In millions) | September 30, 2019 | December 31, 2018 | |||||
Unrestricted retained earnings | $ | 624 | $ | 632 | |||
Restricted retained earnings (1) | 431 | 391 | |||||
Total retained earnings | $ | 1,055 | $ | 1,023 |
(1) | Pursuant to the FHLBank System's Joint Capital Enhancement Agreement we are not permitted to distribute as dividends. |
September 30, 2019 | December 31, 2018 | ||||
Market Value of Equity to Par Value of Regulatory Capital Stock - Base Case (Flat Rates) Scenario | 124 | % | 119 | % | |
Market Value of Equity to Par Value of Regulatory Capital Stock - Down Shock (1) | 122 | 118 | |||
Market Value of Equity to Par Value of Regulatory Capital Stock - Up Shock (2) | 121 | 114 |
(1) | Represents a down shock of 100 basis points. |
(2) | Represents an up shock of 200 basis points. |
September 30, 2019 | December 31, 2018 | ||||
Market Value of Equity to Book Value of Capital - Base Case (Flat Rates) Scenario (1) | 96 | % | 96 | % | |
Market Value of Equity to Book Value of Capital - Down Shock (1)(2) | 95 | 96 | |||
Market Value of Equity to Book Value of Capital - Up Shock (1)(3) | 94 | 93 |
(1) | Capital includes total capital and mandatorily redeemable capital stock. |
(2) | Represents a down shock of 100 basis points. |
(3) | Represents an up shock of 200 basis points. |
Conventional Loan Delinquencies | |||||||
(Dollars in millions) | September 30, 2019 | December 31, 2018 | |||||
Early stage delinquencies - unpaid principal balance (1) | $ | 35 | $ | 36 | |||
Serious delinquencies - unpaid principal balance (2) | $ | 11 | $ | 13 | |||
Early stage delinquency rate (3) | 0.3 | % | 0.4 | % | |||
Serious delinquency rate (4) | 0.1 | % | 0.1 | % | |||
National average serious delinquency rate (5) | 1.5 | % | 1.6 | % |
(1) | Includes conventional loans 30 to 89 days delinquent and not in foreclosure. |
(2) | Includes conventional loans that are 90 days or more past due or where the decision of foreclosure or a similar alternative such as pursuit of deed-in-lieu has been reported. |
(3) | Early stage delinquencies expressed as a percentage of the total conventional loan portfolio. |
(4) | Serious delinquencies expressed as a percentage of the total conventional loan portfolio. |
(5) | National average number of fixed-rate prime and subprime conventional loans that are 90 days or more past due or in the process of foreclosure is based on the most recent national delinquency data available. The September 30, 2019 rate is based on June 30, 2019 data. |
(In millions) | September 30, 2019 | December 31, 2018 | |||||
Estimated incurred credit losses, before credit enhancements | $ | 3 | $ | 4 | |||
Estimated amounts deemed recoverable by: | |||||||
Primary mortgage insurance | — | (1 | ) | ||||
Supplemental mortgage insurance | (1 | ) | (1 | ) | |||
Lender Risk Account | (1 | ) | (1 | ) | |||
Estimated incurred credit losses, after credit enhancements | $ | 1 | $ | 1 |
(In millions) | September 30, 2019 | ||||||||||
Long-Term Rating | |||||||||||
AA | A | Total | |||||||||
Unsecured Liquidity Investments | |||||||||||
Interest-bearing deposits | $ | — | $ | 599 | $ | 599 | |||||
Federal funds sold | 7,242 | 6,840 | 14,082 | ||||||||
Certificates of deposit | — | 300 | 300 | ||||||||
Total unsecured liquidity investments | 7,242 | 7,739 | 14,981 | ||||||||
Guaranteed/Secured Liquidity Investments | |||||||||||
Securities purchased under agreements to resell | 1,840 | — | 1,840 | ||||||||
U.S. Treasury obligations | 9,421 | — | 9,421 | ||||||||
GSE obligations | 2,164 | — | 2,164 | ||||||||
Total guaranteed/secured liquidity investments | 13,425 | — | 13,425 | ||||||||
Total liquidity investments | $ | 20,667 | $ | 7,739 | $ | 28,406 |
December 31, 2018 | |||||||||||
Long-Term Rating | |||||||||||
AA | A | Total | |||||||||
Unsecured Liquidity Investments | |||||||||||
Federal funds sold | $ | 5,640 | $ | 5,153 | $ | 10,793 | |||||
Certificates of deposit | 800 | 1,550 | 2,350 | ||||||||
Total unsecured liquidity investments | 6,440 | 6,703 | 13,143 | ||||||||
Guaranteed/Secured Liquidity Investments | |||||||||||
Securities purchased under agreements to resell | 4,402 | — | 4,402 | ||||||||
U.S. Treasury obligations | 36 | — | 36 | ||||||||
GSE obligations | 277 | — | 277 | ||||||||
Total guaranteed/secured liquidity investments | 4,715 | — | 4,715 | ||||||||
Total liquidity investments | $ | 11,155 | $ | 6,703 | $ | 17,858 |
(In millions) | September 30, 2019 | |||||||||||
Counterparty Rating | ||||||||||||
Domicile of Counterparty | AA | A | Total | |||||||||
Domestic | $ | 1,542 | $ | 3,674 | $ | 5,216 | ||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||
Sweden | 1,830 | 830 | 2,660 | |||||||||
Canada | 1,290 | 875 | 2,165 | |||||||||
Australia | 1,290 | — | 1,290 | |||||||||
Norway | 1,290 | — | 1,290 | |||||||||
Netherlands | — | 830 | 830 | |||||||||
Switzerland | — | 830 | 830 | |||||||||
Germany | — | 500 | 500 | |||||||||
France | — | 200 | 200 | |||||||||
Total U.S. branches and agency offices of foreign commercial banks | 5,700 | 4,065 | 9,765 | |||||||||
Total unsecured investment credit exposure | $ | 7,242 | $ | 7,739 | $ | 14,981 |
(In millions) | September 30, 2019 | |||||||||||
Domicile of Counterparty | Overnight | Due 2 days through 30 days | Total | |||||||||
Domestic | $ | 5,216 | $ | — | $ | 5,216 | ||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||
Sweden | 2,660 | — | 2,660 | |||||||||
Canada | 2,165 | — | 2,165 | |||||||||
Australia | 1,290 | — | 1,290 | |||||||||
Norway | 1,290 | — | 1,290 | |||||||||
Netherlands | 830 | — | 830 | |||||||||
Switzerland | 830 | — | 830 | |||||||||
Germany | 200 | 300 | 500 | |||||||||
France | 200 | — | 200 | |||||||||
Total U.S. branches and agency offices of foreign commercial banks | 9,465 | 300 | 9,765 | |||||||||
Total unsecured investment credit exposure | $ | 14,681 | $ | 300 | $ | 14,981 |
(In millions) | ||||||||||||||||
Total Notional | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged to (from) Counterparties | Net Credit Exposure to Counterparties | |||||||||||||
Nonmember counterparties: | ||||||||||||||||
Asset positions with credit exposure: | ||||||||||||||||
Uncleared derivatives: | ||||||||||||||||
A-rated | $ | 37 | $ | — | $ | — | $ | — | ||||||||
Total uncleared derivatives | 37 | — | — | — | ||||||||||||
Cleared derivatives (1) | 18,351 | 5 | 259 | 264 | ||||||||||||
Liability positions with credit exposure: | ||||||||||||||||
Cleared derivatives (1) | 19,507 | (1 | ) | 15 | 14 | |||||||||||
Total derivative positions with credit exposure to nonmember counterparties | 37,895 | 4 | 274 | 278 | ||||||||||||
Member institutions (2) | 448 | 2 | — | 2 | ||||||||||||
Total | $ | 38,343 | $ | 6 | $ | 274 | $ | 280 |
(1) | Represents derivative transactions cleared with LCH Ltd. and CME Clearing, the FHLB's clearinghouses. LCH Ltd. is rated AA- by Standard & Poor's, and CME Clearing is not rated, but its parent company, CME Group Inc., is rated Aa3 by Moody's and AA- by Standard & Poor's. |
(2) | Represents Mandatory Delivery Contracts. |
(In millions) | September 30, 2019 | December 31, 2018 | |||||
Contingency Liquidity Requirement | |||||||
Total Contingency Liquidity Reserves (1) | $ | 49,218 | $ | 34,808 | |||
Total Requirement (2) | (25,451 | ) | (18,745 | ) | |||
Excess Contingency Liquidity Available | $ | 23,767 | $ | 16,063 |
(1) | Includes, among others, cash, overnight Federal funds, overnight deposits, self-liquidating term Federal funds, 95 percent of the market value of available-for-sale negotiable securities, and 75 percent of the market value of certain held-to-maturity obligations, including obligations of the United States, U.S. government agency obligations and MBS. |
(2) | Includes net liabilities maturing in the next seven business days, assets traded not yet settled, Advance commitments outstanding, Advances maturing in the next seven business days, and a three percent hypothetical increase in Advances. |
(In millions) | September 30, 2019 | December 31, 2018 | |||||
Deposit Reserve Requirement | |||||||
Total Eligible Deposit Reserves | $ | 68,358 | $ | 66,643 | |||
Total Member Deposits | (840 | ) | (664 | ) | |||
Excess Deposit Reserves | $ | 67,518 | $ | 65,979 |
(In millions) | < 1 year | 1 < 3 years | 3 < 5 years | > 5 years | Total | ||||||||||||||
Contractual Obligations | |||||||||||||||||||
Long-term debt (Bonds) - par (1) | $ | 22,924 | $ | 12,713 | $ | 4,776 | $ | 4,110 | $ | 44,523 | |||||||||
Operating leases (include premises and equipment) | 1 | 3 | 2 | 2 | 8 | ||||||||||||||
Mandatorily redeemable capital stock | 15 | 2 | 8 | 1 | 26 | ||||||||||||||
Commitments to fund mortgage loans | 738 | — | — | — | 738 | ||||||||||||||
Pension and other postretirement benefit obligations | 2 | 5 | 5 | 29 | 41 | ||||||||||||||
Total Contractual Obligations | $ | 23,680 | $ | 12,723 | $ | 4,791 | $ | 4,142 | $ | 45,336 |
(1) | Does not include Discount Notes and contractual interest payments related to Bonds. Total is based on contractual maturities; the actual timing of payments could be affected by factors affecting redemptions. |
(In millions) | < 1 year | 1 < 3 years | 3 < 5 years | > 5 years | Total | ||||||||||||||
Off-balance sheet items (1) | |||||||||||||||||||
Standby Letters of Credit | $ | 15,039 | $ | 835 | $ | 215 | $ | 1 | $ | 16,090 | |||||||||
Standby bond purchase agreements | 21 | 55 | — | — | 76 | ||||||||||||||
Consolidated Obligations traded, not yet settled | 20 | — | — | — | 20 | ||||||||||||||
Total off-balance sheet items | $ | 15,080 | $ | 890 | $ | 215 | $ | 1 | $ | 16,186 |
(1) | Represents notional amount of off-balance sheet obligations. |
Item 3. | Quantitative and Qualitative Disclosures About Market Risk. |
Item 4. | Controls and Procedures. |
Item 1A. | Risk Factors. |
Item 2. | Unregistered Sales of Equity Securities and Use of Proceeds. |
Item 6. | Exhibits. |
(a) | Exhibits. |
By: | /s/ Andrew S. Howell |
Andrew S. Howell | |
President and Chief Executive Officer | |
(principal executive officer) | |
By: | /s/ Stephen J. Sponaugle |
Stephen J. Sponaugle | |
Executive Vice President - Chief Financial Officer | |
(principal financial officer) |
Exhibit Number (1) | Description of exhibit | Document filed or furnished, as indicated below | ||
Filed Herewith | ||||
Filed Herewith | ||||
Furnished Herewith | ||||
101.INS | XBRL Instance Document | The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document | ||
101.SCH | XBRL Taxonomy Extension Schema Document | Filed Herewith | ||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | Filed Herewith | ||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | Filed Herewith | ||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | Filed Herewith | ||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | Filed Herewith | ||
104 | Cover Page Interactive Data File (formatted as inline XBRL and contained in Exhibit 101) | Filed Herewith |
(1) | Numbers coincide with Item 601 of Regulation S-K. |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Cincinnati; |
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 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 the 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 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. |
/s/ Andrew S. Howell |
Andrew S. Howell |
President and Chief Executive Officer |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Cincinnati; |
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 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 the 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 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. |
/s/ Stephen J. Sponaugle |
Stephen J. Sponaugle |
Executive Vice President-Chief Financial Officer |
(1) | The 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 FHLB. |
/s/ Andrew S. Howell |
Andrew S. Howell |
President and Chief Executive Officer |
November 7, 2019 |
/s/ Stephen J. Sponaugle |
Stephen J. Sponaugle |
Executive Vice President-Chief Financial Officer |
November 7, 2019 |
Transactions with Stockholders (Concentrations) (Details) $ in Thousands |
Sep. 30, 2019
USD ($)
Banks
|
Dec. 31, 2018
USD ($)
|
---|---|---|
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 46,185,701 | $ 54,872,172 |
Number of State Housing Authorities Standby Bond Purchase Agreements | Banks | 1 | |
JPMorgan Chase Bank National Association [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 852,000 | $ 1,085,000 |
Concentration Risk, Percentage | 24.00% | 25.00% |
JPMorgan Chase Bank National Association [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 8,050,000 | $ 23,400,000 |
JPMorgan Chase Bank National Association [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | 0 | 0 |
U.S. Bank, N.A. [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 497,000 | $ 796,000 |
Concentration Risk, Percentage | 14.00% | 18.00% |
U.S. Bank, N.A. [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 4,974,000 | $ 4,574,000 |
U.S. Bank, N.A. [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | $ 17,000 | 19,000 |
The Huntington National Bank [Member] | Capital Stock Ownership By Third Party [Member] | ||
Concentration Risk [Line Items] | ||
Regulatory Capital Stock, Value | $ 248,000 | |
Concentration Risk, Percentage | 6.00% | |
The Huntington National Bank [Member] | Advances to Members and Former Members [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 6,000 | |
The Huntington National Bank [Member] | Mortgage Purchase Program [Member] | ||
Concentration Risk [Line Items] | ||
Federal Home Loan Bank, Mortgage Purchase Program, Unpaid Principal Balance | $ 486,000 | |
Kentucky Housing Corporation, Ohio Housing Finance Agency, Tennessee Housing Development Agency [Member] | ||
Concentration Risk [Line Items] | ||
Number Of Relationships With Non Member Affiliates | Banks | 3 |
Fair Value Disclosures Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
|||
---|---|---|---|---|---|
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Federal Home Loan Bank, Advances, Par Value | [1] | $ 10,000 | $ 10,000 | ||
Advances, Fair Value Disclosure | [1] | 10,267 | 10,008 | ||
Federal Home Loan Bank, Advances, Valuation Adjustments under Fair Value Option | [1] | 267 | 8 | ||
Consolidated Obligation Bonds [Member] | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Fair Value Option, Principle Balance, Consolidated Obligation Bonds | 5,414,000 | 3,941,000 | |||
Consolidated Obligations, Bonds, Fair Value | 5,436,423 | 3,906,610 | |||
Fair Value Option, Aggregate Differences, Consolidated Obligations Bonds | 22,423 | (34,390) | |||
Discount Notes [Member] | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Fair Value Option, Principal Balance, Consolidated Obligation Discount Notes | 13,936,995 | 0 | |||
Consolidated Obligations, Discount Notes, Fair Value | 13,914,315 | 0 | |||
Fair Value Option, Aggregate Differences, Consolidated Obligation Discount Notes | $ (22,680) | $ 0 | |||
|
Advances (Year of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Advances [Abstract] | ||
Federal Home Loan Bank Advances, Earlier of Contractual Maturity or Next Call Date, Due With in Next Rolling Twelve Months | $ 34,181,189 | $ 43,793,555 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Two | 5,221,817 | 4,338,117 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Three | 1,683,289 | 3,490,580 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Four | 1,195,707 | 753,716 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due in Rolling Year Five | 1,517,394 | 905,189 |
Federal Home Loan Bank Advances Earlier of Contractual Maturity or Next Call Date Due After Rolling Year Five | 2,386,305 | 1,591,015 |
Federal Home Loan Bank, Advances, Par Value, Total | $ 46,185,701 | $ 54,872,172 |
Held-to-Maturity Securities (Continuous Unrealized Loss Position) (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | $ 4,863,029 | $ 6,589,156 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (12,288) | (21,343) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 4,908,399 | 5,616,182 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (35,176) | (206,681) |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 9,771,428 | 12,205,338 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (47,464) | (228,024) |
US Treasury Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 35,661 | |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (6) | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 0 | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 35,661 | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (6) | |
Other Than Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 35,661 | |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (6) | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 0 | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 35,661 | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (6) | |
Single Family, Mortgage-backed Securities, Other US Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 40,500 | 175,663 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (26) | (1,571) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 0 | 1,526,835 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (45,892) |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 40,500 | 1,702,498 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (26) | (47,463) |
Collateralized Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 6,553,495 | |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (21,337) | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 5,616,182 | |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (206,681) | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 12,169,677 | |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (228,018) | |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 426,932 | 401,509 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (1,788) | (1,581) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 2,182,778 | 3,859,608 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (23,135) | (160,516) |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 2,609,710 | 4,261,117 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | (24,923) | (162,097) |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, Less than 12 Months, Fair Value | 4,395,597 | 5,976,323 |
Held To Maturity Securities Continuous Unrealized Loss Position Less Than 12 Months Accumulated Loss | (10,474) | (18,185) |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Fair Value | 2,725,621 | 229,739 |
Debt Securities, Held-to-maturity, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (12,041) | (273) |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Fair Value | 7,121,218 | 6,206,062 |
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | $ (22,515) | $ (18,458) |
Segment Information Asset Balances (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Segment Reporting Information [Line Items] | ||
Total assets | $ 100,211,042 | $ 99,202,573 |
Traditional Member Finance [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | 87,706,932 | 86,042,150 |
Mortgage Purchase Program [Member] | ||
Segment Reporting Information [Line Items] | ||
Total assets | $ 12,504,110 | $ 13,160,423 |
Pension and Postretirement Benefit Plans (Tables) |
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Retirement Benefits [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Defined Benefit Plans Disclosures [Table Text Block] | Net Periodic Benefit Cost (in thousands)
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Transactions with Other FHLBanks (Tables) |
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Schedule of Other Transactions by Balance Sheet Grouping [Table Text Block] | Lending and Borrowing Between the FHLB and Other FHLBanks (in thousands)
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Fair Value Disclosures |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Text Block] | Fair Value Disclosures The fair value amounts recorded on the Statements of Condition and presented in the related note disclosures have been determined by the FHLB using available market information and the FHLB's best judgment of appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. Fair Value Hierarchy. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the measurement is determined. This overall level is an indication of how market observable the fair value measurement is. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Unobservable inputs for the asset or liability. The FHLB reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain financial assets or liabilities. Such reclassifications would be reported as transfers in/out at fair value as of the beginning of the quarter in which the changes occur. The FHLB did not have any transfers of assets or liabilities between fair value levels during the nine months ended September 30, 2019 or 2018. Table 18.1 presents the carrying value, fair value, and fair value hierarchy of financial assets and liabilities of the FHLB. The FHLB records trading securities, available-for-sale securities, derivative assets, derivative liabilities, certain Advances and certain Consolidated Obligations at fair value on a recurring basis, and on occasion, certain mortgage loans held for portfolio on a nonrecurring basis. The FHLB records all other financial assets and liabilities at amortized cost. Refer to Table 18.2 for further details about the financial assets and liabilities held at fair value on either a recurring or nonrecurring basis. Table 18.1 - Fair Value Summary (in thousands)
Summary of Valuation Methodologies and Primary Inputs. The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are disclosed in Note 19 - Fair Value Disclosures in the FHLB's 2018 Annual Report on Form 10-K. There have been no significant changes in the valuation methodologies during 2019. Fair Value Measurements. Table 18.2 presents the fair value of financial assets and liabilities that are recorded on a recurring or nonrecurring basis at September 30, 2019 and December 31, 2018, by level within the fair value hierarchy. The FHLB records nonrecurring fair value adjustments to reflect partial write-downs on certain mortgage loans. Table 18.2 - Fair Value Measurements (in thousands)
Fair Value Option. The fair value option provides an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires a company to display the fair value of those assets and liabilities for which it has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities and commitments, with the changes in fair value recognized in net income. If elected, interest income and interest expense on Advances and Consolidated Obligations carried at fair value are recognized based solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into other non-interest income or other non-interest expense. The FHLB has elected the fair value option for certain financial instruments that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements. These fair value elections were made primarily in an effort to mitigate the potential income statement volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. Table 18.3 presents net gains (losses) recognized in earnings related to financial assets and liabilities in which the fair value option was elected during the three and nine months ended September 30, 2019 and 2018. Table 18.3 – Fair Value Option - Financial Assets and Liabilities (in thousands)
For instruments recorded under the fair value option, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments in which the fair value option has been elected are recorded as “Net gains (losses) on financial instruments held under fair value option” in the Statements of Income, except for changes in fair value related to instrument specific credit risk, which are recorded in accumulated other comprehensive income in the Statement of Condition. The FHLB has determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the nine months ended September 30, 2019 or 2018. In determining that there has been no change in instrument-specific credit risk period to period, the FHLB primarily considered the following factors:
The following table reflects the difference between the aggregate unpaid principal balance outstanding and the aggregate fair value for Advances and Consolidated Obligations for which the fair value option has been elected. Table 18.4 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands)
(1) At September 30, 2019 and December 31, 2018, none of the Advances were 90 days or more past due or had been placed on non-accrual status.
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Capital [Text Block] | Capital Table 14.1 - Capital Requirements (dollars in thousands)
Restricted Retained Earnings. At September 30, 2019 and December 31, 2018 the FHLB had (in thousands) $430,864 and $390,829 in restricted retained earnings. These restricted retained earnings are not available to pay dividends but are available to absorb unexpected losses, if any, that the FHLB may experience. Table 14.2 - Mandatorily Redeemable Capital Stock Rollforward (in thousands)
Table 14.3 - Mandatorily Redeemable Capital Stock by Contractual Year of Redemption (in thousands)
(2) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates.
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Debt Securities, Held-to-maturity [Table Text Block] | Held-to-Maturity Securities by Major Security Types (in thousands)
(1) Carrying value equals amortized cost.
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Premiums (Discounts) Included in Amortized Cost of Securities [Table Text Block] | Net Purchased Premiums Included in the Amortized Cost of MBS Classified as Held-to-Maturity (in thousands)
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Schedule of Unrealized Loss on Investments [Table Text Block] | Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands)
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Investments Classified by Contractual Maturity Date [Table Text Block] | Available-for-Sale Securities by Contractual Maturity (in thousands)
(2) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
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Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest Rate Payment Terms of Available-for-Sale Securities (in thousands)
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Derivatives and Hedging Activities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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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] | Fair Value of Derivative Instruments (in thousands)
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Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Net Gains (Losses) on Derivatives and Hedging Activities Recorded in Non-interest Income (Loss) (in thousands)
(1) This amount is for derivatives for which variation margin is characterized as a daily settled contract. Impact of Fair Value Hedging Relationships on the Statements of Income (in thousands)
(3) Excludes (amortization)/accretion on closed fair value hedge relationships of (in thousands) $(140) for the three months ended September 30, 2018 and (in thousands) $(463) for the nine months ended September 30, 2018.
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Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block] | Cumulative Basis Adjustments for Fair Value Hedges (in thousands)
(1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.
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Offsetting Assets [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands)
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Offsetting Liabilities [Table Text Block] | Offsetting of Derivative Assets and Derivative Liabilities (in thousands)
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Document and Entity Information Document - shares |
9 Months Ended | |
---|---|---|
Sep. 30, 2019 |
Oct. 31, 2019 |
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Cover page. | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2019 | |
Document Transition Report | false | |
Entity File Number | 000-51399 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF CINCINNATI | |
Entity Tax Identification Number | 31-6000228 | |
Entity Address, Address Line One | 600 Atrium Two, P.O. Box 598, | |
Entity Address, City or Town | Cincinnati, | |
Entity Address, State or Province | OH | |
Entity Address, Postal Zip Code | 45201-0598 | |
City Area Code | 513 | |
Local Phone Number | 852-7500 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 35,282,272 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2019 | |
Document Fiscal Period Focus | Q3 | |
Entity Central Index Key | 0001326771 | |
Current Fiscal Year End Date | --12-31 | |
Entity Incorporation, State or Country Code | X1 |
Derivatives and Hedging Activities |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Nature of Business Activity The FHLB is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and on the interest-bearing liabilities that finance these assets. The goal of the FHLB's interest-rate risk management strategy is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, the FHLB has established policies and procedures, which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the FHLB monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. The FHLB uses derivatives when they are considered to be the most cost-effective alternative to achieve the FHLB's financial and risk management objectives. See Note 11 - Derivatives and Hedging Activities in the FHLB's 2018 Annual Report on Form 10-K for additional information on the FHLB's derivative transactions. The FHLB transacts its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute Consolidated Obligations. Derivative transactions may be executed either with a counterparty (uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Derivative Clearing Organization (cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearinghouse), the executing counterparty is replaced with the Clearinghouse. The FHLB is not a derivative dealer and does not trade derivatives for short-term profit. Financial Statement Effect and Additional Financial Information The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. The notional amount reflects the FHLB's involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the FHLB to credit and market risk; the overall risk is much smaller. The risks of derivatives only can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Table 10.1 summarizes the notional amount and fair value of derivative instruments and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. Table 10.1 - Fair Value of Derivative Instruments (in thousands)
In connection with the adoption of new accounting guidance, changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item beginning on January 1, 2019. Prior to January 1, 2019, for designated fair value hedges, any hedge ineffectiveness (which represented the amount by which the change in the fair value of the derivative differed from the change in the fair value of the hedge item) was recorded in non-interest income as net gains (losses) on derivatives and hedging activities. See Note 2 for additional information on the adoption of Targeted Improvements to Accounting for Hedging Activities. Table 10.2 presents the impact of qualifying fair value hedging relationships on the Statements of Income as well as the total interest income (expense) by product. Table 10.2 - Impact of Fair Value Hedging Relationships on the Statements of Income (in thousands)
Table 10.3 presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items. Table 10.3 - Cumulative Basis Adjustments for Fair Value Hedges (in thousands)
Table 10.4 presents net gains (losses) related to derivatives and hedging activities recorded in non-interest income (loss). For fair value hedging relationships, the portion of net gains (losses) representing hedge ineffectiveness were recorded in non-interest income for periods prior to January 1, 2019. Table 10.4 - Net Gains (Losses) on Derivatives and Hedging Activities Recorded in Non-interest Income (Loss) (in thousands)
Credit Risk on Derivatives The FHLB is subject to credit risk due to the risk of non-performance by counterparties to its derivative transactions, and manages credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in these contracts to mitigate the risk. The FHLB requires collateral agreements on its uncleared derivatives with the collateral delivery threshold set to zero. For cleared derivatives, the Clearinghouse is the FHLB's counterparty. The Clearinghouse notifies the clearing agent of the required initial and variation margin and the clearing agent in turn notifies the FHLB. The FHLB utilizes two Clearinghouses for all cleared derivative transactions, LCH Ltd. and CME Clearing. At both Clearinghouses, variation margin is characterized as daily settlement payments, while initial margin is considered to be collateral. The requirement that the FHLB post initial and variation margin through the clearing agent, to the Clearinghouse, exposes the FHLB to credit risk if the clearing agent or the Clearinghouse fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral/payments for changes in the value of cleared derivatives is posted daily through a clearing agent. For cleared derivatives, the Clearinghouse determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including, but not limited to, credit rating downgrades. At September 30, 2019, the FHLB was not required to post additional initial margin by its clearing agents based on credit considerations. Offsetting of Derivative Assets and Derivative Liabilities The FHLB presents derivative instruments, related cash collateral received or pledged, and associated accrued interest, on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The FHLB has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions, and it expects that the exercise of those offsetting rights by a non-defaulting party under these transactions would be upheld under applicable law upon an event of default including bankruptcy, insolvency, or similar proceeding involving the Clearinghouse or the FHLB's clearing agent, or both. Based on this analysis, the FHLB presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearinghouse. Table 10.5 presents separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. At September 30, 2019 and December 31, 2018, the FHLB did not receive or pledge any non-cash collateral. Any over-collateralization under an individual clearing agent and/or counterparty level is not included in the determination of the net unsecured amount. Table 10.5 - Offsetting of Derivative Assets and Derivative Liabilities (in thousands)
(1) Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement.
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Statements of Comprehensive Income - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
|
Net income | $ 62,695 | $ 91,605 | $ 200,175 | $ 259,213 |
Other comprehensive income adjustments: | ||||
Net unrealized gains (losses) on available-for-sale securities | (192) | (101) | (442) | 243 |
Pension and postretirement benefits | 459 | 677 | 1,376 | 1,650 |
Total other comprehensive income (loss) adjustments | 267 | 576 | 934 | 1,893 |
Comprehensive income | $ 62,962 | $ 92,181 | $ 201,109 | $ 261,106 |
Other-Than-Temporary Impairment Analysis |
9 Months Ended |
---|---|
Sep. 30, 2019 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other than Temporary Impairment Analysis [Text Block] | Other-Than-Temporary Impairment Analysis The FHLB evaluates any of its individual available-for-sale and held-to-maturity investment securities holdings in an unrealized loss position for other-than-temporary impairment on a quarterly basis. U.S. Obligations and GSE Investments For its U.S. obligations and GSE investments (MBS and non-MBS), the FHLB has determined that the strength of the issuers' guarantees through direct obligations or support from the U.S. government is sufficient to protect the FHLB from losses based on current expectations. As a result, the FHLB determined that, as of September 30, 2019, all of the gross unrealized losses on these investments were temporary as the declines in market value of these securities were not attributable to credit quality. Furthermore, the FHLB does not intend to sell the investments, and it is not more likely than not that the FHLB will be required to sell the investments before recovery of their amortized cost bases. As a result, the FHLB did not consider any of these investments to be other-than-temporarily impaired at September 30, 2019. The FHLB did not consider any of its investments to be other-than-temporarily impaired at December 31, 2018.
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Recently Issued Accounting Standards and Interpretations |
9 Months Ended |
---|---|
Sep. 30, 2019 | |
New Accounting Pronouncements and Changes in Accounting Principles [Abstract] | |
Recently Issued Accounting Standards and Interpretations [Text Block] | Recently Issued Accounting Standards and Interpretations Inclusion of the Secured Overnight Financing Rate (SOFR) Overnight Index Swap (OIS) Rate as a Benchmark Interest Rate for Hedge Accounting Purposes. On October 25, 2018, the Financial Accounting Standards Board (FASB) issued guidance that permits the OIS rate based on SOFR as an eligible U.S. benchmark interest rate for hedge accounting purposes, to facilitate the London InterBank Offered Rate (LIBOR) to SOFR transition. This guidance became effective for the FHLB for the interim and annual periods beginning on January 1, 2019 (concurrent with the adoption of the hedging standard mentioned below). This guidance was adopted prospectively for qualifying new or re-designated hedging relationships entered into on or after January 1, 2019. Upon adoption, this guidance did not have an impact on the FHLB’s financial condition, results of operations, or cash flows. Customer's Accounting for Implementation Costs Incurred in a Cloud Computing Arrangement That Is a Service Contract. On August 29, 2018, the FASB issued amended guidance that aligns the requirements for capitalizing implementation costs incurred in a hosting arrangement that is a service contract with the requirements for capitalizing implementation costs incurred to develop or obtain internal-use software (and hosting arrangements that include an internal-use software license). This guidance becomes effective for the FHLB for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The FHLB does not intend to adopt this guidance early. The guidance will not have a material impact on the FHLB’s financial condition, results of operations, and cash flows. Changes to the Disclosure Requirements for Defined Benefit Plans. On August 28, 2018, the FASB issued amended guidance that modifies the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans to improve disclosure effectiveness. This guidance becomes effective for annual periods ending after December 15, 2020 (December 31, 2020 for the FHLB) and will be applied retrospectively for all comparative periods presented. Early adoption is permitted. The FHLB does not intend to adopt this guidance early. The adoption of this guidance will affect the FHLB's disclosures, but will not have any effect on the FHLB's financial condition, results of operations, or cash flows. Changes to the Disclosure Requirements for Fair Value Measurement. On August 28, 2018, the FASB issued amended guidance that modifies the disclosure requirements for fair value measurements to improve disclosure effectiveness. This guidance becomes effective for the FHLB for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The FHLB does not intend to adopt this guidance early. The adoption of this guidance will affect the FHLB's disclosures, but will not have any effect on the FHLB's financial condition, results of operations, or cash flows. Targeted Improvements to Accounting for Hedging Activities. On August 28, 2017, the FASB issued amended guidance to improve the financial reporting of hedging relationships to better portray the economic results of an entity’s risk management activities in its financial statements. This guidance requires that, for fair value hedges, the entire change in the fair value of the hedging instrument included in the assessment of hedge effectiveness be presented in the same income statement line that is used to present the earnings effect of the hedged item. In addition, the amendments include certain targeted improvements to the assessment of hedge effectiveness. This guidance became effective for the FHLB for the interim and annual periods beginning on January 1, 2019 and was applied to all existing hedging relationships as of that date. On January 1, 2019, the FHLB modified the presentation of fair value hedge results on its Statements of Income, as well as relevant disclosures, prospectively. However, the adoption of this guidance did not have a material effect on the FHLB's financial condition, results of operations, or cash flows. Premium Amortization on Purchased Callable Debt Securities. On March 30, 2017, the FASB issued amended guidance to shorten the amortization period for certain purchased callable debt securities held at a premium. Specifically, the amendments require the premium to be amortized to the earliest call date. The amendments do not require an accounting change for securities held at a discount; the discount continues to be amortized to maturity. This guidance was adopted on January 1, 2019, and is applied using a modified retrospective method through a cumulative-effect adjustment directly to retained earnings as of the beginning of the period of adoption. The guidance did not have an impact on the FHLB’s financial condition, results of operations, or cash flows. Measurement of Credit Losses on Financial Instruments. On June 16, 2016, the FASB issued amended guidance for the accounting of credit losses on financial instruments. The amendments require entities to immediately record the full amount of expected credit losses in their loan portfolios. The measurement of expected credit losses is based on relevant information about past events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the reported amount. The guidance also requires, among other things, credit losses relating to available-for-sale debt securities to be recorded through an allowance for credit losses and expanded disclosure requirements. The guidance becomes effective for the FHLB for the interim and annual periods beginning on January 1, 2020. Early adoption is permitted. The FHLB does not intend to adopt the new guidance early. The guidance should be applied using a modified-retrospective approach, through a cumulative-effect adjustment to retained earnings as of the beginning of the first reporting period in which the guidance is effective. In addition, entities are required to use a prospective transition approach for debt securities for which an other-than-temporary impairment had been recognized before the effective date. Based on its preliminary assessments, the FHLB does not expect the guidance to result in an allowance for credit losses for certain financial instruments including Advances, U.S. obligation/GSE investments, securities purchased under agreement to resell and other short-term investments given the specific terms, issuer guarantees, and/or collateralized/secured nature of the instruments. For mortgage loans held for portfolio, the FHLB expects the guidance to have an immaterial impact. However, the guidance's ultimate impact on the FHLB's financial condition, results of operations, and cash flows may change depending upon the composition of the FHLB’s financial assets at the adoption date and the economic conditions and forecasts at that time. Leases. On February 25, 2016, the FASB issued guidance that requires recognition of lease assets and lease liabilities on the Statement 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 Statement 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. This guidance became effective for the FHLB for the interim and annual periods beginning on January 1, 2019. The FHLB elected to adopt this guidance using the modified retrospective method, and therefore, did not restate prior periods. On January 1, 2019, the FHLB recognized a right-of-use asset of $5,473,000 in other assets and a lease liability of $6,141,000 in other liabilities on its Statement of Condition for its operating leases. As permitted, the FHLB elected to not recognize a right-of-use asset or lease liability for its leases with terms of 12 months or less. The FHLB has determined that its leasing activities are not material to its financial condition, results of operations, or cash flows.
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Basis of Presentation (Notes) |
9 Months Ended |
---|---|
Sep. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying interim financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). The preparation of financial statements in accordance with GAAP requires management to make assumptions and estimates. These assumptions and estimates affect the reported amount of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Actual results could differ from these estimates. The interim financial statements presented are unaudited, but they include all adjustments (consisting of only normal recurring adjustments) which are, in the opinion of management, necessary for a fair statement of the financial condition, results of operations, and cash flows for such periods. These financial statements do not include all disclosures associated with annual financial statements and accordingly should be read in conjunction with the audited financial statements and notes included in the FHLB's Annual Report on Form 10-K for the year ended December 31, 2018 filed with the Securities and Exchange Commission (SEC). Results for the nine months ended September 30, 2019 are not necessarily indicative of operating results for the full year. The FHLB presents certain financial instruments, including derivative instruments and securities purchased under agreements to resell, on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these instruments, the FHLB has elected to offset its asset and liability positions, as well as cash collateral received or pledged, when it has met the netting requirements. The FHLB 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 requirements for netting, 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 10. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. For more information about the FHLB's investments in securities purchased under agreements to resell, see “Item 8. Financial Statements and Supplementary Data - Note 1 - Summary of Significant Accounting Policies” in the FHLB's 2018 Annual Report on Form 10-K. The FHLB did not hold any equity securities as of September 30, 2019 and December 31, 2018. Reclassifications. Certain amounts in the 2018 financial statements have been reclassified to conform to the presentation as of September 30, 2019. Specifically, certain cash flow amounts in the prior period Statement of Cash Flows have been reclassified to reflect short-term investment securities purchases and proceeds on a gross, rather than net, basis. Subsequent Events. The FHLB has evaluated subsequent events for potential recognition or disclosure through the issuance of these financial statements and believes there have been no material subsequent events requiring additional disclosure or recognition in these financial statements.
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Affordable Housing Program (AHP) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
|
Affordable Housing Program [Roll Forward] | ||||
AHP Obligation, Beginning Balance | $ 117,336 | |||
AHP, Expense (Current Year Additions) | $ 6,995 | $ 10,224 | 22,342 | $ 28,936 |
AHP, Subsidy Uses, Net | (25,390) | $ (25,365) | ||
AHP Obligation, Ending Balance | $ 114,288 | $ 114,288 |
Allowance for Credit Losses (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Dec. 31, 2018 |
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Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Loans and Leases Receivable, Allowance | $ 740 | $ 840 | $ 740 | $ 840 | ||
Total recorded investment | 10,920,088 | 10,536,324 | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | 840 | |||||
Balance, end of period | 740 | 740 | ||||
Conventional Mortgage Loan [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Allowance for Credit Losses, Collectively Evaluated for Impairment | 740 | 840 | ||||
Allowance for Credit Losses, Individually Evaluated for Impairment | 0 | 0 | ||||
Loans and Leases Receivable, Allowance | 784 | $ 953 | 740 | $ 1,190 | 740 | 840 |
Recorded Investment, Collectively Evaluated for Impairment | 10,664,109 | 10,249,169 | ||||
Recorded Investment, Individually Evaluated for Impairment | 12,156 | 10,554 | ||||
Total recorded investment | $ 10,676,265 | $ 10,259,723 | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | 784 | 953 | 840 | 1,190 | ||
Allowance for Loan and Lease Losses Write-offs, Net | (44) | (26) | (100) | (263) | ||
Balance, end of period | $ 740 | $ 927 | $ 740 | $ 927 |
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
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Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Interest Income, Federal Home Loan Bank Advances | $ 267,537 | $ 342,138 | $ 991,077 | $ 1,009,613 | |||||||
Interest Income, Debt Securities, Available-for-sale, Operating | 3,284 | 14,222 | 21,697 | 27,677 | |||||||
Interest Expense, Consolidated Bonds | (260,453) | (256,014) | (823,376) | (725,221) | |||||||
Amortization and Accretion of Hedged Items | (140) | (463) | |||||||||
Advances [Member] | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Gain (Loss) on Derivative | [1],[2] | 8,005 | 58,315 | ||||||||
Gain (Loss) on Hedged Item | [1],[2] | (8,799) | (56,368) | ||||||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1],[2],[3] | 7,643 | 15,077 | ||||||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1],[2] | (794) | 1,947 | ||||||||
Available-for-sale Securities [Member] | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Gain (Loss) on Derivative | [1],[2] | 104 | 104 | ||||||||
Gain (Loss) on Hedged Item | [1],[2] | (90) | (90) | ||||||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1],[2],[3] | (4) | (4) | ||||||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1],[2] | 14 | 14 | ||||||||
Consolidated Obligation Bonds [Member] | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Gain (Loss) on Derivative | [1],[2] | 301 | 1,166 | ||||||||
Gain (Loss) on Hedged Item | [1],[2] | (213) | (1,257) | ||||||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1],[2],[3] | (510) | (3,360) | ||||||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1],[2] | $ 88 | $ (91) | ||||||||
Interest Income [Member] | Advances [Member] | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net Interest Settlements On Fair Value Hedges | [1] | 8,115 | 33,643 | ||||||||
Gain (Loss) on Derivative | [1] | (61,531) | (227,468) | ||||||||
Gain (Loss) on Hedged Item | [1] | 57,287 | 220,699 | ||||||||
Gain (Loss) on Fair Value Hedges Recognized in Earnings | [1] | 3,871 | 26,874 | ||||||||
Interest Income [Member] | Available-for-sale Securities [Member] | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net Interest Settlements On Fair Value Hedges | [1] | (92) | (136) | ||||||||
Gain (Loss) on Derivative | [1] | (2,957) | (9,460) | ||||||||
Gain (Loss) on Hedged Item | [1] | 2,925 | 9,222 | ||||||||
Gain (Loss) on Fair Value Hedges Recognized in Earnings | [1] | (124) | (374) | ||||||||
Interest Expense [Member] | Consolidated Obligation Bonds [Member] | |||||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||||
Net Interest Settlements On Fair Value Hedges | [1] | 550 | 1,102 | ||||||||
Gain (Loss) on Derivative | [1] | (482) | 1,392 | ||||||||
Gain (Loss) on Hedged Item | [1] | 565 | (1,434) | ||||||||
Gain (Loss) on Fair Value Hedges Recognized in Earnings | [1] | $ 633 | $ 1,060 | ||||||||
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Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
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---|---|---|---|---|---|---|---|
Capital [Abstract] | |||||||
Due in 1 year or less | $ 351 | $ 1,633 | |||||
Due after 1 year through 2 years | 202 | 371 | |||||
Due after 2 years through 3 years | 1,249 | 357 | |||||
Due after 3 years through 4 years | 1,531 | 1,209 | |||||
Due after 4 years through 5 years | 6,712 | 3,553 | |||||
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five | [1] | 650 | 624 | ||||
Past contractual redemption date due to remaining activity | [2] | 14,917 | 15,437 | ||||
Total par value | $ 25,612 | $ 23,184 | |||||
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Segment Information Financial Performance (Details) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2019
USD ($)
|
Sep. 30, 2018
USD ($)
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Sep. 30, 2019
USD ($)
Segment
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Sep. 30, 2018
USD ($)
|
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Segment Reporting Information [Line Items] | ||||
Number of Operating Segments | Segment | 2 | |||
Net interest income | $ 87,239 | $ 130,160 | $ 306,925 | $ 377,411 |
Non-interest income (loss) | 4,294 | (8,923) | (16,764) | (25,589) |
Non-interest expense | 21,843 | 19,408 | 67,644 | 63,673 |
Income before assessments | 69,690 | 101,829 | 222,517 | 288,149 |
Affordable Housing Program assessments | 6,995 | 10,224 | 22,342 | 28,936 |
Net income | 62,695 | 91,605 | 200,175 | 259,213 |
Traditional Member Finance [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Net interest income | 65,146 | 102,279 | 226,254 | 299,006 |
Non-interest income (loss) | (8,242) | (7,805) | (22,306) | (24,732) |
Non-interest expense | 19,166 | 16,957 | 59,158 | 55,202 |
Income before assessments | 37,738 | 77,517 | 144,790 | 219,072 |
Affordable Housing Program assessments | 3,800 | 7,793 | 14,569 | 22,028 |
Net income | 33,938 | 69,724 | 130,221 | 197,044 |
Mortgage Purchase Program [Member] | ||||
Segment Reporting Information [Line Items] | ||||
Net interest income | 22,093 | 27,881 | 80,671 | 78,405 |
Non-interest income (loss) | 12,536 | (1,118) | 5,542 | (857) |
Non-interest expense | 2,677 | 2,451 | 8,486 | 8,471 |
Income before assessments | 31,952 | 24,312 | 77,727 | 69,077 |
Affordable Housing Program assessments | 3,195 | 2,431 | 7,773 | 6,908 |
Net income | $ 28,757 | $ 21,881 | $ 69,954 | $ 62,169 |
Deposits Deposits (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
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Deposits [Abstract] | ||
Interest bearing, demand and overnight | $ 791,894 | $ 605,979 |
Interest bearing, term | 37,600 | 51,600 |
Interest bearing, other | 9,074 | 4,959 |
Total interest-bearing | 838,568 | 662,538 |
Non-interest bearing, other | 8,452 | 6,478 |
Total non-interest bearing | 8,452 | 6,478 |
Total deposits | $ 847,020 | $ 669,016 |
Available-for-Sale Securities Interest Rate Payment Terms (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
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Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | [1] | $ 434,729 | $ 2,403,007 | |
Fixed-rate [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-sale, Amortized Cost | $ 434,729 | $ 2,403,007 | ||
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Trading Securities (Net (Losses) Gains on Trading Securities) (Details) - USD ($) $ in Thousands |
9 Months Ended | |
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Sep. 30, 2019 |
Sep. 30, 2018 |
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Debt Securities, Trading, and Equity Securities, FV-NI [Abstract] | ||
Debt Securities, Trading, Unrealized Gain (Loss) | $ 263,733 | $ 800 |
Debt Securities, Trading, Gain (Loss) | $ 263,733 | $ 800 |
Available-for-Sale Securities (Tables) |
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Debt Securities, Available-for-sale [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-Sale Securities by Major Security Types (in thousands)
(1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments.
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Investments Classified by Contractual Maturity Date [Table Text Block] | Available-for-Sale Securities by Contractual Maturity (in thousands)
(2) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
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Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | Interest Rate Payment Terms of Available-for-Sale Securities (in thousands)
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Allowance for Credit Losses (Tables) |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Allowance for Credit Losses on Financing Receivables [Table Text Block] | Allowance for Credit Losses and Recorded Investment on Conventional Mortgage Loans by Impairment Methodology (in thousands)
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Changes in LRA [Table Text Block] | Changes in the LRA (in thousands)
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Past Due Financing Receivables [Table Text Block] | Recorded Investment in Delinquent Mortgage Loans (dollars in thousands)
(3) Each conventional loan past due 90 days or more still accruing interest is on a schedule/scheduled monthly settlement basis and contains one or more credit enhancements. Loans that are well secured and in the process of collection as a result of remaining credit enhancements and schedule/scheduled settlement are not placed on non-accrual status.
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Advances |
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Advances [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances [Text Block] | Advances The FHLB offers a wide range of fixed- and variable-rate Advance products with different maturities, interest rates, payment characteristics and optionality. The following table presents Advance redemptions by contractual maturity, including index-amortizing Advances, which are presented according to their predetermined amortization schedules. Table 7.1 - Advances by Redemption Term (dollars in thousands)
The FHLB offers certain fixed and variable-rate Advances to members that may be prepaid on specified dates (call dates) without incurring prepayment or termination fees (callable Advances). If the call option is exercised, replacement funding may be available to members. Other Advances may only be prepaid subject to a prepayment fee paid to the FHLB that makes the FHLB financially indifferent to the prepayment of the Advance. Table 7.2 - Advances by Redemption Term or Next Call Date (in thousands)
The FHLB also offers putable Advances. With a putable Advance, the FHLB effectively purchases put options from the member that allows the FHLB to terminate the Advance at predetermined dates. The FHLB normally would exercise its put option when interest rates increase relative to contractual rates. Table 7.3 - Advances by Redemption Term or Next Put Date for Putable Advances (in thousands)
Table 7.4 - Advances by Interest Rate Payment Terms (in thousands)
Table 7.5 - Borrowers Holding Five Percent or more of Total Advances, Including Any Known Affiliates that are Members of the FHLB (dollars in millions)
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Background Information |
9 Months Ended |
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Sep. 30, 2019 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Nature of Operations [Text Block] | Background Information The Federal Home Loan Bank of Cincinnati (the FHLB), a federally chartered corporation, is one of 11 District Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by enhancing the availability of credit for residential mortgages and targeted community development. The FHLB is regulated by the Federal Housing Finance Agency (Finance Agency).
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Trading Securities |
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Debt Securities, Trading, and Equity Securities, FV-NI [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Trading Securities Table 3.1 - Trading Securities by Major Security Types (in thousands)
Table 3.2 - Net Gains (Losses) on Trading Securities (in thousands)
Table 4.1 - Available-for-Sale Securities by Major Security Types (in thousands)
All securities outstanding with gross unrealized losses at September 30, 2019 and December 31, 2018 were in a continuous unrealized loss position for less than 12 months. Table 4.2 - Available-for-Sale Securities by Contractual Maturity (in thousands)
Table 4.3 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands)
Realized Gains and Losses. The FHLB had no sales of securities out of its available-for-sale portfolio for the nine months ended September 30, 2019 or 2018. Held-to-Maturity SecuritiesTable 5.1 - Held-to-Maturity Securities by Major Security Types (in thousands)
Table 5.2 - Net Purchased Premiums Included in the Amortized Cost of MBS Classified as Held-to-Maturity (in thousands)
Table 5.3 summarizes the held-to-maturity securities with unrealized losses, which are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. Table 5.3 - Held-to-Maturity Securities in a Continuous Unrealized Loss Position (in thousands)
Table 5.4 - Held-to-Maturity Securities by Contractual Maturity (in thousands)
Table 5.5 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands)
Realized Gains and Losses. From time to time the FHLB may sell securities out of its held-to-maturity portfolio. These securities, generally, have less than 15 percent of the acquired principal outstanding at the time of the sale. These sales are considered maturities for the purposes of security classification. For the nine months ended September 30, 2019 and 2018, the FHLB did not sell any held-to-maturity securities. |
Deposits |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Sep. 30, 2019 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposit [Text Block] | Deposits Table 11.1 - Deposits (in thousands)
|
Statements of Income - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
|
INTEREST INCOME: | ||||
Advances | $ 267,537 | $ 342,138 | $ 991,077 | $ 1,009,613 |
Prepayment fees on Advances, net | 724 | 27 | 904 | 488 |
Interest-bearing deposits | 3,823 | 194 | 9,104 | 449 |
Securities purchased under agreements to resell | 13,271 | 15,808 | 54,319 | 33,075 |
Federal funds sold | 62,322 | 44,203 | 185,343 | 130,216 |
Investment securities: | ||||
Trading securities | 61,653 | 35 | 112,213 | 45 |
Available-for-sale securities | 3,284 | 14,222 | 21,697 | 27,677 |
Held-to-maturity securities | 94,740 | 101,174 | 305,192 | 278,951 |
Total investment securities | 159,677 | 115,431 | 439,102 | 306,673 |
Mortgage loans held for portfolio | 83,506 | 80,188 | 257,758 | 235,609 |
Loans to other FHLBanks | 0 | 0 | 70 | 20 |
Total interest income | 590,860 | 597,989 | 1,937,677 | 1,716,143 |
Consolidated Obligations: | ||||
Discount Notes | 238,574 | 207,947 | 794,469 | 604,387 |
Bonds | 260,453 | 256,014 | 823,376 | 725,221 |
Total Consolidated Obligations | 499,027 | 463,961 | 1,617,845 | 1,329,608 |
Deposits | 4,337 | 3,455 | 12,008 | 7,906 |
Loans from other FHLBanks | 3 | 0 | 3 | 5 |
Mandatorily redeemable capital stock | 254 | 413 | 896 | 1,213 |
Total interest expense | 503,621 | 467,829 | 1,630,752 | 1,338,732 |
NET INTEREST INCOME | 87,239 | 130,160 | 306,925 | 377,411 |
NON-INTEREST INCOME (LOSS): | ||||
Net gains (losses) on investment securities | 70,146 | 805 | 263,733 | 800 |
Net gains (losses) on financial instruments held under fair value option | (8,681) | (3,607) | (50,615) | 12,224 |
Net gains (losses) on derivatives and hedging activities | (60,254) | (238,339) | ||
Net gains (losses) on derivatives and hedging activities | (8,804) | (46,769) | ||
Other, net | 3,083 | 2,683 | 8,457 | 8,156 |
Total non-interest income (loss) | 4,294 | (8,923) | (16,764) | (25,589) |
NON-INTEREST EXPENSE: | ||||
Compensation and benefits | 11,173 | 10,315 | 35,208 | 34,465 |
Other operating expenses | 5,498 | 4,987 | 16,443 | 15,082 |
Finance Agency | 1,695 | 1,565 | 5,086 | 4,694 |
Office of Finance | 1,204 | 1,219 | 3,684 | 3,653 |
Other | 2,273 | 1,322 | 7,223 | 5,779 |
Total non-interest expense | 21,843 | 19,408 | 67,644 | 63,673 |
INCOME BEFORE ASSESSMENTS | 69,690 | 101,829 | 222,517 | 288,149 |
Affordable Housing Program assessments | 6,995 | 10,224 | 22,342 | 28,936 |
NET INCOME | $ 62,695 | $ 91,605 | $ 200,175 | $ 259,213 |
Pension and Postretirement Benefit Plans Net Periodic Benefit Cost (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
Sep. 30, 2019 |
Sep. 30, 2018 |
|
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit), Interest Cost, Statement of Income or Comprehensive Income [Extensible List] | us-gaap:OtherNoninterestExpense | |||
Defined Benefit Plan, Net Periodic Benefit (Cost) Credit, Amortization of Gain (Loss), Statement of Income or Comprehensive Income [Extensible List] | us-gaap:OtherNoninterestExpense | |||
Supplemental Employee Retirement Plan [Member] | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Service Cost | $ 225 | $ 294 | $ 676 | $ 847 |
Defined Benefit Plan, Interest Cost | 388 | 352 | 1,163 | 1,015 |
Defined Benefit Plan, Amortization of Gain (Loss) | 459 | 677 | 1,376 | 1,650 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | 1,072 | 1,323 | 3,215 | 3,512 |
Other Postretirement Benefits Plan [Member] | ||||
Defined Benefit Plan Disclosure [Line Items] | ||||
Defined Benefit Plan, Service Cost | 3 | 6 | 10 | 15 |
Defined Benefit Plan, Interest Cost | 46 | 41 | 136 | 124 |
Defined Benefit Plan, Amortization of Gain (Loss) | 0 | 0 | 0 | 0 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 49 | $ 47 | $ 146 | $ 139 |
Derivatives and Hedging Activities Offsetting of Derivative Assets and Derivative Liabilities (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Offsetting Assets [Line Items] | |||||||||||||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | $ 233,473 | [1] | $ 42,424 | [3] | ||||||||
Derivative assets | 279,554 | 65,765 | |||||||||||
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (83,698) | [1] | (16,793) | [3] | ||||||||
Derivative liabilities | 4,076 | 4,586 | |||||||||||
Uncleared derivatives | |||||||||||||
Offsetting Assets [Line Items] | |||||||||||||
Derivative Asset, Total Gross Amount | 39,174 | 20,284 | |||||||||||
Derivative Asset, Netting Adjustments And Cash Collateral | (39,174) | (20,250) | |||||||||||
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 2,272 | 1,726 | ||||||||||
Derivative assets | 2,272 | 1,760 | |||||||||||
Derivative Liability, Total Gross Amount | 85,837 | 13,745 | |||||||||||
Derivative Liability, Netting Adjustments And Cash Collateral | (82,959) | (11,824) | |||||||||||
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 1,198 | 2,665 | ||||||||||
Derivative liabilities | 4,076 | 4,586 | |||||||||||
Cleared derivatives | |||||||||||||
Offsetting Assets [Line Items] | |||||||||||||
Derivative Asset, Total Gross Amount | 4,635 | 1,331 | |||||||||||
Derivative Asset, Netting Adjustments And Cash Collateral | 272,647 | 62,674 | |||||||||||
Derivative Asset, Not Subject to Master Netting Arrangement | [4] | 0 | 0 | ||||||||||
Derivative assets | 277,282 | 64,005 | |||||||||||
Derivative Liability, Total Gross Amount | 739 | 4,969 | |||||||||||
Derivative Liability, Netting Adjustments And Cash Collateral | (739) | (4,969) | |||||||||||
Derivative Liability, Not Subject to Master Netting Arrangement | [4] | 0 | 0 | ||||||||||
Derivative liabilities | $ 0 | $ 0 | |||||||||||
|
Consolidated Obligations (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
||
---|---|---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Discount Notes | $ 49,553,251 | $ 46,943,632 | ||
Consolidated Obligations Bonds Total | 44,590,325 | 45,659,138 | ||
Consolidated Obligation Bonds [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt, Maturities, Repayments of Principal in Twelve Months | 22,924,065 | 21,085,800 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 8,300,500 | 6,998,565 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 4,412,015 | 6,829,595 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 2,564,465 | 2,958,620 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 2,211,795 | 3,248,975 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 4,109,730 | 4,525,635 | ||
Debt, Gross | 44,522,570 | 45,647,190 | ||
Debt Instrument, Unamortized Premium | 69,351 | 75,809 | ||
Debt Instrument, Unamortized Discount | (25,257) | (29,275) | ||
Debt Valuation Adjustment for Hedging Activities | 1,238 | (196) | ||
Fair value option valuation adjustment and accrued interest | 22,423 | (34,390) | ||
Consolidated Obligations Bonds Total | $ 44,590,325 | $ 45,659,138 | ||
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 1.96% | 2.20% | ||
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.97% | 2.13% | ||
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.39% | 2.05% | ||
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 2.60% | 2.39% | ||
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 2.74% | 2.63% | ||
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.96% | 2.94% | ||
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 2.17% | 2.29% | ||
Consolidated Obligation Bonds [Member] | Fixed-rate [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt, Gross | $ 28,618,570 | $ 29,837,190 | ||
Consolidated Obligation Bonds [Member] | Variable-rate [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt, Gross | 15,904,000 | 15,470,000 | ||
Consolidated Obligation Bonds [Member] | Step-up [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt, Gross | 0 | 340,000 | ||
Consolidated Obligation Bonds [Member] | Earlier of Contractual Maturity or Next Call Date [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt, Maturities, Repayments of Principal in Twelve Months | 27,905,065 | 27,173,800 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 6,690,500 | 5,773,565 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 3,542,015 | 5,060,595 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,979,465 | 2,470,620 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 1,699,795 | 2,231,975 | ||
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 2,705,730 | 2,936,635 | ||
Consolidated Obligation Bonds [Member] | Non Callable [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt, Gross | 38,329,570 | 38,539,190 | ||
Consolidated Obligation Bonds [Member] | Callable [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt, Gross | 6,193,000 | 7,108,000 | ||
Discount Notes [Member] | ||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||
Debt Instrument, Face Amount | $ 49,639,893 | $ 47,071,113 | ||
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 1.99% | 2.35% | |
|
Allowance for Credit Losses Narrative (Details) - USD ($) |
Sep. 30, 2019 |
Dec. 31, 2018 |
---|---|---|
Receivables [Abstract] | ||
Real Estate Acquired Through Foreclosure | $ 0 | $ 0 |
Financing Receivable, Modifications, Recorded Investment | $ 12,156,000 | $ 10,554,000 |
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands |
Sep. 30, 2019 |
Dec. 31, 2018 |
|||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Derivatives, Fair Value [Line Items] | |||||||||||
Notional Amount of Derivatives | $ 47,463,998 | $ 13,806,767 | |||||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 46,081 | 23,341 | |||||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 87,774 | 21,379 | |||||||||
Derivative Asset, Netting Adjustments And Cash Collateral | [2] | 233,473 | [1] | 42,424 | [3] | ||||||
Derivative Liability, Netting Adjustments And Cash Collateral | [2] | (83,698) | [1] | (16,793) | [3] | ||||||
Derivative assets | 279,554 | 65,765 | |||||||||
Derivative liabilities | 4,076 | 4,586 | |||||||||
Derivative, Collateral, Cash Posted And Related Accrued Interest | 331,178 | 71,246 | |||||||||
Derivative, Collateral, Cash Received And Related Accrued Interest | 14,007 | 12,029 | |||||||||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | |||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||
Notional Amount of Derivatives | 9,428,000 | 6,207,278 | |||||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 5,550 | 2,393 | |||||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 85,183 | 16,810 | |||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | |||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||
Notional Amount of Derivatives | 30,617,599 | 4,322,480 | |||||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,961 | 3,311 | |||||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 1,393 | 1,904 | |||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | |||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||
Notional Amount of Derivatives | 6,000,000 | 3,000,000 | |||||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 35,298 | 15,911 | |||||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |||||||||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Forward Contracts [Member] | Collateralized Mortgage Backed Securities [Member] | |||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||
Notional Amount of Derivatives | 680,000 | 131,000 | |||||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 16 | 0 | |||||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 652 | 2,664 | |||||||||
Not Designated as Hedging Instrument [Member] | |||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||
Notional Amount of Derivatives | 38,035,998 | 7,599,489 | |||||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 40,531 | 20,948 | |||||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,591 | 4,569 | |||||||||
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||||||||||
Derivatives, Fair Value [Line Items] | |||||||||||
Notional Amount of Derivatives | 738,399 | 146,009 | |||||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 2,256 | 1,726 | |||||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 546 | $ 1 | |||||||||
|
Capital (Mandatorily Redeemable Capital Stock) (Details) - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2019 |
Sep. 30, 2018 |
|
Mandatorily Redeemable Capital Stock [Roll Forward] | ||
Balance at beginning period | $ 23,184 | |
Shares Reclassified to Mandatorily Redeemable Capital Stock, Value | 7,671 | |
Repayments of Mandatory Redeemable Capital Securities | (5,243) | $ (13,106) |
Balance at end of period | $ 25,612 |
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