Federally chartered corporation | ||
(State or other jurisdiction of incorporation or organization) | (I.R.S. Employer Identification No.) |
Large accelerated filer | ☐ | Accelerated filer | ☐ | |
☑ | Smaller reporting company | |||
Emerging growth company |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered |
None | N/A | N/A |
PART I. FINANCIAL INFORMATION | ||
Item 1. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
PART II. OTHER INFORMATION | ||
Item 1. | ||
Item 1A. | ||
Item 2. | ||
Item 3. | ||
Item 4. | ||
Item 5. | ||
Item 6. | ||
As of March 31, 2020 | As of December 31, 2019 | ||||||
Assets | |||||||
Cash and due from banks | $ | $ | |||||
Interest-bearing deposits (including deposits with other FHLBanks of $5 as of March 31, 2020 and December 31, 2019) | |||||||
Securities purchased under agreements to resell | |||||||
Federal funds sold | |||||||
Investment securities: | |||||||
Trading securities | |||||||
Available-for-sale securities (amortized cost of $0 and $643 as of March 31, 2020 and December 31, 2019, respectively) | |||||||
Held-to-maturity securities (fair value of $23,476 and $25,903 as of March 31, 2020 and December 31, 2019, respectively) | |||||||
Total investment securities | |||||||
Advances | |||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $1 as of March 31, 2020 and December 31, 2019 | |||||||
Accrued interest receivable | |||||||
Derivative assets | |||||||
Other assets | |||||||
Total assets | $ | $ | |||||
Liabilities | |||||||
Interest-bearing deposits | $ | $ | |||||
Consolidated obligations, net: | |||||||
Discount notes | |||||||
Bonds | |||||||
Total consolidated obligations, net | |||||||
Mandatorily redeemable capital stock | |||||||
Accrued interest payable | |||||||
Affordable Housing Program payable | |||||||
Derivative liabilities | |||||||
Other liabilities | |||||||
Total liabilities | |||||||
Commitments and contingencies (Note 13) | |||||||
Capital | |||||||
Capital stock Class B putable ($100 par value) issued and outstanding shares: | |||||||
Subclass B1 issued and outstanding shares: 10 and 9 as of March 31, 2020 and December 31, 2019, respectively | |||||||
Subclass B2 issued and outstanding shares: 57 and 41 as of March 31, 2020 and December 31, 2019, respectively | |||||||
Total capital stock Class B putable | |||||||
Retained earnings: | |||||||
Restricted | |||||||
Unrestricted | |||||||
Total retained earnings | |||||||
Accumulated other comprehensive (loss) income | ( | ) | |||||
Total capital | |||||||
Total liabilities and capital | $ | $ |
For the Three Months Ended March 31, | |||||||
2020 | 2019 | ||||||
Interest income | |||||||
Advances | $ | $ | |||||
Interest-bearing deposits | |||||||
Securities purchased under agreements to resell | |||||||
Federal funds sold | |||||||
Trading securities | |||||||
Available-for-sale securities | |||||||
Held-to-maturity securities | |||||||
Mortgage loans | |||||||
Total interest income | |||||||
Interest expense | |||||||
Consolidated obligations: | |||||||
Discount notes | |||||||
Bonds | |||||||
Interest-bearing deposits | |||||||
Total interest expense | |||||||
Net interest income | |||||||
Noninterest income (loss) | |||||||
Net impairment losses recognized in earnings | ( | ) | |||||
Net gains on trading securities | |||||||
Net realized gains from sale of available-for-sale securities | |||||||
Net realized gains from sale of held-to-maturity securities | |||||||
Net losses on derivatives and hedging activities | ( | ) | ( | ) | |||
Standby letters of credit fees | |||||||
Other | |||||||
Total noninterest income | |||||||
Noninterest expense | |||||||
Compensation and benefits | |||||||
Other operating expenses | |||||||
Federal Housing Finance Agency | |||||||
Office of Finance | |||||||
Other | |||||||
Total noninterest expense | |||||||
Income before assessment | |||||||
Affordable Housing Program assessment | |||||||
Net income | $ | $ |
For the Three Months Ended March 31, | |||||||
2020 | 2019 | ||||||
Net income | $ | $ | |||||
Other comprehensive loss: | |||||||
Reclassification of unrealized gains related to the sale of available-for-sale securities | ( | ) | |||||
Net noncredit portion of other-than-temporary impairment losses on available-for-sale securities | ( | ) | |||||
Pension and postretirement benefits | |||||||
Total other comprehensive loss | ( | ) | ( | ) | |||
Total comprehensive income | $ | $ |
Capital Stock Class B Putable | Retained Earnings | Accumulated Other Comprehensive Income | Total Capital | |||||||||||||||||||||||
Shares | Par Value | Restricted | Unrestricted | Total | ||||||||||||||||||||||
Balance, December 31, 2018 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||
Issuance of capital stock | — | — | — | — | ||||||||||||||||||||||
Repurchase/redemption of capital stock | ( | ) | ( | ) | — | — | — | — | ( | ) | ||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | — | — | — | — | ||||||||||||||||||||||
Comprehensive income (loss) | — | — | ( | ) | ||||||||||||||||||||||
Cash dividends on capital stock | — | — | ( | ) | ( | ) | — | ( | ) | |||||||||||||||||
Balance, March 31, 2019 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||
Balance, December 31, 2019 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||
Issuance of capital stock | — | — | — | — | ||||||||||||||||||||||
Repurchase/redemption of capital stock | ( | ) | ( | ) | — | — | — | — | ( | ) | ||||||||||||||||
Net shares reclassified to mandatorily redeemable capital stock | ( | ) | — | — | — | — | ( | ) | ||||||||||||||||||
Comprehensive income (loss) | — | — | ( | ) | ||||||||||||||||||||||
Cash dividends on capital stock | — | — | ( | ) | ( | ) | — | ( | ) | |||||||||||||||||
Balance, March 31, 2020 | $ | $ | $ | $ | $ | ( | ) | $ |
For the Three Months Ended March 31, | |||||||
2020 | 2019 | ||||||
Operating activities | |||||||
Net income | $ | $ | |||||
Adjustments to reconcile net income to net cash used in operating activities: | |||||||
Depreciation and amortization | ( | ) | |||||
Net change in derivative and hedging activities | ( | ) | ( | ) | |||
Net change in fair value adjustment on trading securities | ( | ) | ( | ) | |||
Net impairment losses recognized in earnings | |||||||
Net realized gains from sale of available-for-sale securities | ( | ) | |||||
Net realized gains from sale of held-to-maturity securities | ( | ) | |||||
Net change in: | |||||||
Accrued interest receivable | |||||||
Other assets | |||||||
Affordable Housing Program payable | |||||||
Accrued interest payable | ( | ) | |||||
Other liabilities | ( | ) | ( | ) | |||
Total adjustments | ( | ) | ( | ) | |||
Net cash used in operating activities | ( | ) | ( | ) | |||
Investing activities | |||||||
Net change in: | |||||||
Interest-bearing deposits | ( | ) | |||||
Securities purchased under agreements to resell | ( | ) | |||||
Federal funds sold | ( | ) | ( | ) | |||
Loans to other FHLBanks | |||||||
Trading securities: | |||||||
Purchases of long-term | ( | ) | |||||
Available-for-sale securities: | |||||||
Proceeds from sales | |||||||
Proceeds from principal collected | |||||||
Held-to-maturity securities: | |||||||
Proceeds from sales | |||||||
Proceeds from principal collected | |||||||
Purchases of long-term | ( | ) | ( | ) | |||
Advances: | |||||||
Proceeds from principal collected | |||||||
Made | ( | ) | ( | ) | |||
Mortgage loans: | |||||||
Proceeds from principal collected | |||||||
Proceeds from sale of foreclosed assets | |||||||
Purchases of premises, equipment, and software | ( | ) | |||||
Net cash (used in) provided by investing activities | ( | ) | |||||
FEDERAL HOME LOAN BANK OF ATLANTA STATEMENTS OF CASH FLOWS—(Continued) (Unaudited) (In millions) | |||||||
For the Three Months Ended March 31, | |||||||
2020 | 2019 | ||||||
Financing activities | |||||||
Net change in interest-bearing deposits | |||||||
Net payments on derivatives containing a financing element | ( | ) | |||||
Proceeds from issuance of consolidated obligations: | |||||||
Discount notes | |||||||
Bonds | |||||||
Payments for debt issuance costs | ( | ) | ( | ) | |||
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 | ( | ) | ( | ) | |||
Net cash provided by (used in) financing activities | ( | ) | |||||
Net increase 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 of cash flow information: | |||||||
Cash paid for: | |||||||
Interest | $ | $ | |||||
Affordable Housing Program assessment, net | $ | $ | |||||
Noncash investing and financing activities: | |||||||
Net shares reclassified to mandatorily redeemable capital stock | $ | $ |
Accounting Standard Update (ASU) | Description | Effective Date | Effect on Financial Statements or Other Significant Matters | |||
Disclosure Framework–Changes to the Disclosure Requirements for Fair Value Measurement (ASU 2018-13) | This guidance amends the disclosure requirements on fair value measurements. | January 1, 2020 | The adoption of this guidance did not have an impact on the Bank’s financial condition or results of operations. | |||
Measurement of Credit Losses on Financial Instruments (ASU 2016-13) | This guidance replaces the incurred loss impairment methodology in current generally accepted accounting principles in the United States of America (GAAP) with a methodology that reflects lifetime expected credit losses and requires consideration of a broader range of reasonable and supportable information to inform credit loss estimates. | January 1, 2020 | The adoption of this guidance did not have an impact on the Bank’s financial condition or results of operations. | |||
Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04) | This guidance provides optional expedients and exceptions for applying GAAP to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. | March 12, 2020 through December 31, 2022 | The Bank is in the process of evaluating this guidance and its impact on the Bank’s financial condition and results of operations has not yet been determined. |
Accounting Standard Update (ASU) | Description | Effective Date | Effect on Financial Statements or Other Significant Matters | |||
Disclosure Framework–Changes to the Disclosure Requirements for Defined Benefit Plans (ASU 2018-14) | This guidance amends the disclosure requirements for employers that sponsor defined benefit pension or other postretirement plans. | December 31, 2020 Early adoption is permitted | The Bank does not intend to adopt this guidance early. This guidance is not expected to have any impact on the Bank’s financial condition or results of operations. |
As of March 31, 2020 | As of December 31, 2019 | ||||||
U.S. Treasury obligations | $ | $ | |||||
Government-sponsored enterprises debt obligations | |||||||
Total | $ | $ |
For the Three Months Ended March 31, | |||||||
2020 | 2019 | ||||||
Net gains on trading securities held at period end | $ | $ |
Amortized Cost | Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income (1) | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
As of March 31, 2020 | $ | $ | $ | $ | $ | ||||||||||||||
As of December 31, 2019 | $ | $ | ( | ) | $ | $ | $ |
Less than 12 Months | 12 Months or More | Total | ||||||||||||||||||||||||||||||
Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | Number of Positions | Estimated Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||
As of March 31, 2020 | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||
As of December 31, 2019 | $ | $ | $ | $ | ( | ) | $ | $ | ( | ) |
Amortized Cost | Other-than-temporary Impairment Recognized in Accumulated Other Comprehensive Income (1) | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||||
As of March 31, 2020 | $ | $ | $ | $ | $ | ||||||||||||||
As of December 31, 2019 | $ | $ | $ | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||||||||||||||||||
Amortized Cost (1) | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | Amortized Cost (1) | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||
State or local housing agency debt obligations | $ | $ | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||
Government-sponsored enterprises debt obligations | ( | ) | |||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||
U.S. agency obligations-guaranteed residential | |||||||||||||||||||||||||||||||
Government-sponsored enterprises residential | ( | ) | ( | ) | |||||||||||||||||||||||||||
Government-sponsored enterprises commercial | ( | ) | ( | ) | |||||||||||||||||||||||||||
Private-label residential | ( | ) | |||||||||||||||||||||||||||||
Total | $ | $ | $ | ( | ) | $ | $ | $ | $ | ( | ) | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||
Amortized Cost (1) | Estimated Fair Value | Amortized Cost (1) | Estimated Fair Value | ||||||||||||
Non-mortgage-backed securities: | |||||||||||||||
Due in one year or less | $ | $ | $ | $ | |||||||||||
Due after one year through five years | |||||||||||||||
Due after five years through 10 years | |||||||||||||||
Due after 10 years | |||||||||||||||
Total non-mortgage-backed securities | |||||||||||||||
Mortgage-backed securities | |||||||||||||||
Total | $ | $ | $ | $ |
Amortized Cost | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | |||||||||||||
As of March 31, 2020 | $ | $ | $ | $ | ||||||||||||
As of December 31, 2019 | $ | $ | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||
Due in one year or less | $ | $ | |||||
Due after one year through two years | |||||||
Due after two years through three years | |||||||
Due after three years through four years | |||||||
Due after four years through five years | |||||||
Due after five years | |||||||
Total par value | |||||||
Deferred prepayment fees | ( | ) | ( | ) | |||
Discount on AHP (1) advances | ( | ) | ( | ) | |||
Discount on EDGE (2) advances | ( | ) | ( | ) | |||
Hedging adjustments | |||||||
Total (3) | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||
Due or convertible in one year or less | $ | $ | |||||
Due or convertible after one year through two years | |||||||
Due or convertible after two years through three years | |||||||
Due or convertible after three years through four years | |||||||
Due or convertible after four years through five years | |||||||
Due or convertible after five years | |||||||
Total par value | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||
Fixed-rate: | |||||||
Due in one year or less | $ | $ | |||||
Due after one year | |||||||
Total fixed-rate | |||||||
Variable-rate: | |||||||
Due in one year or less | |||||||
Due after one year | |||||||
Total variable-rate | |||||||
Total par value | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | |||||||
Medium-term (15 years or less) | $ | $ | ||||||
Long-term (greater than 15 years) | ||||||||
Total unpaid principal balance | ||||||||
Premiums | ||||||||
Discounts | ( | ) | ( | ) | ||||
Total mortgage loans held for portfolio (1) | ||||||||
Allowance for credit losses on mortgage loans | ( | ) | ( | ) | ||||
Mortgage loans held for portfolio, net | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | |||||||
Conventional mortgage loans | $ | $ | ||||||
Government-guaranteed or insured mortgage loans | ||||||||
Total unpaid principal balance | $ | $ |
For the Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Balance, beginning of period | $ | $ | ||||||
Provision for credit losses | ||||||||
Balance, end of period | $ | $ |
As of March 31, 2020 | |||||||||||
Origination Year | |||||||||||
2017 | Prior to 2016 | Total | |||||||||
Payment status, at amortized cost:(1) | |||||||||||
Past due 30-59 days | $ | $ | $ | ||||||||
Past due 60-89 days | |||||||||||
Past due 90 days or more | |||||||||||
Total past due mortgage loans | |||||||||||
Current mortgage loans | |||||||||||
Total conventional mortgage loans | $ | $ | $ |
As of December 31, 2019 | |||
Payment status, at recorded investment:(1) | |||
Past due 30-59 days | $ | ||
Past due 60-89 days | |||
Past due 90 days or more | |||
Total past due mortgage loans | |||
Current mortgage loans | |||
Total conventional mortgage loans | $ |
As of March 31, 2020 | |||||||||||
Conventional Residential Mortgage Loans | Government-guaranteed or Insured Residential Mortgage Loans | Total | |||||||||
Other delinquency statistics, at amortized cost: | |||||||||||
In process of foreclosure (1) | $ | $ | $ | ||||||||
Seriously delinquent rate (2) | % | % | % | ||||||||
Past due 90 days or more and still accruing interest (3) | $ | $ | $ | ||||||||
Mortgage loans on nonaccrual status (4) | $ | $ | $ |
As of December 31, 2019 | |||||||||||
Conventional Residential Mortgage Loans | Government-guaranteed or Insured Residential Mortgage Loans | Total | |||||||||
Other delinquency statistics, at recorded investment: | |||||||||||
In process of foreclosure (1) | $ | $ | $ | ||||||||
Seriously delinquent rate (2) | % | % | % | ||||||||
Past due 90 days or more and still accruing interest (3) | $ | $ | $ | ||||||||
Mortgage loans on nonaccrual status (4) | $ | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||
Simple variable-rate | $ | $ | |||||
Fixed-rate | |||||||
Step up/down | |||||||
Total par value | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||
Amount | Weighted- average Interest Rate (%) | Amount | Weighted- average Interest Rate (%) | ||||||||
Due in one year or less | $ | $ | |||||||||
Due after one year through two years | |||||||||||
Due after two years through three years | |||||||||||
Due after three years through four years | |||||||||||
Due after four years through five years | |||||||||||
Due after five years | |||||||||||
Total par value | |||||||||||
Premiums | |||||||||||
Discounts | ( | ) | ( | ) | |||||||
Hedging adjustments | |||||||||||
Total | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||
Noncallable | $ | $ | |||||
Callable | |||||||
Total par value | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||
Due or callable in one year or less | $ | $ | |||||
Due or callable after one year through two years | |||||||
Due or callable after two years through three years | |||||||
Due or callable after three years through four years | |||||||
Due or callable after four years through five years | |||||||
Due or callable after five years | |||||||
Total par value | $ | $ |
Book Value | Par Value | Weighted-average Interest Rate (%) | |||||||
As of March 31, 2020 | $ | $ | |||||||
As of December 31, 2019 | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Risk-based capital | $ | $ | $ | $ | |||||||||||
Total regulatory capital ratio | % | % | % | % | |||||||||||
Total regulatory capital (1) | $ | $ | $ | $ | |||||||||||
Leverage capital ratio | % | % | % | % | |||||||||||
Leverage capital | $ | $ | $ | $ |
2020 | 2019 | |||||||||||
Amount | Annualized Rate (%) | Amount | Annualized Rate (%) | |||||||||
First quarter | $ | $ |
For the Three Months Ended March 31, | |||||||
2020 | 2019 | ||||||
Balance, beginning of period | $ | $ | |||||
Net reclassification from capital during the period | |||||||
Repurchase/redemption of mandatorily redeemable capital stock | ( | ) | |||||
Balance, end of period | $ | $ |
As of March 31, 2020 | As of December 31, 2019 | ||||||
Due after two years through three years | $ | $ | |||||
Due after three years through four years | |||||||
Total | $ | $ |
Net Unrealized Gains (Losses) on Available-for-sale Securities | Net Noncredit Portion of Other-than-temporary Impairment Losses on Available-for-sale Securities | Pension and Postretirement Benefits | Total Accumulated Other Comprehensive (Loss) Income | ||||||||||||
Balance, December 31, 2018 | $ | $ | $ | ( | ) | $ | |||||||||
Other comprehensive income before reclassifications: | |||||||||||||||
Net change in fair value | ( | ) | ( | ) | |||||||||||
Reclassification from accumulated other comprehensive income to net income: | |||||||||||||||
Noncredit other-than-temporary impairment losses | |||||||||||||||
Amortization of pension and postretirement (1) | — | — | |||||||||||||
Net current period other comprehensive (loss) income | ( | ) | ( | ) | |||||||||||
Balance, March 31, 2019 | $ | $ | $ | ( | ) | $ | |||||||||
Balance, December 31, 2019 | $ | $ | $ | ( | ) | $ | |||||||||
Other comprehensive income before reclassifications: | |||||||||||||||
Adoption of ASU 2016-13 as amended | ( | ) | — | — | |||||||||||
Net unrealized gains on available-for-sale securities | |||||||||||||||
Reclassification from accumulated other comprehensive income to net income: | |||||||||||||||
Net realized gains from sale of available-for-sale securities | ( | ) | ( | ) | |||||||||||
Net current period other comprehensive loss | ( | ) | ( | ) | |||||||||||
Balance, March 31, 2020 | $ | $ | $ | ( | ) | $ | ( | ) |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||||||||||
Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | ||||||||||||||||||
Derivatives in hedging relationships: | |||||||||||||||||||||||
Interest-rate swaps (1) | $ | $ | $ | $ | $ | $ | |||||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||||||||
Interest-rate swaps (1) | |||||||||||||||||||||||
Interest-rate caps or floors | |||||||||||||||||||||||
Total derivatives not designated as hedging instruments | |||||||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | $ | |||||||||||||||||||||
Netting adjustments and cash collateral (2) | ( | ) | ( | ) | |||||||||||||||||||
Derivative assets and derivative liabilities | $ | $ | $ | $ |
For the Three Months Ended March 31, 2020 | ||||||||||||
Interest Income (Expense) | ||||||||||||
Advances | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | ||||||||||
Total interest income (expense) recorded in the Statements of Income | $ | $ | ( | ) | $ | ( | ) | |||||
Changes in fair value: | ||||||||||||
Hedged items | $ | $ | ( | ) | $ | ( | ) | |||||
Derivatives | ( | ) | ||||||||||
Net changes in fair value | ( | ) | ( | ) | ||||||||
Net interest settlements on derivatives (1) (2) | ( | ) | ||||||||||
Amortization/accretion of active hedging relationships | ( | ) | ||||||||||
Other | ||||||||||||
Total net interest income effect from fair value hedging relationships | $ | ( | ) | $ | $ | ( | ) |
For the Three Months Ended March 31, 2019 | ||||||||
Interest Income (Expense) | ||||||||
Advances | Consolidated Obligation Bonds | |||||||
Total interest income (expense) recorded in the Statements of Income | $ | $ | ( | ) | ||||
Changes in fair value: | ||||||||
Hedged items | $ | $ | ( | ) | ||||
Derivatives | ( | ) | ||||||
Net changes in fair value | ( | ) | ||||||
Net interest settlements on derivatives (1) (2) | ( | ) | ||||||
Amortization/accretion of active hedging relationships | ( | ) | ||||||
Other | ( | ) | ||||||
Total net interest income effect from fair value hedging relationships | $ | $ | ( | ) |
As of March 31, 2020 | As of December 31, 2019 | |||||||||||||||||||||||||||||||
Line Item in Statement of Conditions of Hedged Item | Amortized Cost of Hedged Asset or Liability (1) | Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | Basis Adjustments for Discontinued Hedging Relationships included in Amortized Cost | Cumulative Amount of Fair Value Hedging Basis Adjustments | Amortized Cost of Hedged Asset or Liability (1) | Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | Basis Adjustments for Discontinued Hedging Relationships included in Amortized Cost | Cumulative Amount of Fair Value Hedging Basis Adjustments | ||||||||||||||||||||||||
Advances | $ | $ | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||||||||||
Bonds | ||||||||||||||||||||||||||||||||
Discount notes |
For the Three Months Ended March 31, | ||||||||
2020 | 2019 | |||||||
Derivatives not designated as hedging instruments: | ||||||||
Interest-rate swaps | $ | ( | ) | $ | ( | ) | ||
Interest-rate caps or floors | ( | ) | ||||||
Total net losses related to derivatives not designated as hedging instruments | ( | ) | ( | ) | ||||
Net losses on derivatives and hedging activities | $ | ( | ) | $ | ( | ) |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | ||||||||||||
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 | |||||||||||||||
Non-cash collateral received or pledged not offset-cannot be sold or repledged: (1) | |||||||||||||||
Uncleared derivatives | |||||||||||||||
Cleared derivatives | |||||||||||||||
Total cannot be sold or repledged (1) | |||||||||||||||
Net unsecured amounts: (1) | |||||||||||||||
Uncleared derivatives | |||||||||||||||
Cleared derivatives | |||||||||||||||
Total net unsecured amount (1) | $ | $ | $ | $ |
As of March 31, 2020 | |||||||||||||||||||
Fair Value Measurements Using | Netting Adjustments and Cash Collateral (1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | $ | ||||||||||||||
Government-sponsored enterprises debt obligations | |||||||||||||||||||
Total trading securities | |||||||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate related | |||||||||||||||||||
Grantor trust (included in Other assets) | |||||||||||||||||||
Total assets at fair value | $ | $ | $ | $ | $ | ||||||||||||||
Liabilities | |||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest-rate related | $ | $ | $ | $ | ( | ) | $ | ||||||||||||
Total liabilities at fair value | $ | $ | $ | $ | ( | ) | $ |
As of December 31, 2019 | |||||||||||||||||||
Fair Value Measurements Using | Netting Adjustments and Cash Collateral (1) | ||||||||||||||||||
Level 1 | Level 2 | Level 3 | Total | ||||||||||||||||
Assets | |||||||||||||||||||
Trading securities: | |||||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | $ | ||||||||||||||
Government-sponsored enterprises debt obligations | |||||||||||||||||||
Total trading securities | |||||||||||||||||||
Available-for-sale securities: | |||||||||||||||||||
Private-label residential MBS | |||||||||||||||||||
Derivative assets: | |||||||||||||||||||
Interest-rate related | |||||||||||||||||||
Grantor trust (included in Other assets) | |||||||||||||||||||
Total assets at fair value | $ | $ | $ | $ | $ | ||||||||||||||
Liabilities | |||||||||||||||||||
Derivative liabilities: | |||||||||||||||||||
Interest-rate related | $ | $ | $ | $ | ( | ) | $ | ||||||||||||
Total liabilities at fair value | $ | $ | $ | $ | ( | ) | $ |
For the Three Months Ended March 31, | |||||||
2020 | 2019 | ||||||
Balance, beginning of period | $ | $ | |||||
Total (losses) gains realized and unrealized: (1) | |||||||
Net realized gains from sale of available-for-sale securities | — | ||||||
Net impairment losses recognized in earnings | ( | ) | |||||
Included in other comprehensive loss | ( | ) | ( | ) | |||
Accretion of credit losses in net interest income | |||||||
Sales | ( | ) | — | ||||
Settlements | ( | ) | |||||
Balance, end of period | $ | $ |
As of March 31, 2020 | |||||||||||||||||||||||
Estimated Fair Value | |||||||||||||||||||||||
Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | ||||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | ||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||
Federal funds sold | — | ||||||||||||||||||||||
Trading securities | |||||||||||||||||||||||
Held-to-maturity securities | |||||||||||||||||||||||
Advances | — | ||||||||||||||||||||||
Mortgage loans held for portfolio, net | — | ||||||||||||||||||||||
Accrued interest receivable | — | ||||||||||||||||||||||
Derivative assets | |||||||||||||||||||||||
Grantor trust assets (included in Other assets) | — | ||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||
Consolidated obligations, net: | |||||||||||||||||||||||
Discount notes | — | ||||||||||||||||||||||
Bonds | — | ||||||||||||||||||||||
Mandatorily redeemable capital stock | |||||||||||||||||||||||
Accrued interest payable | — | ||||||||||||||||||||||
Derivative liabilities | ( | ) |
As of December 31, 2019 | |||||||||||||||||||||||
Estimated Fair Value | |||||||||||||||||||||||
Carrying Value | Total | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral (1) | ||||||||||||||||||
Assets: | |||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | ||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||
Securities purchased under agreements to resell | |||||||||||||||||||||||
Federal funds sold | — | ||||||||||||||||||||||
Trading securities | |||||||||||||||||||||||
Available-for-sale securities | |||||||||||||||||||||||
Held-to-maturity securities | |||||||||||||||||||||||
Advances | — | ||||||||||||||||||||||
Mortgage loans held for portfolio, net | — | ||||||||||||||||||||||
Accrued interest receivable | — | ||||||||||||||||||||||
Derivative assets | |||||||||||||||||||||||
Grantor trust assets (included in Other assets) | — | ||||||||||||||||||||||
Liabilities: | |||||||||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||
Consolidated obligations, net: | |||||||||||||||||||||||
Discount notes | — | ||||||||||||||||||||||
Bonds | — | ||||||||||||||||||||||
Mandatorily redeemable capital stock | |||||||||||||||||||||||
Accrued interest payable | — | ||||||||||||||||||||||
Derivative liabilities | ( | ) |
As of March 31, 2020 | As of December 31, 2019 | |||||||||||||||||||||||
Expire Within One Year | Expire After One Year | Total | Expire Within One Year | Expire After One Year | Total | |||||||||||||||||||
Standby letters of credit (1) | $ | $ | $ | $ | $ | $ | ||||||||||||||||||
Commitments to fund additional advances | ||||||||||||||||||||||||
Unsettled consolidated obligation bonds, at par (2) | ||||||||||||||||||||||||
Unsettled consolidated obligation discount notes, at par (2) |
(1) | “Expire Within One Year” includes |
(2) | Expiration is based on settlement period rather than underlying contractual maturity of consolidated obligations. |
As of March 31, 2020 | |||||||||||||||||
Regulatory Capital Stock Outstanding | Percent of Total Regulatory Capital Stock Outstanding | Par Value of Advances | Percent of Total Par Value of Advances | Interest-bearing Deposits | Percent of Total Interest-bearing Deposits | ||||||||||||
Truist Bank | $ | $ | $ | ||||||||||||||
Bank of America, National Association | |||||||||||||||||
Navy Federal Credit Union |
As of December 31, 2019 | |||||||||||||||||
Regulatory Capital Stock Outstanding | Percent of Total Regulatory Capital Stock Outstanding | Par Value of Advances | Percent of Total Par Value of Advances | Interest-bearing Deposits | Percent of Total Interest-bearing Deposits | ||||||||||||
Truist Bank | $ | $ | $ |
As of and for the Three Months Ended | |||||||||||||||||||
March 31, 2020 | December 31, 2019 | September 30, 2019 | June 30, 2019 | March 31, 2019 | |||||||||||||||
Statements of Condition (at period end) | |||||||||||||||||||
Total assets | $ | 189,392 | $ | 149,857 | $ | 150,880 | $ | 149,692 | $ | 138,940 | |||||||||
Advances | 137,037 | 97,167 | 102,466 | 101,776 | 90,929 | ||||||||||||||
Investments (1) | 46,429 | 50,617 | 47,130 | 46,645 | 46,781 | ||||||||||||||
Mortgage loans held for portfolio | 282 | 297 | 314 | 329 | 347 | ||||||||||||||
Allowance for credit losses on mortgage loans | (1 | ) | (1 | ) | (1 | ) | (1 | ) | (1 | ) | |||||||||
Interest-bearing deposits | 1,766 | 1,492 | 1,541 | 1,400 | 1,163 | ||||||||||||||
Consolidated obligations, net: | |||||||||||||||||||
Discount notes (2) | 96,490 | 52,134 | 55,049 | 64,833 | 61,166 | ||||||||||||||
Bonds (2) | 81,856 | 88,503 | 86,423 | 75,468 | 69,186 | ||||||||||||||
Total consolidated obligations, net (2) | 178,346 | 140,637 | 141,472 | 140,301 | 130,352 | ||||||||||||||
Mandatorily redeemable capital stock | 1 | 1 | 1 | 1 | 1 | ||||||||||||||
Affordable Housing Program payable | 95 | 89 | 84 | 88 | 89 | ||||||||||||||
Capital stock - putable | 6,652 | 4,988 | 5,213 | 5,196 | 4,753 | ||||||||||||||
Retained earnings | 2,185 | 2,153 | 2,132 | 2,138 | 2,126 | ||||||||||||||
Accumulated other comprehensive (loss) income | (19 | ) | 22 | 29 | 36 | 44 | |||||||||||||
Total capital | 8,818 | 7,163 | 7,374 | 7,370 | 6,923 | ||||||||||||||
Statements of Income (for the period ended) | |||||||||||||||||||
Net interest income | 85 | 141 | 118 | 132 | 144 | ||||||||||||||
Net impairment losses recognized in earnings | — | (6 | ) | (4 | ) | (2 | ) | (1 | ) | ||||||||||
Net gains on trading securities | 5 | — | 1 | 1 | 1 | ||||||||||||||
Net realized gains from sale of investment securities | 85 | — | — | — | — | ||||||||||||||
Net (losses) gains on derivatives and hedging activities | (6 | ) | 1 | (1 | ) | (2 | ) | (2 | ) | ||||||||||
Standby letters of credit fees | 7 | 6 | 5 | 6 | 7 | ||||||||||||||
Other income | 2 | 2 | 4 | 1 | 2 | ||||||||||||||
Noninterest expense | 58 | 36 | 39 | 32 | 39 | ||||||||||||||
Income before assessment | 120 | 108 | 84 | 104 | 112 | ||||||||||||||
Affordable Housing Program assessment | 12 | 11 | 8 | 11 | 11 | ||||||||||||||
Net income | 108 | 97 | 76 | 93 | 101 | ||||||||||||||
Performance Ratios (%) | |||||||||||||||||||
Return on equity (3) | 5.97 | 5.26 | 4.24 | 5.12 | 5.72 | ||||||||||||||
Return on assets (4) | 0.28 | 0.25 | 0.21 | 0.25 | 0.28 | ||||||||||||||
Net interest margin (5) | 0.23 | 0.37 | 0.32 | 0.36 | 0.40 | ||||||||||||||
Regulatory capital ratio (at period end) (6) | 4.67 | 4.77 | 4.87 | 4.90 | 4.95 | ||||||||||||||
Equity to assets ratio (7) | 4.76 | 4.72 | 4.84 | 4.90 | 4.95 | ||||||||||||||
Dividend payout ratio (8) | 70.70 | 78.30 | 107.18 | 86.91 | 84.73 |
March 31, 2020 | $ | 996,251 | |
December 31, 2019 | 885,114 | ||
September 30, 2019 | 868,664 | ||
June 30, 2019 | 907,877 | ||
March 31, 2019 | 880,223 |
As of March 31, 2020 | As of December 31, 2019 | Increase (Decrease) | |||||||||||||||||
Amount | Percent of Total | Amount | Percent of Total | Amount | Percent | ||||||||||||||
Advances | $ | 137,037 | 72.36 | $ | 97,167 | 64.84 | $ | 39,870 | 41.03 | ||||||||||
Investment securities | 25,162 | 13.28 | 28,181 | 18.81 | (3,019 | ) | (10.72 | ) | |||||||||||
Other investments | 21,267 | 11.23 | 22,436 | 14.97 | (1,169 | ) | (5.21 | ) | |||||||||||
Mortgage loans, net | 281 | 0.15 | 296 | 0.20 | (15 | ) | (5.30 | ) | |||||||||||
Other assets | 5,645 | 2.98 | 1,777 | 1.18 | 3,868 | 217.75 | |||||||||||||
Total assets | $ | 189,392 | 100.00 | $ | 149,857 | 100.00 | $ | 39,535 | 26.38 | ||||||||||
Consolidated obligations, net: | |||||||||||||||||||
Discount notes | $ | 96,490 | 53.43 | $ | 52,134 | 36.53 | $ | 44,356 | 85.08 | ||||||||||
Bonds | 81,856 | 45.33 | 88,503 | 62.02 | (6,647 | ) | (7.51 | ) | |||||||||||
Deposits | 1,766 | 0.98 | 1,492 | 1.05 | 274 | 18.34 | |||||||||||||
Other liabilities | 462 | 0.26 | 565 | 0.40 | (103 | ) | (18.33 | ) | |||||||||||
Total liabilities | $ | 180,574 | 100.00 | $ | 142,694 | 100.00 | $ | 37,880 | 26.55 | ||||||||||
Capital stock | $ | 6,652 | 75.43 | $ | 4,988 | 69.63 | $ | 1,664 | 33.36 | ||||||||||
Retained earnings | 2,185 | 24.78 | 2,153 | 30.06 | 32 | 1.47 | |||||||||||||
Accumulated other comprehensive (loss) income | (19 | ) | (0.21 | ) | 22 | 0.31 | (41 | ) | (184.81 | ) | |||||||||
Total capital | $ | 8,818 | 100.00 | $ | 7,163 | 100.00 | $ | 1,655 | 23.11 |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||
Amount | Percent of Total | Amount | Percent of Total | ||||||||
Fixed rate (1) | $ | 81,770 | 60.64 | $ | 57,711 | 59.83 | |||||
Adjustable or variable-rate indexed | 45,719 | 33.91 | 33,412 | 34.64 | |||||||
Convertible | 6,277 | 4.66 | 4,261 | 4.42 | |||||||
Principal reducing credit | 1,067 | 0.79 | 1,072 | 1.11 | |||||||
Total par value | $ | 134,833 | 100.00 | $ | 96,456 | 100.00 |
(1) | Includes convertible advances whose conversion options have expired. |
Increase (Decrease) | ||||||||||||||
As of March 31, 2020 | As of December 31, 2019 | Amount | Percent | |||||||||||
Investment securities: | ||||||||||||||
Government-sponsored enterprises debt obligations | $ | 3,637 | $ | 4,556 | $ | (919 | ) | (20.16 | ) | |||||
U.S. Treasury obligations | 1,501 | 1,499 | 2 | 0.10 | ||||||||||
State or local housing agency debt obligations | 1 | 1 | — | — | ||||||||||
Mortgage-backed securities: | ||||||||||||||
U.S. agency obligations-guaranteed residential | 83 | 89 | (6 | ) | (6.53 | ) | ||||||||
Government-sponsored enterprises residential | 8,574 | 8,642 | (68 | ) | (0.80 | ) | ||||||||
Government-sponsored enterprises commercial | 11,366 | 12,518 | (1,152 | ) | (9.20 | ) | ||||||||
Private-label residential | — | 876 | (876 | ) | (100.00 | ) | ||||||||
Total mortgage-backed securities | 20,023 | 22,125 | (2,102 | ) | (9.50 | ) | ||||||||
Total investment securities | 25,162 | 28,181 | (3,019 | ) | (10.72 | ) | ||||||||
Other investments: | ||||||||||||||
Interest-bearing deposits (1) | 3,322 | 3,810 | (488 | ) | (12.80 | ) | ||||||||
Securities purchased under agreements to resell | — | 8,800 | (8,800 | ) | (100.00 | ) | ||||||||
Federal funds sold (2) | 17,945 | 9,826 | 8,119 | 82.63 | ||||||||||
Total other investments | 21,267 | 22,436 | (1,169 | ) | (5.21 | ) | ||||||||
Total investments | $ | 46,429 | $ | 50,617 | $ | (4,188 | ) | (8.27 | ) |
(1) | Interest-bearing deposits includes a $510 million and $508 million business money market account with Truist Bank one of the Bank’s 10 largest borrowers, as of March 31, 2020 and December 31, 2019, respectively. |
As of March 31, 2020 | As of December 31, 2019 | ||||
Percent of Total | Percent of Total | ||||
Florida | 22.52 | 22.36 | |||
South Carolina | 20.51 | 20.47 | |||
Virginia | 11.78 | 11.61 | |||
Georgia | 10.01 | 9.96 | |||
North Carolina | 7.79 | 8.13 | |||
All other | 27.39 | 27.47 | |||
Total | 100.00 | 100.00 |
• | Adequately Capitalized - FHLBank meets or exceeds both risk-based and minimum capital requirements; |
• | Undercapitalized - FHLBank does not meet one or both of its risk-based or minimum capital requirements; |
• | Significantly Undercapitalized - FHLBank has less than 75 percent of one or both of its risk-based or minimum capital requirements; and |
• | Critically Undercapitalized - FHLBank total capital is two percent or less of total assets. |
For the Three Months Ended March 31, | Increase (Decrease) | ||||||||||||||
2020 | 2019 | Amount | Percent | ||||||||||||
Net interest income | $ | 85 | $ | 144 | $ | (59 | ) | (40.63 | ) | ||||||
Noninterest income | 93 | 7 | 86 | * | |||||||||||
Noninterest expense | 58 | 39 | 19 | 50.43 | |||||||||||
Affordable Housing Program assessment | 12 | 11 | 1 | 6.77 | |||||||||||
Net income | $ | 108 | $ | 101 | $ | 7 | 6.77 |
For the Three Months Ended March 31, | |||||||||||||||||||
2020 | 2019 | ||||||||||||||||||
Average Balance | Interest | Yield/ Rate (%) | Average Balance | Interest | Yield/ Rate (%) | ||||||||||||||
Assets | |||||||||||||||||||
Interest-bearing deposits (1) | $ | 4,409 | $ | 15 | 1.38 | $ | 4,474 | $ | 28 | 2.51 | |||||||||
Securities purchased under agreements to resell | 7,135 | 27 | 1.53 | 4,344 | 26 | 2.45 | |||||||||||||
Federal funds sold | 13,039 | 40 | 1.23 | 12,753 | 78 | 2.47 | |||||||||||||
Investment securities (2) | 26,235 | 138 | 2.12 | 24,571 | 196 | 3.24 | |||||||||||||
Advances | 100,375 | 419 | 1.68 | 97,492 | 656 | 2.73 | |||||||||||||
Mortgage loans (3) | 289 | 4 | 5.07 | 353 | 4 | 5.15 | |||||||||||||
Loans to other FHLBanks | — | — | — | 11 | — | 3.71 | |||||||||||||
Total interest-earning assets | 151,482 | 643 | 1.71 | 143,998 | 988 | 2.78 | |||||||||||||
Allowance for credit losses on mortgage loans | (1 | ) | (1 | ) | |||||||||||||||
Other assets | 1,363 | 1,041 | |||||||||||||||||
Total assets | $ | 152,844 | $ | 145,038 | |||||||||||||||
Liabilities and Capital | |||||||||||||||||||
Interest-bearing deposits (4) | $ | 1,691 | 5 | 1.08 | $ | 1,077 | 6 | 2.33 | |||||||||||
Consolidated obligations, net: | |||||||||||||||||||
Discount notes | 57,422 | 211 | 1.48 | 61,603 | 372 | 2.45 | |||||||||||||
Bonds | 85,527 | 342 | 1.61 | 74,414 | 466 | 2.54 | |||||||||||||
Other borrowings | 2 | — | 5.58 | 8 | — | 3.26 | |||||||||||||
Total interest-bearing liabilities | 144,642 | 558 | 1.55 | 137,102 | 844 | 2.50 | |||||||||||||
Other liabilities | 923 | 762 | |||||||||||||||||
Total capital | 7,279 | 7,174 | |||||||||||||||||
Total liabilities and capital | $ | 152,844 | $ | 145,038 | |||||||||||||||
Net interest income and net yield on interest-earning assets | $ | 85 | 0.23 | $ | 144 | 0.40 | |||||||||||||
Interest-rate spread | 0.16 | 0.28 | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 104.73 | 105.03 |
(1) | Includes amounts recognized for the right to reclaim cash collateral paid under master netting agreements with derivative counterparties. |
(2) | Includes trading securities at fair value and available-for-sale securities at amortized cost. |
(3) | Nonperforming mortgage loans are included in average balances used to determine average rate. |
(4) | Includes amounts recognized for the right to return cash collateral received under master netting agreements with derivative counterparties. |
For the Three Months Ended March 31, | ||||||||||||
2020 vs. 2019 | ||||||||||||
Volume (1) | Rate (1) | Increase (Decrease) | ||||||||||
Increase (decrease) in interest income: | ||||||||||||
Interest-bearing deposits | $ | (1 | ) | $ | (12 | ) | $ | (13 | ) | |||
Securities purchased under agreements to resell | 13 | (12 | ) | 1 | ||||||||
Federal funds sold | 2 | (40 | ) | (38 | ) | |||||||
Investment securities | 13 | (71 | ) | (58 | ) | |||||||
Advances | 18 | (255 | ) | (237 | ) | |||||||
Total | 45 | (390 | ) | (345 | ) | |||||||
Increase (decrease) in interest expense: | ||||||||||||
Interest-bearing deposits | 3 | (4 | ) | (1 | ) | |||||||
Consolidated obligations, net: | ||||||||||||
Discount notes | (24 | ) | (137 | ) | (161 | ) | ||||||
Bonds | 62 | (186 | ) | (124 | ) | |||||||
Total | 41 | (327 | ) | (286 | ) | |||||||
Increase (decrease) in net interest income | $ | 4 | $ | (63 | ) | $ | (59 | ) |
(1) | Volume change is calculated as the change in volume multiplied by the previous rate, while rate change is calculated as the change in rate multiplied by the previous volume. The rate/volume change, calculated as the change in rate multiplied by the change in volume, is allocated between volume change and rate change at the ratio each component bears to the absolute value of its total. |
For the Three Months Ended March 31, 2020 | |||||||||||||||||||
Advances | Investments | Consolidated Obligation Bonds | Consolidated Obligation Discount Notes | Total | |||||||||||||||
Net interest income: | |||||||||||||||||||
Amortization or accretion of active hedging relationships | $ | (11 | ) | $ | — | $ | — | $ | — | $ | (11 | ) | |||||||
Net changes in fair value hedges | (9 | ) | — | 7 | (16 | ) | (18 | ) | |||||||||||
Net interest settlements on derivatives (1) | (30 | ) | — | 7 | 12 | (11 | ) | ||||||||||||
Other (2) | 2 | — | — | — | 2 | ||||||||||||||
Total effect on net interest income | $ | (48 | ) | $ | — | $ | 14 | $ | (4 | ) | $ | (38 | ) | ||||||
Net losses on derivatives: | |||||||||||||||||||
Losses on derivatives not receiving hedge accounting including net interest settlements | $ | (2 | ) | $ | (4 | ) | $ | — | $ | — | $ | (6 | ) | ||||||
Total net losses on derivatives | (2 | ) | (4 | ) | — | — | (6 | ) | |||||||||||
Net gains on trading securities (3) | — | 3 | — | — | 3 | ||||||||||||||
Total effect on noninterest income | $ | (2 | ) | $ | (1 | ) | $ | — | $ | — | $ | (3 | ) |
(1) | Represents interest income or expense on derivatives included in net interest income. |
(2) | Amount in “Other” includes the price alignment amount on derivatives for which variation margin is characterized as daily settled contract. |
(3) | Includes only those gains or losses on trading securities or financial instruments held at fair value that have an economic derivative “assigned;” therefore, this line item may not agree to the income statement. |
For the Three Months Ended March 31, 2019 | |||||||||||||||||||
Advances | Investments | Consolidated Obligation Bonds | Balance Sheet | Total | |||||||||||||||
Net interest income: | |||||||||||||||||||
Amortization or accretion of active hedging relationships | $ | (6 | ) | $ | — | $ | — | $ | — | $ | (6 | ) | |||||||
Net changes in fair value hedges | 4 | — | (4 | ) | — | — | |||||||||||||
Net interest settlements on derivatives (1) | 21 | — | (18 | ) | — | 3 | |||||||||||||
Other (2) | (1 | ) | — | — | — | (1 | ) | ||||||||||||
Total effect on net interest income | $ | 18 | $ | — | $ | (22 | ) | $ | — | $ | (4 | ) | |||||||
Net losses on derivatives: | |||||||||||||||||||
Losses on derivatives not receiving hedge accounting including net interest settlements | $ | — | $ | (1 | ) | $ | — | $ | (1 | ) | $ | (2 | ) | ||||||
Total net losses on derivatives | — | (1 | ) | — | (1 | ) | (2 | ) | |||||||||||
Net gains on trading securities (3) | — | 1 | — | — | 1 | ||||||||||||||
Total effect on noninterest income | $ | — | $ | — | $ | — | $ | (1 | ) | $ | (1 | ) |
(1) | Represents interest income or expense on derivatives included in net interest income. |
(2) | Amount in “Other” includes the price alignment amount on derivatives for which variation margin is characterized as daily settled contract. |
(3) | Includes only those gains or losses on trading securities or financial instruments held at fair value that have an economic derivative “assigned;” therefore, this line item may not agree to the income statement. |
For the Three Months Ended March 31, | Increase (Decrease) | ||||||||||||||
2020 | 2019 | Amount | Percent | ||||||||||||
Net impairment losses recognized in earnings | $ | — | $ | (1 | ) | $ | 1 | 100.00 | |||||||
Net gains on trading securities | 5 | 1 | 4 | 217.82 | |||||||||||
Net realized gains from sale of investment securities | 85 | — | 85 | 100.00 | |||||||||||
Net losses on derivatives and hedging activities | (6 | ) | (2 | ) | (4 | ) | (281.65 | ) | |||||||
Standby letters of credit fees | 7 | 7 | — | 12.60 | |||||||||||
Other | 2 | 2 | — | 39.08 | |||||||||||
Total noninterest income | $ | 93 | $ | 7 | $ | 86 | * |
• | the Bank’s joint and several liability for all FHLBank consolidated obligations; and |
• | the Bank’s outstanding commitments arising from standby letters of credit. |
• | Assistance to businesses, states, and municipalities. |
• | Creates a loan program for small businesses, non-profits and physician practices that can be forgiven through employee retention incentives. |
• | Provides the Treasury Secretary authority to make loans or loan guarantees to states, municipalities, and eligible businesses and loosens some regulations imposed through the Dodd-Frank Act. |
• | Direct payments to eligible taxpayers and their families. |
• | Expands eligibility for unemployment insurance and payment amounts. |
• | Includes mortgage forbearance provisions and a foreclosure moratorium. |
As of March 31, 2020 | |||||||||||
Par Value | |||||||||||
Advances (1) | Investments Securities | Consolidated Obligation Bonds | |||||||||
Variable-rate financial instruments outstanding: | |||||||||||
LIBOR | $ | 29,107 | $ | 20,506 | $ | 44,350 | |||||
SOFR | 12,800 | 50 | 18,217 | ||||||||
Other | 5,348 | 1,592 | — | ||||||||
Total variable-rate financial instruments outstanding | $ | 47,255 | $ | 22,148 | $ | 62,567 | |||||
LIBOR-indexed financial instruments by contractual maturity: | |||||||||||
Due before or on December 31, 2021 | $ | 26,715 | $ | 960 | $ | 44,350 | |||||
Due after December 31, 2021 | 2,392 | 19,546 | — | ||||||||
Total LIBOR-indexed financial instruments by contractual maturity | $ | 29,107 | $ | 20,506 | $ | 44,350 |
(1) | Includes all fixed-rate advances that have cap/floor optionality and excludes convertible advances. |
As of March 31, 2020 | |||||||
Pay Leg | Receive Leg | ||||||
Interest-rate swaps: | |||||||
Fixed | $ | 53,722 | $ | 40,764 | |||
LIBOR | 14,910 | 23,076 | |||||
SOFR | 14,313 | 15,604 | |||||
OIS | 12,242 | 15,743 | |||||
Total notional amount of interest-rate swaps | 95,187 | $ | 95,187 | ||||
Other derivatives with LIBOR exposure: | |||||||
Interest-rate caps or floors | 7,083 | ||||||
Total notional amount of derivatives | $ | 102,270 |
As of March 31, 2020 | |||||||||||||||||||
Notional Amount | |||||||||||||||||||
Pay Leg | Receive Leg | Interest-rate caps and floors | |||||||||||||||||
Cleared | Uncleared | Cleared | Uncleared | ||||||||||||||||
Terminates before or on December 31, 2021 | $ | 11,951 | $ | 1,213 | $ | 7,562 | $ | 215 | $ | 3,083 | |||||||||
Terminates after December 31, 2021 | 263 | 1,483 | 10,585 | 4,714 | 4,000 | ||||||||||||||
Total LIBOR-indexed derivatives by termination date | $ | 12,214 | $ | 2,696 | $ | 18,147 | $ | 4,929 | $ | 7,083 |
As of March 31, 2020 | As of December 31, 2019 | |||||||||||
Rating | Number of Borrowers | Par Value of Outstanding Advances | Number of Borrowers | Par Value of Outstanding Advances | ||||||||
1 | 94 | $ | 3,203 | 96 | $ | 2,387 | ||||||
2 | 70 | 21,911 | 62 | 14,958 | ||||||||
3 | 47 | 10,422 | 48 | 10,287 | ||||||||
4 | 99 | 58,656 | 91 | 61,269 | ||||||||
5 | 34 | 37,132 | 40 | 4,695 | ||||||||
6 | 7 | 67 | 7 | 79 | ||||||||
7 | 4 | 47 | 4 | 31 | ||||||||
8 | 1 | 16 | 1 | 16 | ||||||||
9 | 1 | 11 | 2 | 12 | ||||||||
10 | 3 | 30 | 3 | 31 | ||||||||
Subtotal (rating from 1 to 10) | 131,495 | 93,765 | ||||||||||
101 | 15 | 2,981 | 11 | 2,359 | ||||||||
102 | 3 | 276 | 3 | 298 | ||||||||
103 | 1 | 19 | 1 | 19 | ||||||||
104 | 3 | 52 | 1 | 15 | ||||||||
Subtotal (rating from 101 to 104) | 3,328 | 2,691 | ||||||||||
Unrated | 1 | 10 | — | — | ||||||||
Total par value | $ | 134,833 | $ | 96,456 |
Total Par Value of Outstanding Advances | LCV of Collateral Pledged by Members | First Mortgage Collateral (%) | Securities Collateral (%) | Other Real Estate Related Collateral (%) | |||||||||
As of March 31, 2020 | $ | 134,833 | $ | 381,294 | 66.73 | 9.15 | 24.12 | ||||||
As of December 31, 2019 | 96,456 | 348,964 | 66.00 | 8.32 | 25.68 |
• | instruments, such as common stock, that represent an ownership interest in an entity, other than stock in small business investment companies, or certain investments targeted to low-income people or communities; |
• | instruments issued by non-United States entities, other than those issued by United States branches and agency offices of foreign commercial banks; |
• | debt instruments that are not of investment quality, other than certain investments targeted to low-income people or communities and instruments that the Bank determined became less than investment quality because of developments or events that occurred after purchase by the Bank; |
• | whole mortgages or other whole loans, other than the following: (1) those acquired under the Bank’s mortgage purchase programs; (2) certain investments targeted to low-income people or communities; (3) certain marketable direct obligations of state, local, or tribal government units or agencies that are of investment quality; (4) MBS or asset-backed securities that are backed by manufactured housing loans or home equity loans; and (5) certain foreign housing loans that are authorized under section 12(b) of the FHLBank Act; |
• | interest-only or principal-only stripped MBS, collateralized mortgage obligations (CMOs), collateralized debt obligations, and real estate mortgage investment conduits (REMICs); |
• | residual-interest or interest-accrual classes of CMOs and REMICs; |
• | fixed-rate or variable-rate MBS, CMOs, and REMICs that are at rates equal to their contractual cap on the trade date and that have average lives that vary by more than six years under an assumed instantaneous interest-rate change of 300 basis points; and |
• | non-U.S. dollar denominated securities. |
As of March 31, 2020 | |||||||||||||||
Federal Funds Sold | Interest-bearing Deposits (1) | Net Derivative Exposure (2) | Total | ||||||||||||
Australia | $ | 1,500 | $ | — | $ | — | $ | 1,500 | |||||||
Austria | 450 | — | — | 450 | |||||||||||
Canada | 3,230 | — | 2 | 3,232 | |||||||||||
Finland | 1,700 | — | — | 1,700 | |||||||||||
France | 2,020 | — | — | 2,020 | |||||||||||
Germany | 1,450 | — | — | 1,450 | |||||||||||
Netherlands | 1,260 | — | — | 1,260 | |||||||||||
Norway | 1,495 | — | — | 1,495 | |||||||||||
Sweden | 175 | — | — | 175 | |||||||||||
Switzerland | — | — | 2 | 2 | |||||||||||
United States of America | 4,665 | 3,322 | 39 | 8,026 | |||||||||||
Total | $ | 17,945 | $ | 3,322 | $ | 43 | $ | 21,310 |
(1) | Interest-bearing deposits includes a $510 million with Truist Bank one of the Bank’s 10 largest borrowers, as of March 31, 2020. |
As of December 31, 2019 | |||||||||||||||
Federal Funds Sold (1) | Interest-bearing Deposits (2) | Net Derivative Exposure (3) | Total | ||||||||||||
Australia | $ | 975 | $ | — | $ | — | $ | 975 | |||||||
Austria | 500 | — | — | 500 | |||||||||||
Canada | 2,275 | — | 6 | 2,281 | |||||||||||
Finland | 1,150 | — | — | 1,150 | |||||||||||
Germany | 1,250 | — | — | 1,250 | |||||||||||
Japan | — | — | 1 | 1 | |||||||||||
Netherlands | 450 | — | — | 450 | |||||||||||
Norway | 1,495 | — | — | 1,495 | |||||||||||
Switzerland | — | — | 1 | 1 | |||||||||||
United States of America | 1,731 | 3,810 | 16 | 5,557 | |||||||||||
Total | $ | 9,826 | $ | 3,810 | $ | 24 | $ | 13,660 |
(1) | Federal funds sold includes $100 million with BankUnited, National Association, one of the Bank’s 10 largest borrowers as of December 31, 2019. |
As of March 31, 2020 | |||||||||||||||||||
Carrying Value (1) | |||||||||||||||||||
Investment Grade | |||||||||||||||||||
AAA | AA | A | BBB | Total | |||||||||||||||
Investment securities: | |||||||||||||||||||
Government-sponsored enterprises debt obligations | $ | — | $ | 3,637 | $ | — | $ | — | $ | 3,637 | |||||||||
U.S. Treasury obligations | — | 1,501 | — | — | 1,501 | ||||||||||||||
State or local housing agency debt obligations | — | 1 | — | — | 1 | ||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||
U.S. agency obligations-guaranteed residential | — | 83 | — | — | 83 | ||||||||||||||
Government-sponsored enterprises residential | — | 8,574 | — | — | 8,574 | ||||||||||||||
Government-sponsored enterprises commercial | 115 | 11,251 | — | — | 11,366 | ||||||||||||||
Total mortgage-backed securities | 115 | 19,908 | — | — | 20,023 | ||||||||||||||
Total investment securities | 115 | 25,047 | — | — | 25,162 | ||||||||||||||
Other investments: | |||||||||||||||||||
Interest-bearing deposits | — | 942 | 2,332 | 48 | 3,322 | ||||||||||||||
Federal funds sold | — | 6,350 | 11,160 | 435 | 17,945 | ||||||||||||||
Total other investments | — | 7,292 | 13,492 | 483 | 21,267 | ||||||||||||||
Total investments | $ | 115 | $ | 32,339 | $ | 13,492 | $ | 483 | $ | 46,429 |
As of December 31, 2019 | |||||||||||||||||||||||||||||||||||||||||||
Carrying Value (1) | |||||||||||||||||||||||||||||||||||||||||||
Investment Grade | Below Investment Grade | ||||||||||||||||||||||||||||||||||||||||||
AAA | AA | A | BBB | BB | B | CCC | CC | D | Unrated | Total | |||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||||
Government-sponsored enterprises debt obligations | $ | — | $ | 4,556 | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | — | $ | 4,556 | |||||||||||||||||||||
U.S. Treasury obligations | — | 1,499 | — | — | — | — | — | — | — | — | 1,499 | ||||||||||||||||||||||||||||||||
State or local housing agency debt obligations | — | 1 | — | — | — | — | — | — | — | — | 1 | ||||||||||||||||||||||||||||||||
Mortgage-backed securities: | |||||||||||||||||||||||||||||||||||||||||||
U.S. agency obligations-guaranteed residential | — | 89 | — | — | — | — | — | — | — | — | 89 | ||||||||||||||||||||||||||||||||
Government-sponsored enterprises residential | — | 8,642 | — | — | — | — | — | — | — | — | 8,642 | ||||||||||||||||||||||||||||||||
Government-sponsored enterprises commercial | 167 | 12,351 | — | — | — | — | — | — | — | — | 12,518 | ||||||||||||||||||||||||||||||||
Private-label residential | — | 38 | 44 | 47 | 54 | 18 | 210 | 34 | 48 | 383 | 876 | ||||||||||||||||||||||||||||||||
Total mortgage-backed securities | 167 | 21,120 | 44 | 47 | 54 | 18 | 210 | 34 | 48 | 383 | 22,125 | ||||||||||||||||||||||||||||||||
Total investment securities | 167 | 27,176 | 44 | 47 | 54 | 18 | 210 | 34 | 48 | 383 | 28,181 | ||||||||||||||||||||||||||||||||
Other investments: | |||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | — | 939 | 2,222 | 649 | — | — | — | — | — | — | 3,810 | ||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | 1,800 | 4,250 | 2,750 | — | — | — | — | — | — | 8,800 | ||||||||||||||||||||||||||||||||
Federal funds sold | — | 4,120 | 5,176 | 530 | — | — | — | — | — | — | 9,826 | ||||||||||||||||||||||||||||||||
Total other investments | — | 6,859 | 11,648 | 3,929 | — | — | — | — | — | — | 22,436 | ||||||||||||||||||||||||||||||||
Total investments | $ | 167 | $ | 34,035 | $ | 11,692 | $ | 3,976 | $ | 54 | $ | 18 | $ | 210 | $ | 34 | $ | 48 | $ | 383 | $ | 50,617 |
As of March 31, 2020 | ||||||||||||||||||||
Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparty | Other Collateral Pledged To (From) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||||
Non-member counterparties: | ||||||||||||||||||||
Asset positions with credit exposure: | ||||||||||||||||||||
Double-A | $ | 175 | $ | 2 | $ | (2 | ) | $ | — | $ | — | |||||||||
Single-A | 55 | — | — | — | — | |||||||||||||||
Cleared derivatives | 45,324 | 41 | 858 | — | 899 | |||||||||||||||
Liability positions with credit exposure: | ||||||||||||||||||||
Single-A | 9,797 | (390 | ) | 398 | — | 8 | ||||||||||||||
Triple-B | 6,759 | (177 | ) | 189 | — | 12 | ||||||||||||||
Cleared derivatives | 39,731 | (16 | ) | 75 | — | 59 | ||||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 101,841 | (540 | ) | 1,518 | — | 978 | ||||||||||||||
Member institutions (1) | 153 | 11 | — | (11 | ) | — | ||||||||||||||
Total | $ | 101,994 | $ | (529 | ) | $ | 1,518 | $ | (11 | ) | $ | 978 |
As of December 31, 2019 | |||||||||||||||||||
Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparty | Other Collateral Pledged To (From) Counterparty | Net Credit Exposure to Counterparties | |||||||||||||||
Non-member counterparties: | |||||||||||||||||||
Asset positions with credit exposure: | |||||||||||||||||||
Double-A | $ | 705 | $ | 6 | $ | (6 | ) | $ | — | $ | — | ||||||||
Single-A | 6,798 | 3 | (1 | ) | $ | — | 2 | ||||||||||||
Cleared derivatives | 23,766 | 15 | 336 | — | 351 | ||||||||||||||
Liability positions with credit exposure: | |||||||||||||||||||
Single-A | 5,189 | (165 | ) | 169 | — | 4 | |||||||||||||
Triple-B | 6,233 | (18 | ) | 20 | — | 2 | |||||||||||||
Cleared derivatives | 31,425 | (1 | ) | 18 | — | 17 | |||||||||||||
Total derivative positions with non-member counterparties to which the Bank had credit exposure | 74,116 | (160 | ) | 536 | — | 376 | |||||||||||||
Member institutions (1) | 141 | 4 | — | (4 | ) | — | |||||||||||||
Total | $ | 74,257 | $ | (156 | ) | $ | 536 | $ | (4 | ) | $ | 376 |
As of March 31, 2020 | As of December 31, 2019 | |||||||||||
Hedged Item / Hedging Instrument | Hedging Objective | Hedge Accounting Designation | Notional Amount | Notional Amount | ||||||||
Advances | ||||||||||||
Pay fixed, receive variable interest-rate swap (without options) | Converts the advance’s fixed rate to a variable-rate index. | Fair value hedges | $ | 2,388 | $ | 2,382 | ||||||
Pay fixed, receive variable interest-rate swap (with options) | Converts the advance’s fixed rate to a variable-rate index and offsets option risk in the advance. | Fair value hedges | 50,371 | 26,442 | ||||||||
Non-qualifying hedges | 150 | — | ||||||||||
Pay variable with embedded features, receive variable interest-rate swap (non-callable) | Reduces interest-rate sensitivity and repricing gaps by converting the advance’s variable rate to a different variable-rate index and/or offsets embedded option risk in the advance. | Fair value hedges | 51 | 43 | ||||||||
Pay-fixed with embedded features, receive-variable interest-rate swap (non-callable) | Reduces interest-rate sensitivity and repricing gaps by converting the advance’s fixed rate to a variable-rate index and/or offsets embedded option risk in the advance. | Fair value hedges | 505 | 260 | ||||||||
Pay variable with embedded features, receive variable interest-rate swap (callable) | Reduces interest-rate sensitivity and repricing gaps by converting the advance’s variable rate to a different variable-rate index and/or offsets embedded option risk in the advance. | Fair value hedges | 650 | 650 | ||||||||
Total | 54,115 | 29,777 | ||||||||||
Investments | ||||||||||||
Pay fixed, receive variable interest-rate swap | Converts the investment’s fixed rate to a variable-rate index. | Non-qualifying hedges | 56 | 56 | ||||||||
Consolidated Obligation Bonds | ||||||||||||
Receive fixed, pay variable interest-rate swap (without options) | Converts the bond’s fixed rate to a variable-rate index. | Fair value hedges | 13,056 | 14,033 | ||||||||
Receive fixed, pay variable interest-rate swap (with options) | Converts the bond’s fixed rate to a variable-rate index and offsets option risk in the bond. | Fair value hedges | 1,465 | 12,240 | ||||||||
Total | 14,521 | 26,273 | ||||||||||
Consolidated Obligation Discount Notes | ||||||||||||
Receive fixed, pay variable interest-rate swap | Converts the discount note’s fixed rate to a variable-rate index. | Fair value hedges | 26,090 | 17,587 | ||||||||
Balance Sheet | ||||||||||||
Pay fixed, receive variable interest-rate swap | Converts the asset or liability fixed rate to a variable-rate index. | Non-qualifying hedges | 100 | 100 | ||||||||
Interest-rate cap or floor | Protects against changes in income of certain assets due to changes in interest rates. | Non-qualifying hedges | 7,000 | 7,000 | ||||||||
Total | 7,100 | 7,100 | ||||||||||
Intermediary Positions and Other | ||||||||||||
Pay fixed, receive variable interest-rate swap, and receive fixed, pay variable interest-rate swap | To offset interest-rate swaps executed with members by executing interest-rate swaps with derivatives counterparties. | Non-qualifying hedges | 305 | 323 | ||||||||
Interest-rate cap or floor | To offset interest-rate caps or floors executed with members by executing interest-rate caps or floors with derivatives counterparties. | Non-qualifying hedges | 83 | 83 | ||||||||
Total | 388 | 406 | ||||||||||
Total notional amount | $ | 102,270 | $ | 81,199 |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||||
Down 200 Basis Points (1) | Current | Up 200 Basis Points | Down 200 Basis Points (1) | Current | Up 200 Basis Points | ||||||||||||
Assets | 0.33 | 0.12 | 0.22 | 0.23 | 0.21 | 0.28 | |||||||||||
Liabilities | 0.22 | 0.24 | 0.21 | 0.21 | 0.20 | 0.18 | |||||||||||
Equity | 2.31 | (2.46 | ) | 0.38 | 0.53 | 0.37 | 2.38 | ||||||||||
Effective duration gap | 0.11 | (0.12 | ) | 0.01 | 0.02 | 0.01 | 0.10 |
(1) | The “down 200 basis points” scenarios shown above are considered to be “constrained shocks,” intended to prevent the possibility of negative interest rates when a designated low rate environment exists. |
As of March 31, 2020 | As of December 31, 2019 | ||||||||||||||||||||||
Down 200 Basis Points (1) | Current | Up 200 Basis Points | Down 200 Basis Points (1) | Current | Up 200 Basis Points | ||||||||||||||||||
Assets | $ | 187,754 | $ | 186,110 | $ | 185,432 | $ | 149,996 | $ | 148,896 | $ | 148,146 | |||||||||||
Liabilities | 178,193 | 177,891 | 177,119 | 142,301 | 141,858 | 141,313 | |||||||||||||||||
Equity | 9,561 | 8,219 | 8,313 | 7,695 | 7,038 | 6,833 |
(1) | The “down 200 basis points” scenarios shown above are considered to be “constrained shocks,” intended to prevent the possibility of negative interest rates when a designated low rate environment exists. |
Exhibit No. | Description | Form | Exhibit | Dated Filed | ||||
3.1 | 8-K | 3.1 | 10/26/2012 | |||||
3.2 | 8-K | 3.2 | 10/31/2019 | |||||
4.1 | 8-K | 99.2 | 8/5/2011 | |||||
31.1 | ||||||||
31.2 | ||||||||
32.1 | ||||||||
101.INS | XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. | |||||||
101.SCH | XBRL Taxonomy Extension Schema Document. | |||||||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document. | |||||||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document. | |||||||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document. | |||||||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document. | |||||||
104 | The cover page of this Quarterly Report 10-Q, formatted in inline XBRL. | |||||||
+ Furnished herewith |
Federal Home Loan Bank of Atlanta | ||
Date: | May 8, 2020 | By /s/ W. Wesley McMullan |
Name: W. Wesley McMullan Title: President and Chief Executive Officer | ||
Date: | May 8, 2020 | By /s/ Haig H. Kazazian III |
Name: Haig H. Kazazian III Title: Senior Vice President and Chief Financial Officer |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Atlanta; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | May 8, 2020 | /s/ W. Wesley McMullan |
W. Wesley McMullan | ||
President and Chief Executive Officer |
1. | I have reviewed this quarterly report on Form 10-Q of the Federal Home Loan Bank of Atlanta; |
2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
3. | Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report; |
4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and have: |
(a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
(b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
(c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and |
(d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter (the registrant’s fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
5. | The registrant’s other certifying officer and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant’s auditors and the audit committee of the registrant’s board of directors (or persons performing the equivalent functions): |
(a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize and report financial information; and |
(b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
Date: | May 8, 2020 | /s/ Haig H. Kazazian III |
Haig H. Kazazian III | ||
Senior Vice President and | ||
Chief Financial Officer |
1. | The Report fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934; and |
2. | The information contained in the Report fairly presents, in all material respects, the financial condition and results of operations of the Registrant. |
Date: | May 8, 2020 | /s/ W. Wesley McMullan |
W. Wesley McMullan | ||
President and Chief Executive Officer | ||
Date: | May 8, 2020 | /s/ Haig H. Kazazian III |
Haig H. Kazazian III | ||
Senior Vice President and Chief Financial Officer | ||
Estimated Fair Values |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Fair Values | Estimated Fair Values The Bank records trading securities, available-for-sale securities, derivative assets and liabilities, and grantor trust assets (publicly-traded mutual funds) at estimated fair value on a recurring basis. Fair value is defined under GAAP 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. The transaction to sell the asset or transfer the liability is a hypothetical transaction at the measurement date, considered from the perspective of a market participant that holds the asset or owes the liability. In general, the transaction price will equal the exit price and therefore, represents the fair value of the asset or liability at initial recognition. In determining whether a transaction price represents the fair value of the asset or liability at initial recognition, each reporting entity is required to consider factors specific to the transaction, the asset or liability, the principal or most advantageous market for the asset or liability, and market participants with whom the entity would transact in the market. A fair value hierarchy is used to prioritize the inputs of valuation techniques used to measure fair value. The inputs are evaluated, and an overall level for the fair value measurement is determined. This overall level is an indication of how market-observable the fair value measurement is and defines the level of disclosure. In order to determine the fair value or the exit price, entities must determine the unit of account, highest and best use, principal market, and market participants. These determinations allow the reporting entity to define the inputs for fair value and level of hierarchy. Outlined below is the application of the “fair value hierarchy” to the Bank’s financial assets and liabilities that are carried at fair value or disclosed in the notes to the financial statements. Level 1 - inputs to the valuation methodology are quoted prices (unadjusted) for identical assets or liabilities in active markets. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. The Bank carried grantor trust assets at fair value hierarchy Level 1 as of March 31, 2020 and December 31, 2019. Level 2 - inputs to the valuation methodology include quoted prices for similar assets and liabilities in active markets and inputs that are observable for the asset or liability, either directly or indirectly, for substantially the full term of the financial instrument. The Bank carried trading securities and derivatives at fair value hierarchy Level 2 as of March 31, 2020 and December 31, 2019. Level 3 - inputs to the valuation methodology are unobservable and significant to the fair value measurement. Unobservable inputs are supported by limited market activity and reflect the entity’s own assumptions. The Bank carried available-for-sale securities at fair value hierarchy Level 3 as of December 31, 2019. The Bank utilizes valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classification of financial assets and liabilities on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities within the fair value hierarchy. Such reclassifications are reported as transfers in/out at fair value as of the beginning of the quarter in which the changes occur. There were no such transfers during the periods presented. Estimated Fair Value Measurements on a Recurring Basis. The following tables present, for each fair value hierarchy level, the Bank’s financial assets and liabilities that are measured at fair value on a recurring basis on its Statements of Condition.
____________ (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 with the same clearing agents and/or counterparty.
____________ (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 with the same clearing agents and/or counterparty. The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3).
____________ (1) Related to available-for-sale securities held at period end. Described below are the Bank’s fair value measurement methodologies for financial assets and liabilities that are measured at fair value on a recurring or nonrecurring basis on the Statements of Condition and categorized within Level 2 and Level 3 of the fair value hierarchy. Investment securities. The Bank obtains prices from multiple designated third-party pricing vendors, when available, to estimate the fair value of its investment securities. The pricing vendors use various proprietary models to price investment securities. The inputs to those models are derived from various sources including, but not limited to, the following: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. Since many investment securities do not trade on a daily basis, the pricing vendors use available information as applicable, such as benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all investment securities valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. The Bank periodically conducts reviews of its pricing vendors to confirm and further augment its understanding of the vendors’ pricing processes, methodologies, and control procedures for U.S. agency MBS. The Bank’s valuation technique for estimating the fair value of its investment securities 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 “resultant” price. All 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 final price rather than the resultant price. Alternatively, if the analysis does not provide evidence that an outlier is more representative of the fair value, and the resultant price is the best estimate, then the resultant 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 resultant price, and the final price is determined by an evaluation of all outlier prices as described above. Multiple third-party vendor prices were received for a majority of the Bank’s investment securities holdings, and the final prices for those securities were computed by averaging the prices received as of March 31, 2020 and December 31, 2019. Based on the Bank’s review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or the Bank’s additional analysis in those instances in which there were outliers or significant yield variances), the Bank believes that its 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. Based on the lack of significant market activity for private-label MBS, the fair value measurement for those securities were classified as Level 3 within the fair value hierarchy as of December 31, 2019. Derivative assets and liabilities. The Bank calculates the fair values of interest-rate related derivatives using a discounted cash flow analysis which utilizes market-observable inputs. The inputs for interest-rate related derivatives uses the Overnight Index Swap curve for collateralized derivatives. Derivative instruments are transacted primarily in the institutional dealer market and priced with observable market assumptions at a mid-market valuation point. The Bank does not provide a credit valuation adjustment based on aggregate exposure by derivative counterparty when measuring the fair value of its derivatives. This is because the collateral provisions pertaining to the Bank’s derivatives obviate the need to provide such a credit valuation adjustment. The fair values of the Bank’s derivatives take into consideration the effects of legally enforceable master netting agreements, where applicable, that allow the Bank to settle positive and negative positions and offset cash collateral with the same counterparty on a net basis. The Bank and each uncleared derivative counterparty have collateral thresholds that take into account both the Bank’s and the counterparty’s credit ratings. As a result of these practices and agreements, the Bank has concluded that the impact of the credit differential between the Bank and its derivative counterparties was mitigated to an immaterial level, and no further adjustments were deemed necessary to the recorded fair values of derivative assets and liabilities on the Statements of Condition as of March 31, 2020 and December 31, 2019. The following estimated fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of March 31, 2020 and December 31, 2019. Although the Bank uses its best judgment in estimating the fair values of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases, fair values are not subject to precise quantification or verification and may change as economic and market factors and evaluation of those factors change. Therefore, these estimated fair values are not necessarily indicative of the amounts that would be realized in current market transactions although they do reflect the Bank’s judgment of how a market participant would estimate the fair value. The fair value tables presented below do not represent an estimate of the overall fair value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of assets versus liabilities. The following tables present the carrying values and estimated fair values of the Bank’s financial instruments.
____________ (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 with the same clearing agents and/or counterparty.
____________ (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 with the same clearing agents and/or counterparty.
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Available-for-sale Securities |
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Debt Securities, Available-for-sale [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities | Available-for-sale Securities During the three-months ended March 31, 2020, the Bank sold all of its available-for-sale private-label mortgage-backed securities (MBS). Proceeds from the sale of the available-for-sale private-label MBS totaled $726, which resulted in a net realized gain of $82 determined by the specific identification method. There were no sales during the three-months ended March 31, 2019. Major Security Type. The following table presents information on private-label residential MBS that are classified as available-for-sale.
____________ (1) Amounts represent the non-credit portion of an other-than-temporary impairment during the life of the security. The following table presents private-label residential MBS that are classified as available-for-sale with unrealized losses. The unrealized losses are aggregated by the length of time that the individual securities have been in a continuous unrealized loss position.
The following table presents private-label residential MBS that are classified as available-for-sale and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC.
____________ (1) Amounts represent the non-credit portion of an other-than-temporary impairment during the life of the security.
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Consolidated Obligations |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated Obligations | Consolidated Obligations Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are the joint and several obligations of the 11 Federal Home Loan Banks (FHLBanks) and are backed only by the financial resources of the FHLBanks. The Federal Home Loan Banks Office of Finance (Office of Finance) tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks its specific portion of consolidated obligations for which it is the primary obligor and records it as a liability. Interest-rate Payment Terms. The following table presents the Bank’s consolidated obligation bonds by interest-rate payment type.
Redemption Terms. The following table presents the Bank’s participation in consolidated obligation bonds outstanding by year of contractual maturity.
The following table presents the Bank’s consolidated obligation bonds outstanding by call feature.
The following table presents the Bank’s consolidated obligation bonds outstanding, by year of contractual maturity, or for callable consolidated obligation bonds, by next call date.
Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds and have original contractual maturities of up to one year. These consolidated obligation discount notes are issued at less than their face amounts and redeemed at par value when they mature. The following table presents the Bank’s participation in consolidated obligation discount notes.
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Basis of Presentation Accounting Policies (Details) - Federal Funds Sold [Domain] - USD ($) |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Measurement of Credit Losses on Financial Instruments | ||
Allowance for Credit Loss | $ 0 | $ 0 |
Accrued Interest Receivable | $ 3 | $ 10 |
Derivatives and Hedging Activities (Tables) |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value of Derivative Instruments | The following table presents the notional amount, fair value of derivative instruments, and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.
___________ (1) Includes variation margin for daily settled contracts of $1,575 and $503 as of March 31, 2020 and December 31, 2019, respectively. (2) 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 with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,533 and $543 as of March 31, 2020 and December 31, 2019, respectively. Cash collateral received and related accrued interest was $2 and $25 as of March 31, 2020 and December 31, 2019, respectively. |
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Net Gains (Losses) on Fair Value Hedging Relationships | The following tables present the net gains (losses) on fair value hedging relationships.
____________ (1) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (2) Excludes the interest income/expense of the respective hedged items.
____________ (1) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (2) Excludes the interest income/expense of the respective hedged items. |
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Cumulative Basis Adjustments for Fair Value Hedges | The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items.
___________ (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.
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Derivatives Not Designated as Hedging Instruments [Table Text Block] | The following table presents net losses related to derivatives and hedging activities recorded in noninterest income on the Statements of Income.
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Offsetting Assets [Table Text Block] | The following table presents the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.
____________ (1) The Bank had net credit exposure of $20 and $6 as of March 31, 2020 and December 31, 2019, due to instances where the Bank’s pledged collateral to a counterparty exceeded the Bank’s net derivative liability position.
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Consolidated Obligations (Interest-rate Payment Terms) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Debt Instrument [Line Items] | ||
Bonds par value | $ 81,783 | $ 88,483 |
Fixed-rate [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | 18,956 | 30,810 |
Step up/down [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | 260 | 735 |
Simple variable-rate [Member] | ||
Debt Instrument [Line Items] | ||
Bonds par value | $ 62,567 | $ 56,938 |
Consolidated Obligations (Discount Notes) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Short-term Debt [Line Items] | ||
Discount notes | $ 96,490 | $ 52,134 |
Short-term Debt [Member] | ||
Short-term Debt [Line Items] | ||
Discount notes | 96,490 | 52,134 |
Discount notes par value | $ 96,636 | $ 52,298 |
Discount notes weighted average interest rate | 0.86% | 1.64% |
Commitments and Contingencies (Narrative) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Loss Contingencies [Line Items] | ||
The FHLBank's outstanding consolidated obligations for which the Bank is jointly and severally liable | $ 996,251 | $ 885,114 |
Other liabilities | 198 | 256 |
Standby Letters of Credit [Member] | ||
Loss Contingencies [Line Items] | ||
Other liabilities | $ 101 | $ 117 |
Statements of Condition (Unaudited) (Parenthetical) - USD ($) shares in Millions, $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
---|---|---|
Deposits with other FHLBanks | $ 5 | $ 5 |
Debt Securities, Available-for-sale, Amortized Cost | 0 | 643 |
Held-to-maturity securities, fair value | 23,476 | 25,903 |
Total allowance for credit losses | $ 1 | $ 1 |
Capital stock Class B putable par value (per share) | $ 100 | $ 100 |
Subclass B1 [Member] | ||
Capital stock, shares issued | 10 | 9 |
Capital stock, shares outstanding | 10 | 9 |
Subclass B2 [Member] | ||
Capital stock, shares issued | 57 | 41 |
Capital stock, shares outstanding | 57 | 41 |
Advances (Advances by Year of Contractual Maturity for Convertible Advances) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Advances [Abstract] | ||
Due or convertible in one year or less | $ 88,496 | $ 68,520 |
Due or convertible after one year through two years | 9,058 | 7,437 |
Due or convertible after two years through three years | 11,368 | 5,319 |
Due or convertible after three years through four years | 8,048 | 3,342 |
Due or convertible after four years through five years | 10,512 | 4,529 |
Due or convertible after five years | 7,351 | 7,309 |
Federal Home Loan Bank, Advances, Par Value | $ 134,833 | $ 96,456 |
Held-to-maturity Securities (Held-to-maturity by Major Security Type) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | $ 23,599.0 | $ 25,939.0 | ||
Held-to-maturity securities, Gross Unrealized Gains | 50.0 | 28.0 | ||
Held-to-maturity securities, Gross Unrealized Loss | (173.0) | (64.0) | ||
Held-to-maturity securities, fair value | 23,476.0 | 25,903.0 | ||
Held-to -maturity Securities accrued interest receivable | [1] | 25.0 | 27.0 | |
State or local housing agency debt obligations | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | 1.0 | 1.0 | ||
Held-to-maturity securities, Gross Unrealized Gains | 0.0 | 0.0 | ||
Held-to-maturity securities, Gross Unrealized Loss | 0.0 | 0.0 | ||
Held-to-maturity securities, fair value | 1.0 | 1.0 | ||
Government-Sponsored Enterprises Debt Obligations [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | 3,575.0 | 4,497.0 | ||
Held-to-maturity securities, Gross Unrealized Gains | 7.0 | 7.0 | ||
Held-to-maturity securities, Gross Unrealized Loss | (1.0) | 0.0 | ||
Held-to-maturity securities, fair value | 3,581.0 | 4,504.0 | ||
Mortgage-backed Securities, Private-label residential[Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | 0.0 | 192.0 | ||
Held-to-maturity securities, Gross Unrealized Gains | 0.0 | 1.0 | ||
Held-to-maturity securities, Gross Unrealized Loss | 0.0 | (1.0) | ||
Held-to-maturity securities, fair value | 0.0 | 192.0 | ||
Residential [Member] | U.S. agency obligations-guaranteed residential | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | 83.0 | 89.0 | ||
Held-to-maturity securities, Gross Unrealized Gains | 0.0 | 0.0 | ||
Held-to-maturity securities, Gross Unrealized Loss | 0.0 | 0.0 | ||
Held-to-maturity securities, fair value | 83.0 | 89.0 | ||
Residential [Member] | Government-sponsored enterprises | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | 8,574.0 | 8,642.0 | ||
Held-to-maturity securities, Gross Unrealized Gains | 43.0 | 20.0 | ||
Held-to-maturity securities, Gross Unrealized Loss | (64.0) | (29.0) | ||
Held-to-maturity securities, fair value | 8,553.0 | 8,633.0 | ||
Commercial [Member] | Government-sponsored enterprises | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | 11,366.0 | 12,518.0 | ||
Held-to-maturity securities, Gross Unrealized Gains | 0.0 | 0.0 | ||
Held-to-maturity securities, Gross Unrealized Loss | (108.0) | (34.0) | ||
Held-to-maturity securities, fair value | $ 11,258.0 | $ 12,484.0 | ||
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Derivatives and Hedging Activities (Narrative) (Details) $ in Millions |
3 Months Ended |
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Mar. 31, 2020
USD ($)
| |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |
Document Period End Date | Mar. 31, 2020 |
Derivative, Net Liability Position, Aggregate Fair Value | $ 10 |
Collateral already posted, aggregate fair value | 0 |
Additional Collateral, Aggregate Fair Value | $ 5 |
Capital and Mandatorily Redeemable Capital Stock (Mandatorily Redeemable Capital Stock Roll-forward) (Details) - USD ($) $ in Millions |
3 Months Ended | |
---|---|---|
Mar. 31, 2020 |
Mar. 31, 2019 |
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Capital [Abstract] | ||
Balance, beginning of period | $ 1 | $ 1 |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock | 2 | 0 |
Repurchase/redemption of mandatorily redeemable capital stock | (2) | 0 |
Balance, end of period | $ 1 | $ 1 |
Derivatives and Hedging Activities (Net Gains (Losses) on Fair Value Hedging Relationships) (Details) - USD ($) $ in Millions |
3 Months Ended | |||||
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Mar. 31, 2020 |
Mar. 31, 2019 |
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Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Interest Income, Federal Home Loan Bank Advances | $ 419 | $ 656 | ||||
Interest Expense, Other Long-term Debt | 342 | 466 | ||||
Interest Income [Member] | Advances [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 1,505 | 275 | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (1,514) | (271) | ||||
GainLossonFairValueHedgesRecognizedinNetInterestIncomeBeforePriceAlignmentInterest | (9) | 4 | ||||
Net Interest Settlements | [1],[2] | (30) | 21 | |||
Amortization Accretion of Active Hedging Relationships | (11) | (6) | ||||
Other Effects from Fair Value Hedging Relationships | 2 | (1) | ||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (48) | 18 | ||||
Interest Expense [Member] | Unsecured Debt [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (43) | (89) | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 50 | 85 | ||||
GainLossonFairValueHedgesRecognizedinNetInterestIncomeBeforePriceAlignmentInterest | 7 | (4) | ||||
Net Interest Settlements | [1],[2] | 7 | (18) | |||
Amortization Accretion of Active Hedging Relationships | 0 | 0 | ||||
Other Effects from Fair Value Hedging Relationships | 0 | 0 | ||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | 14 | $ (22) | ||||
Interest Expense [Member] | Short-term Debt [Member] | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (25) | |||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 9 | |||||
GainLossonFairValueHedgesRecognizedinNetInterestIncomeBeforePriceAlignmentInterest | (16) | |||||
Net Interest Settlements | [1],[2] | 12 | ||||
Amortization Accretion of Active Hedging Relationships | 0 | |||||
Other Effects from Fair Value Hedging Relationships | 0 | |||||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | $ (4) | |||||
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Basis of Presentation (Policies) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Basis of Accounting [Text Block] | The accompanying unaudited interim financial statements of the Federal Home Loan Bank of Atlanta (Bank) have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP). To prepare the financial statements in conformity with GAAP, management must make estimates and assumptions that affect the reported amounts of assets and liabilities as of the date of the financial statements and income and expenses during the reporting period. Actual results could be different from these estimates. The foregoing interim financial statements are unaudited; however, in the opinion of management, all adjustments, consisting only of normal recurring adjustments necessary for a fair statement of the results for the interim periods, have been included. The results of operations for interim periods are not necessarily indicative of results to be expected for the year ending 2020, or for other interim periods. The unaudited interim financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2019, which are contained in the Bank’s 2019 Annual Report on Form 10-K filed with the Securities and Exchange Commission (SEC) on March 5, 2020 (Form 10-K). The Bank has certain financial instruments, including derivative instruments and securities purchased under agreements to resell, that are subject to offset under master netting arrangements or by operation of law. Additional information regarding derivative instruments is provided in Note 11—Derivatives and Hedging Activities to the Bank’s interim financial statements. The Bank does not have any offsetting liabilities related to its securities purchased under agreements to resell for the periods presented. Based on the fair value of the related securities held as collateral, the securities purchased under agreements to resell were fully collateralized for the periods presented. Refer to Note 2—Summary of Significant Accounting Policies to the Bank’s 2019 audited financial statements for a description of all the Bank’s significant accounting policies. There have been no changes to these policies as of March 31, 2020, except for policy updates related to new accounting guidance pertaining to the measurement of credit losses on financial instruments which is described below.
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Credit Loss, Financial Instrument [Policy Text Block] | Beginning on January 1, 2020, the Bank adopted new accounting guidance pertaining to the measurement of credit losses on financial instruments that requires a financial asset or group of financial assets measured at amortized cost to be presented at the net amount expected to be collected. The new guidance also requires credit losses relating to these financial instruments as well as available-for-sale securities to be recorded through the allowance for credit losses. Key changes as compared to prior accounting guidance are detailed below. Consistent with the modified retrospective method of adoption, the prior period has not been revised to conform to the new basis of accounting. Refer to Note 2—Summary of Significant Accounting Policies to the Bank’s 2019 audited financial statements for information on the prior accounting treatment. Interest-bearing Deposits, Securities Purchased under Agreements to resell, and Federal Funds Sold. Interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statements of Condition. These investments are generally transacted with counterparties that have received a credit rating of triple-B or greater (investment grade) by a nationally recognized statistical rating organization (NRSRO) including the the following: Standard and Poor’s (S&P), Moody’s Investors Service (Moody’s), and Fitch Ratings. All of these investments were with counterparties rated investment grade as of March 31, 2020. These investments are evaluated quarterly for expected credit losses. If applicable, an allowance for credit losses is recorded with a corresponding credit loss expense (or reversal of credit loss expense). The Bank uses the collateral maintenance provision practical expedient to evaluate potential credit losses related to securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. Securities purchased under agreements to resell are short-term and are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. The Bank did not have any securities purchased under agreements to resell as of March 31, 2020. Federal funds sold are unsecured loans that are generally transacted on an overnight term. All investments in interest-bearing deposits and federal funds sold were repaid or expected to be repaid according to the contractual terms as of March 31, 2020 and December 31, 2019. No allowance for credit losses was recorded for these assets as of March 31, 2020 and December 31, 2019. The carrying values of interest-bearing deposits excludes accrued interest receivable that was not material as of March 31, 2020 and December 31, 2019. The carrying values of federal funds sold excludes accrued interest receivable of $3 and $10 as of March 31, 2020 and December 31, 2019, respectively. Held-to-maturity Securities. Securities that the Bank has both the ability and intent to hold to maturity are classified as held-to-maturity and carried at amortized cost, which is original cost net of periodic principal repayments and amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statements of Condition. Held-to-maturity securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. If applicable, an allowance for credit losses is recorded with a corresponding credit loss expense (or reversal of credit loss expense). The allowance for credit losses excludes uncollectible accrued interest receivable, which is measured separately. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the held-to-maturity security carrying value. The Bank’s held-to-maturity securities consist of U.S. agency obligations, government-sponsored enterprise debt obligations, state or local housing agency debt obligations, and MBS issued by the Government National Mortgage Association (Ginnie Mae), the Federal Home Loan Mortgage Corporation (Freddie Mac), and the Federal National Mortgage Association (Fannie Mae) that are backed by single-family or multifamily mortgage loans. The Bank only purchase securities considered investment quality. All of these investments were rated double-A, or above, by a NRSRO as of March 31, 2020, based on the lowest long-term credit rating for each security. The Bank evaluates its held-to-maturity securities for impairment on a collective, or pooled basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. The Bank has not established an allowance for credit loss on any of its held-to-maturity securities as of March 31, 2020 because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor did the Bank expect, any payment default on the instruments, and (3) in the case of U.S., government-sponsored enterprises, or other agency obligations, carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. Advances. Advances are carried at amortized cost, which is original cost net of periodic principal repayments and amortization of premiums and accretion of discounts (including discounts related to the Affordable Housing Program and Economic Development and Growth Enhancement Program), net deferred fees or costs, and fair value hedge adjustments. Accrued interest receivable is recorded separately on the Statements of Condition. The advances are evaluated quarterly for expected credit losses. If applicable, an allowance for credit losses is recorded with a corresponding credit loss expense (or reversal of credit loss expense). Refer to Note 2—Summary of Significant Accounting Policies to the Bank’s 2019 audited financial statements for details on the allowance methodologies related to advances. Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are recorded at amortized cost, which is original cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, fair value hedge adjustments on loans initially classified as mortgage loan commitments, and direct write-downs. Accrued interest receivable is recorded separately on the Statements of Condition. The Bank performs at least quarterly an assessment of its mortgage loans held for portfolio to estimate expected credit losses. If applicable, an allowance for credit losses is recorded with a corresponding credit loss expense (or reversal of credit loss expense). The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the allowance for credit losses, the Bank measures the estimated loss over the remaining life of a mortgage loan, which also considers how the Bank’s credit enhancements mitigate credit losses. If a loan was purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as the Bank write-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. Refer to Note 2—Summary of Significant Accounting Policies to the Bank’s 2019 audited financial statements for details on the allowance methodologies related to mortgage loans. Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposure on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses on these off-balance sheet exposures is recorded in other liabilities with a corresponding credit loss expense (or reversal of credit loss expense). The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. In addition, standby letters of credit are fully collateralized from the time of issuance. The Bank has established parameters for the measurement, review, classification, and monitoring of credit risk related to these standby letters of credit that result in an internal credit rating, which focuses primarily on an institution’s overall financial health and takes into account the quality of assets, earnings, and capital position. In general, borrowers categorized into the highest risk rating category have more restrictions on the types of collateral that they may use to secure standby letters of credit, may be required to maintain higher collateral maintenance levels and deliver loan collateral, and may face more stringent collateral reporting requirements. Based on the Bank’s credit analyses and collateral requirements, the Bank does not deem it necessary to record any additional liability on the Statements of Condition for these commitments as of March 31, 2020.
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New Accounting Pronouncements, Policy [Policy Text Block] | The following tables provide a summary of accounting guidance issued by the Financial Accounting Standards Board that was adopted, and recently issued guidance not yet adopted, which may impact the Bank’s financial statements. Recently Adopted Accounting Guidance
Recently Issued Accounting Guidance Not Yet Adopted
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Advances (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Advances [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank, Advances | Redemption Terms. The following table presents the Bank’s advances outstanding by year of contractual maturity.
___________ (1) The Affordable Housing Program (2) The Economic Development and Growth Enhancement Program (3) Carrying amounts exclude accrued interest receivable of $173 and $214 as of March 31, 2020 and December 31, 2019, respectively. The following table presents advances by year of contractual maturity or, for convertible advances, next conversion date.
Interest-rate Payment Terms. The following table presents interest-rate payment terms for advances.
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Advances (Interest-rate Payment Terms) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Advances [Abstract] | ||
Fixed-rate, due in one year or less | $ 41,548 | $ 36,366 |
Fixed-rate, due after one year | 46,865 | 25,985 |
Total fixed-rate | 88,413 | 62,351 |
Variable-rate, due in one year or less | 41,145 | 28,047 |
Variable-rate, due after one year | 5,275 | 6,058 |
Total variable-rate | 46,420 | 34,105 |
Federal Home Loan Bank, Advances, Par Value | $ 134,833 | $ 96,456 |
Held-to-maturity Securities (Redemption Terms) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | $ 23,599.0 | $ 25,939.0 | ||
Estimated fair value of held-to-maturity securities | 23,476.0 | 25,903.0 | ||
Held-to -maturity Securities accrued interest receivable | [1] | 25.0 | 27.0 | |
Non Mortgage Backed Securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities due in one year or less | 890.0 | 1,202.0 | ||
Amortized cost of held-to-maturity securities due after one year through five years | 2,425.0 | 3,035.0 | ||
Amortized cost of held-to-maturity securities due after five years through ten years | 201.0 | 201.0 | ||
Due after 10 years | 60.0 | 60.0 | ||
Amortized cost of held-to-maturity securities | 3,576.0 | 4,498.0 | ||
Estimated fair value of held-to-maturity securities due in one year or less | 890.0 | 1,203.0 | ||
Estimated fair value of held-to-maturity securities due after one year through five years | 2,428.0 | 3,037.0 | ||
Estimated fair value of held-to-maturity securities due after five years through ten years | 203.0 | 204.0 | ||
Due after 10 years | 61.0 | 61.0 | ||
Estimated fair value of held-to-maturity securities | 3,582.0 | 4,505.0 | ||
Mortgage-backed securities [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized cost of held-to-maturity securities | 20,023.0 | 21,441.0 | ||
Estimated fair value of held-to-maturity securities | $ 19,894.0 | $ 21,398.0 | ||
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Capital and Mandatorily Redeemable Capital Stock Schedule of Declared and Paid Quarterly Dividends (Details) - USD ($) $ in Millions |
3 Months Ended | |
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Mar. 31, 2020 |
Mar. 31, 2019 |
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Statement of Stockholders' Equity [Abstract] | ||
Dividends, Common Stock, Cash | $ 76 | $ 85 |
Common Stock Dividend-Annualized Rate | 5.93% | 6.47% |
Derivatives and Hedging Activities (Fair Value of Derivative Instruments) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Derivative [Line Items] | ||||||||
Derivative, Notional Amount | $ 102,270 | $ 81,199 | ||||||
Variation Margin for Daily Settled Contracts, Net | 1,575 | 503 | ||||||
Cash collateral posted | 1,533 | 543 | ||||||
Cash collateral received | 2 | 25 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 82 | 76 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 635 | 222 | ||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2] | 907 | 304 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (625) | (215) | |||||
Derivative assets | 989 | 380 | ||||||
Derivative liabilities | 10 | 7 | ||||||
Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative, Notional Amount | [3] | 94,576 | 73,637 | |||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [3] | 70 | 71 | |||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [3] | 631 | 221 | |||||
Not Designated as Hedging Instrument [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative, Notional Amount | 7,694 | 7,562 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 12 | 5 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 4 | 1 | ||||||
Not Designated as Hedging Instrument [Member] | Interest rate swaps [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative, Notional Amount | [3] | 611 | 478 | |||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [3] | 11 | 5 | |||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [3] | 3 | 1 | |||||
Not Designated as Hedging Instrument [Member] | Interest rate caps or floors [Member] | ||||||||
Derivative [Line Items] | ||||||||
Derivative, Notional Amount | 7,083 | 7,084 | ||||||
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 1 | 0 | ||||||
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 1 | $ 0 | ||||||
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Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Derivatives, Fair Value [Line Items] | ||||||||
Derivative Asset, Fair Value, Gross Asset | $ 82 | $ 76 | ||||||
Derivative Liability, Fair Value, Gross Liability | 635 | 222 | ||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1],[2] | 907 | 304 | |||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1],[2] | (625) | (215) | |||||
Derivative assets | 989 | 380 | ||||||
Derivative liabilities | 10 | 7 | ||||||
Derivative, Collateral, Obligation to Return Securities | [3] | 11 | 4 | |||||
Derivative, Collateral, Right to Reclaim Securities | [3] | 0 | 0 | |||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | [3] | 978 | 376 | |||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | [3] | 10 | 7 | |||||
Credit Risk Contract [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Credit Derivative Exposure Net | 20 | 6 | ||||||
Uncleared derivatives [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative Asset, Fair Value, Gross Asset | 30 | 59 | ||||||
Derivative Liability, Fair Value, Gross Liability | 608 | 219 | ||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 1 | (47) | ||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (598) | (212) | ||||||
Derivative assets | 31 | 12 | ||||||
Derivative liabilities | 10 | 7 | ||||||
Derivative, Collateral, Obligation to Return Securities | [3] | 11 | 4 | |||||
Derivative, Collateral, Right to Reclaim Securities | [3] | 0 | 0 | |||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | [3] | 20 | 8 | |||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | [3] | 10 | 7 | |||||
Cleared derivatives [Member] | ||||||||
Derivatives, Fair Value [Line Items] | ||||||||
Derivative Asset, Fair Value, Gross Asset | 52 | 17 | ||||||
Derivative Liability, Fair Value, Gross Liability | 27 | 3 | ||||||
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | 906 | 351 | ||||||
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (27) | (3) | ||||||
Derivative assets | 958 | 368 | ||||||
Derivative liabilities | 0 | 0 | ||||||
Derivative, Collateral, Obligation to Return Securities | [3] | 0 | 0 | |||||
Derivative, Collateral, Right to Reclaim Securities | [3] | 0 | 0 | |||||
Derivative Asset, Fair Value, Amount Offset Against Collateral | [3] | 958 | 368 | |||||
Derivative Liability, Fair Value, Amount Offset Against Collateral | [3] | $ 0 | $ 0 | |||||
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Subsequent Events |
9 Months Ended |
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Sep. 30, 2019 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events On April 30, 2020, the Bank's board of directors approved a cash dividend for the first quarter of 2020. The Bank paid the first quarter 2020 dividend on May 5, 2020 in the amount of $70.
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Held-to-maturity Securities (Tables) |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Unrealized Loss on Investments | The following table presents private-label residential MBS that are classified as available-for-sale with unrealized losses. The unrealized losses are aggregated by the length of time that the individual securities have been in a continuous unrealized loss position.
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Held-to-maturity Securities [Member] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-maturity Securities [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Held-to-Maturity Securities | Major Security Types. The following table presents held-to-maturity securities.
____________ (1) Excludes accrued interest receivable of $25 and $27 as of March 31, 2020 and December 31, 2019, respectively. |
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Amortized Cost and Estimated Fair Value of Held-to-Maturity Securities by Contractual Maturity | Redemption Terms. The following table presents the amortized cost and estimated fair value of held-to-maturity securities by contractual maturity. MBS are not presented by contractual maturity because their actual maturities may differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.
____________ (1) Excludes accrued interest receivable of $25 and $27 as of March 31, 2020 and December 31, 2019, respectively.
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Held-to-Maturity MBS Issued by Members or Affiliates of Members | The following table presents private-label residential MBS that are classified as held-to-maturity and issued by members or affiliates of members, all of which have been issued by Bank of America Corporation, Charlotte, NC.
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Trading Securities |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Debt Securities, Trading, Gain (Loss) [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities | Trading Securities Major Security Types. The following table presents trading securities.
The following table presents net gains on trading securities.
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Mortgage Loans Held for Portfolio |
3 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Mar. 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio The following table presents information on mortgage loans held for portfolio by contractual maturity at the time of purchase.
____________ (1) Exclude accrued interest receivable of $1 as of March 31, 2020 and December 31, 2019. The following table presents the unpaid principal balance of mortgage loans held for portfolio by collateral or guarantee type.
The following table presents the activity in the allowance for credit losses related to conventional residential mortgage loans.
Payment status is a key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Other delinquency statistics include, non-accrual loans and loans in process of foreclosure. The following tables present the payment status for conventional mortgage loans.
____________ (1) Amortized cost excludes accrued interest receivable of $1 as of March 31, 2020.
____________ (1) Recorded investment includes accrued interest receivable of $1 as of December 31, 2019. The following tables present the other delinquency statistics for all mortgage loans.
____________ (1) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in-lieu, has been reported. (2) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage loan portfolio segment. (3) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. (4) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest. As of March 31, 2020, none of these conventional mortgage loans on non-accrual status had an associated allowance for credit losses.
____________ (1) Includes mortgage loans where the decision of foreclosure or similar alternative, such as a pursuit of deed-in-lieu, has been reported. (2) Mortgage loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total mortgage loan portfolio segment. (3) Mortgage loans insured or guaranteed by the Federal Housing Administration or the Department of Veterans Affairs. (4) Represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest.
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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 on its interest-bearing liabilities that finance these assets. To mitigate the risk of loss, the Bank has established policies and procedures, which include guidelines on the amount of exposure to interest-rate changes that it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin, and average maturity of its interest-earning assets and funding sources. The goal of the Bank’s interest-rate risk management strategies is not to eliminate interest-rate risk, but to manage it within appropriate limits. The Bank enters into derivatives to manage the interest-rate risk exposure that is inherent in its otherwise unhedged assets and funding sources, to achieve the Bank’s risk management objectives, and to act as an intermediary between its members and counterparties. The Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. The Bank’s over-the-counter derivatives transactions may either be (1) uncleared derivatives, which are executed bilaterally with a counterparty; or (2) cleared derivatives, which are cleared through a Futures Commission Merchant (clearing agent) with a Derivatives Clearing Organization (Clearinghouse). Once a derivatives transaction has been accepted for clearing by a Clearinghouse, the derivatives transaction is novated, and the executing counterparty is replaced with the Clearinghouse as the counterparty. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. For additional information on the Bank’s derivatives and hedging activities, see Note 17—Derivatives and Hedging Activities to the 2019 audited financial statements contained in the Bank’s Form 10-K. Financial Statement Effect and Additional Financial Information Derivative Notional Amounts. The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged, and any offsets between the derivatives and the items being hedged. The following table presents the notional amount, fair value of derivative instruments, and total derivative assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest.
___________ (1) Includes variation margin for daily settled contracts of $1,575 and $503 as of March 31, 2020 and December 31, 2019, respectively. (2) 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 with the same clearing agents and/or counterparty. Cash collateral posted and related accrued interest was $1,533 and $543 as of March 31, 2020 and December 31, 2019, respectively. Cash collateral received and related accrued interest was $2 and $25 as of March 31, 2020 and December 31, 2019, respectively. The following tables present the net gains (losses) on fair value hedging relationships.
____________ (1) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (2) Excludes the interest income/expense of the respective hedged items.
____________ (1) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (2) Excludes the interest income/expense of the respective hedged items. The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items.
___________ (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. The following table presents net losses related to derivatives and hedging activities recorded in noninterest income on the Statements of Income.
Managing Credit Risk on Derivatives The Bank is subject to credit risk to its derivative transactions due to the risk of nonperformance by counterparties and manages this risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Additionally, collateral related to derivatives with member institutions includes collateral assigned to the Bank, as evidenced by a written security agreement, and held by the member institution for the benefit of the Bank. Certain of the Bank’s uncleared derivative instruments contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank’s credit rating. If the Bank’s credit rating is lowered by a NRSRO, the Bank may be required to deliver additional collateral on uncleared derivative instruments in net liability positions. The aggregate fair value of all uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest) as of March 31, 2020 was $10, for which the Bank was not required to post collateral as of March 31, 2020. If the Bank’s credit ratings had been lowered from its current rating to the next lower rating, the Bank would have been required to deliver $5 of collateral at fair value to its uncleared derivative counterparties as of March 31, 2020. For cleared derivatives, the Clearinghouse is the Bank’s counterparty. The Clearinghouse notifies the clearing agent of the required initial and variation margin, and the clearing agent notifies the Bank. The Bank utilizes two Clearinghouses for all cleared derivative transactions, LCH Ltd. and CME Clearing. At both Clearinghouses, variation margin is characterized as daily settlement payments, and initial margin is considered cash collateral. Because the Bank is required to post initial and variation margin through the clearing agent to the Clearinghouse, it exposes the Bank to institutional credit risk if the clearing agent or the Clearinghouse fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties, and collateral/payments is posted daily through a clearing agent for changes in the fair value of cleared derivatives. 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 Clearinghouse or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearinghouse. The Bank presents derivative instruments and the related cash collateral that is received or pledged, plus the associated accrued interest, on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following table presents the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.
____________ (1) The Bank had net credit exposure of $20 and $6 as of March 31, 2020 and December 31, 2019, due to instances where the Bank’s pledged collateral to a counterparty exceeded the Bank’s net derivative liability position.
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Trading Securities (Trading Securities by Major Security Type) (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
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Schedule of Trading Securities | ||
Trading Securities | $ 1,563 | $ 1,558 |
US Treasury Securities [Member] | ||
Schedule of Trading Securities | ||
Trading Securities | 1,501 | 1,499 |
Government-Sponsored Enterprises Debt Obligations [Member] | ||
Schedule of Trading Securities | ||
Trading Securities | $ 62 | $ 59 |
Estimated Fair Values (Tables) |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Assets and Liabilities Measured at Fair Value on Recurring Basis | Estimated Fair Value Measurements on a Recurring Basis. The following tables present, for each fair value hierarchy level, the Bank’s financial assets and liabilities that are measured at fair value on a recurring basis on its Statements of Condition.
____________ (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 with the same clearing agents and/or counterparty.
____________ (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 with the same clearing agents and/or counterparty.
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Reconciliation of Available-For-Sale Securities Measured at Fair Value | The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3).
____________ (1) Related to available-for-sale securities held at period end. |
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Carrying Values and Estimated Fair Values | liabilities. The following tables present the carrying values and estimated fair values of the Bank’s financial instruments.
____________ (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 with the same clearing agents and/or counterparty.
____________ (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 with the same clearing agents and/or counterparty.
|
Consolidated Obligations (Narrative) (Details) |
3 Months Ended |
---|---|
Mar. 31, 2020
bank
| |
Debt Disclosure [Abstract] | |
Number of Federal Home Loan Banks | 11 |
Maximum contractual maturity period of discount notes (up to one year) | 1 year |
Consolidated Obligations (Bonds by Maturity or Call Date) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
---|---|---|
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | $ 68,923 | $ 79,699 |
Bonds, Due after one year through two years | 8,729 | 4,426 |
Bonds, Due after two years through three years | 762 | 817 |
Bonds, Due after three years through four years | 1,706 | 546 |
Bonds, Due after four years through five years | 458 | 1,635 |
Bonds, Due after five years | 1,205 | 1,360 |
Bonds par value | 81,783 | 88,483 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Bonds, Due in one year or less | 69,733 | 81,624 |
Bonds, Due after one year through two years | 8,644 | 3,746 |
Bonds, Due after two years through three years | 547 | 432 |
Bonds, Due after three years through four years | 1,371 | 171 |
Bonds, Due after four years through five years | 298 | 1,320 |
Bonds, Due after five years | $ 1,190 | $ 1,190 |
Transactions With Shareholders (Details) - USD ($) $ in Millions |
Mar. 31, 2020 |
Dec. 31, 2019 |
||
---|---|---|---|---|
Minimum | ||||
Definition of related party, minimum percent | 10.00% | |||
Definition of shareholder concentration, percentage | 10.00% | |||
Regulatory Capital Stock Outstanding | [1] | $ 8,838 | $ 7,142 | |
Federal Home Loan Bank, Advances, Par Value | $ 134,833 | 96,456 | ||
Percent of Total Interest-bearing Deposits | 0.01% | |||
Truist Bank [Member] | ||||
Minimum | ||||
Regulatory Capital Stock Outstanding | $ 1,412 | $ 760 | ||
Percent of Total Regulatory Capital Stock Outstanding | 21.22% | 15.24% | ||
Federal Home Loan Bank, Advances, Par Value | $ 32,867 | $ 17,537 | ||
Percent of Total Par Value Advances | 24.38% | 18.18% | ||
Interest-bearing Deposits | $ 0 | $ 0 | ||
Percent of Total Interest-bearing Deposits | 0.00% | 0.00% | ||
Bank of America [Member] | ||||
Minimum | ||||
Regulatory Capital Stock Outstanding | $ 823 | |||
Percent of Total Regulatory Capital Stock Outstanding | 12.37% | |||
Federal Home Loan Bank, Advances, Par Value | $ 19,009 | |||
Percent of Total Par Value Advances | 14.10% | |||
Interest-bearing Deposits | $ 0 | |||
Percent of Total Interest-bearing Deposits | 0.01% | |||
Navy Federal Credit Union [Member] | ||||
Minimum | ||||
Regulatory Capital Stock Outstanding | $ 744 | |||
Percent of Total Regulatory Capital Stock Outstanding | 11.19% | |||
Federal Home Loan Bank, Advances, Par Value | $ 17,159 | |||
Percent of Total Par Value Advances | 12.73% | |||
Interest-bearing Deposits | $ 0 | |||
|
Statements of Stockholders' Equity (Unaudited) - USD ($) shares in Millions, $ in Millions |
Total |
Capital Stock Class B Putable [Member] |
Retained Earnings |
Retained Earnings, Restricted [Member] |
Retained Earnings, Unrestricted [Member] |
Accumulated Other Comprehensive Income [Member] |
---|---|---|---|---|---|---|
Beginning balance (shares) at Dec. 31, 2018 | 55 | |||||
Beginning balance at Dec. 31, 2018 | $ 7,647 | $ 5,486 | $ 2,110 | $ 463 | $ 1,647 | $ 51 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock (shares) | 20 | |||||
Issuance of capital stock | 2,029 | $ 2,029 | ||||
Repurchase/redemption of capital stock (shares) | (27) | |||||
Repurchase/redemption of capital stock | (2,762) | $ (2,762) | ||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Net shares reclassified to mandatorily redeemable capital stock | 0 | $ 0 | ||||
Comprehensive income (loss) | 94 | 101 | 21 | 80 | (7) | |
Cash dividends on capital stock | (85) | (85) | 0 | (85) | ||
Ending balance (shares) at Mar. 31, 2019 | 48 | |||||
Ending balance at Mar. 31, 2019 | 6,923 | $ 4,753 | 2,126 | 484 | 1,642 | 44 |
Beginning balance (shares) at Dec. 31, 2019 | 50 | |||||
Beginning balance at Dec. 31, 2019 | 7,163 | $ 4,988 | 2,153 | 537 | 1,616 | 22 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock (shares) | 37 | |||||
Issuance of capital stock | 3,702 | $ 3,702 | ||||
Repurchase/redemption of capital stock (shares) | (20) | |||||
Repurchase/redemption of capital stock | (2,036) | $ (2,036) | ||||
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | 0 | |||||
Net shares reclassified to mandatorily redeemable capital stock | (2) | $ (2) | ||||
Comprehensive income (loss) | 67 | 108 | 22 | 86 | (41) | |
Cash dividends on capital stock | (76) | (76) | 0 | (76) | ||
Ending balance (shares) at Mar. 31, 2020 | 67 | |||||
Ending balance at Mar. 31, 2020 | $ 8,818 | $ 6,652 | $ 2,185 | $ 559 | $ 1,626 | $ (19) |
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