Federally Chartered Corporation | ||||||||
(State or other jurisdiction of incorporation or organization) | (IRS Employer Identification No.) | |||||||
(Address of principal executive offices) | (Zip Code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
— | — | — |
o | Large accelerated filer | o | Accelerated filer | Emerging growth company | |||||||||||||
x | Smaller reporting company |
Part I - FINANCIAL INFORMATION | |||||
Item 1: Financial Statements (unaudited) | |||||
Notes to Financial Statements (unaudited) | |||||
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations | |||||
Risk Management | |||||
Item 3: Quantitative and Qualitative Disclosures about Market Risk | |||||
Item 4: Controls and Procedures | |||||
Part II - OTHER INFORMATION | |||||
Item 1: Legal Proceedings | |||||
Item 1A: Risk Factors | |||||
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds | |||||
Item 3: Defaults upon Senior Securities | |||||
Item 4: Mine Safety Disclosures | |||||
Item 5: Other Information | |||||
Item 6: Exhibits | |||||
Signatures |
Three months ended | |||||||||||||||||
September 30, | June 30, | March 31, | December 31, | September 30, | |||||||||||||
(in millions) | 2021 | 2021 | 2021 | 2020 | 2020 | ||||||||||||
Net interest income | $ | 43.6 | $ | 38.9 | $ | 58.0 | $ | 82.0 | $ | 84.2 | |||||||
Provision (reversal) for credit losses | (0.9) | (0.3) | (1.1) | (1.3) | 1.2 | ||||||||||||
Other noninterest income (loss) | 3.6 | (3.0) | 9.4 | 6.9 | 5.0 | ||||||||||||
Other expense | 22.9 | 23.1 | 26.0 | 26.8 | 23.8 | ||||||||||||
Income before assessments | 25.2 | 13.1 | 42.5 | 63.4 | 64.2 | ||||||||||||
Affordable Housing Program (AHP) assessment (1) | 2.6 | 1.4 | 4.4 | 6.6 | 6.8 | ||||||||||||
Net income | $ | 22.6 | $ | 11.7 | $ | 38.1 | $ | 56.8 | $ | 57.4 | |||||||
Dividends (in millions) | $ | 12.8 | $ | 17.6 | $ | 21.8 | $ | 31.2 | $ | 39.8 | |||||||
Dividends per share | 1.08 | 1.41 | 1.52 | 1.83 | 1.84 | ||||||||||||
Dividend payout ratio (2) | 56.49 | % | 150.15 | % | 57.31 | % | 54.90 | % | 69.30 | % | |||||||
Weighted average dividend rate | 4.19 | % | 5.05 | % | 5.16 | % | 5.80 | % | 5.89 | % | |||||||
Return on average equity | 3.32 | % | 1.70 | % | 5.21 | % | 7.05 | % | 6.29 | % | |||||||
Return on average assets | 0.23 | % | 0.12 | % | 0.33 | % | 0.41 | % | 0.32 | % | |||||||
Net interest margin (3) | 0.46 | % | 0.41 | % | 0.51 | % | 0.60 | % | 0.47 | % | |||||||
Regulatory capital ratio (4) | 7.04 | % | 6.37 | % | 6.90 | % | 6.39 | % | 5.72 | % | |||||||
GAAP capital ratio (5) | 7.32 | % | 6.52 | % | 6.98 | % | 6.38 | % | 5.58 | % | |||||||
Total average equity to average assets | 7.01 | % | 7.11 | % | 6.32 | % | 5.82 | % | 5.05 | % |
Nine months ended | ||||||||
(in millions) | September 30, 2021 | September 30, 2020 | ||||||
Net interest income | $ | 140.5 | $ | 282.7 | ||||
Provision (reversal) for credit losses | (2.3) | 5.6 | ||||||
Other noninterest income (loss) | 10.0 | (26.2) | ||||||
Other expense | 72.0 | 78.7 | ||||||
Income before assessments | 80.8 | 172.2 | ||||||
AHP assessment (1) | 8.4 | 18.6 | ||||||
Net income | $ | 72.4 | $ | 153.6 | ||||
Dividends (in millions) | $ | 52.2 | $ | 137.2 | ||||
Dividends per share | 4.05 | 5.32 | ||||||
Dividend payout ratio (2) | 72.08 | % | 89.28 | % | ||||
Weighted average dividend rate | 4.85 | % | 6.49 | % | ||||
Return on average equity | 3.44 | % | 5.13 | % | ||||
Return on average assets | 0.23 | % | 0.24 | % | ||||
Net interest margin (3) | 0.46 | % | 0.44 | % | ||||
Regulatory capital ratio (4) | 7.04 | % | 5.72 | % | ||||
GAAP capital ratio (5) | 7.32 | % | 5.58 | % | ||||
Total average equity to average assets | 6.78 | % | 4.61 | % |
September 30, | June 30, | March 31, | December 31, | September 30, | |||||||||||||
(in millions) | 2021 | 2021 | 2021 | 2020 | 2020 | ||||||||||||
Cash and due from banks | $ | 1,119.5 | $ | 545.1 | $ | 890.9 | $ | 1,036.5 | $ | 1,386.5 | |||||||
Investments (1) | 18,040.6 | 21,032.5 | 15,562.1 | 16,522.7 | 17,792.1 | ||||||||||||
Advances | 12,987.1 | 14,954.7 | 19,272.4 | 24,971.1 | 35,841.0 | ||||||||||||
Mortgage loans held for portfolio, net | 4,780.3 | 4,774.4 | 4,866.2 | 4,886.2 | 5,089.8 | ||||||||||||
Total assets | 37,247.6 | 41,662.2 | 40,914.3 | 47,712.9 | 60,443.3 | ||||||||||||
Consolidated obligations: | |||||||||||||||||
Discount notes | 12,108.2 | 15,112.8 | 12,209.3 | 9,510.1 | 13,995.7 | ||||||||||||
Bonds | 21,125.8 | 22,514.3 | 24,164.5 | 33,854.7 | 41,583.3 | ||||||||||||
Total consolidated obligations | 33,234.0 | 37,627.1 | 36,373.8 | 43,364.8 | 55,579.0 | ||||||||||||
Deposits | 965.9 | 940.9 | 1,305.7 | 923.4 | 990.6 | ||||||||||||
Total liabilities | 34,522.6 | 38,944.7 | 38,059.3 | 44,671.0 | 57,071.3 | ||||||||||||
Capital stock - putable | 1,201.7 | 1,203.0 | 1,328.7 | 1,527.8 | 1,880.4 | ||||||||||||
Retained earnings | 1,397.0 | 1,387.1 | 1,393.0 | 1,376.8 | 1,351.1 | ||||||||||||
Total capital | 2,725.0 | 2,717.5 | 2,855.0 | 3,041.9 | 3,372.0 |
Three months ended September 30, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
(dollars in millions) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Federal funds sold (1) | $ | 3,085.4 | $ | 0.7 | 0.09 | $ | 4,513.3 | $ | 1.0 | 0.09 | |||||||||||||
Securities purchased under agreements to resell (1) | 763.0 | 0.2 | 0.10 | 1,192.4 | 0.3 | 0.10 | |||||||||||||||||
Interest-bearing deposits (2) | 647.2 | 0.2 | 0.13 | 1,469.8 | 0.6 | 0.17 | |||||||||||||||||
Investment securities (3) | 14,308.3 | 34.4 | 0.96 | 14,728.0 | 52.9 | 1.43 | |||||||||||||||||
Advances (4) | 14,007.1 | 31.3 | 0.89 | 43,729.1 | 95.2 | 0.87 | |||||||||||||||||
Mortgage loans held for portfolio (5) | 4,759.7 | 32.0 | 2.67 | 5,178.2 | 35.9 | 2.76 | |||||||||||||||||
Total interest-earning assets | 37,570.7 | 98.8 | 1.04 | 70,810.8 | 185.9 | 1.04 | |||||||||||||||||
Other assets (6) | 1,047.9 | 1,057.3 | |||||||||||||||||||||
Total assets | $ | 38,618.6 | $ | 71,868.1 | |||||||||||||||||||
Liabilities and capital: | |||||||||||||||||||||||
Deposits (2) | $ | 958.6 | $ | 0.1 | 0.05 | $ | 990.2 | $ | — | — | |||||||||||||
Consolidated obligation discount notes | 12,888.2 | 1.4 | 0.04 | 20,993.1 | 17.0 | 0.32 | |||||||||||||||||
Consolidated obligation bonds (7) | 21,346.0 | 53.0 | 0.99 | 45,320.9 | 80.6 | 0.71 | |||||||||||||||||
Other borrowings | 51.6 | 0.7 | 5.15 | 251.4 | 4.1 | 6.44 | |||||||||||||||||
Total interest-bearing liabilities | 35,244.4 | 55.2 | 0.62 | 67,555.6 | 101.7 | 0.60 | |||||||||||||||||
Other liabilities | 666.9 | 683.3 | |||||||||||||||||||||
Total capital | 2,707.3 | 3,629.2 | |||||||||||||||||||||
Total liabilities and capital | $ | 38,618.6 | $ | 71,868.1 | |||||||||||||||||||
Net interest spread | 0.42 | 0.44 | |||||||||||||||||||||
Impact of noninterest-bearing funds | 0.04 | 0.03 | |||||||||||||||||||||
Net interest income/net interest margin | $ | 43.6 | 0.46 | $ | 84.2 | 0.47 |
Nine months ended September 30, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
(dollars in millions) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | Average Balance | Interest Income/ Expense | Avg. Yield/ Rate (%) | |||||||||||||||||
Assets: | |||||||||||||||||||||||
Federal funds sold (1) | $ | 3,399.4 | $ | 2.0 | 0.08 | $ | 7,249.5 | $ | 27.4 | 0.51 | |||||||||||||
Securities purchased under agreements to resell (1) | 753.5 | 0.4 | 0.08 | 1,500.1 | 7.9 | 0.71 | |||||||||||||||||
Interest-bearing deposits (2) | 778.3 | 0.8 | 0.14 | 1,629.8 | 6.0 | 0.49 | |||||||||||||||||
Investment securities (3) | 13,320.0 | 111.4 | 1.12 | 16,026.7 | 224.3 | 1.87 | |||||||||||||||||
Advances (4) | 17,355.2 | 112.6 | 0.87 | 54,008.3 | 549.0 | 1.36 | |||||||||||||||||
Mortgage loans held for portfolio (5) | 4,814.1 | 95.1 | 2.64 | 5,205.4 | 121.5 | 3.12 | |||||||||||||||||
Total interest-earning assets | 40,420.5 | 322.3 | 1.07 | 85,619.8 | 936.1 | 1.46 | |||||||||||||||||
Other assets (6) | 1,030.2 | 1,139.7 | |||||||||||||||||||||
Total assets | $ | 41,450.7 | $ | 86,759.5 | |||||||||||||||||||
Liabilities and capital: | |||||||||||||||||||||||
Deposits (2) | $ | 981.7 | $ | 0.1 | 0.03 | $ | 812.2 | $ | 1.8 | 0.3 | |||||||||||||
Consolidated obligation discount notes | 12,164.0 | 5.6 | 0.06 | 28,794.1 | 175.5 | 0.81 | |||||||||||||||||
Consolidated obligation bonds (7) | 24,754.4 | 172.7 | 0.93 | 52,146.2 | 462.0 | 1.18 | |||||||||||||||||
Other borrowings | 81.9 | 3.4 | 5.61 | 297.7 | 14.1 | 6.34 | |||||||||||||||||
Total interest-bearing liabilities | 37,982.0 | 181.8 | 0.64 | 82,050.2 | 653.4 | 1.06 | |||||||||||||||||
Other liabilities | 656.3 | 705.5 | |||||||||||||||||||||
Total capital | 2,812.4 | 4,003.8 | |||||||||||||||||||||
Total liabilities and capital | $ | 41,450.7 | $ | 86,759.5 | |||||||||||||||||||
Net interest spread | 0.43 | 0.40 | |||||||||||||||||||||
Impact of noninterest-bearing funds | 0.03 | 0.04 | |||||||||||||||||||||
Net interest income/net interest margin | $ | 140.5 | 0.46 | $ | 282.7 | 0.44 |
Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume 2021 compared to 2020 | ||||||||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||||||||
(in millions) | Volume | Rate | Total | Volume | Rate | Total | ||||||||||||||
Federal funds sold | $ | (0.3) | $ | — | $ | (0.3) | $ | (9.8) | $ | (15.6) | $ | (25.4) | ||||||||
Securities purchased under agreements to resell | (0.1) | — | (0.1) | (2.7) | (4.8) | (7.5) | ||||||||||||||
Interest-bearing deposits | (0.3) | (0.1) | (0.4) | (2.2) | (3.0) | (5.2) | ||||||||||||||
Investment securities | (1.5) | (17.0) | (18.5) | (33.5) | (79.4) | (112.9) | ||||||||||||||
Advances | (66.1) | 2.2 | (63.9) | (284.9) | (151.5) | (436.4) | ||||||||||||||
Mortgage loans held for portfolio | (2.7) | (1.2) | (3.9) | (8.7) | (17.7) | (26.4) | ||||||||||||||
Total interest-earning assets | $ | (71.0) | $ | (16.1) | $ | (87.1) | $ | (341.8) | $ | (272.0) | $ | (613.8) | ||||||||
Deposits | $ | — | $ | 0.1 | $ | 0.1 | $ | 0.3 | $ | (2.0) | $ | (1.7) | ||||||||
Consolidated obligation discount notes | (4.8) | (10.8) | (15.6) | (65.3) | (104.6) | (169.9) | ||||||||||||||
Consolidated obligation bonds | (52.2) | 24.6 | (27.6) | (206.3) | (83.0) | (289.3) | ||||||||||||||
Other borrowings | (2.7) | (0.7) | (3.4) | (9.2) | (1.5) | (10.7) | ||||||||||||||
Total interest-bearing liabilities | $ | (59.7) | $ | 13.2 | $ | (46.5) | $ | (280.5) | $ | (191.1) | $ | (471.6) | ||||||||
Total decrease in net interest income | $ | (11.3) | $ | (29.3) | $ | (40.6) | $ | (61.3) | $ | (80.9) | $ | (142.2) |
Three Months Ended September 30, 2021 | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||||
Amortization/accretion of hedging activities in net interest income | $ | — | $ | — | $ | (0.8) | $ | — | $ | (0.8) | |||||||
Gains (losses) on designated fair value hedges | (0.1) | 0.3 | — | (0.1) | 0.1 | ||||||||||||
Net interest settlements included in net interest income | (33.9) | (14.5) | — | 16.0 | (32.4) | ||||||||||||
Total effect on net interest income | $ | (34.0) | $ | (14.2) | $ | (0.8) | $ | 15.9 | $ | (33.1) | |||||||
Nine Months Ended September 30, 2021 | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||||
Amortization/accretion of hedging activities in net interest income | $ | — | $ | (0.1) | $ | (2.8) | $ | 0.1 | $ | (2.8) | |||||||
Gains (losses) on designated fair value hedges | (0.1) | 1.7 | — | (0.1) | 1.5 | ||||||||||||
Net interest settlements included in net interest income | (108.7) | (32.6) | — | 32.1 | (109.2) | ||||||||||||
Total effect on net interest income | $ | (108.8) | $ | (31.0) | $ | (2.8) | $ | 32.1 | $ | (110.5) | |||||||
Three Months Ended September 30, 2020 | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||||
Amortization/accretion of hedging activities in net interest income | $ | — | $ | — | $ | (1.0) | $ | (0.1) | $ | (1.1) | |||||||
Gains (losses) on designated fair value hedges | — | 0.5 | — | 0.2 | 0.7 | ||||||||||||
Net interest settlements included in net interest income | (69.6) | (7.1) | — | 21.7 | (55.0) | ||||||||||||
Total effect on net interest income | $ | (69.6) | $ | (6.6) | $ | (1.0) | $ | 21.8 | $ | (55.4) | |||||||
Nine Months Ended September 30, 2020 | Advances | Investments | Mortgage Loans | Bonds | Total | ||||||||||||
Amortization/accretion of hedging activities in net interest income | $ | — | $ | (0.1) | $ | (2.1) | $ | — | $ | (2.2) | |||||||
Gains (losses) on designated fair value hedges | (0.1) | (3.1) | — | 0.6 | (2.6) | ||||||||||||
Net interest settlements included in net interest income | (136.7) | (13.7) | — | 54.4 | (96.0) | ||||||||||||
Total effect on net interest income | $ | (136.8) | $ | (16.9) | $ | (2.1) | $ | 55.0 | $ | (100.8) |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in millions) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Net gains (losses) on investment securities | $ | (3.1) | $ | (5.3) | $ | (15.8) | $ | 53.9 | ||||||
Net gains (losses) on derivatives and hedging activities | (0.4) | 3.6 | 5.3 | (97.7) | ||||||||||
Standby letters of credit fees | 5.9 | 5.4 | 17.5 | 16.0 | ||||||||||
Other, net | 1.2 | 1.3 | 3.0 | 1.6 | ||||||||||
Total other noninterest income (loss) | $ | 3.6 | $ | 5.0 | $ | 10.0 | $ | (26.2) |
Three months ended September 30, 2021 | |||||||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Discount Notes | Other | Total | ||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements | $ | — | $ | 0.8 | $ | (1.6) | $ | 0.4 | $ | — | $ | — | $ | (0.4) | |||||||||
Total net gains (losses) on derivatives and hedging activities | $ | — | $ | 0.8 | $ | (1.6) | $ | 0.4 | $ | — | $ | — | $ | (0.4) | |||||||||
Nine months ended September 30, 2021 | |||||||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Discount Notes | Other | Total | ||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements | $ | — | $ | 7.9 | $ | (2.7) | $ | 0.1 | $ | — | $ | — | $ | 5.3 | |||||||||
Total net gains (losses) on derivatives and hedging activities | $ | — | $ | 7.9 | $ | (2.7) | $ | 0.1 | $ | — | $ | — | $ | 5.3 |
Three months ended September 30, 2020 | |||||||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Discount Notes | Other | Total | ||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements | $ | 0.1 | $ | 1.4 | $ | 2.1 | $ | — | $ | — | $ | — | $ | 3.6 | |||||||||
Total net gains (losses) on derivatives and hedging activities | $ | 0.1 | $ | 1.4 | $ | 2.1 | $ | — | $ | — | $ | — | $ | 3.6 | |||||||||
Nine months ended September 30, 2020 | |||||||||||||||||||||||
(in millions) | Advances | Investments | Mortgage Loans | Bonds | Discount Notes | Other | Total | ||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | |||||||||||||||||||||||
Gains (losses) on derivatives not receiving hedge accounting, including net interest settlements | $ | (17.4) | $ | (93.8) | $ | (10.9) | $ | 16.4 | $ | 7.7 | $ | — | $ | (98.0) | |||||||||
Other (1) | — | 0.1 | — | — | — | 0.2 | 0.3 | ||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | $ | (17.4) | $ | (93.7) | $ | (10.9) | $ | 16.4 | $ | 7.7 | $ | 0.2 | $ | (97.7) |
(in millions) | September 30, 2021 | December 31, 2020 | ||||||
Fixed-rate | ||||||||
Due in 1 year or less (1) | $ | 7,210.4 | $ | 6,607.2 | ||||
Due after 1 year through 3 years | 2,995.4 | 7,182.3 | ||||||
Due after 3 years through 5 years | 1,280.9 | 2,192.5 | ||||||
Thereafter | 159.7 | 169.2 | ||||||
Total par value | $ | 11,646.4 | $ | 16,151.2 | ||||
Fixed-rate, callable or prepayable(1) | ||||||||
Due after 1 year through 3 years | $ | — | $ | 50.0 | ||||
Total par value | $ | — | $ | 50.0 | ||||
Variable-rate | ||||||||
Due in 1 year or less (1) | $ | 815.8 | $ | 6,664.6 | ||||
Due after 1 year through 3 years | 100.0 | 100.0 | ||||||
Due after 3 years through 5 years | 3.1 | 3.1 | ||||||
Total par value | $ | 918.9 | $ | 6,767.7 | ||||
Variable-rate, callable or prepayable(2) | ||||||||
Due in 1 year or less | $ | 10.0 | $ | 1,400.0 | ||||
Due after 1 year through 3 years | 40.0 | 10.0 | ||||||
Due after 3 years through 5 years | — | 40.0 | ||||||
Total par value | $ | 50.0 | $ | 1,450.0 | ||||
Other(3) | ||||||||
Due in 1 year or less | $ | 102.9 | $ | 89.0 | ||||
Due after 1 year through 3 years | 90.8 | 120.8 | ||||||
Due after 3 years through 5 years | 51.8 | 55.2 | ||||||
Thereafter | 27.5 | 41.0 | ||||||
Total par value | $ | 273.0 | $ | 306.0 | ||||
Total par balance | $ | 12,888.3 | $ | 24,724.9 |
Member Classification | September 30, 2021 | September 30, 2020 | ||||||
Super-Regional | 3 | 2 | ||||||
Regional | 4 | 3 | ||||||
Mid-size | 40 | 42 | ||||||
CFI | 113 | 111 | ||||||
Credit Union | 30 | 28 | ||||||
Insurance | 15 | 16 | ||||||
Total borrowing members during the period | 205 | 202 | ||||||
Total membership | 282 | 278 | ||||||
Percentage of members borrowing during the period | 72.7 | % | 72.7 | % |
(in millions) | September 30, 2021 | December 31, 2020 | ||||||
Member Classification | ||||||||
Super-Regional | $ | 4,650.0 | $ | 9,350.0 | ||||
Regional | 1,980.0 | 3,366.0 | ||||||
Mid-size | 1,966.1 | 3,938.7 | ||||||
CFI | 2,000.1 | 2,510.9 | ||||||
Credit Union | 906.5 | 1,002.2 | ||||||
Insurance | 875.1 | 1,044.0 | ||||||
Non-member | 510.5 | 3,513.1 | ||||||
Total | $ | 12,888.3 | $ | 24,724.9 |
(in millions) | September 30, 2021 | December 31, 2020 | ||||||
Advances (1) | $ | 12,987.1 | $ | 24,971.1 | ||||
Mortgage loans held for portfolio, net (2) | 4,780.3 | 4,886.2 | ||||||
Nonaccrual mortgage loans (3) | 42.5 | 90.8 | ||||||
Mortgage loans 90 days or more delinquent and still accruing interest (4) | 3.4 | 5.3 | ||||||
BOB loans, net | 23.2 | 21.2 |
MPF CE structure September 30, 2021 | ACL September 30, 2021 | ||||||||||||||||||||||
(in millions) | FLA | Available CE | Estimate of Credit Loss | Estimate of Recovery (1) | Charge-offs | Reduction to the ACL due to CE | ACL | ||||||||||||||||
MPF Original | $ | 7.2 | $ | 105.3 | $ | 1.6 | $ | (2.5) | $ | (0.3) | $ | (0.3) | $ | (1.5) | |||||||||
MPF 35 | 15.7 | 154.4 | 2.3 | (0.7) | — | (2.3) | (0.7) | ||||||||||||||||
MPF Plus | 15.0 | 2.8 | 7.0 | (1.7) | — | (0.2) | 5.1 | ||||||||||||||||
Total | $ | 37.9 | $ | 262.5 | $ | 10.9 | $ | (4.9) | $ | (0.3) | $ | (2.8) | $ | 2.9 |
MPF CE structure December 31, 2020 | ACL December 31, 2020 | ||||||||||||||||||||||
(in millions) | FLA | Available CE | Estimate of Credit Loss | Estimate of Recovery (1) | Charge-offs | Reduction to the ACL due to CE | ACL | ||||||||||||||||
MPF Original | $ | 6.7 | $ | 96.2 | $ | 4.2 | $ | (2.6) | $ | (0.5) | $ | (1.9) | $ | (0.8) | |||||||||
MPF 35 | 13.2 | 130.9 | 6.2 | (0.6) | — | (4.6) | 1.0 | ||||||||||||||||
MPF Plus | 15.3 | 4.4 | 7.2 | (1.9) | — | (0.5) | 4.8 | ||||||||||||||||
Total | $ | 35.2 | $ | 231.5 | $ | 17.6 | $ | (5.1) | $ | (0.5) | $ | (7.0) | $ | 5.0 |
Carrying Value | ||||||||
(in millions) | September 30, 2021 | December 31, 2020 | ||||||
Trading securities: | ||||||||
Non-MBS: | ||||||||
U.S. Treasury obligations | $ | 261.9 | $ | 899.4 | ||||
Government-sponsored enterprises (GSE) and Tennessee Valley Authority (TVA) obligations | 246.6 | 256.6 | ||||||
Total trading securities | $ | 508.5 | $ | 1,156.0 | ||||
Yield on trading securities | 2.95 | % | 2.31 | % | ||||
AFS securities: | ||||||||
U.S. Treasury obligations | $ | 4,405.3 | $ | — | ||||
GSE and TVA obligations | 1,519.4 | 1,643.7 | ||||||
State or local agency obligations | 220.9 | 241.7 | ||||||
MBS: | ||||||||
U.S. obligations single-family MBS | 437.3 | 602.1 | ||||||
GSE single-family MBS | 2,303.1 | 3,262.9 | ||||||
GSE multifamily MBS | 3,096.5 | 3,473.4 | ||||||
Private label MBS | 205.7 | 252.6 | ||||||
Total AFS securities | $ | 12,188.2 | $ | 9,476.4 | ||||
Yield on AFS securities | 1.24 | % | 1.56 | % | ||||
HTM securities: | ||||||||
Certificates of deposit | $ | — | $ | 750.0 | ||||
MBS: | ||||||||
U.S. obligations single-family MBS | 90.6 | 120.6 | ||||||
GSE single-family MBS | 635.5 | 989.8 | ||||||
GSE multifamily MBS | 513.5 | 530.2 | ||||||
Private label MBS | 75.8 | 93.1 | ||||||
Total HTM securities | $ | 1,315.4 | $ | 2,483.7 | ||||
Yield on HTM securities | 2.75 | % | 1.99 | % | ||||
Total investment securities | $ | 14,012.1 | $ | 13,116.1 | ||||
Yield on investment securities | 1.44 | % | 1.70 | % |
(in millions) | Total Book Value | Total Fair Value | ||||||
Fannie Mae | $ | 4,520.9 | $ | 4,535.7 | ||||
Freddie Mac | 2,052.8 | 2,081.4 | ||||||
Federal Farm Credit Banks | 1,655.8 | 1,655.8 | ||||||
U.S. Treasury | 4,667.2 | 4,667.2 | ||||||
Ginnie Mae | 527.9 | 529.1 | ||||||
Total | $ | 13,424.6 | $ | 13,469.2 |
(dollars in millions) | September 30, 2021 | December 31, 2020 | |||||||||||||||
Commercial banks | 132 | $ | 941.8 | 135 | $ | 1,262.3 | |||||||||||
Savings institutions | 51 | 111.1 | 51 | 114.3 | |||||||||||||
Insurance companies | 34 | 83.0 | 30 | 83.6 | |||||||||||||
Credit unions | 63 | 65.4 | 63 | 67.2 | |||||||||||||
Community Development Financial Institution (CDFI) | 2 | 0.4 | 2 | 0.4 | |||||||||||||
Total member institutions / total GAAP capital stock | 282 | $ | 1,201.7 | 281 | $ | 1,527.8 | |||||||||||
Mandatorily redeemable capital stock | 23.3 | 142.8 | |||||||||||||||
Total capital stock | $ | 1,225.0 | $ | 1,670.6 |
(dollars in millions) | September 30, 2021 | |||||||
Member | Capital Stock | % of Total | ||||||
Ally Bank, Midvale, UT (1) | $ | 223.8 | 18.3 | % | ||||
TD Bank N.A., Wilmington, DE | 154.4 | 12.6 | ||||||
First National Bank of Pennsylvania, Greenville, PA | 135.3 | 11.0 | ||||||
(dollars in millions) | December 31, 2020 | |||||||
Member | Capital Stock | % of Total | ||||||
Ally Bank, Midvale, UT (1) | $ | 276.5 | 16.6 | % | ||||
PNC Bank, N.A., Wilmington, DE (1) | 185.0 | 11.1 | ||||||
(in millions) | September 30, 2021 | December 31, 2020 | ||||||
Permanent capital: | ||||||||
Capital stock (1) | $ | 1,225.0 | $ | 1,670.6 | ||||
Retained earnings | 1,397.0 | 1,376.8 | ||||||
Total permanent capital | $ | 2,622.0 | $ | 3,047.4 | ||||
RBC requirement: | ||||||||
Credit risk capital | $ | 166.9 | $ | 189.3 | ||||
Market risk capital | 138.3 | 211.2 | ||||||
Operations risk capital | 91.5 | 120.2 | ||||||
Total RBC requirement | $ | 396.7 | $ | 520.7 | ||||
Excess permanent capital over RBC requirement | $ | 2,225.3 | $ | 2,526.7 |
(in years) | Base Case | Up 100 basis points | Up 200 basis points | ||||||||
Actual Duration of Equity: | |||||||||||
September 30, 2021 | (0.5) | 0.5 | 1.5 | ||||||||
December 31, 2020 | (0.9) | 0.9 | 3.2 |
ROE Spread Volatility Increase/(Decline) | |||||||||||
(in basis points) | Down 100 bps Longer Term Rate Shock | 100 bps Flatter | Up 200 bps Parallel Shock | ||||||||
September 30, 2021 | (58) | 34 | 82 | ||||||||
December 31, 2020 | (32) | 40 | 118 |
September 30, 2021 | ||||||||
(dollars in millions) | TCE | % of Total | ||||||
TD Bank, National Association, DE | $ | 15,275.6 | 42.4 | % | ||||
Ally Bank, UT (1) | 4,664.6 | 12.9 | ||||||
Fulton Bank, N.A., PA | 1,689.7 | 4.7 | ||||||
First National Bank of Pennsylvania, PA | 1,593.7 | 4.4 | ||||||
Univest Bank & Trust Co., PA | 1,032.6 | 2.9 | ||||||
24,256.2 | 67.3 | |||||||
Other financial institutions | 11,797.6 | 32.7 | ||||||
Total TCE outstanding | $ | 36,053.8 | 100.0 | % |
September 30, 2021 | ||||||||
(dollars in millions) | Advance Balance | % of Total | ||||||
Ally Bank, UT (1) | $ | 4,650.0 | 36.1 | % | ||||
First National Bank of Pennsylvania, PA | 1,230.0 | 9.6 | ||||||
Santander Bank, National Association, DE (2) | 750.0 | 5.8 | ||||||
Brighthouse Life Insurance Company, DE (3) | 500.0 | 3.9 | ||||||
American Heritage Federal Credit Union, PA | 430.0 | 3.3 | ||||||
7,560.0 | 58.7 | |||||||
Other borrowers | 5,328.3 | 41.3 | ||||||
Total advances | $ | 12,888.3 | 100.0 | % |
September 30, 2021 | ||||||||||||||||||||||||||
(dollars in millions) | Blanket Lien | Listing | Delivery | Total | ||||||||||||||||||||||
Amount | % | Amount | % | Amount | % | Amount | % | |||||||||||||||||||
One-to-four single-family residential mortgage loans | $ | 93,274.0 | 47.2 | % | $ | 139.0 | 8.9 | % | $ | 8.2 | 0.7 | % | $ | 93,421.2 | 46.6 | % | ||||||||||
High quality investment securities | 1,185.0 | 0.6 | 1,240.5 | 79.0 | 1,068.6 | 95.4 | 3,494.1 | 1.7 | ||||||||||||||||||
ORERC/CFI eligible collateral | 84,894.5 | 42.9 | 169.5 | 10.8 | 43.9 | 3.9 | 85,107.9 | 42.5 | ||||||||||||||||||
Multi-family residential mortgage loans | 18,389.0 | 9.3 | 20.9 | 1.3 | — | — | 18,409.9 | 9.2 | ||||||||||||||||||
Total eligible collateral value | $ | 197,742.5 | 100.0 | % | $ | 1,569.9 | 100.0 | % | $ | 1,120.7 | 100.0 | % | $ | 200,433.1 | 100.0 | % | ||||||||||
Total TCE | $ | 34,449.1 | 95.6 | % | $ | 919.1 | 2.5 | % | $ | 685.6 | 1.9 | % | $ | 36,053.8 | 100.0 | % | ||||||||||
Number of members | 159 | 85.5 | % | 13 | 7.0 | % | 14 | 7.5 | % | 186 | 100.0 | % |
December 31, 2020 | ||||||||||||||||||||||||||
(dollars in millions) | Blanket Lien | Listing | Delivery | Total | ||||||||||||||||||||||
Amount | % | Amount | % | Amount | % | Amount | % | |||||||||||||||||||
One-to-four single-family residential mortgage loans | $ | 94,362.6 | 45.7 | % | $ | 211.7 | 12.2 | % | $ | 5,211.0 | 77.6 | % | $ | 99,785.3 | 46.4 | % | ||||||||||
High quality investment securities | 1,485.9 | 0.7 | 1,376.5 | 79.2 | 1,475.5 | 21.9 | 4,337.9 | 2.0 | ||||||||||||||||||
ORERC/CFI eligible collateral | 89,983.1 | 43.5 | 136.3 | 7.8 | 35.6 | 0.5 | 90,155.0 | 41.9 | ||||||||||||||||||
Multi-family residential mortgage loans | 20,852.3 | 10.1 | 13.8 | 0.8 | — | — | 20,866.1 | 9.7 | ||||||||||||||||||
Total eligible collateral value | $ | 206,683.9 | 100.0 | % | $ | 1,738.3 | 100.0 | % | $ | 6,722.1 | 100.0 | % | $ | 215,144.3 | 100.0 | % | ||||||||||
Total TCE | $ | 41,277.4 | 89.7 | % | $ | 980.2 | 2.1 | % | $ | 3,783.4 | 8.2 | % | $ | 46,041.0 | 100.0 | % | ||||||||||
Number of members | 167 | 85.6 | % | 14 | 7.2 | % | 14 | 7.2 | % | 195 | 100.0 | % |
September 30, 2021(1) | |||||||||||||||||||||||
Long-Term Rating | |||||||||||||||||||||||
(in millions) | AAA | AA | A | BBB | Below Investment Grade | Unrated | Total | ||||||||||||||||
Money market investments: | |||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | — | $ | 342.9 | $ | 205.1 | $ | — | $ | — | $ | 548.0 | |||||||||
Securities purchased under agreements to resell | — | — | 1,000.0 | — | — | — | 1,000.0 | ||||||||||||||||
Federal funds sold | — | 425.0 | 2,050.0 | — | — | — | 2,475.0 | ||||||||||||||||
Total money market investments | — | 425.0 | 3,392.9 | 205.1 | — | — | 4,023.0 | ||||||||||||||||
Investment securities: | |||||||||||||||||||||||
U.S. Treasury obligations | — | 4,667.2 | — | — | — | — | 4,667.2 | ||||||||||||||||
GSE and TVA obligations | — | 1,766.0 | — | — | — | — | 1,766.0 | ||||||||||||||||
State or local agency obligations | 21.3 | 199.6 | — | — | — | — | 220.9 | ||||||||||||||||
Total non-MBS | 21.3 | 6,632.8 | — | — | — | — | 6,654.1 | ||||||||||||||||
U.S. obligations single-family MBS | — | 527.9 | — | — | — | — | 527.9 | ||||||||||||||||
GSE single-family MBS | — | 2,938.6 | — | — | — | — | 2,938.6 | ||||||||||||||||
GSE multifamily MBS | — | 3,610.0 | — | — | — | — | 3,610.0 | ||||||||||||||||
Private label MBS | — | 7.7 | 26.1 | 19.5 | 87.7 | 140.5 | 281.5 | ||||||||||||||||
Total MBS | — | 7,084.2 | 26.1 | 19.5 | 87.7 | 140.5 | 7,358.0 | ||||||||||||||||
Total investments | $ | 21.3 | $ | 14,142.0 | $ | 3,419.0 | $ | 224.6 | $ | 87.7 | $ | 140.5 | $ | 18,035.1 |
December 31, 2020 (1) | |||||||||||||||||||||||
Long-Term Rating | |||||||||||||||||||||||
(in millions) | AAA | AA | A | BBB | Below Investment Grade | Unrated | Total | ||||||||||||||||
Money market investments: | |||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | — | $ | 950.8 | $ | — | $ | — | $ | — | $ | 950.8 | |||||||||
Securities purchased under agreements to resell | — | — | 500.0 | 100.0 | — | — | 600.0 | ||||||||||||||||
Federal funds sold | — | — | 1,850.0 | — | — | — | 1,850.0 | ||||||||||||||||
Total money market investments | — | — | 3,300.8 | 100.0 | — | — | 3,400.8 | ||||||||||||||||
Investment securities: | |||||||||||||||||||||||
U.S. Treasury obligations | — | 899.4 | — | — | — | — | 899.4 | ||||||||||||||||
Certificates of deposit | — | 250.0 | 500.0 | — | — | — | 750.0 | ||||||||||||||||
GSE and TVA obligations | — | 1,900.3 | — | — | — | — | 1,900.3 | ||||||||||||||||
State or local agency obligations | 26.0 | 215.7 | — | — | — | — | 241.7 | ||||||||||||||||
Total non-MBS | 26.0 | 3,265.4 | 500.0 | — | — | — | 3,791.4 | ||||||||||||||||
U.S. obligations single-family MBS | — | 722.7 | — | — | — | — | 722.7 | ||||||||||||||||
GSE single-family MBS | — | 4,252.7 | — | — | — | — | 4,252.7 | ||||||||||||||||
GSE multifamily MBS | — | 4,003.6 | — | — | — | — | 4,003.6 | ||||||||||||||||
Private label MBS | — | 14.6 | 18.5 | 14.2 | 111.3 | 187.1 | 345.7 | ||||||||||||||||
Total MBS | — | 8,993.6 | 18.5 | 14.2 | 111.3 | 187.1 | 9,324.7 | ||||||||||||||||
Total investments | $ | 26.0 | $ | 12,259.0 | $ | 3,819.3 | $ | 114.2 | $ | 111.3 | $ | 187.1 | $ | 16,516.9 |
(in millions) | ||||||||
Carrying Value (1) (2) | September 30, 2021 | December 31, 2020 | ||||||
Interest-bearing deposits | $ | 548.0 | $ | 950.8 | ||||
Certificates of deposit | — | 750.0 | ||||||
Federal funds sold | 2,475.0 | 1,850.0 | ||||||
Total | $ | 3,023.0 | $ | 3,550.8 |
(in millions) | ||||||||||||||
September 30, 2021 (1) (2) | ||||||||||||||
Carrying Value | ||||||||||||||
Domicile of Counterparty | Investment Grade (3) (4) | |||||||||||||
AA | A | BBB | Total | |||||||||||
Domestic | $ | — | $ | 342.9 | $ | 205.1 | $ | 548.0 | ||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||
Australia | — | 675.0 | — | 675.0 | ||||||||||
Canada | — | 425.0 | — | 425.0 | ||||||||||
Finland | 425.0 | — | — | 425.0 | ||||||||||
France | — | 100.0 | — | 100.0 | ||||||||||
Germany | — | 425.0 | — | 425.0 | ||||||||||
Netherlands | — | 425.0 | — | 425.0 | ||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 425.0 | 2,050.0 | — | 2,475.0 | ||||||||||
Total unsecured investment credit exposure | $ | 425.0 | $ | 2,392.9 | $ | 205.1 | $ | 3,023.0 |
(in millions) | |||||||||||
December 31, 2020 (1) (2) | |||||||||||
Carrying Value | |||||||||||
Domicile of Counterparty | Investment Grade (3) (4) | ||||||||||
AA | A | Total | |||||||||
Domestic | $ | — | $ | 950.8 | $ | 950.8 | |||||
U.S. branches and agency offices of foreign commercial banks: | |||||||||||
Australia | — | 750.0 | 750.0 | ||||||||
Canada | 250.0 | 1,100.0 | 1,350.0 | ||||||||
Netherlands | — | 500.0 | 500.0 | ||||||||
Total U.S. branches and agency offices of foreign commercial banks | 250.0 | 2,350.0 | 2,600.0 | ||||||||
Total unsecured investment credit exposure | $ | 250.0 | $ | 3,300.8 | $ | 3,550.8 |
(in millions) | ||||||||||||||
September 30, 2021 | ||||||||||||||
Carrying Value | ||||||||||||||
Domicile of Counterparty | Overnight | Due 2 days through 30 days | Due 31 days through 90 days | Total | ||||||||||
Domestic | $ | 548.0 | $ | — | $ | — | $ | 548.0 | ||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||
Australia | 675.0 | — | — | 675.0 | ||||||||||
Canada | 425.0 | — | — | 425.0 | ||||||||||
Finland | 425.0 | — | — | 425.0 | ||||||||||
France | 100.0 | — | — | 100.0 | ||||||||||
Germany | 425.0 | — | — | 425.0 | ||||||||||
Netherlands | 425.0 | — | — | 425.0 | ||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 2,475.0 | — | — | 2,475.0 | ||||||||||
Total unsecured investment credit exposure | $ | 3,023.0 | $ | — | $ | — | $ | 3,023.0 |
(in millions) | ||||||||||||||
December 31, 2020 | ||||||||||||||
Carrying Value | ||||||||||||||
Domicile of Counterparty | Overnight | Due 2 days through 30 days | Due 31 days through 90 days | Total | ||||||||||
Domestic | $ | 950.8 | $ | — | $ | — | $ | 950.8 | ||||||
U.S. branches and agency offices of foreign commercial banks: | ||||||||||||||
Australia | 750.0 | — | — | 750.0 | ||||||||||
Canada | 600.0 | 500.0 | 250.0 | 1,350.0 | ||||||||||
Netherlands | 500.0 | — | — | 500.0 | ||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 1,850.0 | 500.0 | 250.0 | 2,600.0 | ||||||||||
Total unsecured investment credit exposure | $ | 2,800.8 | $ | 500.0 | $ | 250.0 | $ | 3,550.8 |
(in millions) | September 30, 2021 | |||||||||||||
Credit Rating (1) | Notional Amount | Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure to Counterparties | ||||||||||
Non-member counterparties | ||||||||||||||
Asset positions with credit exposure: | ||||||||||||||
Uncleared derivatives | ||||||||||||||
A | $ | 680.0 | $ | 0.1 | $ | — | $ | 0.1 | ||||||
Cleared derivatives | 15,926.0 | — | 172.7 | 172.7 | ||||||||||
Liability positions with credit exposure: | ||||||||||||||
Uncleared derivatives | ||||||||||||||
A | 1,770.0 | (1.2) | 2.4 | 1.2 | ||||||||||
BBB | 3,435.3 | (4.0) | 6.0 | 2.0 | ||||||||||
Total derivative positions with credit exposure to non-member counterparties | 21,811.3 | (5.1) | 181.1 | 176.0 | ||||||||||
Member institutions (2) | 65.3 | — | — | — | ||||||||||
Total | $ | 21,876.6 | $ | (5.1) | $ | 181.1 | $ | 176.0 | ||||||
Derivative positions without credit exposure | 2,319.2 | |||||||||||||
Total notional | $ | 24,195.8 |
(in millions) | December 31, 2020 | |||||||||||||
Credit Rating (1) | Notional Amount | Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure to Counterparties | ||||||||||
Non-member counterparties | ||||||||||||||
Asset positions with credit exposure: | ||||||||||||||
Uncleared derivatives | ||||||||||||||
A | $ | 805.0 | $ | 0.3 | $ | — | $ | 0.3 | ||||||
Cleared derivatives | 16,077.1 | — | 135.6 | 135.6 | ||||||||||
Liability positions with credit exposure: | ||||||||||||||
Uncleared derivatives | ||||||||||||||
A | 27.3 | (0.3) | 0.5 | 0.2 | ||||||||||
BBB | 234.2 | (1.0) | 1.2 | 0.2 | ||||||||||
Total derivative positions with credit exposure to non-member counterparties | 17,143.6 | (1.0) | 137.3 | 136.3 | ||||||||||
Member institutions (2) | 60.6 | 0.7 | — | 0.7 | ||||||||||
Total | $ | 17,204.2 | $ | (0.3) | $ | 137.3 | $ | 137.0 | ||||||
Derivative positions without credit exposure | 237.8 | |||||||||||||
Total notional | $ | 17,442.0 |
(in millions) | Prior to June 30, 2023 | Thereafter | Total | ||||||||
Assets Indexed to LIBOR | |||||||||||
Principal Amount: | |||||||||||
Advances | $ | 785.0 | $ | 93.1 | $ | 878.1 | |||||
Investments: | |||||||||||
MBS | 13.6 | 5,007.2 | 5,020.8 | ||||||||
Derivatives Hedging Assets (Receive Leg LIBOR) | |||||||||||
Notional Amount: | |||||||||||
Cleared | 3,921.0 | 1,976.4 | 5,897.4 | ||||||||
Uncleared | 24.5 | 26.0 | 50.5 | ||||||||
Total Principal/Notional Amounts | $ | 4,744.1 | $ | 7,102.7 | $ | 11,846.8 | |||||
Liabilities Indexed to LIBOR | |||||||||||
Principal Amount: | |||||||||||
Consolidated Obligations | $ | 545.0 | $ | — | $ | 545.0 | |||||
Derivatives Hedging Liabilities (Pay Leg LIBOR) | |||||||||||
Notional Amount: | |||||||||||
Cleared | 968.3 | 60.0 | 1,028.3 | ||||||||
Uncleared | 25.0 | — | 25.0 | ||||||||
Total Principal/Notional Amounts | $ | 1,538.3 | $ | 60.0 | $ | 1,598.3 |
(in millions) | LIBOR | SOFR | OIS | Other | Total | ||||||||||||
Assets Indexed to a Variable Rate | |||||||||||||||||
Principal Amount: | |||||||||||||||||
Advances | $ | 878.1 | $ | 50.7 | $ | — | $ | 40.1 | $ | 968.9 | |||||||
Investments: | |||||||||||||||||
MBS | 5,020.8 | 223.4 | — | 74.4 | 5,318.6 | ||||||||||||
Derivatives Hedging Assets (Receive Leg Variable Rate) | |||||||||||||||||
Notional Amount | 5,947.9 | 6,802.4 | 1,031.9 | — | 13,782.2 | ||||||||||||
Total Principal/Notional Amounts | $ | 11,846.8 | $ | 7,076.5 | $ | 1,031.9 | $ | 114.5 | $ | 20,069.7 | |||||||
Liabilities Indexed to a Variable Rate | |||||||||||||||||
Principal Amount: | |||||||||||||||||
Consolidated Obligations | $ | 545.0 | $ | 1,125.0 | $ | — | $ | — | $ | 1,670.0 | |||||||
Derivatives Hedging Liabilities (Pay Leg Variable Rate) | |||||||||||||||||
Notional Amount | 1,053.3 | 7,370.0 | 900.0 | — | 9,323.3 | ||||||||||||
Total Principal/Notional Amounts | $ | 1,598.3 | $ | 8,495.0 | $ | 900.0 | $ | — | $ | 10,993.3 |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Interest income: | ||||||||||||||
Advances | $ | $ | $ | $ | ||||||||||
Interest-bearing deposits | ||||||||||||||
Securities purchased under agreements to resell | ||||||||||||||
Federal funds sold | ||||||||||||||
Trading securities | ||||||||||||||
Available-for-sale (AFS) securities | ||||||||||||||
Held-to-maturity (HTM) securities | ||||||||||||||
Mortgage loans held for portfolio | ||||||||||||||
Total interest income | ||||||||||||||
Interest expense: | ||||||||||||||
Consolidated obligations - discount notes | ||||||||||||||
Consolidated obligations - bonds | ||||||||||||||
Deposits | ||||||||||||||
Mandatorily redeemable capital stock and other borrowings | ||||||||||||||
Total interest expense | ||||||||||||||
Net interest income | ||||||||||||||
Provision (reversal) for credit losses | ( | ( | ||||||||||||
Net interest income after provision (reversal) for credit losses | ||||||||||||||
Other noninterest income (loss): | ||||||||||||||
Net gains (losses) on investment securities (Note 2) | ( | ( | ( | |||||||||||
Net gains (losses) on derivatives and hedging activities (Note 5) | ( | ( | ||||||||||||
Standby letters of credit fees | ||||||||||||||
Other, net | ||||||||||||||
Total other noninterest income (loss) | ( | |||||||||||||
Other expense: | ||||||||||||||
Compensation and benefits | ||||||||||||||
Other operating | ||||||||||||||
Finance Agency | ||||||||||||||
Office of Finance | ||||||||||||||
Total other expense | ||||||||||||||
Income before assessments | ||||||||||||||
Affordable Housing Program (AHP) assessment | ||||||||||||||
Net income | $ | $ | $ | $ |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Net income | $ | $ | $ | $ | ||||||||||
Other comprehensive income (loss): | ||||||||||||||
Net unrealized gains (losses) on AFS securities | ( | ( | ||||||||||||
Reclassification of net (gains) included in net income relating to hedging activities | ( | |||||||||||||
Pension and post-retirement benefits | ||||||||||||||
Total other comprehensive income (loss) | ( | ( | ||||||||||||
Total comprehensive income | $ | $ | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
ASSETS | ||||||||
Cash and due from banks | $ | $ | ||||||
Interest-bearing deposits (Note 2) | ||||||||
Federal funds sold (Note 2) | ||||||||
Securities purchased under agreements to resell (Note 2) | ||||||||
Investment securities: (Note 2) | ||||||||
Trading securities | ||||||||
AFS securities, net; amortized cost of $ | ||||||||
HTM securities; fair value of $ | ||||||||
Total investment securities | ||||||||
Advances (Note 3) | ||||||||
Mortgage loans held for portfolio, net (Note 4) | ||||||||
Banking on Business (BOB) loans, net | ||||||||
Accrued interest receivable | ||||||||
Derivative assets (Note 5) | ||||||||
Other assets | ||||||||
Total assets | $ | $ |
LIABILITIES AND CAPITAL | ||||||||
Liabilities | ||||||||
Deposits | $ | $ | ||||||
Consolidated obligations: (Note 6) | ||||||||
Discount notes | ||||||||
Bonds | ||||||||
Total consolidated obligations | ||||||||
Mandatorily redeemable capital stock (Note 7) | ||||||||
Accrued interest payable | ||||||||
AHP payable | ||||||||
Derivative liabilities (Note 5) | ||||||||
Other liabilities | ||||||||
Total liabilities | ||||||||
Commitments and contingencies (Note 10) | ||||||||
Capital (Note 7) | ||||||||
Capital stock - putable ($ | ||||||||
Retained earnings: | ||||||||
Unrestricted | ||||||||
Restricted | ||||||||
Total retained earnings | ||||||||
Accumulated Other Comprehensive Income (AOCI) | ||||||||
Total capital | ||||||||
Total liabilities and capital | $ | $ |
Nine months ended September 30, | ||||||||
(in thousands) | 2021 | 2020 | ||||||
OPERATING ACTIVITIES | ||||||||
Net income | $ | $ | ||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||
Depreciation and amortization | ( | |||||||
Net change in derivatives and hedging activities | ( | |||||||
Net change in fair value adjustments on trading securities | ||||||||
Other adjustments, net | ( | |||||||
Net change in: | ||||||||
Trading securities | ||||||||
Accrued interest receivable | ||||||||
Other assets | ( | |||||||
Accrued interest payable | ( | ( | ||||||
Other liabilities | ( | ( | ||||||
Net cash provided by (used in) operating activities | $ | $ | ||||||
INVESTING ACTIVITIES | ||||||||
Net change in: | ||||||||
Interest-bearing deposits (including $ | $ | $ | ||||||
Federal funds sold | ( | |||||||
Securities purchased under agreements to resell | ( | |||||||
Trading securities: | ||||||||
Proceeds | — | |||||||
Purchases | ( | — | ||||||
AFS securities: | ||||||||
Proceeds | ||||||||
Purchases | ( | ( | ||||||
HTM securities: | ||||||||
Proceeds | ||||||||
Purchases | ( | ( | ||||||
Advances: | ||||||||
Repaid | ||||||||
Originated | ( | ( | ||||||
Mortgage loans held for portfolio: | ||||||||
Proceeds | ||||||||
Purchases | ( | ( | ||||||
Other investing activities, net | ( | ( | ||||||
Net cash provided by (used in) investing activities | $ | $ | ||||||
The accompanying notes are an integral part of these financial statements. |
Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (unaudited) | ||||||||
(continued) | ||||||||
Nine months ended September 30, | ||||||||
(in thousands) | 2021 | 2020 | ||||||
FINANCING ACTIVITIES | ||||||||
Net change in deposits | $ | $ | ||||||
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/redemption of capital stock | ( | ( | ||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | ( | ( | ||||||
Cash dividends paid | ( | ( | ||||||
Partial recovery of prior capital distribution to Financing Corporation | — | |||||||
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 | $ | $ | ||||||
AHP payments | ||||||||
Non-cash activities: | ||||||||
Capital stock reclassified to mandatorily redeemable capital stock |
Capital Stock - Putable | Retained Earnings | ||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | ||||||||||||||||
June 30, 2020 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Comprehensive income | — | — | |||||||||||||||||||||
Issuance of capital stock | — | — | — | — | |||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||
Cash dividends | — | — | ( | — | ( | — | ( | ||||||||||||||||
September 30, 2020 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
June 30, 2021 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Comprehensive income | — | — | ( | ||||||||||||||||||||
Issuance of capital stock | — | — | — | — | |||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||
Cash dividends | — | — | ( | — | ( | — | ( | ||||||||||||||||
September 30, 2021 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Capital Stock - Putable | Retained Earnings | ||||||||||||||||||||||
(in thousands) | Shares | Par Value | Unrestricted | Restricted | Total | AOCI | Total Capital | ||||||||||||||||
December 31, 2019 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13 | — | — | — | — | |||||||||||||||||||
Comprehensive income | — | — | |||||||||||||||||||||
Issuance of capital stock | — | — | — | — | |||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||
Partial recovery of prior capital distribution to Financing Corporation | — | — | — | — | |||||||||||||||||||
Cash dividends | — | — | ( | — | ( | — | ( | ||||||||||||||||
September 30, 2020 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
December 31, 2020 | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Comprehensive income | — | — | ( | ||||||||||||||||||||
Issuance of capital stock | — | — | — | — | |||||||||||||||||||
Repurchase/redemption of capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock | ( | ( | — | — | — | — | ( | ||||||||||||||||
Cash dividends | — | — | ( | — | ( | — | ( | ||||||||||||||||
September 30, 2021 | $ | $ | $ | $ | $ | $ |
Standard | Description | Adoption Date and Transition | Effect on the Financial Statements or Other Significant Matters | ||||||||
ASU 2020-08: Codification Improvements to Subtopic 310-20, Receivables—Nonrefundable Fees and Other Costs | This ASU clarifies that an entity should reevaluate for each reporting period whether a callable debt security is within the scope of certain guidance in ASC 310-20 that was issued in ASU 2017-08, Receivables – Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities | This ASU was effective for the Bank beginning January 1, 2021 and will be applied on a prospective basis for existing or newly purchased callable debt securities. | The adoption of this ASU did not have a significant impact on the Bank's financial statements. |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
U.S. Treasury obligations | $ | $ | ||||||
GSE and TVA obligations | ||||||||
Total | $ | $ | ||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Net unrealized gains (losses) on trading securities held at period-end | $ | ( | $ | ( | $ | ( | $ | |||||||
Net gains (losses) on trading securities sold/matured during the period | ( | ( | ( | |||||||||||
Net gains (losses) on trading securities | $ | ( | $ | ( | $ | ( | $ |
September 30, 2021 | |||||||||||||||||
(in thousands) | Amortized Cost (1) | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-MBS: | |||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | ( | $ | |||||||||||
GSE and TVA obligations | |||||||||||||||||
State or local agency obligations | |||||||||||||||||
Total non-MBS | $ | $ | $ | $ | ( | $ | |||||||||||
MBS: | |||||||||||||||||
U.S. obligations single-family MBS | $ | $ | $ | $ | ( | $ | |||||||||||
GSE single-family MBS | — | ( | |||||||||||||||
GSE multifamily MBS | — | ( | |||||||||||||||
Private label MBS | ( | ( | |||||||||||||||
Total MBS | $ | $ | ( | $ | $ | ( | $ | ||||||||||
Total AFS securities | $ | $ | ( | $ | $ | ( | $ |
December 31, 2020 | |||||||||||||||||
(in thousands) | Amortized Cost (1) | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-MBS: | |||||||||||||||||
GSE and TVA obligations | $ | $ | $ | $ | $ | ||||||||||||
State or local agency obligations | |||||||||||||||||
Total non-MBS | $ | $ | $ | $ | $ | ||||||||||||
MBS: | |||||||||||||||||
U.S. obligations single-family MBS | $ | $ | $ | $ | ( | $ | |||||||||||
GSE single-family MBS | ( | ||||||||||||||||
GSE multifamily MBS | ( | ||||||||||||||||
Private label MBS | ( | ( | |||||||||||||||
Total MBS | $ | $ | ( | $ | $ | ( | $ | ||||||||||
Total AFS securities | $ | $ | ( | $ | $ | ( | $ |
September 30, 2021 | ||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||
Non-MBS: | ||||||||||||||||||||
U.S. Treasury obligations | $ | $ | ( | $ | $ | $ | $ | ( | ||||||||||||
MBS: | ||||||||||||||||||||
U.S. obligations single-family MBS | $ | $ | ( | $ | $ | $ | $ | ( | ||||||||||||
GSE single-family MBS | ( | ( | ||||||||||||||||||
GSE multifamily MBS | ( | ( | ( | |||||||||||||||||
Private label MBS | ( | ( | ( | |||||||||||||||||
Total MBS | $ | $ | ( | $ | $ | ( | $ | $ | ( | |||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
December 31, 2020 | ||||||||||||||||||||
Less than 12 Months | Greater than 12 Months | Total | ||||||||||||||||||
(in thousands) | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||
MBS: | ||||||||||||||||||||
U.S. obligations single-family MBS | $ | $ | ( | $ | $ | ( | $ | $ | ( | |||||||||||
GSE single-family MBS | ( | ( | ( | |||||||||||||||||
GSE multifamily MBS | ( | ( | ( | |||||||||||||||||
Private label MBS | ( | ( | ( | |||||||||||||||||
Total MBS | $ | $ | ( | $ | $ | ( | $ | $ | ( | |||||||||||
Total | $ | $ | ( | $ | $ | ( | $ | $ | ( |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||
Non-MBS: | ||||||||||||||
Due in one year or less | $ | $ | $ | $ | ||||||||||
Due after one year through five years | ||||||||||||||
Due after five years through ten years | ||||||||||||||
Due after ten years | ||||||||||||||
Total non-MBS | ||||||||||||||
MBS | ||||||||||||||
Total AFS securities | $ | $ | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Amortized cost of AFS non-MBS: | ||||||||
Fixed-rate | $ | $ | ||||||
Variable-rate | ||||||||
Total non-MBS | $ | $ | ||||||
Amortized cost of AFS MBS: | ||||||||
Fixed-rate | $ | $ | ||||||
Variable-rate | ||||||||
Total MBS | $ | $ | ||||||
Total amortized cost of AFS securities | $ | $ |
September 30, 2021 | ||||||||||||||
(in thousands) | Amortized Cost (1) | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||
MBS: | ||||||||||||||
U.S. obligations single-family MBS | $ | $ | $ | $ | ||||||||||
GSE single-family MBS | ( | |||||||||||||
GSE multifamily MBS | ||||||||||||||
Private label MBS | ( | |||||||||||||
Total MBS | $ | $ | $ | ( | $ | |||||||||
Total HTM securities (2) | $ | $ | $ | ( | $ |
December 31, 2020 | ||||||||||||||
(in thousands) | Amortized Cost (1) | Gross Unrealized Holding Gains | Gross Unrealized Holding Losses | Fair Value | ||||||||||
Non-MBS: | ||||||||||||||
Certificates of deposit | $ | $ | $ | $ | ||||||||||
MBS: | ||||||||||||||
U.S. obligations single-family MBS | $ | $ | $ | $ | ||||||||||
GSE single-family MBS | ( | |||||||||||||
GSE multifamily MBS | ||||||||||||||
Private label MBS | ( | |||||||||||||
Total MBS | $ | $ | $ | ( | $ | |||||||||
Total HTM securities (2) | $ | $ | $ | ( | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||||||||
Year of Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||
Non-MBS: | ||||||||||||||
Due in one year or less | $ | $ | $ | $ | ||||||||||
Due after one year through five years | ||||||||||||||
Due after five years through ten years | ||||||||||||||
Due after ten years | ||||||||||||||
Total non-MBS | ||||||||||||||
MBS | ||||||||||||||
Total HTM securities | $ | $ | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Amortized cost of HTM non-MBS: | ||||||||
Fixed-rate | $ | $ | ||||||
Variable-rate | ||||||||
Total non-MBS | $ | $ | ||||||
Amortized cost of HTM MBS: | ||||||||
Fixed-rate | $ | $ | ||||||
Variable-rate | ||||||||
Total MBS | $ | $ | ||||||
Total HTM securities | $ | $ |
Private label MBS | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Balance, beginning of period | $ | $ | $ | $ | ||||||||||
Increases (decreases) for securities in which a previous ACL or OTTI was recorded | ( | ( | ||||||||||||
Balance, end of period | $ | $ | $ | $ |
(dollars in thousands) | September 30, 2021 | December 31, 2020 | ||||||||||||
Year of Redemption | 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 par value | % | % | ||||||||||||
Deferred prepayment fees | ( | ( | ||||||||||||
Hedging adjustments | ||||||||||||||
Total book value (1) | $ | $ |
Year of Redemption or Next Call Date | Year of Redemption or Next Convertible Date | |||||||||||||
(in thousands) | September 30, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | ||||||||||
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 par value | $ | $ | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Fixed-rate – overnight | $ | $ | ||||||
Fixed-rate – term: | ||||||||
Due in 1 year or less | ||||||||
Thereafter | ||||||||
Total fixed-rate | ||||||||
Variable-rate: | ||||||||
Due in 1 year or less | ||||||||
Thereafter | ||||||||
Total variable-rate | ||||||||
Total par value | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Fixed-rate long-term single-family mortgages (1) | $ | $ | ||||||
Fixed-rate medium-term single-family mortgages (1) | ||||||||
Total par value | ||||||||
Premiums | ||||||||
Discounts | ( | ( | ||||||
Hedging adjustments | ||||||||
Total mortgage loans held for portfolio (2) | $ | $ | ||||||
Allowance for credit losses on mortgage loans | ( | ( | ||||||
Mortgage loans held for portfolio, net | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Conventional loans | $ | $ | ||||||
Government-guaranteed/insured loans | ||||||||
Total par value | $ | $ |
September 30, 2021 | |||||||||||
(in thousands) | Origination Year | ||||||||||
Payment Status, at amortized cost (1) | Prior to 2017 | 2017 to 2021 | Total | ||||||||
Past due 30-59 days | $ | $ | $ | ||||||||
Past due 60-89 days | |||||||||||
Past due 90 days or more | |||||||||||
Total past due loans | $ | $ | $ | ||||||||
Current loans | |||||||||||
Total conventional loans (2) | $ | $ | $ | ||||||||
December 31, 2020 | |||||||||||
Origination Year | |||||||||||
Payment Status, at amortized cost (1) | Prior to 2016 | 2016 to 2020 | Total | ||||||||
Past due 30-59 days | $ | $ | $ | ||||||||
Past due 60-89 days | |||||||||||
Past due 90 days or more | |||||||||||
Total past due loans | $ | $ | $ | ||||||||
Current loans | |||||||||||
Total conventional loans (3) | $ | $ | $ |
September 30, 2021 | |||||||||||
(dollars in thousands) | Conventional MPF Loans | Government-Guaranteed or Insured Loans (2) | Total | ||||||||
In process of foreclosures, included above (1) | $ | $ | $ | ||||||||
Serious delinquency rate (2) | % | % | % | ||||||||
Past due 90 days or more still accruing interest | $ | $ | $ | ||||||||
Loans on nonaccrual status (3) | $ | $ | $ | ||||||||
December 31, 2020 | |||||||||||
(dollars in thousands) | Conventional MPF Loans | Government-Guaranteed or Insured Loans (2) | Total | ||||||||
In process of foreclosures, included above (1) | $ | $ | $ | ||||||||
Serious delinquency rate (2) | % | % | % | ||||||||
Past due 90 days or more still accruing interest | $ | $ | $ | ||||||||
Loans on nonaccrual status (3) | $ | $ | $ |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Balance, beginning of period | $ | $ | $ | $ | ||||||||||
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1) | — | — | ( | |||||||||||
(Charge-offs) Recoveries, net (2) | ( | ( | ||||||||||||
Provision (reversal) for credit losses | ( | ( | ||||||||||||
Balance, September 30 | $ | $ | $ | $ |
September 30, 2021 | |||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||
Derivatives designated as hedging instruments: | |||||||||||
Interest rate swaps | $ | $ | $ | ||||||||
Derivatives not designated as hedging instruments: | |||||||||||
Interest rate swaps | $ | $ | $ | ||||||||
Interest rate caps or floors | |||||||||||
Mortgage delivery commitments | |||||||||||
Total derivatives not designated as hedging instruments: | $ | $ | $ | ||||||||
Total derivatives before netting and collateral adjustments | $ | $ | $ | ||||||||
Netting adjustments and cash collateral (1) | ( | ||||||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | $ |
December 31, 2020 | |||||||||||
(in thousands) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||
Derivatives designated as hedging instruments: | |||||||||||
Interest rate swaps | $ | $ | $ | ||||||||
Derivatives not designated as hedging instruments: | |||||||||||
Interest rate swaps | $ | $ | $ | ||||||||
Interest rate caps or floors | |||||||||||
Mortgage delivery commitments | |||||||||||
Total derivatives not designated as hedging instruments: | $ | $ | $ | ||||||||
Total derivatives before netting and collateral adjustments | $ | $ | $ | ||||||||
Netting adjustments and cash collateral (1) | ( | ||||||||||
Derivative assets and derivative liabilities as reported on the Statement of Condition | $ | $ |
(in thousands) | Gains/(Losses) on Derivative | Gains/ (Losses) on Hedged Item | Net Interest Settlements | Effect of Derivatives on Net Interest Income | Total Interest Income/ (Expense) Recorded in the Statement of Income | ||||||||||||
Three months ended September 30, 2021 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | $ | ( | $ | ( | $ | ( | $ | |||||||||
AFS securities | ( | ( | ( | ||||||||||||||
Mortgage loans held for portfolio | ( | ( | |||||||||||||||
Consolidated obligations – bonds | ( | ( | |||||||||||||||
Total | $ | $ | ( | $ | ( | $ | ( | ||||||||||
Nine months ended September 30, 2021 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | $ | ( | $ | ( | $ | ( | $ | |||||||||
AFS securities | ( | ( | ( | ||||||||||||||
Mortgage loans held for portfolio | ( | ( | |||||||||||||||
Consolidated obligations – bonds | ( | ( | |||||||||||||||
Total | $ | $ | ( | $ | ( | $ | ( |
(in thousands) | Gains/(Losses) on Derivative | Gains/ (Losses) on Hedged Item | Net Interest Settlements | Effect of Derivatives on Net Interest Income | Total Interest Income/ (Expense) Recorded in the Statement of Income | ||||||||||||
Three months ended September 30, 2020 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | $ | ( | $ | ( | $ | ( | $ | |||||||||
AFS securities | ( | ( | ( | ||||||||||||||
Mortgage loans held for portfolio | ( | ( | |||||||||||||||
Consolidated obligations – bonds | ( | ( | |||||||||||||||
Total | $ | $ | ( | $ | ( | $ | ( | ||||||||||
Nine months ended September 30, 2020 | |||||||||||||||||
Hedged item type: | |||||||||||||||||
Advances | $ | ( | $ | $ | ( | $ | ( | $ | |||||||||
AFS securities | ( | ( | ( | ||||||||||||||
Mortgage loans held for portfolio | ( | ( | |||||||||||||||
Consolidated obligations – bonds | ( | ( | |||||||||||||||
$ | ( | $ | $ | ( | $ | ( |
(in thousands) | September 30, 2021 | |||||||||||||
Hedged item type | Carrying Amount of Hedged Assets/Liabilities (1) | Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities | Fair Value Hedging Adjustments for Discontinued Hedging Relationships | Total Amount of Fair Value Hedging Adjustments | ||||||||||
Advances | $ | $ | $ | ( | $ | |||||||||
AFS securities | ||||||||||||||
Consolidated obligations – bonds | ( | ( | ||||||||||||
(in thousands) | December 31, 2020 | |||||||||||||
Hedged item type | Carrying Amount of Hedged Assets/Liabilities (1) | Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities | Fair Value Hedging Adjustments for Discontinued Hedging Relationships | Total Amount of Fair Value Hedging Adjustments | ||||||||||
Advances | $ | $ | $ | ( | $ | |||||||||
AFS securities | ||||||||||||||
Consolidated obligations – bonds |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Derivatives not designated as hedging instruments: | ||||||||||||||
Economic hedges: | ||||||||||||||
Interest rate swaps | $ | $ | $ | $ | ( | |||||||||
Interest rate caps or floors | ( | |||||||||||||
Net interest settlements | ( | ( | ( | ( | ||||||||||
To Be Announced (TBA) | ||||||||||||||
Mortgage delivery commitments | ( | ( | ||||||||||||
Other | ( | |||||||||||||
Total net gains (losses) related to derivatives not designated as hedging instruments | $ | ( | $ | $ | $ | ( | ||||||||
Other - price alignment amount on cleared derivatives (1) | ||||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | ( | $ | $ | $ | ( |
Derivative Assets | ||||||||
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Derivative instruments meeting netting requirements: | ||||||||
Gross recognized amount: | ||||||||
Uncleared derivatives | $ | $ | ||||||
Cleared derivatives | ||||||||
Total gross recognized amount | ||||||||
Gross amounts of netting adjustments and cash collateral | ||||||||
Uncleared derivatives | ( | ( | ||||||
Cleared derivatives | ||||||||
Total gross amounts of netting adjustments and cash collateral | ||||||||
Net amounts after netting adjustments and cash collateral | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total net amounts after netting adjustments and cash collateral | ||||||||
Derivative instruments not meeting netting requirements: (1) | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total derivative instruments not meeting netting requirements: | ||||||||
Total derivative assets: | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total derivative assets as reported in the Statement of Condition | ||||||||
Net unsecured amount: | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total net unsecured amount | $ | $ |
Derivative Liabilities | ||||||||
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Derivative instruments meeting netting requirements: | ||||||||
Gross recognized amount: | ||||||||
Uncleared derivatives | $ | $ | ||||||
Cleared derivatives | ||||||||
Total gross recognized amount | ||||||||
Gross amounts of netting adjustments and cash collateral | ||||||||
Uncleared derivatives | ( | ( | ||||||
Cleared derivatives | ( | ( | ||||||
Total gross amounts of netting adjustments and cash collateral | ( | ( | ||||||
Net amounts after netting adjustments and cash collateral | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total net amounts after netting adjustments and cash collateral | ||||||||
Derivative instruments not meeting netting requirements: (1) | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total derivative instruments not meeting netting requirements: | ||||||||
Total derivative liabilities | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total derivative liabilities as reported in the Statement of Condition | ||||||||
Net unsecured amount: | ||||||||
Uncleared derivatives | ||||||||
Cleared derivatives | ||||||||
Total net unsecured amount | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Par value of consolidated bonds: | ||||||||
Fixed-rate | $ | $ | ||||||
Step-up | ||||||||
Floating-rate | ||||||||
Total par value | ||||||||
Bond premiums | ||||||||
Bond discounts | ( | ( | ||||||
Concession fees | ( | ( | ||||||
Hedging adjustments | ( | |||||||
Total book value | $ | $ |
September 30, 2021 | December 31, 2020 | |||||||||||||
(dollars in thousands) Year of 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 par value | $ | % | $ | % |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Noncallable | $ | $ | ||||||
Callable | ||||||||
Total par value | $ | $ |
(in thousands) Year of Contractual Maturity or Next Call Date | September 30, 2021 | December 31, 2020 | ||||||
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 par value | $ | $ |
(dollars in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Book value | $ | $ | ||||||
Par value | ||||||||
Weighted average interest rate (1) | % | % |
September 30, 2021 | December 31, 2020 | |||||||||||||
(dollars in thousands) | Required | Actual | Required | Actual | ||||||||||
Regulatory capital requirements: | ||||||||||||||
RBC | $ | $ | $ | $ | ||||||||||
Total capital-to-asset ratio | % | % | % | % | ||||||||||
Total regulatory capital | ||||||||||||||
Leverage ratio | % | % | % | % | ||||||||||
Leverage capital |
Nine months ended September 30, | ||||||||
(in thousands) | 2021 | 2020 | ||||||
Balance, beginning of the period | $ | $ | ||||||
Capital stock subject to mandatory redemption reclassified from capital | ||||||||
Redemption/repurchase of mandatorily redeemable stock | ( | ( | ||||||
Balance, end of the period | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
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 | ||||||||
Past contractual redemption date due to remaining activity | ||||||||
Total | $ | $ |
Dividend - Annual Yield | ||||||||||||||
2021 | 2020 | |||||||||||||
Membership | Activity | Membership | Activity | |||||||||||
February | % | % | % | % | ||||||||||
April | % | % | % | % | ||||||||||
July | % | % | % | % | ||||||||||
(in thousands) | Net Unrealized Gains(Losses) on AFS | Non-credit OTTI Gains(Losses) on AFS | Net Unrealized Gains (Losses) on Hedging Activities | Pension and Post-Retirement Plans | Total | ||||||||||||
June 30, 2020 | $ | $ | $ | $ | ( | $ | |||||||||||
Other comprehensive income (loss) before reclassification: | |||||||||||||||||
Net unrealized gains (losses) | — | — | |||||||||||||||
Pension and post-retirement | — | — | — | ||||||||||||||
September 30, 2020 | $ | $ | $ | $ | ( | $ | |||||||||||
June 30, 2021 | $ | $ | $ | $ | ( | $ | |||||||||||
Other comprehensive income (loss) before reclassification: | |||||||||||||||||
Net unrealized gains (losses) | ( | — | — | — | ( | ||||||||||||
Pension and post-retirement | — | — | — | ||||||||||||||
September 30, 2021 | $ | $ | $ | $ | ( | $ | |||||||||||
December 31, 2019 | $ | $ | $ | $ | ( | $ | |||||||||||
Other comprehensive income (loss) before reclassification: | |||||||||||||||||
Adoption of ASU 2016-13 | ( | — | — | — | |||||||||||||
Net unrealized gains (losses) | — | — | |||||||||||||||
Amortization on hedging activities | — | — | ( | — | ( | ||||||||||||
Pension and post-retirement | — | — | — | ||||||||||||||
September 30, 2020 | $ | $ | $ | $ | ( | $ | |||||||||||
December 31, 2020 | $ | $ | $ | $ | ( | $ | |||||||||||
Other comprehensive income (loss) before reclassification: | |||||||||||||||||
Net unrealized gains (losses) | ( | — | — | — | ( | ||||||||||||
Pension and post-retirement | — | — | — | ||||||||||||||
September 30, 2021 | $ | $ | $ | $ | ( | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Advances | $ | $ | ||||||
Letters of credit (1) | ||||||||
MPF loans | ||||||||
Deposits | ||||||||
Capital stock |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Interest income on advances (1) | $ | $ | $ | $ | ||||||||||
Interest income on MPF loans | ||||||||||||||
Letters of credit fees |
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Servicing fee expense | $ | $ | $ | $ |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||
Interest-bearing deposits maintained with FHLBank of Chicago | $ | $ |
Fair Value Summary Table | ||||||||||||||||||||
September 30, 2021 | ||||||||||||||||||||
(in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral (1) | Estimated Fair Value | ||||||||||||||
Assets: | ||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | — | $ | |||||||||||||
Interest-bearing deposits | — | |||||||||||||||||||
Federal funds sold | — | |||||||||||||||||||
Securities purchased under agreement to resell (2) | — | |||||||||||||||||||
Trading securities | — | |||||||||||||||||||
AFS securities | — | |||||||||||||||||||
HTM securities | — | |||||||||||||||||||
Advances | — | |||||||||||||||||||
Mortgage loans held for portfolio, net | — | |||||||||||||||||||
BOB loans, net | — | |||||||||||||||||||
Accrued interest receivable | — | |||||||||||||||||||
Derivative assets | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Deposits | $ | $ | $ | $ | $ | — | $ | |||||||||||||
Discount notes | — | |||||||||||||||||||
Bonds | — | |||||||||||||||||||
Mandatorily redeemable capital stock (3) | — | |||||||||||||||||||
Accrued interest payable (3) | — | |||||||||||||||||||
Derivative liabilities | ( |
December 31, 2020 | ||||||||||||||||||||
(in thousands) | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral (1) | Estimated Fair Value | ||||||||||||||
Assets: | ||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | — | $ | |||||||||||||
Interest-bearing deposits | — | |||||||||||||||||||
Federal funds sold | — | |||||||||||||||||||
Securities purchased under agreement to resell (2) | — | |||||||||||||||||||
Trading securities | — | |||||||||||||||||||
AFS securities | — | |||||||||||||||||||
HTM securities | — | |||||||||||||||||||
Advances | — | |||||||||||||||||||
Mortgage loans held for portfolio, net | — | |||||||||||||||||||
BOB loans, net | — | |||||||||||||||||||
Accrued interest receivable | — | |||||||||||||||||||
Derivative assets | ||||||||||||||||||||
Liabilities: | ||||||||||||||||||||
Deposits | $ | $ | $ | $ | $ | — | $ | |||||||||||||
Discount notes | — | |||||||||||||||||||
Bonds | — | |||||||||||||||||||
Mandatorily redeemable capital stock (3) | — | |||||||||||||||||||
Accrued interest payable (3) | — | |||||||||||||||||||
Derivative liabilities | ( |
September 30, 2021 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral(1) | Total | ||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||
Trading securities: | |||||||||||||||||
Non MBS: | |||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | — | $ | |||||||||||
GSE and TVA obligations | — | ||||||||||||||||
Total trading securities | $ | $ | $ | $ | — | $ | |||||||||||
AFS securities: | |||||||||||||||||
Non MBS: | |||||||||||||||||
U.S. Treasury obligations | $ | — | $ | $ | — | $ | — | $ | |||||||||
GSE and TVA obligations | — | ||||||||||||||||
State or local agency obligations | — | ||||||||||||||||
MBS: | |||||||||||||||||
U.S. obligations single-family MBS | — | ||||||||||||||||
GSE single-family MBS | — | ||||||||||||||||
GSE multifamily MBS | — | ||||||||||||||||
Private label MBS | — | ||||||||||||||||
Total AFS securities | $ | $ | $ | $ | — | $ | |||||||||||
Derivative assets: | |||||||||||||||||
Interest rate related | $ | $ | $ | $ | $ | ||||||||||||
Mortgage delivery commitments | |||||||||||||||||
Total derivative assets | $ | $ | $ | $ | $ | ||||||||||||
Total recurring assets at fair value | $ | $ | $ | $ | $ | ||||||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||
Derivative liabilities: | |||||||||||||||||
Interest rate related | $ | $ | $ | $ | ( | $ | |||||||||||
Mortgage delivery commitments | — | ||||||||||||||||
Total recurring liabilities at fair value (2) | $ | $ | $ | $ | ( | $ | |||||||||||
Non-recurring fair value measurements - Assets | |||||||||||||||||
Impaired mortgage loans held for portfolio | $ | — | $ | — | $ | $ | — | $ | |||||||||
REO | — | — | — | ||||||||||||||
Total non-recurring assets at fair value | $ | — | $ | — | $ | $ | — | $ |
December 31, 2020 | |||||||||||||||||
(in thousands) | Level 1 | Level 2 | Level 3 | Netting Adjustment and Cash Collateral(1) | Total | ||||||||||||
Recurring fair value measurements - Assets | |||||||||||||||||
Trading securities: | |||||||||||||||||
Non MBS: | |||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | $ | ||||||||||||
GSE and TVA obligations | — | ||||||||||||||||
Total trading securities | $ | $ | $ | $ | — | $ | |||||||||||
AFS securities: | |||||||||||||||||
Non MBS: | |||||||||||||||||
GSE and TVA obligations | $ | $ | $ | $ | |||||||||||||
State or local agency obligations | — | ||||||||||||||||
MBS: | |||||||||||||||||
U.S. obligations single-family MBS | — | ||||||||||||||||
GSE single-family MBS | — | ||||||||||||||||
GSE multifamily MBS | — | ||||||||||||||||
Private label MBS | — | ||||||||||||||||
Total AFS securities | $ | $ | $ | $ | — | $ | |||||||||||
Derivative assets: | |||||||||||||||||
Interest rate related | $ | $ | $ | $ | $ | ||||||||||||
Mortgage delivery commitments | |||||||||||||||||
Total derivative assets | $ | $ | $ | $ | $ | ||||||||||||
Total recurring assets at fair value | $ | $ | $ | $ | $ | ||||||||||||
Recurring fair value measurements - Liabilities | |||||||||||||||||
Derivative liabilities: | |||||||||||||||||
Interest rate related | $ | $ | $ | $ | ( | $ | |||||||||||
Mortgage delivery commitments | — | — | — | ||||||||||||||
Total recurring liabilities at fair value (2) | $ | — | $ | $ | — | $ | ( | $ | |||||||||
Non-recurring fair value measurements - Assets | |||||||||||||||||
Impaired mortgage loans held for portfolio | $ | — | $ | — | $ | $ | — | $ | |||||||||
REO | — | — | — | ||||||||||||||
Total non-recurring assets at fair value | $ | — | $ | — | $ | $ | — | $ |
AFS Private Label MBS | ||||||||||||||
Three months ended September 30, | Nine months ended September 30, | |||||||||||||
(in thousands) | 2021 | 2020 | 2021 | 2020 | ||||||||||
Balance, beginning of period | $ | $ | $ | $ | ||||||||||
Total gains (losses) (realized/unrealized) included in: | ||||||||||||||
(Provision) reversal for credit losses | ( | ( | ||||||||||||
Accretion of credit losses in interest income | ||||||||||||||
Net unrealized gains (losses) on AFS in OCI | ( | ( | ( | |||||||||||
Purchases, issuances, sales, and settlements: | ||||||||||||||
Settlements | ( | ( | ( | ( | ||||||||||
Balance at September 30 | $ | $ | $ | $ | ||||||||||
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30 | $ | $ | $ | $ | ||||||||||
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at September 30 | $ | ( | $ | $ | ( | $ | ( |
(in thousands) | September 30, 2021 | December 31, 2020 | ||||||||||||
Notional amount | Expiration Date Within One Year | Expiration Date After One Year | Total | Total | ||||||||||
Standby letters of credit outstanding (1) (2) | $ | $ | $ | $ | ||||||||||
Commitments to fund additional advances and BOB loans | ||||||||||||||
Commitments to purchase mortgage loans | ||||||||||||||
Unsettled consolidated obligation bonds, at par | ||||||||||||||
Unsettled consolidated obligation discount notes, at par |
Exhibit No. | Description | Method of Filing | ||||||
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer | Filed herewith. | |||||||
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer | Filed herewith. | |||||||
Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer | Filed herewith. | |||||||
Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer | Furnished herewith. | |||||||
Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Principal Financial Officer | Furnished herewith. | |||||||
Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer | Furnished herewith. | |||||||
101.INS | Inline 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. | Filed herewith. | ||||||
101.SCH | Inline XBRL Taxonomy Extension Schema Document | Filed herewith. | ||||||
101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document | Filed herewith. | ||||||
101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document | Filed herewith. | ||||||
101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document | Filed herewith. | ||||||
101.DEF | Inline 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. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
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 officers 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 we 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 is made known to us, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officers 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. |
1. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
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 officers 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 we 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 is made known to us, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officers 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. |
1. | I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant); |
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 officers 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 we 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 is made known to us, particularly during the period in which this report is being prepared; |
b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
c) | Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
d) | Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and |
5. | The registrant's other certifying officers 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. |
1. | I am the Chief Executive Officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended September 30, 2021 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
1. | I am the Chief Operating Officer and principal financial officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended September 30, 2021 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
1. | I am the Chief Accounting Officer of the Federal Home Loan Bank of Pittsburgh (the registrant). |
2. | I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that: |
l | this Form 10-Q of the registrant for the quarter ended September 30, 2021 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and |
l | the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented. |
Statements of Income - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Interest income: | ||||
Advances | $ 31,298 | $ 95,201 | $ 112,582 | $ 548,953 |
Interest-bearing deposits | 214 | 638 | 800 | 6,005 |
Securities purchased under agreements to resell | 185 | 294 | 449 | 7,923 |
Federal funds sold | 692 | 1,000 | 2,004 | 27,454 |
Trading securities | 2,972 | 9,055 | 11,548 | 41,786 |
Available-for-sale (AFS) securities | 23,769 | 31,996 | 74,066 | 138,565 |
Held-to-maturity (HTM) securities | 7,746 | 11,816 | 25,871 | 43,932 |
Mortgage loans held for portfolio | 31,996 | 35,932 | 95,114 | 121,561 |
Total interest income | 98,872 | 185,932 | 322,434 | 936,179 |
Interest expense: | ||||
Consolidated obligations - discount notes | 1,378 | 16,980 | 5,473 | 175,414 |
Consolidated obligations - bonds | 53,035 | 80,579 | 172,777 | 462,006 |
Deposits | 122 | 26 | 186 | 1,827 |
Mandatorily redeemable capital stock and other borrowings | 670 | 4,072 | 3,437 | 14,127 |
Total interest expense | 55,205 | 101,657 | 181,873 | 653,374 |
Net interest income | 43,667 | 84,275 | 140,561 | 282,805 |
Provision (reversal) for credit losses | (874) | 1,243 | (2,292) | 5,635 |
Net interest income after provision (reversal) for credit losses | 44,541 | 83,032 | 142,853 | 277,170 |
Other noninterest income (loss): | ||||
Net gains (losses) on investment securities (Note 2) | (3,113) | (5,323) | (15,827) | 53,868 |
Net gains (losses) on derivatives and hedging activities (Note 5) | (411) | 3,589 | 5,323 | (97,685) |
Standby letters of credit fees | 5,905 | 5,407 | 17,465 | 16,019 |
Other, net | 1,240 | 1,405 | 3,078 | 1,688 |
Total other noninterest income (loss) | 3,621 | 5,078 | 10,039 | (26,110) |
Other Expense | ||||
Compensation and benefits | 11,220 | 12,844 | 38,431 | 39,190 |
Other operating | 8,939 | 7,871 | 25,312 | 29,869 |
Finance Agency | 1,617 | 1,894 | 4,852 | 5,688 |
Office of Finance | 1,133 | 1,243 | 3,434 | 3,995 |
Total other expense | 22,909 | 23,852 | 72,029 | 78,742 |
Income before assessments | 25,253 | 64,258 | 80,863 | 172,318 |
Affordable Housing Program (AHP) assessment | 2,592 | 6,833 | 8,430 | 18,644 |
Net Income | $ 22,661 | $ 57,425 | $ 72,433 | $ 153,674 |
Statements of Comprehensive Income - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
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Net Income | $ 22,661 | $ 57,425 | $ 72,433 | $ 153,674 |
Other comprehensive income (loss): | ||||
Net unrealized gains (losses) on AFS securities | (1,284) | 26,384 | (13,058) | 47,574 |
Reclassification of net (gains) included in net income relating to hedging activities | 0 | 0 | 0 | (149) |
Pension and post-retirement benefits | 196 | 171 | 2,048 | 1,208 |
Total other comprehensive income (loss) | (1,088) | 26,555 | (11,010) | 48,633 |
Total comprehensive income | $ 21,573 | $ 83,980 | $ 61,423 | $ 202,307 |
Statement of Condition (Parenthetical) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
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ASSETS | ||||
AFS Securities, Amortized Cost | [1] | $ 12,059,746 | $ 9,335,210 | |
HTM securities - fair value | $ 1,360,318 | $ 2,557,128 | ||
Stockholders' Equity Attributable to Parent [Abstract] | ||||
Capital Stock, Par value Per Share | $ 100 | $ 100 | ||
Capital Stock, Shares, Issued and Outstanding | 12,017,000 | 15,278,000 | ||
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Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands |
9 Months Ended | |
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Sep. 30, 2021 |
Sep. 30, 2020 |
|
Statement of Cash Flows [Abstract] | ||
Interest-bearing deposits (including $353 and $(2,118) from (to) other FHLBanks) | $ 353 | $ (2,118) |
Background Information |
9 Months Ended |
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Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Background Information | Background Information The Bank, a federally chartered corporation, is one of 11 district Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, do not hold capital stock. All members must purchase capital stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 8 - Transactions with Related Parties for additional information. The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source for liquidity and funding for housing finance and community investment. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits. As provided by the Federal Home Loan Bank Act (FHLBank Act) or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF® Program and purchase certain investments. See Note 6 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all the FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve. The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2020 included in the Bank's 2020 Form 10-K.
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Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations |
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Accounting Standards Update and Change in Accounting Principle [Abstract] | |||||||||||||||||||||||||||||||||||||
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations The Bank adopted the following new accounting standards during the nine months ended September 30, 2021.
The Bank did not have any recently issued accounting standards which may have an impact on the Bank for the nine months ended September 30, 2021.
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Investments |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Investments | Investments The Bank has short-term investments and may make other investments in debt securities, which are classified as trading, AFS, or HTM as further described below. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of BBB or greater (investment grade) by an NRSRO. Interest-bearing deposits and Federal funds sold are unsecured investments. Federal funds sold are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At September 30, 2021 and December 31, 2020, all investments in interest-bearing deposits and Federal funds sold were repaid according to the contractual terms; no ACL was recorded for these assets at September 30, 2021 and December 31, 2020. Carrying values of interest-bearing deposits and Federal funds exclude accrued interest receivable which was immaterial for all periods presented. At September 30, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. Securities purchased under agreements to resell are secured investments. Securities purchased under agreements to resell are generally transacted on an overnight term and have standard market practices that include collateral maintenance provisions. As such, they are evaluated regularly to determine that the securities purchased under agreements to resell are fully collateralized. The counterparty is required to deliver additional collateral if the securities purchased under agreements to resell become under-collateralized, generally by the next business day. At September 30, 2021 and December 31, 2020, all investments in securities purchased under agreements to resell were repaid according to the contractual terms; no ACL was recorded for these assets at September 30, 2021 and December 31, 2020. Carrying value of securities purchased under agreements to resell exclude accrued interest receivable which was immaterial for all periods presented. At September 30, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. Debt Securities The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private label MBS that are supported by underlying mortgage or asset-backed loans. In 2007, the Bank discontinued the purchase of private label MBS. The Bank is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities. Trading Securities. The following table presents trading securities as of September 30, 2021 and December 31, 2020.
The following table presents net gains (losses) on trading securities for the third quarter and first nine months of 2021 and 2020.
AFS Securities. The following tables present AFS securities as of September 30, 2021 and December 31, 2020.
Notes: (1) Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020. The following tables summarize the AFS securities with unrealized losses as of September 30, 2021 and December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
Interest Rate Payment Terms. The following table details interest payment terms at September 30, 2021 and December 31, 2020.
HTM Securities. The following tables present HTM securities as of September 30, 2021 and December 31, 2020.
Notes: (1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020. (2) No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020. Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
Interest Rate Payment Terms. The following table details interest rate payment terms at September 30, 2021 and December 31, 2020.
Debt Securities ACL. For HTM securities, there was no ACL at September 30, 2021 and December 31, 2020. For AFS securities, the Bank recorded an ACL only on its private label MBS at September 30, 2021 and December 31, 2020. AFS Debt Securities - Rollforward of ACL. The following table presents a rollforward of the ACL on AFS securities for the three and nine months ended September 30, 2021 and 2020.
Debt Securities ACL Methodology. To evaluate investment securities for credit losses at September 30, 2021, the Bank employs the following methodologies by major security type. Certificates of Deposits. The Bank invests in short-term investments, such as certificates of deposits, primarily to manage liquidity. The Bank’s certificates of deposits, which are unsecured, have original contractual maturities of one year or less. The Bank only purchases certificates of deposits considered investment quality. The Bank did not own certificates of deposits at September 30, 2021. Due to their short duration, high credit quality, and insignificant expected credit losses, no ACL was recorded on certificates of deposits at December 31, 2020. GSE and Other U.S. Obligations. The Bank invests in GSE and other U.S. obligations, which includes Tennessee Valley Authority obligations, single-family MBS, and GSE single-family and multifamily MBS. These securities are issued by Federal Agencies or U.S. government corporations and include MBS issued by these same entities that are directly supported by underlying mortgage loans. All of these securities carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. As a result, no ACL was recorded on GSE and other U.S. obligations at September 30, 2021 or December 31, 2020. The Bank only purchases GSE and other U.S. obligations considered investment quality. At September 30, 2021, all of these GSE and other U.S. obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. State or Local Agency Obligations. The Bank invests in state or local agency obligations, such as municipal securities. These securities are subject to credit risk related to a portfolio of state and local agency obligations (i.e., Housing Finance Agency bonds) that are directly or indirectly supported by underlying mortgage loans and carry an implicit or explicit guarantee of the state or local agency. The Bank has not experienced any payment defaults on these instruments. The Bank only purchases state or local agency obligations considered investment quality. At September 30, 2021, all of these state or local agency obligations, based on amortized cost, were rated BBB or above by a NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. The Bank evaluates AFS state or local agency obligations for an ACL based on a credit assessment of the issuer, or guarantor. If the Bank determines that an ACL should be recognized, it is limited to the unrealized loss of the state or local agency obligation, including zero if it is in an unrealized gain position. At September 30, 2021 and December 31, 2020, the Bank expected to receive all cash flows contractually due, and no ACL was recorded on AFS state or local agency obligations. Private Label MBS. The Bank also holds investments in private label MBS. The Bank has not purchased any private label MBS since 2007. However, many of these securities have subsequently experienced significant credit deterioration. As of September 30, 2021, 21.4% of private label MBS (AFS and HTM combined, based on amortized cost) were rated BBB or above by a NRSRO and the remaining securities were either rated less than BBB or were unrated. To determine whether an ACL is necessary on these securities, the Bank uses cash flow analyses. The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as: •the remaining payment terms for the security; •prepayment speeds based on underlying loan-level borrower and loan characteristics; •expected default rates based on underlying borrower and loan characteristics; •expected loss severity based on underlying borrower and loan characteristics; •expected housing price changes; and •expected interest-rate assumptions. The Bank performed a cash flow analysis using a third-party model to assess whether the entire amortized cost basis of its private label MBS securities will be recovered. The projected cash flows are based on a number of assumptions and expectations, and the results of the model can vary with changes in assumptions and expectations. The projected cash flows, determined based on the model approach, reflect a best estimate scenario and include a base case housing price forecast.
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Advances |
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Advances | Advances General Terms. The Bank offers a wide-range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from overnight to 30 years. Variable-rate advances generally have maturities ranging up to five years, and the interest rates reset periodically at a fixed spread to LIBOR or SOFR. The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2021 and December 31, 2020.
Notes: (1) Amounts exclude accrued interest receivable of $25.4 million and $36.6 million at September 30, 2021 and December 31, 2020. The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity, fixed-rate advance without the conversion feature. In addition, the Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). At September 30, 2021 and December 31, 2020, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative. The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2021 and December 31, 2020.
Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of September 30, 2021 and December 31, 2020.
Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of September 30, 2021, the Bank had advances of $7.6 billion outstanding to the five largest borrowers, which represented 58.7% of the total principal amount of advances outstanding. Of these five, one had outstanding advance balances that were in excess of 10% of the total portfolio at September 30, 2021. As of December 31, 2020, the Bank had advances of $15.2 billion outstanding to the five largest borrowers, which represented 61.4% of the total principal amount of advances outstanding. Of these five, three had outstanding advance balances that were in excess of 10% of the total portfolio at December 31, 2020. Advances ACL. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally requires a credit limit to be established for each borrower and an ongoing review of each borrower’s financial condition in conjunction with the Bank's collateral and lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. Eligible collateral and collateral requirements can vary based on the type of member: commercial banks, insurance companies, credit unions, de novo banks and CDFIs. In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank primarily accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member's financial condition, the Bank always takes possession or control of securities used as collateral. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party, except for claims or rights of a third party that would be otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At September 30, 2021 and December 31, 2020, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At September 30, 2021 and December 31, 2020, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs. The Bank evaluates its advances for an ACL on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type, as noted above. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at September 30, 2021 or December 31, 2020.
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Mortgage Loans Held for Portfolio |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 8 for further information regarding transactions with related parties. The following table presents balances as of September 30, 2021 and December 31, 2020 for mortgage loans held for portfolio.
Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. (2) Amounts exclude accrued interest receivable of $22.6 million at September 30, 2021 and $25.7 million at December 31, 2020. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2021 and December 31, 2020.
Purchases, Sales and Reclassifications. During the nine months ended September 30, 2021 and 2020, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale. Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. The Bank and its participating financial institution (PFI) share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any Primary Mortgage Insurance (PMI), credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s First Loss Account (FLA). If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by supplemental mortgage insurance (SMI) obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank. Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at September 30, 2021 and December 31, 2020.
Note: (1) The amortized cost at September 30, 2021 and December 31, 2020 excludes accrued interest receivable. (2) Includes approximately $32.6 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $0.9 million was current, $4.3 million was 30-59 days past due, $2.5 million was 60-89 days past due, and $24.9 million was 90 days or more past due at September 30, 2021. (3) Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020. Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020.
Note: (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. (3) All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses. Mortgage Loans Held for Portfolio ACL. Conventional MPF - Expected Losses. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. The Bank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses a third-party model to estimate expected credit losses over the life of the loans. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The model relies on a number of inputs, such as housing price forecasts and interest rates as well as historical borrower behavior experience. The Bank’s reasonable and supportable forecast for housing prices is two years. The Bank then reverts to historic averages over a three year period. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results. The estimated credit loss on collateral dependent loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. A mortgage loan is considered collateral dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The expected credit loss of a collateral dependent mortgage loan to determine the charge-off is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The estimated fair value of the collateral is determined based on a value provided by a third-party’s retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. Expected recoveries of prior charge-offs, as determined by a third-party model, if any, are included in the allowance for credit losses. Conventional MPF - COVID-19-Related Modifications. Through the MPF Program, the Bank may grant a forbearance period to borrowers due to COVID-19-related difficulties regardless of the status of the loan at the time of the request. The Bank continues to apply its accounting policy for determining days past due, non-accrual, and charge-offs during the forbearance period. For MPF loans that have received COVID-19-related forbearance and meet certain criteria, the Bank may not charge-off the MPF loan, including when it is 180 or more days delinquent, if the Bank expects to recover its amortized cost. After the forbearance period, the Bank may modify the borrower's MPF loan. The Bank has elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act. For additional information regarding the CARES Act, refer to Note 1 - Summary of Significant Accounting Policies in the Bank's 2020 Form 10-K. The par value of conventional loans in a forbearance or repayment plan as a result of the COVID-19 pandemic was $32.6 million at September 30, 2021 and $83.9 million at December 31, 2020. These amounts represented 0.7% of mortgage loans held for portfolio at September 30, 2021 and 1.8% at December 31, 2020. Of the conventional loans in a forbearance plan as a result of COVID-19, approximately 89% and 93% of the loans were not deemed to be collateral dependent and not charged-off as of September 30, 2021 and December 31, 2020, respectively. Conventional MPF - Expected Recoveries. The Bank recognizes a recovery through the provision for credit losses when expected lifetime credit losses are less than the amounts previously charged-off. This includes potentially recording a negative ACL for certain of the Bank's MPF products. The reduction to the ACL for expected recoveries is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's Statements of Condition. Conventional MPF - Application of CE. The Bank also incorporates associated CE, if any, to determine its estimate of expected credit losses. The Bank records an ACL for expected credit losses that exceed the amount the Bank expects to receive from available CE. Potential recoveries from CE for conventional loans are evaluated at the individual master commitment level to determine the CE available to recover losses on loans under each individual master commitment. Conventional MPF - Rollforward of ACL
Note: (1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million. (2) Net charge-offs that the Bank does not expect to recover through CE receivable. Government-Guaranteed or Insured Mortgage Loans. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed or insured mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, the Bank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance. Based on the Bank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial. Consequently, the Bank has not recorded an ACL for government-guaranteed or insured mortgage loans at September 30, 2021 or December 31, 2020. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met. Real Estate Owned (REO). The Bank had $0.4 million and $0.8 million of REO reported in Other assets on the Statement of Condition at September 30, 2021 and December 31, 2020, respectively.
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Derivatives and Hedging Activities |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives and Hedging Activities | Derivatives and Hedging Activities Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and interest-bearing liabilities that finance these assets. The goal of the Bank's interest rate risk management strategy is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures that include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. For additional information on the Bank's derivative transactions, see Note 7 - Derivatives and Hedging Activities to the audited financial statements in the Bank's 2020 Form 10-K. Derivative transactions may be executed either with a counterparty (referred to as uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. The Bank transacts uncleared derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Financial Statement Effect and Additional Financial Information. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.
Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $183.5 million for September 30, 2021 and $137.9 million for December 31, 2020. Cash collateral received was $1.4 million for September 30, 2021 and $1.1 million for December 31, 2020. The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedge relationships, and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships.
The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.
Note: (1) Includes carrying value of hedged items in current fair value hedging relationships. The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income.
Notes: (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract. The Bank had no active cash flow hedging relationships during the first nine months of 2021 or 2020. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Generally, the Bank is subject to certain ISDA agreements for uncleared derivatives that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that require the Bank to deliver additional collateral due to a credit downgrade and were in a net liability position (before cash collateral and related accrued interest) at September 30, 2021 was $0.7 million. The Bank had no collateral posted against this position and even if the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would not have been required to deliver additional collateral to its derivative counterparties at September 30, 2021. Cleared Derivatives. For cleared derivatives, Derivative Clearing Organizations (Clearing Houses) are the Bank's counterparties. The Clearing Houses notify the clearing agent of the required initial and variation margin. The requirement that the Bank post initial margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses either CME Clearing or LCH Ltd. as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as settled to market, rather than collateral. Initial margin is considered collateralized to market. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 9 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. For cleared derivatives, the Clearing House determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. The Bank was not required by its clearing agents to post additional initial margin at September 30, 2021. Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure. Initial margin posted to the clearing house is presented as a derivative asset. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.
Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).
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Consolidated Obligations |
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Consolidated Obligations | Consolidated Obligations Consolidated obligations consist of consolidated bonds and consolidated discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants to have issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank. Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required to make such payments, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. If the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. However, the Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations was $641.4 billion at September 30, 2021 and $746.8 billion at December 31, 2020. Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 9 to the audited financial statements in the Bank's 2020 Form 10-K. The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2021 and December 31, 2020.
Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2021 and December 31, 2020.
The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2021 and December 31, 2020.
The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2021 and December 31, 2020.
Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of September 30, 2021 and December 31, 2020.
Note: (1) Represents an implied rate.
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Capital |
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Banking Regulation, Total Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital | Capital The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 11 to the audited financial statements in the Bank’s 2020 Form 10-K. At September 30, 2021, the Bank was in compliance with all regulatory capital requirements. The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $0.3 billion in B1 membership stock and $0.9 billion in B2 activity stock at September 30, 2021. The Bank had $0.3 billion in B1 membership stock and $1.2 billion in B2 activity stock at December 31, 2020. The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2021 and December 31, 2020.
The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On September 28, 2021, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended June 30, 2021. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended September 30, 2021. Mandatorily Redeemable Capital Stock. The Bank is a cooperative whose member financial institutions and former members own all of the relevant Bank's issued and outstanding capital stock. Shares cannot be purchased or sold except between the Bank and its members at the shares' par value of $100, as mandated by the Bank's capital plan. At September 30, 2021 and December 31, 2020, the Bank had $23.3 million and $142.8 million, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $0.7 million and $3.4 million during the three and nine months ended September 30, 2021, respectively. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $4.1 million and $14.1 million during the three and nine months ended September 30, 2020, respectively. The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2021 and 2020.
As of September 30, 2021, the total mandatorily redeemable capital stock reflected the balance for seven institutions. Four institutions were merged out of district and are considered to be non-members and one relocated and became a member of another FHLBank at which time the membership with the Bank terminated. Two other institutions have notified the Bank of their intention to voluntarily redeem their capital stock and withdraw from membership. These institutions will continue to be members of the Bank until the withdrawal period is completed. The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2021 and December 31, 2020.
Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding. Partial Recovery of Prior Capital Distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in exchange for FICO nonvoting capital stock. Capital distributions totaling $680.0 million were made by the FHLBanks in 1987 through 1989. Upon passage of Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBanks’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBanks charged-off their prior capital distributions to FICO directly against retained earnings. FICO paid off its last long-term debt obligation in September 2019, and the following month began the process of dissolution in accordance with relevant statutory requirements of the FHFA. FICO determined that approximately $200.0 million in excess funds were available for distribution to its stockholders, the FHLBanks. The Bank’s partial recovery of prior capital distributions in the second quarter of 2020 approximated $8.5 million based on its share of the $680.0 million originally contributed. These funds are accounted for as a return of the FHLBanks’ investment in FICO capital stock as a partial recovery of the prior capital distributions and credited to the Bank's unrestricted retained earnings account. Dividends and Retained Earnings. In accordance with the Joint Capital Enhancement Agreement (JCEA), entered into by the Bank, as amended, the Bank allocates on a quarterly basis 20% of its net income to a separate restricted retained earnings account (RRE) until the account balance equals at least 1% of the Bank's average balance of outstanding consolidated obligations for the current quarter. These RRE are not available to pay dividends and are presented separately from other retained earnings on the Statement of Condition. At September 30, 2021, the balance in RRE exceeded the threshold for the contribution requirement. Accordingly, no allocation of net income was made to RRE in the first nine months of 2021. At September 30, 2021, retained earnings were $1,397.0 million, including $939.6 million of unrestricted retained earnings and $457.4 million of RRE. Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. These dividends are based on stockholders' average balances for the previous quarter. Dividends paid through the third quarter of 2021 and 2020 are presented in the table below.
In October 2021, the Bank paid a quarterly dividend equal to an annual yield of 1.25% on membership stock and 5.25% on activity stock. The following table summarizes the changes in AOCI for the three and nine months ended September 30, 2021 and 2020.
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Transactions with Related Parties |
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Related Party Transactions [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Related Parties | Transactions with Related Parties The following table includes significant outstanding related party member-activity balances.
Note: (1) Letters of credit are off-balance sheet commitments. The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented.
Note: (1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included. The following table summarizes the effect of the MPF activities with FHLBank of Chicago.
From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three and nine months ended September 30, 2021, the Bank borrowed and repaid $5.0 million. During the three and nine months ended September 30, 2020, the Bank borrowed and repaid $25.0 million. There was no lending activity during the nine months ended September 30, 2021 and September 30, 2020. Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer at fair value its primary debt obligations to another FHLBank. During the nine months ended September 30, 2021 and 2020, there were no transfers of debt between the Bank and another FHLBank. From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the nine months ended September 30, 2021 and 2020. In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations. Additional discussions regarding related party transactions can be found in Note 13 to the audited financial statements in the Bank's 2020 Form 10-K.
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Estimated Fair Values |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Fair Values | Estimated Fair Values Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). These estimates are based on recent market data and other pertinent information available to the Bank at September 30, 2021 and December 31, 2020. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2021 and December 31, 2020 are presented in the table below.
Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. (2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at September 30, 2021 and December 31, 2020. These instruments’ maturity term is overnight. (3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities) and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Valuations derived from techniques in which one or more significant inputs are not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques. The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. Summary of Valuation Methodologies and Primary Inputs The valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statement of Condition are listed below. Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities. For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows: •U.S. Treasury curve: certificates of deposit •CO curve: GSE and other U.S. obligations The Bank uses a market approach for its state and local agency bonds and U.S. Treasury obligations. For state and local agency bonds, the Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. During the year, the Bank conducts reviews of its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of September 30, 2021, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. Based on the Bank's reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, the Bank classified private label MBS as Level 3. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: •Discount rate assumption. SOFR curve for cleared derivatives. Overnight Index Swap (OIS) curve for uncleared derivatives. •Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve. •Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: •TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, either CME Clearing or LCH Ltd. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability. Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at September 30, 2021 and December 31, 2020. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.
Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. (2) Derivative liabilities represent the total liabilities at fair value. Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the nine months ended September 30, 2021 and 2020. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during the first nine months of 2021 or 2020.
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Commitments and Contingencies |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Commitments and Contingencies The following table presents the Bank's various off-balance sheet commitments which are described in detail below.
Notes: (1) Excludes approved requests to issue future standby letters of credit of $245.4 million at September 30, 2021 and $30.9 million at December 31, 2020. (2) Letters of credit in the amount of $4.2 billion at September 30, 2021 and $5.0 billion at December 31, 2020, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years. Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized overnight advance. Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $3.3 million at September 30, 2021 and $3.9 million at December 31, 2020. The Bank manages the credit risk of each member on the basis of the member's TCE to the Bank which includes its standby letters of credit. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit as described in Note 3 - Advances. Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in Other liabilities on the Statement of Condition. The Bank does not have any legally binding or unconditional unused lines of credit for advances at September 30, 2021 or December 31, 2020. However, within the Bank's Rollover (weekly/monthly) advance product, there were conditional lines of credit outstanding of $12.3 billion at both September 30, 2021 and December 31, 2020. Commitments to Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF Program. These delivery commitments are generally for periods not to exceed 60 days. Such commitments are recorded as derivatives. Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 5 - Derivatives and Hedging Activities in this Form 10-Q for additional information about the Bank's pledged collateral and other credit-risk-related contingent features. Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank's financial condition, results of operations or cash flows. Notes 3, 5, 6, 7, and 8 also discuss other commitments and contingencies.
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Significant Accounting Policies (Policies) |
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Credit Loss, Financial Instrument [Policy Text Block] | |
Derivatives, Policy | The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations.Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives.Generally, the Bank is subject to certain ISDA agreements for uncleared derivatives that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating were to be lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions, unless the collateral delivery threshold is set to zero. |
Fair Value Measurement, Policy | Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities) and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Valuations derived from techniques in which one or more significant inputs are not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques. The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities.
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Fair Value of Financial Instruments, Policy | Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities. For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows: •U.S. Treasury curve: certificates of deposit •CO curve: GSE and other U.S. obligations The Bank uses a market approach for its state and local agency bonds and U.S. Treasury obligations. For state and local agency bonds, the Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: •Discount rate assumption. SOFR curve for cleared derivatives. Overnight Index Swap (OIS) curve for uncleared derivatives. •Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve. •Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: •TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank's credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, either CME Clearing or LCH Ltd. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability. Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time.
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Fair Value Transfer, Policy | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. |
Investments (Tables) |
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Trading Securities | The following table presents trading securities as of September 30, 2021 and December 31, 2020.
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Net Gains (Losses) on Trading Securities | The following table presents net gains (losses) on trading securities for the third quarter and first nine months of 2021 and 2020.
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Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | The following tables present AFS securities as of September 30, 2021 and December 31, 2020.
Notes: (1) Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of $24.6 million and $16.9 million at September 30, 2021 and December 31, 2020.
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Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | The following tables summarize the AFS securities with unrealized losses as of September 30, 2021 and December 31, 2020. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.
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Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and fair value of AFS securities by contractual maturity as of September 30, 2021 and December 31, 2020 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
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Debt Securities, Held-to-maturity [Table Text Block] | The following tables present HTM securities as of September 30, 2021 and December 31, 2020.
Notes: (1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of $2.9 million and $4.1 million at September 30, 2021 and December 31, 2020. (2) No ACL was recorded for these securities as of September 30, 2021 and December 31, 2020.
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Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | The following table details interest payment terms at September 30, 2021 and December 31, 2020.
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Debt Securities, Available-for-sale, Allowance for Credit Loss [Table Text Block] | The following table presents a rollforward of the ACL on AFS securities for the three and nine months ended September 30, 2021 and 2020.
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Advances (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Advances [Abstract] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Advances Classified by Contractual Maturity Date | The following table details the Bank’s advances portfolio by year of redemption as of September 30, 2021 and December 31, 2020.
The following table summarizes advances by the earlier of (i) year of redemption or next call date and (ii) year of redemption or next convertible date as of September 30, 2021 and December 31, 2020.
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Mortgage Loans Held for Portfolio (Tables) |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Mortgage Loans Held for Portfolio | The following table presents balances as of September 30, 2021 and December 31, 2020 for mortgage loans held for portfolio.
Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. (2) Amounts exclude accrued interest receivable of $22.6 million at September 30, 2021 and $25.7 million at December 31, 2020. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of September 30, 2021 and December 31, 2020.
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Financing Receivable Credit Quality Indicators [Table Text Block] | Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at September 30, 2021 and December 31, 2020.
Note: (1) The amortized cost at September 30, 2021 and December 31, 2020 excludes accrued interest receivable. (2) Includes approximately $32.6 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $0.9 million was current, $4.3 million was 30-59 days past due, $2.5 million was 60-89 days past due, and $24.9 million was 90 days or more past due at September 30, 2021. (3) Includes approximately $83.9 million par value of loans in a forbearance or repayment plan as a result of COVID-19, of which approximately $1.7 million was current, $10.3 million was 30-59 days past due, $9.6 million was 60-89 days past due, and $62.3 million was 90 days or more past due at December 31, 2020. Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020.
Note: (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. (3) All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.
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Financing Receivable, Past Due [Table Text Block] | The following table presents the delinquency statistics for the Bank’s mortgage loans at September 30, 2021 and December 31, 2020.
Note: (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. (3) All conventional mortgage loans on non-accrual status had an associated ACL or available credit enhancements to absorb expected credit losses.
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Financing Receivable, Allowance for Credit Loss [Table Text Block] | ollforward of ACL
Note: (1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million. (2) Net charge-offs that the Bank does not expect to recover through CE receivable.
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Derivatives and Hedging Activities (Tables) |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.
Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $183.5 million for September 30, 2021 and $137.9 million for December 31, 2020. Cash collateral received was $1.4 million for September 30, 2021 and $1.1 million for December 31, 2020.
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Derivative Instruments, Gain (Loss) | The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedge relationships, and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships.
The following table presents net gains (losses) related to derivatives and hedging activities in other noninterest income.
Notes: (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract.
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Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance | The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items.
Note: (1) Includes carrying value of hedged items in current fair value hedging relationships.
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Offsetting Assets | When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral received or pledged, and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure. Initial margin posted to the clearing house is presented as a derivative asset. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties.
Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).
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Offsetting Liabilities |
Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments).
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Consolidated Obligations (Tables) |
9 Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Short-term and Long-term Debt [Line Items] | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Debt | The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of September 30, 2021 and December 31, 2020.
The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of September 30, 2021 and December 31, 2020.
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Schedule of Long-term Debt by Call Feature | The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of September 30, 2021 and December 31, 2020.
The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of September 30, 2021 and December 31, 2020.
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Schedule of Short-term Debt | The following table details the Bank’s consolidated obligation discount notes as of September 30, 2021 and December 31, 2020.
Note: (1) Represents an implied rate.
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Capital (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Banking Regulation, Total Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | The following table demonstrates the Bank’s compliance with the regulatory capital requirements at September 30, 2021 and December 31, 2020.
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Schedule of Dividends Paid [Table Text Block] | Dividends paid through the third quarter of 2021 and 2020 are presented in the table below.
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Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the nine months ended September 30, 2021 and 2020.
The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at September 30, 2021 and December 31, 2020.
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Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in AOCI for the three and nine months ended September 30, 2021 and 2020.
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Transactions with Related Parties (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party Transactions, by Balance Sheet Grouping | The following table includes significant outstanding related party member-activity balances.
Note: (1) Letters of credit are off-balance sheet commitments.
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Related Party Transactions, Income Statement | The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented.
Note: (1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included.
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FHLBank of Chicago [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party Transaction [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Related Party Transactions, Mortgage Loans | The following table summarizes the effect of the MPF activities with FHLBank of Chicago.
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Estimated Fair Values (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping | The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2021 and December 31, 2020 are presented in the table below.
Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. (2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at September 30, 2021 and December 31, 2020. These instruments’ maturity term is overnight. (3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.
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Fair Value Measurements | Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at September 30, 2021 and December 31, 2020. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount.
Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. (2) Derivative liabilities represent the total liabilities at fair value.
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Rollforward of Level 3 Assets and Liabilities | Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the nine months ended September 30, 2021 and 2020. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during the first nine months of 2021 or 2020.
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Commitments and Contingencies (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments | Commitments and Contingencies The following table presents the Bank's various off-balance sheet commitments which are described in detail below.
Notes: (1) Excludes approved requests to issue future standby letters of credit of $245.4 million at September 30, 2021 and $30.9 million at December 31, 2020. (2) Letters of credit in the amount of $4.2 billion at September 30, 2021 and $5.0 billion at December 31, 2020, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years.
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Background Information (Details) |
Sep. 30, 2021
Banks
|
---|---|
Nature of Operations [Line Items] | |
Number of Federal Home Loan Banks | 11 |
Minimum | |
Nature of Operations [Line Items] | |
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent | 10.00% |
Trading Securities (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Investments, Debt and Equity Securities [Line Items] | ||
Trading securities | $ 508,517 | $ 1,156,003 |
U.S. Treasury obligations | ||
Investments, Debt and Equity Securities [Line Items] | ||
Trading securities | 261,870 | 899,421 |
GSE and TVA obligations | ||
Investments, Debt and Equity Securities [Line Items] | ||
Trading securities | $ 246,647 | $ 256,582 |
Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Investments, Debt and Equity Securities [Abstract] | ||||
Net unrealized gains (losses) on trading securities held at period-end | $ (2,979) | $ (3,447) | $ (13,087) | $ 28,640 |
Net gains (losses) on trading securities sold/matured during the period | (134) | (1,876) | (2,740) | 25,228 |
Net gains (losses) on trading securities | $ (3,113) | $ (5,323) | $ (15,827) | $ 53,868 |
Investments AFS - Unrealized Loss Position Table (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
AFS - Fair Value - Less than 12 Months | $ 737,719 | $ 221,021 |
AFS - Unrealized Losses - Less than 12 months | (911) | (118) |
AFS - Fair Value - 12 months or longer | 526,948 | 2,522,493 |
AFS - Unrealized Losses - 12 months or longer | (938) | (4,091) |
AFS - Fair Value - Total in Continuous Loss Position | 1,264,667 | 2,743,514 |
AFS - Unrealized Losses - Total in Continuous Loss Position | (1,849) | (4,209) |
U.S. obligations single-family MBS | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
AFS - Fair Value - Less than 12 Months | 21,512 | 8,591 |
AFS - Unrealized Losses - Less than 12 months | (51) | (17) |
AFS - Fair Value - 12 months or longer | 0 | 25,713 |
AFS - Unrealized Losses - 12 months or longer | 0 | (44) |
AFS - Fair Value - Total in Continuous Loss Position | 21,512 | 34,304 |
AFS - Unrealized Losses - Total in Continuous Loss Position | (51) | (61) |
Private label MBS [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
AFS - Fair Value - Less than 12 Months | 70 | 1,767 |
AFS - Unrealized Losses - Less than 12 months | (1) | (10) |
AFS - Fair Value - 12 months or longer | 2,463 | 2,631 |
AFS - Unrealized Losses - 12 months or longer | (86) | (147) |
AFS - Fair Value - Total in Continuous Loss Position | 2,533 | 4,398 |
AFS - Unrealized Losses - Total in Continuous Loss Position | (87) | (157) |
MBS [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
AFS - Fair Value - Less than 12 Months | 638,301 | 221,021 |
AFS - Unrealized Losses - Less than 12 months | (867) | (118) |
AFS - Fair Value - 12 months or longer | 526,948 | 2,522,493 |
AFS - Unrealized Losses - 12 months or longer | (938) | (4,091) |
AFS - Fair Value - Total in Continuous Loss Position | 1,165,249 | 2,743,514 |
AFS - Unrealized Losses - Total in Continuous Loss Position | (1,805) | (4,209) |
U.S. Treasury obligations | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
AFS - Fair Value - Less than 12 Months | 99,418 | |
AFS - Unrealized Losses - Less than 12 months | (44) | |
AFS - Fair Value - 12 months or longer | 0 | |
AFS - Unrealized Losses - 12 months or longer | 0 | |
AFS - Fair Value - Total in Continuous Loss Position | 99,418 | |
AFS - Unrealized Losses - Total in Continuous Loss Position | (44) | |
Single Family [Member] | GSE MBS [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
AFS - Fair Value - Less than 12 Months | 149,651 | 54,657 |
AFS - Unrealized Losses - Less than 12 months | (260) | (21) |
AFS - Fair Value - 12 months or longer | 0 | 217,942 |
AFS - Unrealized Losses - 12 months or longer | 0 | (192) |
AFS - Fair Value - Total in Continuous Loss Position | 149,651 | 272,599 |
AFS - Unrealized Losses - Total in Continuous Loss Position | (260) | (213) |
Multifamily [Member] | GSE MBS [Member] | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
AFS - Fair Value - Less than 12 Months | 467,068 | 156,006 |
AFS - Unrealized Losses - Less than 12 months | (555) | (70) |
AFS - Fair Value - 12 months or longer | 524,485 | 2,276,207 |
AFS - Unrealized Losses - 12 months or longer | (852) | (3,708) |
AFS - Fair Value - Total in Continuous Loss Position | 991,553 | 2,432,213 |
AFS - Unrealized Losses - Total in Continuous Loss Position | $ (1,407) | $ (3,778) |
Investments AFS - Contractual Maturities Table (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost (1) | [1] | $ 12,059,746 | $ 9,335,210 | |
AFS Securities | 12,188,192 | 9,476,385 | ||
Non-MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
AFS - Non-MBS - Due in one year or less - Amortized Cost | 196,493 | 73,115 | ||
AFS - Non-MBS - Due after one year through five years - Amortized Cost | 3,031,519 | 570,540 | ||
AFS - Non-MBS - Due after five through ten years - Amortized Cost | 2,590,569 | 789,408 | ||
AFS - Non-MBS - Due after 10 years - Amortized Cost | 263,527 | 384,846 | ||
Amortized Cost (1) | [1] | 6,082,108 | 1,817,909 | |
AFS - Non-MBS - Due in one year or less - Fair Value | 198,694 | 73,276 | ||
AFS - Non-MBS - Due after one year through five years - Fair Value | 3,041,043 | 581,853 | ||
AFS - Non-MBS - Due after five through ten years - Fair Value | 2,629,311 | 820,239 | ||
AFS - Non-MBS - Due after 10 years - Fair Value | 276,595 | 409,995 | ||
AFS Securities | 6,145,643 | 1,885,363 | ||
MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Amortized Cost (1) | [1] | 5,977,638 | 7,517,301 | |
AFS Securities | $ 6,042,549 | $ 7,591,022 | ||
|
Investments AFS - Interest Rate Payment Terms Table (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||||
AFS Securities, Amortized Cost | [1] | $ 12,059,746 | $ 9,335,210 | |
Non-MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
AFS Securities, Amortized Cost | [1] | 6,082,108 | 1,817,909 | |
MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
AFS Securities, Amortized Cost | [1] | 5,977,638 | 7,517,301 | |
Fixed Interest Rate [Member] | Non-MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
AFS Securities, Amortized Cost | 6,082,108 | 1,817,909 | ||
Fixed Interest Rate [Member] | MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
AFS Securities, Amortized Cost | 887,774 | 1,382,062 | ||
Variable interest rate [Member] | Non-MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
AFS Securities, Amortized Cost | 0 | 0 | ||
Variable interest rate [Member] | MBS [Member] | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
AFS Securities, Amortized Cost | $ 5,089,864 | $ 6,135,239 | ||
|
Investments HTM - Securities by Major Security Type Table (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||||||
---|---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost (1) | [1] | $ 1,315,420 | $ 2,483,730 | [2] | ||||
Gross Unrealized Holding Gains | 52,322 | 75,764 | ||||||
Gross Unrealized Holding Losses | (7,424) | (2,366) | ||||||
HTM securities - fair value | 1,360,318 | 2,557,128 | ||||||
HTM - Accrued Interest | 2,900 | 4,100 | ||||||
U.S. obligations single-family MBS | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost (1) | 90,598 | [1] | 120,539 | |||||
Gross Unrealized Holding Gains | 1,218 | 1,213 | ||||||
Gross Unrealized Holding Losses | 0 | 0 | ||||||
HTM securities - fair value | 91,816 | 121,752 | ||||||
Private label MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost (1) | 75,807 | [1] | 93,127 | |||||
Gross Unrealized Holding Gains | 814 | 582 | ||||||
Gross Unrealized Holding Losses | (499) | (1,313) | ||||||
HTM securities - fair value | 76,122 | 92,396 | ||||||
MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost (1) | 1,315,420 | [1] | 1,733,730 | |||||
Gross Unrealized Holding Gains | 52,322 | 75,687 | ||||||
Gross Unrealized Holding Losses | (7,424) | (2,366) | ||||||
HTM securities - fair value | 1,360,318 | 1,807,051 | ||||||
Certificates of Deposit [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost (1) | 750,000 | |||||||
Gross Unrealized Holding Gains | 77 | |||||||
Gross Unrealized Holding Losses | 0 | |||||||
HTM securities - fair value | 750,077 | |||||||
Single Family [Member] | GSE MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost (1) | 635,540 | [1] | 989,824 | |||||
Gross Unrealized Holding Gains | 10,776 | 20,337 | ||||||
Gross Unrealized Holding Losses | (6,925) | (1,053) | ||||||
HTM securities - fair value | 639,391 | 1,009,108 | ||||||
Multifamily [Member] | GSE MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
Amortized Cost (1) | 513,475 | [1] | 530,240 | |||||
Gross Unrealized Holding Gains | 39,514 | 53,555 | ||||||
Gross Unrealized Holding Losses | 0 | 0 | ||||||
HTM securities - fair value | $ 552,989 | $ 583,795 | ||||||
|
Investments HTM - Contractual Maturity Table (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||||||
---|---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | [1] | $ 1,315,420 | $ 2,483,730 | [2] | ||||
HTM securities | 1,360,318 | 2,557,128 | ||||||
Non-MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Non-MBS - Due in one year or less - Amortized Cost | 0 | 750,000 | ||||||
HTM - Non-MBS - Due after one through five years - Amortized Cost | 0 | 0 | ||||||
HTM - Non-MBS - Due after five years through ten years - Amortized Cost | 0 | 0 | ||||||
HTM - Non-MBS - Due after ten years - Amortized Cost | 0 | 0 | ||||||
HTM - Amortized Cost | 0 | 750,000 | ||||||
HTM - Non-MBS - Due in one year or less - Fair Value | 0 | 750,077 | ||||||
HTM- Non-MBS - Due after one year through five years - Fair Value | 0 | 0 | ||||||
HTM - Non-MBS - Due after five years through ten years - Fair Value | 0 | 0 | ||||||
HTM - Non-MBS - Due after ten years - Fair Value | 0 | 0 | ||||||
HTM securities | 0 | 750,077 | ||||||
MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | 1,315,420 | [1] | 1,733,730 | |||||
HTM securities | $ 1,360,318 | $ 1,807,051 | ||||||
|
Investments HTM - Interest Rate Payment Terms (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||||||
---|---|---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | [1] | $ 1,315,420 | $ 2,483,730 | [2] | ||||
Non-MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | 0 | 750,000 | ||||||
MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | 1,315,420 | [1] | 1,733,730 | |||||
Fixed Interest Rate [Member] | Non-MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | 0 | 750,000 | ||||||
Fixed Interest Rate [Member] | MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | 1,129,418 | 1,493,149 | ||||||
Variable interest rate [Member] | Non-MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | 0 | 0 | ||||||
Variable interest rate [Member] | MBS [Member] | ||||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||||
HTM - Amortized Cost | $ 186,002 | $ 240,581 | ||||||
|
Investments AFS - Allowance Rollforward Table (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Debt Securities, Available-for-sale, Allowance for Credit Loss [Roll Forward] | ||||
Balance, beginning of period | $ 2,624 | $ 1,574 | $ 2,417 | $ 0 |
Increases (decreases) for securities in which a previous ACL or OTTI was recorded | (536) | 117 | (329) | 1,691 |
Balance, end of period | $ 2,088 | $ 1,691 | $ 2,088 | $ 1,691 |
Advances (Details) - USD ($) $ in Thousands |
9 Months Ended | |
---|---|---|
Sep. 30, 2021 |
Dec. 31, 2020 |
|
Federal Home Loan Bank Advances | ||
Total Par Value | $ 12,888,255 | $ 24,724,889 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 7,600,000 | $ 15,200,000 |
Number Of Top Advances Borrowers | 5 | 5 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 58.70% | 61.40% |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | 1 | 3 |
Maximum | ||
Federal Home Loan Bank Advances | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 30 years | |
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate | 5 years |
Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | ||
Due in 1 year or less | 1.54% | 0.84% |
Due after 1 year through 2 years | 2.29% | 2.25% |
Due after 2 years through 3 years | 1.79% | 2.08% |
Due after 3 years through 4 years | 2.02% | 1.85% |
Due after 4 years through 5 years | 1.09% | 1.91% |
Thereafter | 2.54% | 2.55% |
Total par value, Weighted Average Interest Rate | 1.74% | 1.37% |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | $ 8,139,089 | $ 14,760,790 |
Due after 1 year through 2 years | 2,194,831 | 5,878,635 |
Due after 2 years through 3 years | 1,031,406 | 1,584,471 |
Due after 3 years through 4 years | 1,116,493 | 1,126,992 |
Due after 4 years through 5 years | 219,231 | 1,163,781 |
Thereafter | 187,205 | 210,220 |
Total Par Value | 12,888,255 | 24,724,889 |
Deferred prepayment fees | (1,035) | (3,673) |
Hedging adjustments | 99,897 | 249,903 |
Total book value | 12,987,117 | 24,971,119 |
Federal Home Loan Bank Advances | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Accrued Interest - Advances | $ 25,400 | $ 36,600 |
Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Advances [Abstract] | ||
Due in 1 year or less | $ 8,179,089 | $ 14,860,790 |
Due after 1 year through 2 years | 2,194,831 | 5,818,635 |
Due after 2 years through 3 years | 991,406 | 1,584,471 |
Due after 3 years through 4 years | 1,116,493 | 1,086,992 |
Due after 4 years through 5 years | 219,231 | 1,163,781 |
Thereafter | 187,205 | 210,220 |
Due in 1 year or less | 8,159,089 | 14,780,790 |
Due after 1 year through 2 years | 2,188,831 | 5,878,635 |
Due after 2 years through 3 years | 1,031,406 | 1,578,471 |
Due after 3 years through 4 years | 1,102,493 | 1,121,992 |
Due after 4 years through 5 years | 219,231 | 1,154,781 |
Thereafter | 187,205 | 210,220 |
Total Par Value | $ 12,888,255 | $ 24,724,889 |
Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed rate – overnight | $ 239,667 | $ 37,225 |
Due in 1 year or less | 7,073,579 | 6,658,991 |
Thereafter | 4,606,066 | 9,810,998 |
Total Fixed Rate | 11,919,312 | 16,507,214 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Due in 1 year or less | 825,843 | 8,064,575 |
Thereafter | 143,100 | 153,100 |
Total Variable Rate | 968,943 | 8,217,675 |
Total Par Value | $ 12,888,255 | $ 24,724,889 |
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Jun. 30, 2021 |
Dec. 31, 2020 |
Sep. 30, 2020 |
Jun. 30, 2020 |
Dec. 31, 2019 |
---|---|---|---|---|---|---|
Mortgage Loans held for portfolio [Line Items] | ||||||
Fixed-rate single-family mortgages | $ 4,689,989 | $ 4,792,296 | ||||
Premiums | 87,316 | 87,424 | ||||
Discounts | (1,907) | (2,439) | ||||
Hedging adjustments | 7,749 | 13,898 | ||||
Loans and Leases Receivable, Net of Deferred Income, Total | 4,783,147 | 4,891,179 | ||||
Allowance for credit losses on mortgage loans | (2,873) | (4,972) | ||||
Mortgage loans held for portfolio, net | 4,780,274 | 4,886,207 | ||||
Government-guaranteed/insured loans | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Fixed-rate single-family mortgages | 137,235 | 158,448 | ||||
Conventional MPF Loan [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Fixed-rate single-family mortgages | 4,552,754 | 4,633,848 | ||||
Loans and Leases Receivable, Net of Deferred Income, Total | 4,642,546 | 4,728,675 | ||||
Allowance for credit losses on mortgage loans | (2,873) | $ (3,225) | (4,972) | $ (6,654) | $ (5,900) | $ (7,832) |
Single Family [Member] | Fixed-rate long-term single-family mortgages (1) | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Fixed-rate single-family mortgages | 4,512,619 | 4,610,761 | ||||
Single Family [Member] | Fixed-rate medium-term single-family mortgages (1) | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Fixed-rate single-family mortgages | 177,370 | 181,535 | ||||
Real Estate Loan [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Accrued Interest - Mortgage loans held for portfolio | $ 22,600 | $ 25,700 |
Mortgage Loans Held for Portfolio Credit Quality Indicators (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Loans and Leases Receivable, Net of Deferred Income | $ 4,783,147 | $ 4,891,179 |
Mortgage Loans in Process of Foreclosure, Amount | $ 2,610 | $ 9,905 |
Loans and Leases Receivable, Serious Delinquencies Ratio | 0.90% | 1.80% |
Financing Receivable, 90 Days or More Past Due, Still Accruing | $ 3,502 | $ 5,483 |
Financing Receivable, Nonaccrual | 42,112 | 91,201 |
Government-guaranteed/insured loans | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 516 | $ 1,667 |
Loans and Leases Receivable, Serious Delinquencies Ratio | 2.50% | 3.70% |
Financing Receivable, 90 Days or More Past Due, Still Accruing | $ 3,502 | $ 5,483 |
Financing Receivable, Nonaccrual | 0 | 0 |
Conventional MPF Loan [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1,236,360 | 1,170,774 |
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 3,406,186 | 3,557,901 |
Loans and Leases Receivable, Net of Deferred Income | 4,642,546 | 4,728,675 |
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 32,600 | 83,900 |
Mortgage Loans in Process of Foreclosure, Amount | $ 2,094 | $ 8,238 |
Loans and Leases Receivable, Serious Delinquencies Ratio | 0.80% | 1.70% |
Financing Receivable, 90 Days or More Past Due, Still Accruing | $ 0 | $ 0 |
Financing Receivable, Nonaccrual | 42,112 | 91,201 |
Conventional MPF Loan [Member] | Nonperforming Financial Instruments [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 27,103 | 38,000 |
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 43,393 | 98,960 |
Loans and Leases Receivable, Net of Deferred Income | 70,496 | 136,960 |
Conventional MPF Loan [Member] | Performing Financial Instruments [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 1,209,257 | 1,132,774 |
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 3,362,793 | 3,458,941 |
Loans and Leases Receivable, Net of Deferred Income | 4,572,050 | 4,591,715 |
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 900 | 1,700 |
Financial Asset, 30 to 59 Days Past Due [Member] | Conventional MPF Loan [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 11,005 | 14,211 |
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 16,002 | 26,825 |
Loans and Leases Receivable, Net of Deferred Income | 27,007 | 41,036 |
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 4,300 | 10,300 |
Financial Asset, 60 to 89 Days Past Due [Member] | Conventional MPF Loan [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 2,245 | 5,719 |
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 3,591 | 10,950 |
Loans and Leases Receivable, Net of Deferred Income | 5,836 | 16,669 |
- Financing Receivable placed in a forbearance program as a result of COVID-19 | 2,500 | 9,600 |
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Conventional MPF Loan [Member] | ||
Financing Receivable, Credit Quality Indicator [Line Items] | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | 13,853 | 18,070 |
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 23,800 | 61,185 |
Loans and Leases Receivable, Net of Deferred Income | 37,653 | 79,255 |
- Financing Receivable placed in a forbearance program as a result of COVID-19 | $ 24,900 | $ 62,300 |
Mortgage Loans Held for Portfolio MPF -Allowance Roll Forward Table (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Jun. 30, 2021 |
Dec. 31, 2020 |
Jun. 30, 2020 |
Dec. 31, 2019 |
|
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||||
Loans and Leases Receivable, Allowance, Beginning Balance | $ 4,972 | |||||||
Loans and Leases Receivable, Allowance, Ending Balance | $ 2,873 | 2,873 | ||||||
Credit Enhancement Fees Receivable | $ 3,800 | |||||||
Impact on adoption -CECL | 2,724,988 | $ 3,371,978 | 2,724,988 | $ 3,371,978 | $ 2,717,508 | 3,041,918 | $ 3,818,842 | $ 4,472,836 |
Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13(1) | 0 | (3,875) | ||||||
Conventional MPF Loan [Member] | ||||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||||
Loans and Leases Receivable, Allowance, Beginning Balance | 3,225 | 5,900 | 4,972 | 7,832 | ||||
(Charge-offs) Recoveries, net (2) | 27 | (584) | 533 | (428) | ||||
Provision (reversal) for credit losses | (379) | 1,338 | (2,632) | 3,125 | ||||
Loans and Leases Receivable, Allowance, Ending Balance | $ 2,873 | 6,654 | $ 2,873 | 6,654 | ||||
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | ||||||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||||||
Impact on adoption -CECL | $ 113 | $ 113 | $ 100 |
Mortgage Loans Held for Portfolio Narrative (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Percentage of MPF loans in forbearance to total MPF loans | 0.70% | 1.80% |
Percentage of loans in forbearance not collateral dependant | 89.00% | 93.00% |
Real Estate Acquired Through Foreclosure | $ 400 | $ 800 |
Conventional MPF Loan [Member] | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
- Financing Receivable placed in a forbearance program as a result of COVID-19 | $ 32,600 | $ 83,900 |
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | $ 24,195,828 | $ 17,441,993 | ||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 5,919 | 3,413 | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 24,596 | 7,590 | ||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | 170,116 | 133,629 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (12,011) | (3,131) | |
Derivative assets | 176,035 | 137,042 | ||
Derivative liabilities | 12,585 | 4,459 | ||
Cash Collateral posted | 183,500 | 137,900 | ||
Cash Collateral received | 1,400 | 1,100 | ||
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 21,953,509 | 14,307,383 | ||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 3,965 | 1,494 | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 22,074 | 5,193 | ||
Not Designated as Hedging Instrument [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 2,242,319 | 3,134,610 | ||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,954 | 1,919 | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,522 | 2,397 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 1,151,988 | 1,868,988 | ||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 710 | 71 | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,163 | 2,386 | ||
Not Designated as Hedging Instrument [Member] | Interest Rate Caps or Floors [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 1,025,000 | 1,205,000 | ||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1,243 | 1,173 | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | ||
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivative, Notional Amount | 65,331 | 60,622 | ||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1 | 675 | ||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 359 | $ 11 | ||
|
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, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | $ 46,171 | $ 112,541 | $ 180,545 | $ (286,893) |
Gains/(Losses) on Hedged Item | (46,952) | (112,829) | (181,953) | 282,154 |
Net Interest Settlements on FV Hedges | (32,307) | (55,038) | (109,129) | (96,053) |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (33,088) | (55,326) | (110,537) | (100,792) |
Interest income on advances (1) | 31,298 | 95,201 | 112,582 | 548,953 |
Available-for-sale (AFS) securities | 23,769 | 31,996 | 74,066 | 138,565 |
Interest Income on MPF loans | 31,996 | 35,932 | 95,114 | 121,561 |
Interest Expense on Consolidated obligation - bonds | (53,035) | (80,579) | (172,777) | (462,006) |
Interest Income [Member] | Interest Rate Swap [Member] | Advances [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 34,946 | 124,582 | 149,894 | (188,539) |
Gains/(Losses) on Hedged Item | (35,065) | (124,569) | (150,010) | 188,424 |
Net Interest Settlements on FV Hedges | (33,835) | (69,603) | (108,662) | (136,712) |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (33,954) | (69,590) | (108,778) | (136,827) |
Interest Income [Member] | Interest Rate Swap [Member] | Available-for-sale Securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 26,630 | 9,402 | 66,531 | (103,292) |
Gains/(Losses) on Hedged Item | (26,434) | (8,918) | (65,003) | 100,135 |
Net Interest Settlements on FV Hedges | (14,422) | (7,070) | (32,560) | (13,734) |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (14,226) | (6,586) | (31,032) | (16,891) |
Interest Income [Member] | Interest Rate Swap [Member] | Mortgage Receivable [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 0 | 0 | 0 | 0 |
Gains/(Losses) on Hedged Item | (823) | (1,035) | (2,844) | (2,118) |
Net Interest Settlements on FV Hedges | 0 | 0 | 0 | 0 |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (823) | (1,035) | (2,844) | (2,118) |
Interest Expense [Member] | Interest Rate Swap [Member] | Consolidated Obligations Bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | (15,405) | (21,443) | (35,880) | 4,938 |
Gains/(Losses) on Hedged Item | 15,370 | 21,693 | 35,904 | (4,287) |
Net Interest Settlements on FV Hedges | 15,950 | 21,635 | 32,093 | 54,393 |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | $ 15,915 | $ 21,885 | $ 32,117 | $ 55,044 |
Fair Value Measures and Disclosures (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Advances [Member] | ||||
Derivative [Line Items] | ||||
Hedged Asset, Fair Value Hedge | [1] | $ 7,545,407 | $ 10,369,813 | |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 99,918 | 249,927 | ||
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (21) | (24) | ||
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 99,897 | 249,903 | ||
Available-for-sale Securities | ||||
Derivative [Line Items] | ||||
Hedged Asset, Fair Value Hedge | [1] | 5,783,783 | 1,507,492 | |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | 66,484 | 131,386 | ||
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 1,047 | 1,148 | ||
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 67,531 | 132,534 | ||
Consolidated Obligations Bonds [Member] | ||||
Derivative [Line Items] | ||||
Hedged Liability, Fair Value Hedge | [1] | 8,762,313 | 2,838,505 | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | (11,098) | 24,701 | ||
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 180 | 284 | ||
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | $ (10,918) | $ 24,985 | ||
|
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) on derivatives and hedging activities | $ (411) | $ 3,589 | $ 5,323 | $ (97,685) | ||
Gain (Loss) on Derivative Instruments [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) related to derivatives not designated as hedging instruments | (414) | 3,576 | 5,314 | (97,853) | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative Instruments, Other Gain (Loss) | [1] | 3 | 13 | 9 | 168 | |
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) related to derivatives not designated as hedging instruments | 348 | 4,588 | 14,021 | (92,864) | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Caps or Floors [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) related to derivatives not designated as hedging instruments | 227 | (57) | 69 | 578 | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Interest Settlements [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) related to derivatives not designated as hedging instruments | (640) | (1,726) | (4,860) | (8,891) | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument, Economic Hedge [Member] | TBA's [Member] [Domain] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) related to derivatives not designated as hedging instruments | 0 | 0 | 0 | 38 | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) on derivatives and hedging activities | (411) | 3,589 | 5,323 | (97,685) | ||
Gain (Loss) on Derivative Instruments [Member] | Not Designated as Hedging Instrument [Member] | Other Contract [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) related to derivatives not designated as hedging instruments | 0 | (1) | 0 | 148 | ||
Gain (Loss) on Derivative Instruments [Member] | Mortgage Receivable [Member] | Forward Contracts [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ (349) | $ 772 | $ (3,916) | $ 3,138 | ||
|
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions |
Sep. 30, 2021
USD ($)
|
---|---|
Derivative [Line Items] | |
Derivative, Net Liability Position, Aggregate Fair Value | $ 0.7 |
Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||||
---|---|---|---|---|---|---|
Offsetting Assets [Line Items] | ||||||
Derivative Asset, Fair Value, Gross Asset | $ 5,918 | $ 2,738 | ||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | 170,116 | 133,629 | |||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 176,034 | 136,367 | ||||
Derivative Asset, Not Subject to Master Netting Arrangement | [2] | 1 | 675 | |||
Derivative assets | 176,035 | 137,042 | ||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 176,035 | 137,042 | ||||
Over the Counter [Member] | ||||||
Offsetting Assets [Line Items] | ||||||
Derivative Asset, Fair Value, Gross Asset | 5,680 | 2,355 | ||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (2,384) | (1,632) | ||||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 3,296 | 723 | ||||
Derivative Asset, Not Subject to Master Netting Arrangement | 1 | 675 | ||||
Derivative assets | 3,297 | 1,398 | ||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 3,297 | 1,398 | ||||
Exchange Cleared [Member] | ||||||
Offsetting Assets [Line Items] | ||||||
Derivative Asset, Fair Value, Gross Asset | 238 | 383 | ||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | 172,500 | 135,261 | ||||
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment | 172,738 | 135,644 | ||||
Derivative Asset, Not Subject to Master Netting Arrangement | 0 | 0 | ||||
Derivative assets | 172,738 | 135,644 | ||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | $ 172,738 | $ 135,644 | ||||
|
Derivatives and Hedging Activities (Offsetting Liabilities) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||||
---|---|---|---|---|---|---|
Offsetting Liabilities [Line Items] | ||||||
Derivative Liability, Fair Value, Gross Liability | $ 24,237 | $ 7,579 | ||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (12,011) | (3,131) | |||
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 12,226 | 4,448 | ||||
Derivative Liability, Not Subject to Master Netting Arrangement | [2] | 359 | 11 | |||
Derivative liabilities | 12,585 | 4,459 | ||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | 12,585 | 4,459 | ||||
Over the Counter [Member] | ||||||
Offsetting Liabilities [Line Items] | ||||||
Derivative Liability, Fair Value, Gross Liability | 13,405 | 4,282 | ||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (11,773) | (2,748) | ||||
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 1,632 | 1,534 | ||||
Derivative Liability, Not Subject to Master Netting Arrangement | 359 | 11 | ||||
Derivative liabilities | 1,991 | 1,545 | ||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | 1,991 | 1,545 | ||||
Exchange Cleared [Member] | ||||||
Offsetting Liabilities [Line Items] | ||||||
Derivative Liability, Fair Value, Gross Liability | 10,832 | 3,297 | ||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (238) | (383) | ||||
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment | 10,594 | 2,914 | ||||
Derivative Liability, Not Subject to Master Netting Arrangement | 0 | 0 | ||||
Derivative liabilities | 10,594 | 2,914 | ||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 10,594 | $ 2,914 | ||||
|
Schedule of Long-term Debt by Call Feature (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Par amounts for the FHLBanks' outstanding Consolidated Obligation | $ 641,400,000 | $ 746,800,000 |
Bond premiums | 69,081 | 91,225 |
Bond discounts | (7,943) | (7,524) |
Concession fees | (4,079) | (4,147) |
Hedging adjustments | (10,918) | 24,985 |
Total book value | 21,125,761 | 33,854,754 |
Long-term Debt, Gross | 21,079,620 | 33,750,215 |
Fixed Interest Rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 18,288,620 | 17,148,965 |
Step-up Interest Rate [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 1,146,000 | 40,000 |
Variable interest rate [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 1,645,000 | $ 16,561,250 |
Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 7,240,445 | $ 24,233,615 |
Long Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 1.23% | 0.49% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 2,251,650 | $ 3,024,625 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.83% | 2.19% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 1,804,625 | $ 1,545,000 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 1.77% | 2.33% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 1,477,625 | $ 1,164,475 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 1.41% | 2.41% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 4,553,300 | $ 961,725 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.03% | 1.69% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 3,751,975 | $ 2,820,775 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 1.87% | 2.05% |
Long-term Debt, Gross | $ 21,079,620 | $ 33,750,215 |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 1.42% | 0.96% |
Earlier of Contractual Maturity or Next Call Date [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 14,436,445 | $ 25,737,615 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,449,650 | 3,038,625 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,217,625 | 1,602,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 864,625 | 1,089,475 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 601,300 | 759,725 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,509,975 | $ 1,522,775 |
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 21,079,620 | $ 33,750,215 |
Non Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 13,542,620 | 28,583,715 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 7,537,000 | $ 5,166,500 |
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
---|---|---|
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 7,240,445 | $ 24,233,615 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,251,650 | 3,024,625 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,804,625 | 1,545,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,477,625 | 1,164,475 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 4,553,300 | 961,725 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 3,751,975 | 2,820,775 |
Long-term Debt, Gross | 21,079,620 | 33,750,215 |
Earlier of Contractual Maturity or Next Call Date [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 14,436,445 | 25,737,615 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,449,650 | 3,038,625 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,217,625 | 1,602,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 864,625 | 1,089,475 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 601,300 | 759,725 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,509,975 | $ 1,522,775 |
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Short-term Debt [Line Items] | ||||
Discount Notes, Book value | $ 12,108,212 | $ 9,510,085 | ||
Discount Notes, Weighted Average Interest Rate | [1] | 0.03% | 0.11% | |
Short-term Debt [Member] | ||||
Short-term Debt [Line Items] | ||||
Debt Instrument, Face Amount | $ 12,109,109 | $ 9,512,324 | ||
|
Capital (Capital Requirements) (Details) $ in Thousands |
Sep. 30, 2021
USD ($)
numberOfRegulatoryRequirements
|
Dec. 31, 2020
USD ($)
|
---|---|---|
Banking Regulation, Total Capital [Abstract] | ||
Number of Finance Agency Regulatory Capital Requirements | numberOfRegulatoryRequirements | 3 | |
Number Of Subclasses Of Capital Stock | 2 | |
Risk-Based Capital, Required | $ 396,746 | $ 520,696 |
Risk-Based Capital, Actual | $ 2,621,946 | $ 3,047,399 |
Total capital-to-asset ratio, Required | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual | 7.00% | 6.40% |
Total regulatory capital, Required | $ 1,489,903 | $ 1,908,516 |
Total regulatory capital, Actual | $ 2,621,946 | $ 3,047,399 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage ratio, Actual | 10.60% | 9.60% |
Leverage capital, Required | $ 1,862,379 | $ 2,385,645 |
Leverage capital, Actual | $ 3,932,918 | $ 4,571,099 |
Capital (Mandatorily Redeemable Capital Stock) (Details) $ / shares in Units, $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2021
USD ($)
Institutions
$ / shares
|
Sep. 30, 2020
USD ($)
|
Sep. 30, 2021
USD ($)
Institutions
$ / shares
|
Sep. 30, 2020
USD ($)
|
Dec. 31, 2020
$ / shares
|
|
Banking Regulation, Total Capital [Abstract] | |||||
Interest Expense, Capital Securities | $ 700 | $ 4,100 | $ 3,400 | $ 14,100 | |
Balance, beginning of the period | 142,807 | 343,575 | |||
Capital stock subject to mandatory redemption reclassified from capital | 1,069 | 1,069 | 39,457 | ||
Redemption/repurchase of mandatorily redeemable stock | (120,603) | (159,980) | |||
Balance, end of the period | $ 23,273 | $ 223,052 | $ 23,273 | $ 223,052 | |
Capital stock, Par value Per Share | $ / shares | $ 100 | $ 100 | $ 100 | ||
Financial Instruments Subject to Mandatory Redemption, Number of Institutions | Institutions | 7 | 7 | |||
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions | 4 | 4 | |||
Financial instruments subject to mandatory redemption, due to relocation | Institutions | 1 | 1 | |||
Financial Instruments Subject to Mandatory Redemption, Number of Institutions, Voluntary Withdrawls | Institutions | 2 | 2 |
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
Sep. 30, 2020 |
Dec. 31, 2019 |
---|---|---|---|---|
Banking Regulation, Total Capital [Abstract] | ||||
Due in 1 year or less | $ 0 | $ 0 | ||
Due after 1 year through 2 years | 20,020 | 21 | ||
Due after 2 years through 3 years | 0 | 20,000 | ||
Due after 3 years through 4 years | 26 | 120,000 | ||
Due after 4 years through 5 years | 1,069 | 19 | ||
Financial Instruments Subject to Mandatory Redemption, Redeemable After Year Five | 2,158 | 2,767 | ||
Total | $ 23,273 | $ 142,807 | $ 223,052 | $ 343,575 |
Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Oct. 29, 2021 |
Jul. 30, 2021 |
Apr. 30, 2021 |
Feb. 26, 2021 |
Jul. 30, 2020 |
Apr. 30, 2020 |
Feb. 21, 2020 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Dec. 31, 2020 |
|
Capital [Line Items] | |||||||||||
Joint Capital Enhancement Agreement Percentage | 20.00% | ||||||||||
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter | 1.00% | ||||||||||
Unrestricted | $ 939,596 | $ 919,373 | |||||||||
Restricted | 457,378 | 457,378 | |||||||||
Retained Earnings (Accumulated Deficit) | 1,396,974 | 1,376,751 | |||||||||
Partial Recovery Of Prior Capital Distribution To Financing Corporation | $ 8,500 | $ 8,541 | |||||||||
FICO Funds Available for Distribution to Stockholders | 200,000 | 200,000 | |||||||||
Capital Distribution by the FHLBanks to FICO | $ 680,000 | $ 680,000 | |||||||||
Subclass B1 [Member] | |||||||||||
Capital [Line Items] | |||||||||||
Common Stock, Value, Outstanding | 300,000 | 300,000 | |||||||||
Dividends Cash, Annualized Rate | 1.25% | 2.50% | 2.50% | 3.00% | 3.00% | 4.50% | |||||
Subclass B1 [Member] | Subsequent Event [Member] | |||||||||||
Capital [Line Items] | |||||||||||
Dividends Cash, Annualized Rate | 1.25% | ||||||||||
Subclass B2 [Member] | |||||||||||
Capital [Line Items] | |||||||||||
Common Stock, Value, Outstanding | $ 900,000 | $ 1,200,000 | |||||||||
Dividends Cash, Annualized Rate | 5.25% | 5.75% | 5.75% | 6.25% | 6.25% | 7.75% | |||||
Subclass B2 [Member] | Subsequent Event [Member] | |||||||||||
Capital [Line Items] | |||||||||||
Dividends Cash, Annualized Rate | 5.25% |
Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Jun. 30, 2021 |
Dec. 31, 2020 |
Jun. 30, 2020 |
Dec. 31, 2019 |
|
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | $ 2,724,988 | $ 3,371,978 | $ 2,724,988 | $ 3,371,978 | $ 2,717,508 | $ 3,041,918 | $ 3,818,842 | $ 4,472,836 |
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent | 196 | 171 | 2,048 | 1,208 | ||||
Net Unrealized Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | 130,534 | 144,433 | 130,534 | 144,433 | 131,818 | 143,592 | 118,049 | 45,155 |
Net unrealized gains (losses) | (1,284) | 26,384 | (13,058) | 47,574 | ||||
Net Unrealized Gains on Hedging Activities[Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | 0 | 0 | 0 | 0 | 0 | 0 | 0 | 149 |
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), Reclassification, before Tax | 149 | |||||||
Pension and Post Retirement Plans | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | (4,218) | (3,974) | (4,218) | (3,974) | (4,414) | (6,266) | (4,145) | (5,182) |
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent | 196 | 171 | 2,048 | 1,208 | ||||
AOCI Attributable to Parent [Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | 126,316 | 140,459 | 126,316 | 140,459 | 127,404 | 137,326 | 113,904 | 91,826 |
Net unrealized gains (losses) | (1,284) | 26,384 | (13,058) | 47,574 | ||||
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), Reclassification, before Tax | 149 | |||||||
Other Comprehensive (Income) Loss, Defined Benefit Plan, before Tax, after Reclassification Adjustment, Attributable to Parent | 196 | 171 | 2,048 | 1,208 | ||||
Available-for-sale Securities | Noncredit OTTI Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | $ 0 | 0 | $ 0 | 0 | $ 0 | 0 | $ 0 | $ 51,704 |
Net unrealized gains (losses) | 0 | |||||||
Accounting Standards Update 2016-13 [Member] | Cumulative Effect, Period of Adoption, Adjustment [Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | $ 113 | $ 113 | 100 | |||||
Accounting Standards Update 2016-13 [Member] | Net Unrealized Gains(Losses) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | 51,704 | |||||||
Accounting Standards Update 2016-13 [Member] | Available-for-sale Securities | AOCI Attributable to Parent [Member] | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
AOCI balance | $ (51,704) |
Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
||
---|---|---|---|---|
Related Party Transaction [Line Items] | ||||
Advances | $ 12,987,117 | $ 24,971,119 | ||
Capital stock | 1,201,698 | 1,527,841 | ||
Principal Owner [Member] | ||||
Related Party Transaction [Line Items] | ||||
Advances | 6,595,309 | 10,856,363 | ||
Letters of credit | [1] | 16,167,276 | 2,730,541 | |
MPF loans | 1,872,702 | 483,983 | ||
Deposits | 112,280 | 31,269 | ||
Capital stock | $ 580,814 | $ 573,392 | ||
|
Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Related Party Transaction [Line Items] | ||||
Interest income on advances (1) | $ 31,298 | $ 95,201 | $ 112,582 | $ 548,953 |
Interest Income on MPF loans | 31,996 | 35,932 | 95,114 | 121,561 |
Letters of credit fees | 5,905 | 5,407 | 17,465 | 16,019 |
Principal Owner [Member] | ||||
Related Party Transaction [Line Items] | ||||
Interest income on advances (1) | 37,102 | 91,749 | 119,556 | 362,346 |
Interest Income on MPF loans | 15,429 | 6,101 | 48,865 | 19,021 |
Letters of credit fees | $ 4,652 | $ 797 | $ 13,707 | $ 2,209 |
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
Dec. 31, 2020 |
|
Related Party Transaction [Line Items] | |||||
Proceeds from FHLBank Borrowings, Financing Activities | $ 5,000 | $ 25,000 | $ 5,000 | $ 25,000 | |
Payments of FHLBank Borrowings, Financing Activities | 5,000 | 25,000 | 5,000 | 25,000 | |
FHLBank of Chicago [Member] | |||||
Related Party Transaction [Line Items] | |||||
Servicing fee expense | 916 | $ 988 | 2,748 | $ 2,958 | |
Interest-bearing deposits maintained with FHLBank of Chicago | $ 5,503 | $ 5,503 | $ 5,856 |
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands |
Sep. 30, 2021 |
Dec. 31, 2020 |
Sep. 30, 2020 |
Dec. 31, 2019 |
|||||||
---|---|---|---|---|---|---|---|---|---|---|---|
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Cash and due from banks | $ 1,119,508 | $ 1,036,459 | |||||||||
Trading securities | 508,517 | 1,156,003 | |||||||||
AFS Securities | 12,188,192 | 9,476,385 | |||||||||
Held-to-maturity - | 1,315,420 | 2,483,730 | |||||||||
HTM securities | 1,360,318 | 2,557,128 | |||||||||
Accrued interest receivable | 77,573 | 90,702 | |||||||||
Derivative assets | 176,035 | 137,042 | |||||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | 170,116 | 133,629 | ||||||||
Mandatorily redeemable capital stock (Note 7) | 23,273 | 142,807 | $ 223,052 | $ 343,575 | |||||||
Accrued interest payable | 64,787 | 64,950 | |||||||||
Derivative liabilities | 12,585 | 4,459 | |||||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (12,011) | (3,131) | ||||||||
Fair Value, Inputs, Level 1 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Cash and due from banks | 1,119,508 | 1,036,459 | |||||||||
Interest-bearing deposits | 547,955 | 950,772 | |||||||||
Federal funds sold | 0 | 0 | |||||||||
Securities purchased under agreement to resell (2) | 0 | [2] | 0 | ||||||||
Trading securities | 0 | 0 | |||||||||
AFS Securities | 0 | 0 | |||||||||
HTM securities | 0 | 0 | |||||||||
Advances | 0 | 0 | |||||||||
Accrued interest receivable | 0 | 0 | |||||||||
Derivative assets | 0 | 0 | |||||||||
Deposits | 0 | 0 | |||||||||
Mandatorily redeemable capital stock (Note 7) | 23,943 | 145,282 | |||||||||
Accrued interest payable | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Fair Value, Inputs, Level 2 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Cash and due from banks | 0 | 0 | |||||||||
Interest-bearing deposits | 5,503 | 5,856 | |||||||||
Federal funds sold | 2,475,002 | 1,850,009 | |||||||||
Securities purchased under agreement to resell (2) | [2] | 1,000,001 | 600,003 | ||||||||
Trading securities | 508,517 | 1,156,003 | |||||||||
AFS Securities | 11,982,489 | 9,223,785 | |||||||||
HTM securities | 1,284,196 | 2,464,732 | |||||||||
Advances | 13,066,795 | 25,097,529 | |||||||||
Accrued interest receivable | 77,573 | 90,702 | |||||||||
Derivative assets | 5,919 | 3,413 | |||||||||
Deposits | 965,933 | 923,371 | |||||||||
Mandatorily redeemable capital stock (Note 7) | 0 | 0 | |||||||||
Accrued interest payable | 64,118 | 62,475 | |||||||||
Derivative liabilities | 24,596 | 7,590 | |||||||||
Fair Value, Inputs, Level 3 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Cash and due from banks | 0 | 0 | |||||||||
Interest-bearing deposits | 0 | 0 | |||||||||
Federal funds sold | 0 | 0 | |||||||||
Securities purchased under agreement to resell (2) | [2] | 0 | 0 | ||||||||
Trading securities | 0 | 0 | |||||||||
AFS Securities | 205,703 | 252,600 | |||||||||
HTM securities | 76,122 | 92,396 | |||||||||
Advances | 0 | 0 | |||||||||
Accrued interest receivable | 0 | 0 | |||||||||
Derivative assets | 0 | 0 | |||||||||
Deposits | 0 | 0 | |||||||||
Mandatorily redeemable capital stock (Note 7) | 0 | 0 | |||||||||
Accrued interest payable | 0 | 0 | |||||||||
Derivative liabilities | 0 | 0 | |||||||||
Estimate of Fair Value, Fair Value Disclosure | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Cash and due from banks | 1,119,508 | 1,036,459 | |||||||||
Interest-bearing deposits | 553,458 | 956,628 | |||||||||
Federal funds sold | 2,475,002 | 1,850,009 | |||||||||
Securities purchased under agreement to resell (2) | [2] | 1,000,001 | 600,003 | ||||||||
Trading securities | 508,517 | 1,156,003 | |||||||||
AFS Securities | 12,188,192 | 9,476,385 | |||||||||
HTM securities | 1,360,318 | 2,557,128 | |||||||||
Advances | 13,066,795 | 25,097,529 | |||||||||
Accrued interest receivable | 77,573 | 90,702 | |||||||||
Derivative assets | 176,035 | 137,042 | |||||||||
Deposits | 965,933 | 923,371 | |||||||||
Mandatorily redeemable capital stock (Note 7) | [3] | 23,943 | 145,282 | ||||||||
Accrued interest payable | [3] | 64,118 | 62,475 | ||||||||
Derivative liabilities | 12,585 | 4,459 | |||||||||
Reported Value Measurement [Member] | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Cash and due from banks | 1,119,508 | 1,036,459 | |||||||||
Interest-bearing deposits | 553,458 | 956,628 | |||||||||
Federal funds sold | 2,475,000 | 1,850,000 | |||||||||
Securities purchased under agreement to resell (2) | 1,000,000 | 600,000 | |||||||||
Trading securities | 508,517 | 1,156,003 | |||||||||
AFS Securities | 12,188,192 | 9,476,385 | |||||||||
Held-to-maturity - | 1,315,420 | 2,483,730 | |||||||||
Advances | 12,987,117 | 24,971,119 | |||||||||
Accrued interest receivable | 77,573 | 90,702 | |||||||||
Derivative assets | 176,035 | 137,042 | |||||||||
Deposits | 965,933 | 923,371 | |||||||||
Mandatorily redeemable capital stock (Note 7) | 23,273 | 142,807 | |||||||||
Accrued interest payable | 64,787 | 64,950 | |||||||||
Derivative liabilities | 12,585 | 4,459 | |||||||||
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 1 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Discount notes | 0 | 0 | |||||||||
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 2 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Discount notes | 12,108,390 | 9,510,584 | |||||||||
Consolidated Obligations, Discount Notes | Fair Value, Inputs, Level 3 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Discount notes | 0 | 0 | |||||||||
Consolidated Obligations, Discount Notes | Estimate of Fair Value, Fair Value Disclosure | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Discount notes | 12,108,390 | 9,510,584 | |||||||||
Consolidated Obligations, Discount Notes | Reported Value Measurement [Member] | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Discount notes | 12,108,212 | 9,510,085 | |||||||||
Consolidated Obligation Bonds | Fair Value, Inputs, Level 1 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Bonds | 0 | 0 | |||||||||
Consolidated Obligation Bonds | Fair Value, Inputs, Level 2 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Bonds | 21,343,528 | 34,282,476 | |||||||||
Consolidated Obligation Bonds | Fair Value, Inputs, Level 3 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Bonds | 0 | 0 | |||||||||
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Bonds | 21,343,528 | 34,282,476 | |||||||||
Consolidated Obligation Bonds | Reported Value Measurement [Member] | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
Bonds | 21,125,761 | 33,854,754 | |||||||||
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 1 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||||||||
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 2 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 4,885,125 | 5,084,683 | |||||||||
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 3 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||||||||
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 4,885,125 | 5,084,683 | |||||||||
Mortgage loans held for portfolio, net | Reported Value Measurement [Member] | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 4,780,274 | 4,886,207 | |||||||||
Banking on Business Loans | Fair Value, Inputs, Level 1 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||||||||
Banking on Business Loans | Fair Value, Inputs, Level 2 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 0 | 0 | |||||||||
Banking on Business Loans | Fair Value, Inputs, Level 3 | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 23,227 | 21,236 | |||||||||
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | 23,227 | 21,236 | |||||||||
Banking on Business Loans | Reported Value Measurement [Member] | |||||||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||||||||
MPF & BOB Loans , Net of Allowance | $ 23,227 | $ 21,236 | |||||||||
|
Estimated Fair Values (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) |
Sep. 30, 2021 |
Dec. 31, 2020 |
|||||
---|---|---|---|---|---|---|---|
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | $ 508,517,000 | $ 1,156,003,000 | |||||
AFS Securities | 12,188,192,000 | 9,476,385,000 | |||||
Derivative assets | 176,035,000 | 137,042,000 | |||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | 170,116,000 | 133,629,000 | ||||
Derivative liabilities | 12,585,000 | 4,459,000 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (12,011,000) | (3,131,000) | ||||
Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
AFS Securities | 0 | 0 | |||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 508,517,000 | 1,156,003,000 | |||||
AFS Securities | 11,982,489,000 | 9,223,785,000 | |||||
Derivative assets | 5,919,000 | 3,413,000 | |||||
Derivative liabilities | 24,596,000 | 7,590,000 | |||||
Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
AFS Securities | 205,703,000 | 252,600,000 | |||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 170,116,000 | 133,629,000 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [2] | (12,011,000) | [1] | (3,131,000) | |||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
AFS Securities | 0 | 0 | |||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | ||||||
Total assets at fair value | 0 | 0 | |||||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 508,517,000 | 1,156,003,000 | |||||
AFS Securities | 11,982,489,000 | 9,223,785,000 | |||||
Derivative assets | 5,919,000 | 3,413,000 | |||||
Derivative liabilities | [2] | 24,596,000 | 7,590,000 | ||||
Total assets at fair value | 12,496,925,000 | 10,383,201,000 | |||||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
AFS Securities | 205,703,000 | 252,600,000 | |||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | ||||||
Total assets at fair value | 205,703,000 | 252,600,000 | |||||
Fair Value, Nonrecurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Mortgage loans held for portfolio | 9,018,000 | 18,382,000 | |||||
REO - FV | 356,000 | 1,270,000 | |||||
Total assets at fair value | 9,374,000 | 19,652,000 | |||||
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 170,116,000 | 133,629,000 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (12,011,000) | (3,131,000) | |||||
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 5,918,000 | 2,738,000 | |||||
Derivative liabilities | 24,237,000 | 7,579,000 | |||||
Interest Rate Swap [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | 0 | |||||
U.S. Treasury obligations | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 261,870,000 | 899,421,000 | |||||
AFS Securities | 4,405,357,000 | ||||||
U.S. Treasury obligations | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | ||||||
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 261,870,000 | 899,421,000 | |||||
AFS Securities | 4,405,357,000 | ||||||
U.S. Treasury obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
GSE and TVA obligations | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 246,647,000 | 256,582,000 | |||||
AFS Securities | 1,519,356,000 | 1,643,733,000 | |||||
GSE and TVA obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
AFS Securities | 0 | 0 | |||||
GSE and TVA obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 246,647,000 | 256,582,000 | |||||
AFS Securities | 1,519,356,000 | 1,643,733,000 | |||||
GSE and TVA obligations | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 0 | 0 | |||||
AFS Securities | 0 | 0 | |||||
State or local agency obligations [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 220,930,000 | 241,630,000 | |||||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 220,930,000 | 241,630,000 | |||||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
U.S. obligations single-family MBS | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 437,294,000 | 602,148,000 | |||||
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 437,294,000 | 602,148,000 | |||||
U.S. obligations single-family MBS | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
Private label MBS [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 205,703,000 | 252,600,000 | |||||
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 205,703,000 | 252,600,000 | |||||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 0 | 0 | |||||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | ||||||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 1,000 | 675,000 | |||||
Derivative liabilities | 359,000 | 11,000 | |||||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 0 | 0 | |||||
Derivative liabilities | 0 | ||||||
Estimate of Fair Value Measurement [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 508,517,000 | 1,156,003,000 | |||||
AFS Securities | 12,188,192,000 | 9,476,385,000 | |||||
Derivative assets | 176,035,000 | 137,042,000 | |||||
Derivative liabilities | 12,585,000 | 4,459,000 | |||||
Estimate of Fair Value Measurement [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 508,517,000 | 1,156,003,000 | |||||
AFS Securities | 12,188,192,000 | 9,476,385,000 | |||||
Derivative assets | 176,035,000 | 137,042,000 | |||||
Derivative liabilities | [2] | 12,585,000 | 4,459,000 | ||||
Total assets at fair value | 12,872,744,000 | 10,769,430,000 | |||||
Estimate of Fair Value Measurement [Member] | Fair Value, Nonrecurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Mortgage loans held for portfolio | 9,018,000 | 18,382,000 | |||||
REO - FV | 356,000 | 1,270,000 | |||||
Total assets at fair value | 9,374,000 | 19,652,000 | |||||
Estimate of Fair Value Measurement [Member] | Interest Rate Swap [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 176,034,000 | 136,367,000 | |||||
Derivative liabilities | 12,226,000 | 4,448,000 | |||||
Estimate of Fair Value Measurement [Member] | U.S. Treasury obligations | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 261,870,000 | 899,421,000 | |||||
AFS Securities | 4,405,357,000 | ||||||
Estimate of Fair Value Measurement [Member] | GSE and TVA obligations | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Trading securities | 246,647,000 | 256,582,000 | |||||
AFS Securities | 1,519,356,000 | 1,643,733,000 | |||||
Estimate of Fair Value Measurement [Member] | State or local agency obligations [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 220,930,000 | 241,630,000 | |||||
Estimate of Fair Value Measurement [Member] | U.S. obligations single-family MBS | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 437,294,000 | 602,148,000 | |||||
Estimate of Fair Value Measurement [Member] | Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
Derivative assets | 1,000 | 675,000 | |||||
Derivative liabilities | 359,000 | 11,000 | |||||
Single Family [Member] | GSE MBS [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 2,303,079,000 | 3,262,880,000 | |||||
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 2,303,079,000 | 3,262,880,000 | |||||
Single Family [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
Single Family [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 2,303,079,000 | 3,262,880,000 | |||||
Multifamily [Member] | GSE MBS [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 3,096,473,000 | 3,473,394,000 | |||||
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 3,096,473,000 | 3,473,394,000 | |||||
Multifamily [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 0 | 0 | |||||
Multifamily [Member] | Estimate of Fair Value Measurement [Member] | GSE MBS [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | 3,096,473,000 | 3,473,394,000 | |||||
Residential Mortgage Backed Securities [Member] | Estimate of Fair Value Measurement [Member] | Private label MBS [Member] | Fair Value, Recurring [Member] | |||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||
AFS Securities | $ 205,703,000 | $ 252,600,000 | |||||
|
Estimated Fair Values (Level 3 Reconciliation) (Details) - Private label MBS [Member] - Fair Value, Recurring [Member] - Fair Value, Inputs, Level 3 - USD ($) $ in Thousands |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2021 |
Sep. 30, 2020 |
Sep. 30, 2021 |
Sep. 30, 2020 |
|
Purchases, issuances, sales, and settlements: | ||||
Change in unrealized gains (losses) for the period included in other comprehensive income for assets held at September 30 | $ (728) | $ 1,400 | $ (2,633) | $ (15,114) |
Available-for-sale Securities | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of period | 220,558 | 280,882 | 252,600 | 326,146 |
(Provision) benefit for credit losses | 536 | (117) | 329 | (1,691) |
Accretion of credit losses in interest income | 2,522 | 3,000 | 7,719 | 8,938 |
Net unrealized gains (losses) on AFS in OCI | (728) | 1,400 | (2,633) | (15,114) |
Purchases, issuances, sales, and settlements: | ||||
Settlements | (17,185) | (17,541) | (52,312) | (50,655) |
Balance at September 30 | 205,703 | 267,624 | 205,703 | 267,624 |
Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30 | $ 3,059 | $ 2,883 | $ 7,823 | $ 7,247 |
Commitments and Contingencies (Details) - USD ($) $ in Thousands |
9 Months Ended | |||||
---|---|---|---|---|---|---|
Sep. 30, 2021 |
Dec. 31, 2020 |
|||||
Loss Contingencies [Line Items] | ||||||
Off-balance Sheet Risks, with annual renewal option | $ 4,200,000 | $ 5,000,000 | ||||
Maximum Commitment Period | 60 days | |||||
Other liabilities | $ 135,177 | 68,361 | ||||
Rollover (weekly/monthly) advance Product | ||||||
Loss Contingencies [Line Items] | ||||||
Rollover -weekly/monthly advance product Outstanding | $ 12,300,000 | 12,300,000 | ||||
Maximum | ||||||
Loss Contingencies [Line Items] | ||||||
Letter of Credit Renewal Period | 5 years | |||||
Standby Letters of Credit Issuance Commitments [Member] | ||||||
Loss Contingencies [Line Items] | ||||||
Total | $ 245,400 | 30,900 | ||||
Standby letters of credit outstanding (1) (2) | ||||||
Loss Contingencies [Line Items] | ||||||
Expiration Date Within One Year | [1],[2] | 20,403,323 | ||||
Expiration Date After One Year | [1],[2] | 0 | ||||
Total | [1],[2] | 20,403,323 | 19,723,286 | |||
Other liabilities | 3,300 | 3,900 | ||||
Commitments to fund additional advances and BOB loans | ||||||
Loss Contingencies [Line Items] | ||||||
Expiration Date Within One Year | 1,043 | |||||
Expiration Date After One Year | 0 | |||||
Total | 1,043 | 760 | ||||
Commitments to purchase mortgage loans | Mortgage Receivable [Member] | ||||||
Loss Contingencies [Line Items] | ||||||
Expiration Date Within One Year | 65,331 | |||||
Expiration Date After One Year | 0 | |||||
Total | 65,331 | 60,622 | ||||
Unsettled consolidated obligation bonds, at par | ||||||
Loss Contingencies [Line Items] | ||||||
Expiration Date Within One Year | 1,169,000 | |||||
Expiration Date After One Year | 0 | |||||
Total | 1,169,000 | 15,000 | ||||
Unsettled consolidated obligation discount notes, at par [Member] | ||||||
Loss Contingencies [Line Items] | ||||||
Expiration Date Within One Year | 0 | |||||
Expiration Date After One Year | 0 | |||||
Total | $ 0 | $ 950 | ||||
|
Label | Element | Value |
---|---|---|
Net change in fair value adjustments on trading securities | fhlbpgh_NetChangeInFairValueAdjustmentsOnTradingSecurities | $ 0 |
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