QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation of the United States | 42-6000149 | |||||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. employer identification number) | |||||||||||||
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
Large accelerated filer | ☐ | Accelerated filer | ☐ | |||||||||||
Non-accelerated filer | ☒ | Smaller reporting company | ☐ | |||||||||||
Emerging growth company | ☐ |
Shares outstanding as of July 31, 2023 | |||||||||||
Class B Stock, par value $100 | 66,727,818 | ||||||||||
Table of Contents | ||||||||||||
Part I - Financial Information | ||||||||||||
Note | ||||||||||||
Note | ||||||||||||
Item 2. | ||||||||||||
Item 5. | ||||||||||||
Item 6. | ||||||||||||
September 30, 2017 | December 31, 2016 | June 30, 2023 | December 31, 2022 | |||||||||||||||||||
ASSETS | ASSETS | |||||||||||||||||||||
Cash and due from banks | $ | 218 | $ | 223 | Cash and due from banks | $ | 52 | $ | 89 | |||||||||||||
Interest-bearing deposits | 1 | 2 | ||||||||||||||||||||
Securities purchased under agreements to resell | 5,500 | 5,925 | ||||||||||||||||||||
Federal funds sold | 6,770 | 5,095 | ||||||||||||||||||||
Investment securities | ||||||||||||||||||||||
Trading securities (Note 3) | 1,792 | 2,553 | ||||||||||||||||||||
Available-for-sale securities (Note 4) | 21,459 | 22,969 | ||||||||||||||||||||
Held-to-maturity securities (fair value of $3,880 and $4,706) (Note 5) | 3,819 | 4,674 | ||||||||||||||||||||
Interest-bearing deposits (Note 3) | Interest-bearing deposits (Note 3) | 2,841 | 2,031 | |||||||||||||||||||
Securities purchased under agreements to resell (Note 3) | Securities purchased under agreements to resell (Note 3) | 17,950 | 12,590 | |||||||||||||||||||
Federal funds sold (Note 3) | Federal funds sold (Note 3) | 12,145 | 9,415 | |||||||||||||||||||
Investment securities (Note 3) | Investment securities (Note 3) | |||||||||||||||||||||
Trading securities | Trading securities | 1,562 | 2,817 | |||||||||||||||||||
Available-for-sale securities (amortized cost of $20,199 and $15,677) | Available-for-sale securities (amortized cost of $20,199 and $15,677) | 20,095 | 15,563 | |||||||||||||||||||
Held-to-maturity securities (fair value of $899 and $959) | Held-to-maturity securities (fair value of $899 and $959) | 905 | 965 | |||||||||||||||||||
Total investment securities | 27,070 | 30,196 | Total investment securities | 22,562 | 19,345 | |||||||||||||||||
Advances (Note 7) | 117,514 | 131,601 | ||||||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $2 and $2 (Notes 8 and 9) | 7,031 | 6,913 | ||||||||||||||||||||
Loans to other FHLBanks | — | 200 | ||||||||||||||||||||
Advances (Note 4) | Advances (Note 4) | 114,057 | 111,202 | |||||||||||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $6 and $5 (Note 5) | Mortgage loans held for portfolio, net of allowance for credit losses of $6 and $5 (Note 5) | 8,909 | 8,348 | |||||||||||||||||||
Accrued interest receivable | 239 | 197 | Accrued interest receivable | 430 | 389 | |||||||||||||||||
Derivative assets, net (Note 10) | 119 | 191 | ||||||||||||||||||||
Other assets | 83 | 62 | ||||||||||||||||||||
Derivative assets, net (Note 6) | Derivative assets, net (Note 6) | 1,111 | 643 | |||||||||||||||||||
Other assets, net | Other assets, net | 124 | 117 | |||||||||||||||||||
TOTAL ASSETS | $ | 164,545 | $ | 180,605 | TOTAL ASSETS | $ | 180,181 | $ | 164,169 | |||||||||||||
LIABILITIES | LIABILITIES | |||||||||||||||||||||
Deposits | Deposits | |||||||||||||||||||||
Interest-bearing | $ | 861 | $ | 1,021 | Interest-bearing | $ | 976 | $ | 1,006 | |||||||||||||
Non-interest-bearing | 73 | 92 | Non-interest-bearing | 87 | 70 | |||||||||||||||||
Total deposits | 934 | 1,113 | Total deposits | 1,063 | 1,076 | |||||||||||||||||
Consolidated obligations (Note 11) | ||||||||||||||||||||||
Discount notes | 52,976 | 80,947 | ||||||||||||||||||||
Consolidated obligations (Note 7) | Consolidated obligations (Note 7) | |||||||||||||||||||||
Discount notes (includes $30,641 and $44,531 at fair value held under fair value option) | Discount notes (includes $30,641 and $44,531 at fair value held under fair value option) | 50,443 | 69,170 | |||||||||||||||||||
Bonds | 102,294 | 89,898 | Bonds | 116,810 | 84,337 | |||||||||||||||||
Total consolidated obligations | 155,270 | 170,845 | Total consolidated obligations | 167,253 | 153,507 | |||||||||||||||||
Mandatorily redeemable capital stock (Note 12) | 422 | 664 | ||||||||||||||||||||
Borrowings from other FHLBanks | Borrowings from other FHLBanks | 200 | — | |||||||||||||||||||
Mandatorily redeemable capital stock (Note 8) | Mandatorily redeemable capital stock (Note 8) | 13 | 15 | |||||||||||||||||||
Accrued interest payable | 227 | 180 | Accrued interest payable | 927 | 436 | |||||||||||||||||
Affordable Housing Program payable | 137 | 116 | Affordable Housing Program payable | 160 | 135 | |||||||||||||||||
Derivative liabilities, net (Note 10) | 3 | 76 | ||||||||||||||||||||
Derivative liabilities, net (Note 6) | Derivative liabilities, net (Note 6) | 9 | 4 | |||||||||||||||||||
Other liabilities | 54 | 210 | Other liabilities | 1,360 | 245 | |||||||||||||||||
TOTAL LIABILITIES | 157,047 | 173,204 | TOTAL LIABILITIES | 170,985 | 155,418 | |||||||||||||||||
Commitments and contingencies (Note 14) | ||||||||||||||||||||||
CAPITAL (Note 12) | ||||||||||||||||||||||
Capital stock - Class B putable ($100 par value); 56 and 59 issued and outstanding shares | 5,624 | 5,917 | ||||||||||||||||||||
Additional capital from merger | — | 52 | ||||||||||||||||||||
Commitments and contingencies (Note 10) | Commitments and contingencies (Note 10) | |||||||||||||||||||||
CAPITAL (Note 8) | CAPITAL (Note 8) | |||||||||||||||||||||
Capital stock - Class B putable ($100 par value); 64 and 63 issued and outstanding shares | Capital stock - Class B putable ($100 par value); 64 and 63 issued and outstanding shares | 6,449 | 6,250 | |||||||||||||||||||
Retained earnings | Retained earnings | |||||||||||||||||||||
Unrestricted | 1,463 | 1,219 | Unrestricted | 2,063 | 1,915 | |||||||||||||||||
Restricted | 311 | 231 | Restricted | 791 | 703 | |||||||||||||||||
Total retained earnings | 1,774 | 1,450 | Total retained earnings | 2,854 | 2,618 | |||||||||||||||||
Accumulated other comprehensive income (loss) | 100 | (18 | ) | Accumulated other comprehensive income (loss) | (107) | (117) | ||||||||||||||||
TOTAL CAPITAL | 7,498 | 7,401 | TOTAL CAPITAL | 9,196 | 8,751 | |||||||||||||||||
TOTAL LIABILITIES AND CAPITAL | $ | 164,545 | $ | 180,605 | TOTAL LIABILITIES AND CAPITAL | $ | 180,181 | $ | 164,169 |
The accompanying notes are an integral part of these financial statements. |
For the Three Months Ended | For the Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
INTEREST INCOME | ||||||||||||||||
Advances | $ | 451 | $ | 237 | $ | 1,164 | $ | 594 | ||||||||
Prepayment fees on advances, net | — | 1 | 1 | 6 | ||||||||||||
Interest-bearing deposits | — | 1 | 1 | 2 | ||||||||||||
Securities purchased under agreements to resell | 14 | 4 | 30 | 13 | ||||||||||||
Federal funds sold | 26 | 5 | 53 | 13 | ||||||||||||
Trading securities | 12 | 13 | 35 | 39 | ||||||||||||
Available-for-sale securities | 98 | 63 | 266 | 176 | ||||||||||||
Held-to-maturity securities | 20 | 19 | 60 | 59 | ||||||||||||
Mortgage loans held for portfolio | 59 | 56 | 176 | 176 | ||||||||||||
Total interest income | 680 | 399 | 1,786 | 1,078 | ||||||||||||
INTEREST EXPENSE | ||||||||||||||||
Consolidated obligations - Discount notes | 163 | 98 | 396 | 320 | ||||||||||||
Consolidated obligations - Bonds | 338 | 177 | 877 | 428 | ||||||||||||
Deposits | 1 | 1 | 3 | 1 | ||||||||||||
Mandatorily redeemable capital stock | 4 | 6 | 13 | 15 | ||||||||||||
Total interest expense | 506 | 282 | 1,289 | 764 | ||||||||||||
NET INTEREST INCOME | 174 | 117 | 497 | 314 | ||||||||||||
Provision (reversal) for credit losses on mortgage loans | 1 | 1 | 1 | 2 | ||||||||||||
NET INTEREST INCOME AFTER PROVISION (REVERSAL) FOR CREDIT LOSSES | 173 | 116 | 496 | 312 | ||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||
Net gains (losses) on trading securities | 1 | (2 | ) | 10 | 51 | |||||||||||
Net gains (losses) on derivatives and hedging activities | (2 | ) | (3 | ) | 1 | (76 | ) | |||||||||
Gains on litigation settlements, net | — | — | 21 | 337 | ||||||||||||
Other, net | 5 | — | 13 | 7 | ||||||||||||
Total other income (loss) | 4 | (5 | ) | 45 | 319 | |||||||||||
OTHER EXPENSE | ||||||||||||||||
Compensation and benefits | 12 | 13 | 39 | 39 | ||||||||||||
Contractual services | 2 | 1 | 8 | 7 | ||||||||||||
Professional fees | 5 | 4 | 15 | 8 | ||||||||||||
Other operating expenses | 6 | 5 | 16 | 14 | ||||||||||||
Federal Housing Finance Agency | 3 | 2 | 8 | 6 | ||||||||||||
Office of Finance | 1 | 2 | 5 | 5 | ||||||||||||
Other, net | 1 | 1 | 2 | 3 | ||||||||||||
Total other expense | 30 | 28 | 93 | 82 | ||||||||||||
NET INCOME BEFORE ASSESSMENTS | 147 | 83 | 448 | 549 | ||||||||||||
Affordable Housing Program assessments | 15 | 9 | 46 | 56 | ||||||||||||
NET INCOME | $ | 132 | $ | 74 | $ | 402 | $ | 493 |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||||||||||||
June 30, | June 30, | |||||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||
INTEREST INCOME | ||||||||||||||||||||||||||
Advances | $ | 1,608 | $ | 184 | $ | 3,002 | $ | 295 | ||||||||||||||||||
Interest-bearing deposits | 50 | 2 | 89 | 3 | ||||||||||||||||||||||
Securities purchased under agreements to resell | 169 | 8 | 262 | 9 | ||||||||||||||||||||||
Federal funds sold | 225 | 23 | 396 | 26 | ||||||||||||||||||||||
Trading securities | 8 | 9 | 17 | 16 | ||||||||||||||||||||||
Available-for-sale securities | 294 | 55 | 518 | 85 | ||||||||||||||||||||||
Held-to-maturity securities | 11 | 8 | 22 | 14 | ||||||||||||||||||||||
Mortgage loans held for portfolio | 74 | 56 | 143 | 109 | ||||||||||||||||||||||
Loans to other FHLBanks | 1 | — | 1 | — | ||||||||||||||||||||||
Total interest income | 2,440 | 345 | 4,450 | 557 | ||||||||||||||||||||||
INTEREST EXPENSE | ||||||||||||||||||||||||||
Consolidated obligations - Discount notes | 727 | 94 | 1,462 | 108 | ||||||||||||||||||||||
Consolidated obligations - Bonds | 1,364 | 124 | 2,347 | 223 | ||||||||||||||||||||||
Deposits | 11 | 1 | 21 | 1 | ||||||||||||||||||||||
Mandatorily redeemable capital stock | 1 | 1 | 1 | 1 | ||||||||||||||||||||||
Total interest expense | 2,103 | 220 | 3,831 | 333 | ||||||||||||||||||||||
NET INTEREST INCOME | 337 | 125 | 619 | 224 | ||||||||||||||||||||||
Provision (reversal) for credit losses on mortgage loans | 1 | 1 | 1 | 3 | ||||||||||||||||||||||
NET INTEREST INCOME AFTER PROVISION (REVERSAL) FOR CREDIT LOSSES | 336 | 124 | 618 | 221 | ||||||||||||||||||||||
OTHER INCOME (LOSS) | ||||||||||||||||||||||||||
Net gains (losses) on trading securities | (10) | (23) | 23 | (64) | ||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | 4 | 77 | (61) | 99 | ||||||||||||||||||||||
Net gains (losses) on derivatives | (17) | (30) | (7) | (14) | ||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | — | — | 2 | — | ||||||||||||||||||||||
Standby letter of credit fees | 2 | 3 | 4 | 5 | ||||||||||||||||||||||
Other, net | 4 | (2) | 7 | (1) | ||||||||||||||||||||||
Total other income (loss) | (17) | 25 | (32) | 25 | ||||||||||||||||||||||
OTHER EXPENSE | ||||||||||||||||||||||||||
Compensation and benefits | 18 | 18 | 38 | 36 | ||||||||||||||||||||||
Contractual services | 6 | 5 | 12 | 10 | ||||||||||||||||||||||
Professional fees | 4 | 3 | 7 | 6 | ||||||||||||||||||||||
Other operating expenses | 6 | 5 | 11 | 9 | ||||||||||||||||||||||
Federal Housing Finance Agency | 3 | 2 | 5 | 5 | ||||||||||||||||||||||
Office of Finance | 1 | 2 | 4 | 4 | ||||||||||||||||||||||
Community and housing contributions | — | — | 12 | — | ||||||||||||||||||||||
Other, net | 3 | 4 | 7 | 6 | ||||||||||||||||||||||
Total other expense | 41 | 39 | 96 | 76 | ||||||||||||||||||||||
NET INCOME BEFORE ASSESSMENTS | 278 | 110 | 490 | 170 | ||||||||||||||||||||||
Affordable Housing Program assessments | 28 | 11 | 49 | 17 | ||||||||||||||||||||||
NET INCOME | $ | 250 | $ | 99 | $ | 441 | $ | 153 |
The accompanying notes are an integral part of these financial statements. |
For the Three Months Ended | For the Nine Months Ended | |||||||||||||||
September 30, | September 30, | |||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||
Net income | $ | 132 | $ | 74 | $ | 402 | $ | 493 | ||||||||
Other comprehensive income (loss) | ||||||||||||||||
Net unrealized gains (losses) on available-for-sale securities | 12 | 46 | 117 | 45 | ||||||||||||
Pension and postretirement benefits | (1 | ) | — | 1 | — | |||||||||||
Total other comprehensive income (loss) | 11 | 46 | 118 | 45 | ||||||||||||
TOTAL COMPREHENSIVE INCOME (LOSS) | $ | 143 | $ | 120 | $ | 520 | $ | 538 |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||||||||||||
June 30, | June 30, | |||||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||
Net income | $ | 250 | $ | 99 | $ | 441 | $ | 153 | ||||||||||||||||||
Other comprehensive income (loss) | ||||||||||||||||||||||||||
Net unrealized gains (losses) on available-for-sale securities | 77 | (50) | 10 | (111) | ||||||||||||||||||||||
Pension and postretirement benefits | (1) | — | — | (2) | ||||||||||||||||||||||
Total other comprehensive income (loss) | 76 | (50) | 10 | (113) | ||||||||||||||||||||||
TOTAL COMPREHENSIVE INCOME (LOSS) | $ | 326 | $ | 49 | $ | 451 | $ | 40 |
The accompanying notes are an integral part of these financial statements. |
Capital Stock Class B (putable) | Additional Capital from Merger | |||||||||
Shares | Par Value | |||||||||
BALANCE, DECEMBER 31, 2015 | 47 | $ | 4,714 | $ | 194 | |||||
Comprehensive income (loss) | — | — | — | |||||||
Proceeds from issuance of capital stock | 48 | 4,792 | — | |||||||
Repurchases/redemptions of capital stock | (31 | ) | (3,116 | ) | — | |||||
Net shares reclassified (to) from mandatorily redeemable capital stock | (7 | ) | (732 | ) | — | |||||
Cash dividends on capital stock | — | — | (102 | ) | ||||||
BALANCE, SEPTEMBER 30, 2016 | 57 | $ | 5,658 | $ | 92 | |||||
BALANCE, DECEMBER 31, 2016 | 59 | $ | 5,917 | $ | 52 | |||||
Comprehensive income (loss) | — | — | — | |||||||
Proceeds from issuance of capital stock | 43 | 4,364 | — | |||||||
Repurchases/redemptions of capital stock | (46 | ) | (4,617 | ) | — | |||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | (40 | ) | — | ||||||
Cash dividends on capital stock | — | — | (52 | ) | ||||||
BALANCE, SEPTEMBER 30, 2017 | 56 | $ | 5,624 | $ | — |
Capital Stock Class B (putable) | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Capital | |||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | ||||||||||||||||||||||||||||||||||||||||
BALANCE, MARCH 31, 2022 | 36 | $ | 3,523 | $ | 1,773 | $ | 628 | $ | 2,401 | $ | 21 | $ | 5,945 | |||||||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | 79 | 20 | 99 | (50) | 49 | |||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 17 | 1,725 | — | — | — | — | 1,725 | |||||||||||||||||||||||||||||||||||||
Repurchases/redemptions of capital stock | (14) | (1,370) | — | — | — | — | (1,370) | |||||||||||||||||||||||||||||||||||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | (2) | — | — | — | — | (2) | |||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock | — | — | (42) | — | (42) | — | (42) | |||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2022 | 39 | $ | 3,876 | $ | 1,810 | $ | 648 | $ | 2,458 | $ | (29) | $ | 6,305 | |||||||||||||||||||||||||||||||
BALANCE, MARCH 31, 2023 | 66 | $ | 6,592 | $ | 1,972 | $ | 741 | $ | 2,713 | $ | (183) | $ | 9,122 | |||||||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | 200 | 50 | 250 | 76 | 326 | |||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 27 | 2,709 | — | — | — | — | 2,709 | |||||||||||||||||||||||||||||||||||||
Repurchases/redemptions of capital stock | (29) | (2,852) | — | — | — | — | (2,852) | |||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock | — | — | (109) | — | (109) | — | (109) | |||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2023 | 64 | $ | 6,449 | $ | 2,063 | $ | 791 | $ | 2,854 | $ | (107) | $ | 9,196 | |||||||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2021 | 34 | $ | 3,364 | $ | 1,773 | $ | 617 | $ | 2,390 | $ | 84 | $ | 5,838 | |||||||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | 122 | 31 | 153 | (113) | 40 | |||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 27 | 2,712 | — | — | — | — | 2,712 | |||||||||||||||||||||||||||||||||||||
Repurchases/redemptions of capital stock | (22) | (2,197) | — | — | — | — | (2,197) | |||||||||||||||||||||||||||||||||||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | (3) | — | — | — | — | (3) | |||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock | — | — | (85) | — | (85) | — | (85) | |||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2022 | 39 | $ | 3,876 | $ | 1,810 | $ | 648 | $ | 2,458 | $ | (29) | $ | 6,305 | |||||||||||||||||||||||||||||||
BALANCE, DECEMBER 31, 2022 | 63 | $ | 6,250 | $ | 1,915 | $ | 703 | $ | 2,618 | $ | (117) | $ | 8,751 | |||||||||||||||||||||||||||||||
Comprehensive income (loss) | — | — | 353 | 88 | 441 | 10 | 451 | |||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 63 | 6,343 | — | — | — | — | 6,343 | |||||||||||||||||||||||||||||||||||||
Repurchases/redemptions of capital stock | (62) | (6,144) | — | — | — | — | (6,144) | |||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock | — | — | (205) | — | (205) | — | (205) | |||||||||||||||||||||||||||||||||||||
BALANCE, JUNE 30, 2023 | 64 | $ | 6,449 | $ | 2,063 | $ | 791 | $ | 2,854 | $ | (107) | $ | 9,196 |
The accompanying notes are an integral part of these financial statements. |
Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Capital | ||||||||||||||||||
Unrestricted | Restricted | Total | ||||||||||||||||||
BALANCE, DECEMBER 31, 2015 | $ | 700 | $ | 101 | $ | 801 | $ | (84 | ) | $ | 5,625 | |||||||||
Comprehensive income (loss) | 394 | 99 | 493 | 45 | 538 | |||||||||||||||
Proceeds from issuance of capital stock | — | — | — | — | 4,792 | |||||||||||||||
Repurchases/redemptions of capital stock | — | — | — | — | (3,116 | ) | ||||||||||||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | — | — | — | (732 | ) | ||||||||||||||
Cash dividends on capital stock | — | — | — | — | (102 | ) | ||||||||||||||
BALANCE, SEPTEMBER 30, 2016 | $ | 1,094 | $ | 200 | $ | 1,294 | $ | (39 | ) | $ | 7,005 | |||||||||
BALANCE, DECEMBER 31, 2016 | $ | 1,219 | $ | 231 | $ | 1,450 | $ | (18 | ) | $ | 7,401 | |||||||||
Comprehensive income (loss) | 322 | 80 | 402 | 118 | 520 | |||||||||||||||
Proceeds from issuance of capital stock | — | — | — | — | 4,364 | |||||||||||||||
Repurchases/redemptions of capital stock | — | — | — | — | (4,617 | ) | ||||||||||||||
Net shares reclassified (to) from mandatorily redeemable capital stock | — | — | — | — | (40 | ) | ||||||||||||||
Cash dividends on capital stock | (78 | ) | — | (78 | ) | — | (130 | ) | ||||||||||||
BALANCE, SEPTEMBER 30, 2017 | $ | 1,463 | $ | 311 | $ | 1,774 | $ | 100 | $ | 7,498 |
For the Nine Months Ended | ||||||||
September 30, | ||||||||
2017 | 2016 | |||||||
OPERATING ACTIVITIES | ||||||||
Net income | $ | 402 | $ | 493 | ||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities | ||||||||
Depreciation and amortization | 30 | 37 | ||||||
Net (gains) losses on trading securities | (10 | ) | (51 | ) | ||||
Net change in derivatives and hedging activities | — | 5 | ||||||
Other adjustments | 7 | (5 | ) | |||||
Net change in: | ||||||||
Accrued interest receivable | (85 | ) | (64 | ) | ||||
Other assets | (2 | ) | (1 | ) | ||||
Accrued interest payable | 46 | 62 | ||||||
Other liabilities | (11 | ) | 42 | |||||
Total adjustments | (25 | ) | 25 | |||||
Net cash provided by (used in) operating activities | 377 | 518 | ||||||
INVESTING ACTIVITIES | ||||||||
Net change in: | ||||||||
Interest-bearing deposits | 40 | (366 | ) | |||||
Securities purchased under agreements to resell | 425 | 525 | ||||||
Federal funds sold | (1,675 | ) | (2,365 | ) | ||||
Premises, software, and equipment | (25 | ) | (7 | ) | ||||
Loans to other FHLBanks | 200 | — | ||||||
Trading securities | ||||||||
Proceeds from maturities of long-term | 771 | 1,617 | ||||||
Purchases of long-term | — | (1,597 | ) | |||||
Available-for-sale securities | ||||||||
Proceeds from sales and maturities of long-term | 1,962 | 1,902 | ||||||
Purchases of long-term | (402 | ) | (3,465 | ) | ||||
Held-to-maturity securities | ||||||||
Proceeds from sales and maturities of long-term | 844 | 1,178 | ||||||
Purchases of long-term | — | (64 | ) | |||||
Advances | ||||||||
Principal collected | 211,223 | 134,568 | ||||||
Originated or purchased | (197,191 | ) | (171,179 | ) | ||||
Mortgage loans held for portfolio | ||||||||
Principal collected | 790 | 931 | ||||||
Originated or purchased | (925 | ) | (988 | ) | ||||
Proceeds from sales of foreclosed assets | 7 | 10 | ||||||
Net cash provided by (used in) investing activities | 16,044 | (39,300 | ) |
For the Six Months Ended | ||||||||||||||||||||
June 30, | ||||||||||||||||||||
2023 | 2022 | |||||||||||||||||||
OPERATING ACTIVITIES | ||||||||||||||||||||
Net income | $ | 441 | $ | 153 | ||||||||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities | ||||||||||||||||||||
Depreciation and amortization/(accretion) | 129 | 67 | ||||||||||||||||||
Net (gains) losses on trading securities | (23) | 64 | ||||||||||||||||||
Net (gains) losses on financial instruments held under fair value option | 61 | (99) | ||||||||||||||||||
Net change in derivatives and hedging activities | 325 | 1,078 | ||||||||||||||||||
Net (gains) losses on extinguishment of debt | (2) | — | ||||||||||||||||||
Other adjustments, net | 2 | 3 | ||||||||||||||||||
Net change in: | ||||||||||||||||||||
Accrued interest receivable | (134) | (44) | ||||||||||||||||||
Other assets | (1) | 7 | ||||||||||||||||||
Accrued interest payable | 491 | 11 | ||||||||||||||||||
Other liabilities | 13 | (16) | ||||||||||||||||||
Total adjustments | 861 | 1,071 | ||||||||||||||||||
Net cash provided by (used in) operating activities | 1,302 | 1,224 | ||||||||||||||||||
INVESTING ACTIVITIES | ||||||||||||||||||||
Net change in: | ||||||||||||||||||||
Interest-bearing deposits | (1,263) | (690) | ||||||||||||||||||
Securities purchased under agreements to resell | (5,360) | 5,200 | ||||||||||||||||||
Federal funds sold | (2,730) | (3,490) | ||||||||||||||||||
Trading securities | ||||||||||||||||||||
Proceeds from sales | 248 | — | ||||||||||||||||||
Proceeds from maturities and paydowns | 1,030 | 190 | ||||||||||||||||||
Purchases | — | (1,298) | ||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
Proceeds from maturities and paydowns | 2,019 | 1,471 | ||||||||||||||||||
Purchases | (5,375) | (1,485) | ||||||||||||||||||
Held-to-maturity securities | ||||||||||||||||||||
Proceeds from maturities and paydowns | 57 | 272 | ||||||||||||||||||
Advances | ||||||||||||||||||||
Repaid | 370,884 | 102,609 | ||||||||||||||||||
Originated | (374,009) | (112,016) | ||||||||||||||||||
Mortgage loans held for portfolio | ||||||||||||||||||||
Principal collected | 361 | 599 | ||||||||||||||||||
Purchased | (930) | (984) | ||||||||||||||||||
Other investing activities, net | (6) | (5) | ||||||||||||||||||
Net cash provided by (used in) investing activities | (15,074) | (9,627) |
The accompanying notes are an integral part of these financial statements. |
For the Nine Months Ended | ||||||||
September 30, | ||||||||
2017 | 2016 | |||||||
FINANCING ACTIVITIES | ||||||||
Net change in deposits | (171 | ) | (77 | ) | ||||
Net payments on derivative contracts with financing elements | (3 | ) | (4 | ) | ||||
Net proceeds from issuance of consolidated obligations | ||||||||
Discount notes | 162,882 | 209,409 | ||||||
Bonds | 53,241 | 77,918 | ||||||
Payments for maturing and retiring consolidated obligations | ||||||||
Discount notes | (190,878 | ) | (223,948 | ) | ||||
Bonds | (40,832 | ) | (26,667 | ) | ||||
Proceeds from issuance of capital stock | 4,364 | 4,792 | ||||||
Payments for repurchases/redemptions of capital stock | (4,617 | ) | (3,116 | ) | ||||
Net payments for repurchases/redemptions of mandatorily redeemable capital stock | (282 | ) | (160 | ) | ||||
Cash dividends paid | (130 | ) | (102 | ) | ||||
Net cash provided by (used in) financing activities | (16,426 | ) | 38,045 | |||||
Net increase (decrease) in cash and due from banks | (5 | ) | (737 | ) | ||||
Cash and due from banks at beginning of the period | 223 | 982 | ||||||
Cash and due from banks at end of the period | $ | 218 | $ | 245 | ||||
SUPPLEMENTAL DISCLOSURES | ||||||||
Cash Transactions: | ||||||||
Interest paid | $ | 1,747 | $ | 1,200 | ||||
Affordable Housing Program payments | 25 | 14 | ||||||
Non-Cash Transactions: | ||||||||
Capitalized interest on reverse mortgage investment securities | 43 | 20 | ||||||
Mortgage loan charge-offs | 1 | 2 | ||||||
Transfers of mortgage loans to other assets | 5 | 6 | ||||||
Capital stock reclassified to (from) mandatorily redeemable capital stock, net | 40 | 732 |
For the Six Months Ended | ||||||||||||||||||||
June 30, | ||||||||||||||||||||
2023 | 2022 | |||||||||||||||||||
FINANCING ACTIVITIES | ||||||||||||||||||||
Net change in deposits | (2) | (242) | ||||||||||||||||||
Borrowings from other FHLBanks | 200 | — | ||||||||||||||||||
Net proceeds from issuance of consolidated obligations | ||||||||||||||||||||
Discount notes | 858,608 | 276,308 | ||||||||||||||||||
Bonds | 79,524 | 13,157 | ||||||||||||||||||
Payments for maturing and retiring consolidated obligations | ||||||||||||||||||||
Discount notes | (877,564) | (248,457) | ||||||||||||||||||
Bonds | (47,023) | (33,023) | ||||||||||||||||||
Proceeds from issuance of capital stock | 6,343 | 2,712 | ||||||||||||||||||
Payments for repurchases/redemptions of capital stock | (6,144) | (2,197) | ||||||||||||||||||
Net payments for repurchases/redemptions of mandatorily redeemable capital stock | (2) | (15) | ||||||||||||||||||
Cash dividends paid | (205) | (85) | ||||||||||||||||||
Net cash provided by (used in) financing activities | 13,735 | 8,158 | ||||||||||||||||||
Net increase (decrease) in cash and due from banks | (37) | (245) | ||||||||||||||||||
Cash and due from banks at beginning of the period | 89 | 295 | ||||||||||||||||||
Cash and due from banks at end of the period | $ | 52 | $ | 50 | ||||||||||||||||
SUPPLEMENTAL DISCLOSURES | ||||||||||||||||||||
Cash Transactions: | ||||||||||||||||||||
Interest paid | $ | 3,229 | $ | 258 | ||||||||||||||||
Affordable Housing Program payments | 24 | 22 | ||||||||||||||||||
Non-Cash Transactions: | ||||||||||||||||||||
Capitalized interest on reverse mortgage investment securities | 96 | 10 | ||||||||||||||||||
Traded but not settled investment security purchases | 1,308 | 504 | ||||||||||||||||||
Traded but not settled investment security payments/calls | 1 | 8 | ||||||||||||||||||
The accompanying notes are an integral part of these financial statements. |
June 30, 2023 | December 31, 2022 | ||||||||||
Non-mortgage-backed securities | |||||||||||
U.S. Treasury obligations1 | $ | 1,276 | $ | 2,501 | |||||||
Other U.S. obligations1 | 72 | 76 | |||||||||
GSE and Tennessee Valley Authority obligations | 48 | 49 | |||||||||
Other2 | 121 | 146 | |||||||||
Total non-mortgage-backed securities | 1,517 | 2,772 | |||||||||
Mortgage-backed securities | |||||||||||
GSE multifamily | 45 | 45 | |||||||||
Total fair value | $ | 1,562 | $ | 2,817 |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||||||||||
June 30, | June 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||
Net unrealized gains (losses) on trading securities held at period-end | $ | (19) | $ | (23) | $ | 3 | $ | (62) | |||||||||||||||
Net gains (losses) on trading securities no longer held at period-end | 9 | — | 20 | (2) | |||||||||||||||||||
Net gains (losses) on trading securities | $ | (10) | $ | (23) | $ | 23 | $ | (64) |
September 30, 2017 | December 31, 2016 | ||||||
Non-mortgage-backed securities | |||||||
Other U.S. obligations1 | $ | 203 | $ | 216 | |||
GSE and Tennessee Valley Authority obligations | 861 | 1,611 | |||||
Other2 | 274 | 273 | |||||
Total non-mortgage-backed securities | 1,338 | 2,100 | |||||
Mortgage-backed securities | |||||||
GSE multifamily | 454 | 453 | |||||
Total fair value | $ | 1,792 | $ | 2,553 |
June 30, 2023 | |||||||||||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations2 | $ | 575 | $ | — | $ | (6) | $ | 569 | |||||||||||||||
GSE and Tennessee Valley Authority obligations | 429 | 18 | — | 447 | |||||||||||||||||||
State or local housing agency obligations | 435 | — | (7) | 428 | |||||||||||||||||||
Other3 | 235 | 6 | — | 241 | |||||||||||||||||||
Total non-mortgage-backed securities | 1,674 | 24 | (13) | 1,685 | |||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family2 | 3,589 | — | (16) | 3,573 | |||||||||||||||||||
GSE single-family | 196 | 1 | (3) | 194 | |||||||||||||||||||
GSE multifamily | 14,740 | 27 | (124) | 14,643 | |||||||||||||||||||
Total mortgage-backed securities | 18,525 | 28 | (143) | 18,410 | |||||||||||||||||||
Total | $ | 20,199 | $ | 52 | $ | (156) | $ | 20,095 |
December 31, 2022 | |||||||||||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations2 | $ | 759 | $ | 1 | $ | (2) | $ | 758 | |||||||||||||||
GSE and Tennessee Valley Authority obligations | 459 | 12 | (1) | 470 | |||||||||||||||||||
State or local housing agency obligations | 454 | — | (5) | 449 | |||||||||||||||||||
Other3 | 234 | 6 | — | 240 | |||||||||||||||||||
Total non-mortgage-backed securities | 1,906 | 19 | (8) | 1,917 | |||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family2 | 3,693 | 1 | (18) | 3,676 | |||||||||||||||||||
GSE single-family | 212 | 1 | (3) | 210 | |||||||||||||||||||
GSE multifamily | 9,866 | 10 | (116) | 9,760 | |||||||||||||||||||
Total mortgage-backed securities | 13,771 | 12 | (137) | 13,646 | |||||||||||||||||||
Total | $ | 15,677 | $ | 31 | $ | (145) | $ | 15,563 |
September 30, 2017 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
Other U.S. obligations2 | $ | 3,204 | $ | 7 | $ | (4 | ) | $ | 3,207 | ||||||
GSE and Tennessee Valley Authority obligations | 1,248 | 27 | — | 1,275 | |||||||||||
State or local housing agency obligations | 962 | — | (1 | ) | 961 | ||||||||||
Other3 | 273 | 8 | — | 281 | |||||||||||
Total non-mortgage-backed securities | 5,687 | 42 | (5 | ) | 5,724 | ||||||||||
Mortgage-backed securities | |||||||||||||||
Other U.S. obligations single-family2 | 3,831 | 12 | (1 | ) | 3,842 | ||||||||||
GSE single-family | 1,046 | 9 | — | 1,055 | |||||||||||
GSE multifamily | 10,792 | 52 | (6 | ) | 10,838 | ||||||||||
Total mortgage-backed securities | 15,669 | 73 | (7 | ) | 15,735 | ||||||||||
Total | $ | 21,356 | $ | 115 | $ | (12 | ) | $ | 21,459 |
December 31, 2016 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
Other U.S. obligations2 | $ | 3,537 | $ | 5 | $ | (13 | ) | $ | 3,529 | ||||||
GSE and Tennessee Valley Authority obligations | 1,341 | 11 | (1 | ) | 1,351 | ||||||||||
State or local housing agency obligations | 1,010 | — | (1 | ) | 1,009 | ||||||||||
Other3 | 272 | 6 | — | 278 | |||||||||||
Total non-mortgage-backed securities | 6,160 | 22 | (15 | ) | 6,167 | ||||||||||
Mortgage-backed securities | |||||||||||||||
Other U.S. obligations single-family2 | 3,852 | 2 | (16 | ) | 3,838 | ||||||||||
GSE single-family | 1,257 | 7 | (3 | ) | 1,261 | ||||||||||
GSE multifamily | 11,714 | 30 | (41 | ) | 11,703 | ||||||||||
Total mortgage-backed securities | 16,823 | 39 | (60 | ) | 16,802 | ||||||||||
Total | $ | 22,983 | $ | 61 | $ | (75 | ) | $ | 22,969 |
June 30, 2023 | |||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||||||||||||||
Other U.S. obligations1 | $ | 139 | $ | (5) | $ | 287 | $ | (1) | $ | 426 | $ | (6) | |||||||||||||||||||||||
State or local housing agency obligations | 29 | (1) | 399 | (6) | 428 | (7) | |||||||||||||||||||||||||||||
Total non-mortgage-backed securities | 168 | (6) | 686 | (7) | 854 | (13) | |||||||||||||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
U.S. obligations single-family1 | 1,924 | (8) | 1,543 | (8) | 3,467 | (16) | |||||||||||||||||||||||||||||
GSE single-family | 59 | — | 71 | (3) | 130 | (3) | |||||||||||||||||||||||||||||
GSE multifamily | 6,034 | (50) | 3,937 | (74) | 9,971 | (124) | |||||||||||||||||||||||||||||
Total mortgage-backed securities | 8,017 | (58) | 5,551 | (85) | 13,568 | (143) | |||||||||||||||||||||||||||||
Total | $ | 8,185 | $ | (64) | $ | 6,237 | $ | (92) | $ | 14,422 | $ | (156) |
December 31, 2022 | |||||||||||||||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||
Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | Fair Value | Gross Unrealized Losses | ||||||||||||||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||||||||||||||
Other U.S. obligations1 | $ | 428 | $ | (1) | $ | 63 | $ | (1) | $ | 491 | $ | (2) | |||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | 84 | (1) | — | — | 84 | (1) | |||||||||||||||||||||||||||||
State or local housing agency obligations | 35 | (1) | 403 | (4) | 438 | (5) | |||||||||||||||||||||||||||||
Total non-mortgage-backed securities | 547 | (3) | 466 | (5) | 1,013 | (8) | |||||||||||||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||||||||||||||
U.S. obligations single-family1 | 3,094 | (17) | 122 | (1) | 3,216 | (18) | |||||||||||||||||||||||||||||
GSE single-family | 138 | (3) | — | — | 138 | (3) | |||||||||||||||||||||||||||||
GSE multifamily | 5,471 | (97) | 2,012 | (19) | 7,483 | (116) | |||||||||||||||||||||||||||||
Total mortgage-backed securities | 8,703 | (117) | 2,134 | (20) | 10,837 | (137) | |||||||||||||||||||||||||||||
Total | $ | 9,250 | $ | (120) | $ | 2,600 | $ | (25) | $ | 11,850 | $ | (145) |
September 30, 2017 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations1 | $ | 179 | $ | (1 | ) | $ | 2,173 | $ | (3 | ) | $ | 2,352 | $ | (4 | ) | ||||||||
State or local housing agency obligations | 38 | — | 621 | (1 | ) | 659 | (1 | ) | |||||||||||||||
Total non-mortgage-backed securities | 217 | (1 | ) | 2,794 | (4 | ) | 3,011 | (5 | ) | ||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations single-family1 | — | — | 914 | (1 | ) | 914 | (1 | ) | |||||||||||||||
GSE single-family | — | — | 57 | — | 57 | — | |||||||||||||||||
GSE multifamily | 791 | — | 2,912 | (6 | ) | 3,703 | (6 | ) | |||||||||||||||
Total mortgage-backed securities | 791 | — | 3,883 | (7 | ) | 4,674 | (7 | ) | |||||||||||||||
Total | $ | 1,008 | $ | (1 | ) | $ | 6,677 | $ | (11 | ) | $ | 7,685 | $ | (12 | ) |
December 31, 2016 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations1 | $ | 209 | $ | — | $ | 2,972 | $ | (12 | ) | $ | 3,181 | $ | (12 | ) | |||||||||
GSE and Tennessee Valley Authority obligations | — | — | 126 | (1 | ) | 126 | (1 | ) | |||||||||||||||
State or local housing agency obligations | 354 | (1 | ) | 395 | (1 | ) | 749 | (2 | ) | ||||||||||||||
Total non-mortgage-backed securities | 563 | (1 | ) | 3,493 | (14 | ) | 4,056 | (15 | ) | ||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations single-family1 | 1,123 | (2 | ) | 2,076 | (14 | ) | 3,199 | (16 | ) | ||||||||||||||
GSE single-family | 545 | (3 | ) | 32 | — | 577 | (3 | ) | |||||||||||||||
GSE multifamily | 2,713 | (6 | ) | 6,315 | (35 | ) | 9,028 | (41 | ) | ||||||||||||||
Total mortgage-backed securities | 4,381 | (11 | ) | 8,423 | (49 | ) | 12,804 | (60 | ) | ||||||||||||||
Total | $ | 4,944 | $ | (12 | ) | $ | 11,916 | $ | (63 | ) | $ | 16,860 | $ | (75 | ) |
September 30, 2017 | December 31, 2016 | June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Year of Contractual Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | Year of Contractual Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||
Non-mortgage-backed securities | Non-mortgage-backed securities | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Due in one year or less | $ | 200 | $ | 202 | $ | 133 | $ | 134 | Due in one year or less | $ | 351 | $ | 352 | $ | 293 | $ | 295 | |||||||||||||||||||||||||||||||||||||
Due after one year through five years | 720 | 724 | 489 | 496 | Due after one year through five years | 702 | 699 | 832 | 833 | |||||||||||||||||||||||||||||||||||||||||||||
Due after five years through ten years | 3,725 | 3,734 | 4,452 | 4,447 | Due after five years through ten years | 173 | 175 | 330 | 333 | |||||||||||||||||||||||||||||||||||||||||||||
Due after ten years | 1,042 | 1,064 | 1,086 | 1,090 | Due after ten years | 448 | 459 | 451 | 456 | |||||||||||||||||||||||||||||||||||||||||||||
Total non-mortgage-backed securities | 5,687 | 5,724 | 6,160 | 6,167 | Total non-mortgage-backed securities | 1,674 | 1,685 | 1,906 | 1,917 | |||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities | 15,669 | 15,735 | 16,823 | 16,802 | Mortgage-backed securities | 18,525 | 18,410 | 13,771 | 13,646 | |||||||||||||||||||||||||||||||||||||||||||||
Total | $ | 21,356 | $ | 21,459 | $ | 22,983 | $ | 22,969 | Total | $ | 20,199 | $ | 20,095 | $ | 15,677 | $ | 15,563 |
June 30, 2023 | |||||||||||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 366 | $ | 9 | $ | (4) | $ | 371 | |||||||||||||||
State or local housing agency obligations | 32 | — | — | 32 | |||||||||||||||||||
Total non-mortgage-backed securities | 398 | 9 | (4) | 403 | |||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family2 | 2 | — | — | 2 | |||||||||||||||||||
GSE single-family | 502 | — | (11) | 491 | |||||||||||||||||||
Private-label | 3 | — | — | 3 | |||||||||||||||||||
Total mortgage-backed securities | 507 | — | (11) | 496 | |||||||||||||||||||
Total | $ | 905 | $ | 9 | $ | (15) | $ | 899 |
September 30, 2017 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 394 | $ | 66 | $ | — | $ | 460 | |||||||
State or local housing agency obligations | 473 | 2 | (4 | ) | 471 | ||||||||||
Total non-mortgage-backed securities | 867 | 68 | (4 | ) | 931 | ||||||||||
Mortgage-backed securities | |||||||||||||||
Other U.S. obligations single-family2 | 17 | — | — | 17 | |||||||||||
Other U.S. obligations commercial2 | 3 | — | — | 3 | |||||||||||
GSE single-family | 2,919 | 6 | (9 | ) | 2,916 | ||||||||||
Private-label residential | 13 | — | — | 13 | |||||||||||
Total mortgage-backed securities | 2,952 | 6 | (9 | ) | 2,949 | ||||||||||
Total | $ | 3,819 | $ | 74 | $ | (13 | ) | $ | 3,880 |
December 31, 2022 | |||||||||||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 369 | $ | 10 | $ | (4) | $ | 375 | |||||||||||||||
State or local housing agency obligations | 33 | — | — | 33 | |||||||||||||||||||
Total non-mortgage-backed securities | 402 | 10 | (4) | 408 | |||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
U.S. obligations single-family2 | 2 | — | — | 2 | |||||||||||||||||||
GSE single-family | 557 | — | (12) | 545 | |||||||||||||||||||
Private-label | 4 | — | — | 4 | |||||||||||||||||||
Total mortgage-backed securities | 563 | — | (12) | 551 | |||||||||||||||||||
Total | $ | 965 | $ | 10 | $ | (16) | $ | 959 |
December 31, 2016 | |||||||||||||||
Amortized Cost1 | Gross Unrealized Gains | Gross Unrealized Losses | Fair Value | ||||||||||||
Non-mortgage-backed securities | |||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 397 | $ | 60 | $ | (1 | ) | $ | 456 | ||||||
State or local housing agency obligations | 688 | 1 | (11 | ) | 678 | ||||||||||
Total non-mortgage-backed securities | 1,085 | 61 | (12 | ) | 1,134 | ||||||||||
Mortgage-backed securities | |||||||||||||||
Other U.S. obligations single-family2 | 26 | — | — | 26 | |||||||||||
Other U.S. obligations commercial2 | 4 | — | — | 4 | |||||||||||
GSE single-family | 3,543 | 4 | (20 | ) | 3,527 | ||||||||||
Private-label residential | 16 | — | (1 | ) | 15 | ||||||||||
Total mortgage-backed securities | 3,589 | 4 | (21 | ) | 3,572 | ||||||||||
Total | $ | 4,674 | $ | 65 | $ | (33 | ) | $ | 4,706 |
September 30, 2017 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
State or local housing agency obligations | $ | — | $ | — | $ | 182 | $ | (4 | ) | $ | 182 | $ | (4 | ) | |||||||||
Total non-mortgage-backed securities | — | — | 182 | (4 | ) | 182 | (4 | ) | |||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations single-family1 | 9 | — | 1 | — | 10 | — | |||||||||||||||||
Other U.S. obligations commercial1 | — | — | 2 | — | 2 | — | |||||||||||||||||
GSE single-family | 824 | (7 | ) | 803 | (2 | ) | 1,627 | (9 | ) | ||||||||||||||
Private-label residential | — | — | 9 | — | 9 | — | |||||||||||||||||
Total mortgage-backed securities | 833 | (7 | ) | 815 | (2 | ) | 1,648 | (9 | ) | ||||||||||||||
Total | $ | 833 | $ | (7 | ) | $ | 997 | $ | (6 | ) | $ | 1,830 | $ | (13 | ) |
December 31, 2016 | |||||||||||||||||||||||
Less than 12 Months | 12 Months or More | Total | |||||||||||||||||||||
Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | Fair Value | Unrealized Losses | ||||||||||||||||||
Non-mortgage backed securities | |||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | $ | 73 | $ | (1 | ) | $ | — | $ | — | $ | 73 | $ | (1 | ) | |||||||||
State or local housing agency obligations | 291 | (11 | ) | 10 | — | 301 | (11 | ) | |||||||||||||||
Total non-mortgage-backed securities | 364 | (12 | ) | 10 | — | 374 | (12 | ) | |||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations single-family1 | 12 | — | — | — | 12 | — | |||||||||||||||||
Other U.S. obligations commercial1 | — | — | 3 | — | 3 | — | |||||||||||||||||
GSE single-family | 1,918 | (15 | ) | 1,224 | (5 | ) | 3,142 | (20 | ) | ||||||||||||||
Private-label residential | 5 | — | 10 | (1 | ) | 15 | (1 | ) | |||||||||||||||
Total mortgage-backed securities | 1,935 | (15 | ) | 1,237 | (6 | ) | 3,172 | (21 | ) | ||||||||||||||
Total | $ | 2,299 | $ | (27 | ) | $ | 1,247 | $ | (6 | ) | $ | 3,546 | $ | (33 | ) |
June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||
Year of Contractual Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||||||||||||
Non-mortgage-backed securities | ||||||||||||||||||||||||||
Due after one year through five years | $ | 251 | $ | 249 | $ | 254 | $ | 254 | ||||||||||||||||||
Due after five years through ten years | 71 | 73 | 71 | 73 | ||||||||||||||||||||||
Due after ten years | 76 | 81 | 77 | 81 | ||||||||||||||||||||||
Total non-mortgage-backed securities | 398 | 403 | 402 | 408 | ||||||||||||||||||||||
Mortgage-backed securities | 507 | 496 | 563 | 551 | ||||||||||||||||||||||
Total | $ | 905 | $ | 899 | $ | 965 | $ | 959 |
September 30, 2017 | December 31, 2016 | |||||||||||||||
Year of Contractual Maturity | Amortized Cost | Fair Value | Amortized Cost | Fair Value | ||||||||||||
Non-mortgage-backed securities | ||||||||||||||||
Due in one year or less | $ | 20 | $ | 20 | $ | 11 | $ | 11 | ||||||||
Due after one year through five years | 72 | 72 | 62 | 62 | ||||||||||||
Due after five years through ten years | 343 | 377 | 367 | 399 | ||||||||||||
Due after ten years | 432 | 462 | 645 | 662 | ||||||||||||
Total non-mortgage-backed securities | 867 | 931 | 1,085 | 1,134 | ||||||||||||
Mortgage-backed securities | 2,952 | 2,949 | 3,589 | 3,572 | ||||||||||||
Total | $ | 3,819 | $ | 3,880 | $ | 4,674 | $ | 4,706 |
June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||
Redemption Term | Amount1 | Weighted Average Interest Rate | Amount1 | Weighted Average Interest Rate | ||||||||||||||||||||||
Overdrawn demand deposit accounts | $ | 8 | 6.85 | % | $ | 1 | 6.10 | % | ||||||||||||||||||
Due in one year or less | 58,052 | 5.12 | $ | 61,578 | 4.26 | |||||||||||||||||||||
Due after one year through two years | 22,521 | 4.46 | 23,026 | 4.25 | ||||||||||||||||||||||
Due after two years through three years | 11,292 | 4.35 | 10,790 | 3.47 | ||||||||||||||||||||||
Due after three years through four years | 9,622 | 3.66 | 7,149 | 3.03 | ||||||||||||||||||||||
Due after four years through five years | 10,324 | 4.23 | 6,047 | 3.89 | ||||||||||||||||||||||
Thereafter | 3,680 | 3.31 | 3,783 | 3.03 | ||||||||||||||||||||||
Total par value | 115,499 | 4.66 | % | 112,374 | 4.04 | % | ||||||||||||||||||||
Premiums | 7 | 11 | ||||||||||||||||||||||||
Fair value hedging adjustments | (1,449) | (1,183) | ||||||||||||||||||||||||
Total | $ | 114,057 | $ | 111,202 |
September 30, 2017 | December 31, 2016 | |||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Overdrawn demand deposit accounts | $ | 1 | 4.33 | % | $ | 1 | 3.81 | % | ||||||
Due in one year or less | 47,049 | 1.46 | 22,532 | 1.13 | ||||||||||
Due after one year through two years | 20,734 | 1.52 | 29,791 | 1.12 | ||||||||||
Due after two years through three years | 9,147 | 1.65 | 30,023 | 0.98 | ||||||||||
Due after three years through four years | 24,354 | 1.55 | 17,615 | 1.00 | ||||||||||
Due after four years through five years | 5,863 | 1.75 | 17,197 | 1.11 | ||||||||||
Thereafter | 10,357 | 1.89 | 14,378 | 1.11 | ||||||||||
Total par value | 117,505 | 1.56 | % | 131,537 | 1.07 | % | ||||||||
Premiums | 58 | 83 | ||||||||||||
Discounts | (12 | ) | (7 | ) | ||||||||||
Fair value hedging adjustments | (37 | ) | (12 | ) | ||||||||||
Total | $ | 117,514 | $ | 131,601 |
Redemption Term or Next Call Date | Redemption Term or Next Put Date | |||||||||||||||||||||||||
June 30, 2023 | December 31, 2022 | June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||
Overdrawn demand deposit accounts | $ | 8 | $ | 1 | $ | 8 | $ | 1 | ||||||||||||||||||
Due in one year or less | 69,348 | 73,765 | 58,053 | 61,745 | ||||||||||||||||||||||
Due after one year through two years | 19,303 | 20,883 | 22,521 | 22,890 | ||||||||||||||||||||||
Due after two years through three years | 8,427 | 6,218 | 11,292 | 10,767 | ||||||||||||||||||||||
Due after three years through four years | 6,619 | 4,468 | 9,622 | 7,149 | ||||||||||||||||||||||
Due after four years through five years | 8,165 | 3,228 | 10,324 | 6,047 | ||||||||||||||||||||||
Thereafter | 3,629 | 3,811 | 3,679 | 3,775 | ||||||||||||||||||||||
Total par value | $ | 115,499 | $ | 112,374 | $ | 115,499 | $ | 112,374 | ||||||||||||||||||
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Put Date | |||||||||||||||
September 30, 2017 | December 31, 2016 | September 30, 2017 | December 31, 2016 | |||||||||||||
Overdrawn demand deposit accounts | $ | 1 | $ | 1 | $ | 1 | $ | 1 | ||||||||
Due in one year or less | 79,330 | 93,471 | 47,151 | 23,532 | ||||||||||||
Due after one year through two years | 19,629 | 9,978 | 20,695 | 28,983 | ||||||||||||
Due after two years through three years | 6,598 | 15,515 | 9,147 | 30,023 | ||||||||||||
Due after three years through four years | 5,919 | 2,734 | 24,319 | 17,615 | ||||||||||||
Due after four years through five years | 3,824 | 7,670 | 5,841 | 17,026 | ||||||||||||
Thereafter | 2,204 | 2,168 | 10,351 | 14,357 | ||||||||||||
Total par value | $ | 117,505 | $ | 131,537 | $ | 117,505 | $ | 131,537 |
For the Three Months Ended | For the Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Prepayment fee income | $ | 1 | $ | 2 | $ | 2 | $ | 11 | |||||||
Fair value hedging adjustments1 | (1 | ) | (1 | ) | (1 | ) | (5 | ) | |||||||
Prepayment fees on advances, net | $ | — | $ | 1 | $ | 1 | $ | 6 |
June 30, 2023 | December 31, 2022 | ||||||||||
Fixed rate, long-term single-family mortgage loans | $ | 7,852 | $ | 7,244 | |||||||
Fixed rate, medium-term1 single-family mortgage loans | 982 | 1,033 | |||||||||
Total unpaid principal balance | 8,834 | 8,277 | |||||||||
Premiums | 103 | 96 | |||||||||
Discounts | (11) | (11) | |||||||||
Basis adjustments from mortgage loan purchase commitments | (11) | (9) | |||||||||
Total mortgage loans held for portfolio2 | 8,915 | 8,353 | |||||||||
Allowance for credit losses | (6) | (5) | |||||||||
Total mortgage loans held for portfolio, net | $ | 8,909 | $ | 8,348 |
September 30, 2017 | |||||||||||
MPF | MPP | Total | |||||||||
Fixed rate, long-term single-family mortgage loans | $ | 5,569 | $ | 330 | $ | 5,899 | |||||
Fixed rate, medium-term1 single-family mortgage loans | 1,036 | 2 | 1,038 | ||||||||
Total unpaid principal balance | 6,605 | 332 | 6,937 | ||||||||
Premiums | 87 | 11 | 98 | ||||||||
Discounts | (6 | ) | (1 | ) | (7 | ) | |||||
Basis adjustments from mortgage loan commitments | 5 | — | 5 | ||||||||
Total mortgage loans held for portfolio | 6,691 | 342 | 7,033 | ||||||||
Allowance for credit losses | (2 | ) | — | (2 | ) | ||||||
Total mortgage loans held for portfolio, net | $ | 6,689 | $ | 342 | $ | 7,031 |
December 31, 2016 | |||||||||||
MPF | MPP | Total | |||||||||
Fixed rate, long-term single-family mortgage loans | $ | 5,272 | $ | 397 | $ | 5,669 | |||||
Fixed rate, medium-term1 single-family mortgage loans | 1,148 | 6 | 1,154 | ||||||||
Total unpaid principal balance | 6,420 | 403 | 6,823 | ||||||||
Premiums | 82 | 14 | 96 | ||||||||
Discounts | (8 | ) | (1 | ) | (9 | ) | |||||
Basis adjustments from mortgage loan commitments | 5 | — | 5 | ||||||||
Total mortgage loans held for portfolio | 6,499 | 416 | 6,915 | ||||||||
Allowance for credit losses | (2 | ) | — | (2 | ) | ||||||
Total mortgage loans held for portfolio, net | $ | 6,497 | $ | 416 | $ | 6,913 |
June 30, 2023 | December 31, 2022 | ||||||||||
Conventional mortgage loans | $ | 8,453 | $ | 7,890 | |||||||
Government-insured mortgage loans | 381 | 387 | |||||||||
Total unpaid principal balance | $ | 8,834 | $ | 8,277 |
September 30, 2017 | |||||||||||
MPF | MPP | Total | |||||||||
Conventional mortgage loans | $ | 6,104 | $ | 299 | $ | 6,403 | |||||
Government-insured mortgage loans | 501 | 33 | 534 | ||||||||
Total unpaid principal balance | $ | 6,605 | $ | 332 | $ | 6,937 |
December 31, 2016 | |||||||||||
MPF | MPP | Total | |||||||||
Conventional mortgage loans | $ | 5,907 | $ | 361 | $ | 6,268 | |||||
Government-insured mortgage loans | 513 | 42 | 555 | ||||||||
Total unpaid principal balance | $ | 6,420 | $ | 403 | $ | 6,823 |
MPF | MPP1 | Total | |||||||||
Allowance for credit losses, September 30, 2017 | |||||||||||
Collectively evaluated for impairment | $ | 2 | $ | — | $ | 2 | |||||
Allowance for credit losses, December 31, 2016 | |||||||||||
Collectively evaluated for impairment | $ | 2 | $ | — | $ | 2 | |||||
Recorded investment, September 30, 20172 | |||||||||||
Collectively evaluated for impairment | $ | 6,169 | $ | 287 | $ | 6,456 | |||||
Individually evaluated for impairment, without a related allowance | 41 | 22 | 63 | ||||||||
Total recorded investment | $ | 6,210 | $ | 309 | $ | 6,519 | |||||
Recorded investment, December 31, 20162 | |||||||||||
Collectively evaluated for impairment | $ | 5,960 | $ | 346 | $ | 6,306 | |||||
Individually evaluated for impairment, without a related allowance | 45 | 27 | 72 | ||||||||
Total recorded investment | $ | 6,005 | $ | 373 | $ | 6,378 |
June 30, 2023 | |||||||||||||||||
Origination Year | |||||||||||||||||
Prior to 2019 | 2019 to 2023 | Total | |||||||||||||||
Past due 30 - 59 days | $ | 33 | $ | 40 | $ | 73 | |||||||||||
Past due 60 - 89 days | 5 | 5 | 10 | ||||||||||||||
Past due 90 - 179 days | 4 | 3 | 7 | ||||||||||||||
Past due 180 days or more | 5 | 1 | 6 | ||||||||||||||
Total past due mortgage loans | 47 | 49 | 96 | ||||||||||||||
Total current mortgage loans | 1,868 | 6,564 | 8,432 | ||||||||||||||
Total amortized cost of mortgage loans1 | $ | 1,915 | $ | 6,613 | $ | 8,528 |
December 31, 2022 | |||||||||||||||||
Origination Year | |||||||||||||||||
Prior to 2018 | 2018 to 2022 | Total | |||||||||||||||
Past due 30 - 59 days | $ | 21 | $ | 22 | $ | 43 | |||||||||||
Past due 60 - 89 days | 5 | 6 | 11 | ||||||||||||||
Past due 90 - 179 days | 3 | 2 | 5 | ||||||||||||||
Past due 180 days or more | 7 | 2 | 9 | ||||||||||||||
Total past due mortgage loans | 36 | 32 | 68 | ||||||||||||||
Total current mortgage loans | 1,764 | 6,128 | 7,892 | ||||||||||||||
Total amortized cost of mortgage loans1 | $ | 1,800 | $ | 6,160 | $ | 7,960 |
September 30, 2017 | |||||||||||||||||||
MPF | MPP | ||||||||||||||||||
Conventional | Government | Conventional | Government | Total | |||||||||||||||
Past due 30 - 59 days | $ | 44 | $ | 17 | $ | 7 | $ | 3 | $ | 71 | |||||||||
Past due 60 - 89 days | 12 | 5 | 5 | 1 | 23 | ||||||||||||||
Past due 90 - 179 days | 10 | 6 | 2 | — | 18 | ||||||||||||||
Past due 180 days or more | 15 | 4 | 8 | 1 | 28 | ||||||||||||||
Total past due mortgage loans | 81 | 32 | 22 | 5 | 140 | ||||||||||||||
Total current mortgage loans | 6,129 | 483 | 287 | 30 | 6,929 | ||||||||||||||
Total recorded investment of mortgage loans1 | $ | 6,210 | $ | 515 | $ | 309 | $ | 35 | $ | 7,069 | |||||||||
In process of foreclosure (included above)2 | $ | 10 | $ | 2 | $ | 4 | $ | — | $ | 16 | |||||||||
Serious delinquency rate3 | — | % | 2 | % | 3 | % | 2 | % | 1 | % | |||||||||
Past due 90 days or more and still accruing interest4 | $ | — | $ | 10 | $ | — | $ | 1 | $ | 11 | |||||||||
Non-accrual mortgage loans5 | $ | 29 | $ | — | $ | 19 | $ | — | $ | 48 |
December 31, 2016 | |||||||||||||||||||
MPF | MPP | ||||||||||||||||||
Conventional | Government | Conventional | Government | Total | |||||||||||||||
Past due 30 - 59 days | $ | 50 | $ | 18 | $ | 11 | $ | 4 | $ | 83 | |||||||||
Past due 60 - 89 days | 17 | 7 | 5 | 2 | 31 | ||||||||||||||
Past due 90 - 179 days | 9 | 6 | 2 | 1 | 18 | ||||||||||||||
Past due 180 days or more | 22 | 5 | 12 | 2 | 41 | ||||||||||||||
Total past due mortgage loans | 98 | 36 | 30 | 9 | 173 | ||||||||||||||
Total current mortgage loans | 5,907 | 491 | 343 | 35 | 6,776 | ||||||||||||||
Total recorded investment of mortgage loans1 | $ | 6,005 | $ | 527 | $ | 373 | $ | 44 | $ | 6,949 | |||||||||
In process of foreclosure (included above)2 | $ | 16 | $ | 2 | $ | 7 | $ | — | $ | 25 | |||||||||
Serious delinquency rate3 | 1 | % | 2 | % | 4 | % | 7 | % | 1 | % | |||||||||
Past due 90 days or more and still accruing interest4 | $ | — | $ | 11 | $ | — | $ | 3 | $ | 14 | |||||||||
Non-accrual mortgage loans5 | $ | 36 | $ | — | $ | 24 | $ | — | $ | 60 |
June 30, 2023 | ||||||||||||||||||||
Amortized Cost | Conventional | Government-Insured | Total | |||||||||||||||||
In process of foreclosure1 | $ | 2 | $ | 1 | $ | 3 | ||||||||||||||
Serious delinquency rate2 | — | % | 1 | % | — | % | ||||||||||||||
Past due 90 days or more and still accruing interest3 | $ | — | $ | 6 | $ | 6 | ||||||||||||||
Non-accrual mortgage loans4 | $ | 38 | $ | — | $ | 38 |
For the Three Months Ended | For the Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Impaired loans without an allowance | |||||||||||||||
Conventional MPF Loans | $ | 42 | $ | 32 | $ | 43 | $ | 34 | |||||||
Conventional MPP Loans | 22 | 25 | 25 | 27 | |||||||||||
Total | $ | 64 | $ | 57 | $ | 68 | $ | 61 |
December 31, 2022 | ||||||||||||||||||||
Amortized Cost | Conventional | Government- Insured | Total | |||||||||||||||||
In process of foreclosure1 | $ | 4 | $ | 1 | $ | 5 | ||||||||||||||
Serious delinquency rate2 | — | % | 2 | % | — | % | ||||||||||||||
Past due 90 days or more and still accruing interest3 | $ | — | $ | 8 | $ | 8 | ||||||||||||||
Non-accrual mortgage loans4 | $ | 40 | $ | — | $ | 40 |
June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||||||||||||||
Notional Amount | Derivative Assets | Derivative Liabilities | Notional Amount | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||
Derivatives designated as hedging instruments (fair value hedges) | ||||||||||||||||||||||||||||||||||||||
Interest rate swaps | $ | 91,374 | $ | 200 | $ | 163 | $ | 53,136 | $ | 226 | $ | 205 | ||||||||||||||||||||||||||
Derivatives not designated as hedging instruments (economic hedges) | ||||||||||||||||||||||||||||||||||||||
Interest rate swaps | 36,214 | 5 | 4 | 48,347 | 11 | 13 | ||||||||||||||||||||||||||||||||
Forward settlement agreements | 235 | 1 | — | 46 | — | — | ||||||||||||||||||||||||||||||||
Mortgage loan purchase commitments | 231 | — | 1 | 46 | — | — | ||||||||||||||||||||||||||||||||
Total derivatives not designated as hedging instruments | 36,680 | 6 | 5 | 48,439 | 11 | 13 | ||||||||||||||||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 128,054 | 206 | 168 | $ | 101,575 | 237 | 218 | ||||||||||||||||||||||||||||||
Netting adjustments and cash collateral1 | 905 | (159) | 406 | (214) | ||||||||||||||||||||||||||||||||||
Total derivative assets and derivative liabilities | $ | 1,111 | $ | 9 | $ | 643 | $ | 4 |
For the Three Months Ended June 30, 2023 | ||||||||||||||||||||
Interest Income (Expense) | ||||||||||||||||||||
Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||||||
Total interest income (expense) recorded on the Statements of Income1 | $ | 1,608 | $ | 294 | $ | (1,364) | ||||||||||||||
Gains (losses) on fair value hedging relationships | ||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||
Derivatives2 | $ | 726 | $ | 417 | $ | (181) | ||||||||||||||
Hedged items3 | (526) | (316) | 117 | |||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | 200 | $ | 101 | $ | (64) |
For the Three Months Ended June 30, 2022 | ||||||||||||||||||||||||||
Interest Income (Expense) | ||||||||||||||||||||||||||
Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||||||||||||
Total interest income (expense) recorded on the Statements of Income1 | $ | 184 | $ | 55 | $ | (124) | ||||||||||||||||||||
Gains (losses) on fair value hedging relationships | ||||||||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||||||||
Derivatives2 | $ | 229 | $ | 177 | $ | (55) | ||||||||||||||||||||
Hedged items3 | (241) | (185) | 57 | |||||||||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | (12) | $ | (8) | $ | 2 |
For the Six Months Ended June 30, 2023 | ||||||||||||||||||||
Interest Income (Expense) | ||||||||||||||||||||
Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||||||
Total interest income (expense) recorded on the Statements of Income1 | $ | 3,002 | $ | 518 | $ | (2,347) | ||||||||||||||
Gains (losses) on fair value hedging relationships | ||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||
Derivatives2 | $ | 604 | $ | 222 | $ | (135) | ||||||||||||||
Hedged items3 | (266) | (56) | 7 | |||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | 338 | $ | 166 | $ | (128) |
For the Six Months Ended June 30, 2022 | ||||||||||||||||||||
Interest Income (Expense) | ||||||||||||||||||||
Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||||||
Total interest income (expense) recorded on the Statements of Income1 | $ | 295 | $ | 85 | $ | (223) | ||||||||||||||
Gains (losses) on fair value hedging relationships | ||||||||||||||||||||
Interest rate contracts | ||||||||||||||||||||
Derivatives2 | $ | 735 | $ | 427 | $ | (173) | ||||||||||||||
Hedged items3 | (786) | (456) | 184 | |||||||||||||||||
Net gains (losses) on fair value hedging relationships | $ | (51) | $ | (29) | $ | 11 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
Notional Amount | Derivative Assets | Derivative Liabilities | Notional Amount | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Derivatives designated as hedging instruments (fair value hedges) | ||||||||||||||||||||||||
Interest rate swaps | $ | 52,381 | $ | 170 | $ | 556 | $ | 51,896 | $ | 183 | $ | 688 | ||||||||||||
Derivatives not designated as hedging instruments (economic hedges) | ||||||||||||||||||||||||
Interest rate swaps | 1,386 | 17 | 55 | 1,414 | 20 | 56 | ||||||||||||||||||
Forward settlement agreements (TBAs) | 108 | 1 | — | 94 | 1 | — | ||||||||||||||||||
Mortgage delivery commitments | 114 | — | — | 102 | — | — | ||||||||||||||||||
Total derivatives not designated as hedging instruments | 1,608 | 18 | 55 | 1,610 | 21 | 56 | ||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | 53,989 | 188 | 611 | $ | 53,506 | 204 | 744 | ||||||||||||||||
Netting adjustments, cash collateral, and variation margin for daily settled contracts1 | (69 | ) | (608 | ) | (13 | ) | (668 | ) | ||||||||||||||||
Total derivative assets and derivative liabilities | $ | 119 | $ | 3 | $ | 191 | $ | 76 |
June 30, 2023 | ||||||||||||||||||||
Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||||||
Amortized cost of hedged asset/ liability1 | $ | 40,853 | $ | 12,929 | $ | 37,297 | ||||||||||||||
Fair value hedging adjustments | ||||||||||||||||||||
Changes in fair value for active hedging relationships included in amortized cost | $ | (1,385) | $ | (684) | $ | (258) | ||||||||||||||
Basis adjustments for discontinued hedging relationships included in amortized cost | (64) | (43) | (17) | |||||||||||||||||
Total amount of fair value hedging adjustments | $ | (1,449) | $ | (727) | $ | (275) | ||||||||||||||
December 31, 2022 | ||||||||||||||||||||
Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||||||
Amortized cost of hedged asset/ liability1 | $ | 21,832 | $ | 8,606 | $ | 22,205 | ||||||||||||||
Fair value hedging adjustments | ||||||||||||||||||||
Changes in fair value for active hedging relationships included in amortized cost | $ | (1,109) | $ | (671) | $ | (297) | ||||||||||||||
Basis adjustments for discontinued hedging relationships included in amortized cost | (74) | (1) | (1) | |||||||||||||||||
Total amount of fair value hedging adjustments | $ | (1,183) | $ | (672) | $ | (298) |
For the Three Months Ended | For the Nine Months Ended | For the Three Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||||||
September 30, | September 30, | June 30, | June 30, | |||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||||||||||
Derivatives designated as hedging instruments (fair value hedges) | ||||||||||||||||||||||||||||||||||||||
Interest rate swaps | $ | (1 | ) | $ | (7 | ) | $ | 9 | $ | (16 | ) | |||||||||||||||||||||||||||
Derivatives not designated as hedging instruments (economic hedges) | Derivatives not designated as hedging instruments (economic hedges) | |||||||||||||||||||||||||||||||||||||
Interest rate swaps | 1 | 10 | — | (45 | ) | Interest rate swaps | $ | 14 | $ | (40) | $ | 54 | $ | (23) | ||||||||||||||||||||||||
Forward settlement agreements (TBAs) | (1 | ) | (2 | ) | (2 | ) | (5 | ) | ||||||||||||||||||||||||||||||
Mortgage delivery commitments | 1 | 1 | 2 | 4 | ||||||||||||||||||||||||||||||||||
Forward settlement agreements | Forward settlement agreements | 3 | 4 | 2 | 11 | |||||||||||||||||||||||||||||||||
Mortgage loan purchase commitments | Mortgage loan purchase commitments | (3) | (4) | (3) | (11) | |||||||||||||||||||||||||||||||||
Net interest settlements | (3 | ) | (5 | ) | (10 | ) | (14 | ) | Net interest settlements | (26) | 11 | (48) | 10 | |||||||||||||||||||||||||
Total net gains (losses) related to derivatives not designated as hedging instruments | (2 | ) | 4 | (10 | ) | (60 | ) | Total net gains (losses) related to derivatives not designated as hedging instruments | (12) | (29) | 5 | (13) | ||||||||||||||||||||||||||
Other1 | 1 | — | 2 | — | ||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | $ | (2 | ) | $ | (3 | ) | $ | 1 | $ | (76 | ) | |||||||||||||||||||||||||||
Price alignment amount1 | Price alignment amount1 | (5) | (1) | (12) | (1) | |||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives | Net gains (losses) on derivatives | $ | (17) | $ | (30) | $ | (7) | $ | (14) |
For the Three Months Ended September 30, 2017 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivatives | Gains (Losses) on Hedged Items | Net Fair Value Hedge Ineffectiveness | Effect on Net Interest Income1 | ||||||||||||
Available-for-sale investments | $ | 9 | $ | (13 | ) | $ | (4 | ) | $ | (21 | ) | |||||
Advances2 | 17 | (16 | ) | 1 | (14 | ) | ||||||||||
Consolidated obligation bonds | 1 | 1 | 2 | (8 | ) | |||||||||||
Total | $ | 27 | $ | (28 | ) | $ | (1 | ) | $ | (43 | ) |
For the Three Months Ended September 30, 2016 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivatives | Gains (Losses) on Hedged Items | Net Fair Value Hedge Ineffectiveness | Effect on Net Interest Income1 | ||||||||||||
Available-for-sale investments | $ | 69 | $ | (82 | ) | $ | (13 | ) | $ | (36 | ) | |||||
Advances2 | 95 | (95 | ) | — | (34 | ) | ||||||||||
Consolidated obligation bonds | (103 | ) | 109 | 6 | 23 | |||||||||||
Total | $ | 61 | $ | (68 | ) | $ | (7 | ) | $ | (47 | ) |
For the Nine Months Ended September 30, 2017 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivatives | Gains (Losses) on Hedged Items | Net Fair Value Hedge Ineffectiveness | Effect on Net Interest Income1 | ||||||||||||
Available-for-sale investments | $ | 5 | $ | 5 | $ | 10 | $ | (74 | ) | |||||||
Advances2 | 25 | (22 | ) | 3 | (59 | ) | ||||||||||
Consolidated obligation bonds | 23 | (27 | ) | (4 | ) | 18 | ||||||||||
Total | $ | 53 | $ | (44 | ) | $ | 9 | $ | (115 | ) |
For the Nine Months Ended September 30, 2016 | ||||||||||||||||
Hedged Item Type | Gains (Losses) on Derivatives | Gains (Losses) on Hedged Items | Net Fair Value Hedge Ineffectiveness | Effect on Net Interest Income1 | ||||||||||||
Available-for-sale investments | $ | (335 | ) | $ | 319 | $ | (16 | ) | $ | (110 | ) | |||||
Advances2 | (83 | ) | 84 | 1 | (111 | ) | ||||||||||
Consolidated obligation bonds | 49 | (50 | ) | (1 | ) | 56 | ||||||||||
Total | $ | (369 | ) | $ | 353 | $ | (16 | ) | $ | (165 | ) |
September 30, 2017 | December 31, 2016 | ||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | ||||||||||||
Derivative instruments meeting netting requirements | |||||||||||||||
Gross recognized amount | |||||||||||||||
Uncleared derivatives | $ | 83 | $ | 195 | $ | 97 | $ | 263 | |||||||
Cleared derivatives | 105 | 416 | 107 | 481 | |||||||||||
Total gross recognized amount | 188 | 611 | 204 | 744 | |||||||||||
Gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts | |||||||||||||||
Uncleared derivatives | (78 | ) | (192 | ) | (95 | ) | (187 | ) | |||||||
Cleared derivatives | 9 | (416 | ) | 82 | (481 | ) | |||||||||
Total gross amounts of netting adjustments, cash collateral, and variation margin for daily settled contracts | (69 | ) | (608 | ) | (13 | ) | (668 | ) | |||||||
Net amounts after netting adjustments, cash collateral, and variation margin for daily settled contracts | |||||||||||||||
Uncleared derivatives | 5 | 3 | 2 | 76 | |||||||||||
Cleared derivatives | 114 | — | 189 | — | |||||||||||
Total derivative assets and derivative liabilities | $ | 119 | $ | 3 | $ | 191 | $ | 76 |
June 30, 2023 | ||||||||||||||||||||||||||
Derivative Instruments Meeting Netting Requirements | ||||||||||||||||||||||||||
Gross Amount Recognized1 | Gross Amount of Netting Adjustments and Cash Collateral | Derivative Instruments Not Meeting Netting Requirements2 | Total Derivative Assets and Total Derivative Liabilities | |||||||||||||||||||||||
Derivative Assets | ||||||||||||||||||||||||||
Uncleared derivatives | $ | 185 | $ | (182) | $ | — | $ | 3 | ||||||||||||||||||
Cleared derivatives | 21 | 1,087 | — | 1,108 | ||||||||||||||||||||||
Total | $ | 206 | $ | 905 | $ | — | $ | 1,111 | ||||||||||||||||||
Derivative Liabilities | ||||||||||||||||||||||||||
Uncleared derivatives | $ | 152 | $ | (144) | $ | 1 | $ | 9 | ||||||||||||||||||
Cleared derivatives | 15 | (15) | — | — | ||||||||||||||||||||||
Total | $ | 167 | $ | (159) | $ | 1 | $ | 9 |
December 31, 2022 | ||||||||||||||||||||||||||
Derivative Instruments Meeting Netting Requirements | ||||||||||||||||||||||||||
Gross Amount Recognized1 | Gross Amount of Netting Adjustments and Cash Collateral | Derivative Instruments Not Meeting Netting Requirements2 | Total Derivative Assets and Total Derivative Liabilities | |||||||||||||||||||||||
Derivative Assets | ||||||||||||||||||||||||||
Uncleared derivatives | $ | 195 | $ | (194) | $ | — | $ | 1 | ||||||||||||||||||
Cleared derivatives | 42 | 600 | — | 642 | ||||||||||||||||||||||
Total | $ | 237 | $ | 406 | $ | — | $ | 643 | ||||||||||||||||||
Derivative Liabilities | ||||||||||||||||||||||||||
Uncleared derivatives | $ | 200 | $ | (196) | $ | — | $ | 4 | ||||||||||||||||||
Cleared derivatives | 18 | (18) | — | — | ||||||||||||||||||||||
Total | $ | 218 | $ | (214) | $ | — | $ | 4 |
June 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||||||||||||
Par value | $ | 51,049 | 4.69 | % | $ | 70,002 | 3.79 | % | |||||||||||||||
Discounts and concessions1 | (560) | (725) | |||||||||||||||||||||
Fair value option adjustments | (46) | (107) | |||||||||||||||||||||
Total | $ | 50,443 | $ | 69,170 |
September 30, 2017 | December 31, 2016 | ||||||||||||
Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Par value | $ | 53,074 | 1.07 | % | $ | 81,019 | 0.49 | % | |||||
Discounts and concessions1 | (98 | ) | (72 | ) | |||||||||
Total | $ | 52,976 | $ | 80,947 |
June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||||||||||||||
Due in one year or less | $ | 85,183 | 4.98 | % | $ | 55,421 | 4.01 | % | ||||||||||||||||||
Due after one year through two years | 23,060 | 4.48 | 20,665 | 3.79 | ||||||||||||||||||||||
Due after two years through three years | 1,499 | 3.18 | 1,175 | 2.23 | ||||||||||||||||||||||
Due after three years through four years | 1,230 | 2.13 | 1,210 | 1.97 | ||||||||||||||||||||||
Due after four years through five years | 1,047 | 3.15 | 865 | 2.42 | ||||||||||||||||||||||
Thereafter | 5,022 | 2.62 | 5,236 | 2.61 | ||||||||||||||||||||||
Total par value | 117,041 | 4.71 | % | 84,572 | 3.80 | % | ||||||||||||||||||||
Premiums | 69 | 86 | ||||||||||||||||||||||||
Discounts and concessions1 | (25) | (23) | ||||||||||||||||||||||||
Fair value hedging adjustments | (275) | (298) | ||||||||||||||||||||||||
Total | $ | 116,810 | $ | 84,337 |
September 30, 2017 | December 31, 2016 | |||||||||||||
Year of Contractual Maturity | Amount | Weighted Average Interest Rate | Amount | Weighted Average Interest Rate | ||||||||||
Due in one year or less | $ | 49,500 | 1.16 | % | $ | 47,733 | 0.88 | % | ||||||
Due after one year through two years | 32,331 | 1.28 | 13,135 | 0.94 | ||||||||||
Due after two years through three years | 6,953 | 1.83 | 15,414 | 1.48 | ||||||||||
Due after three years through four years | 5,013 | 1.83 | 2,288 | 3.28 | ||||||||||
Due after four years through five years | 4,000 | 2.10 | 7,152 | 1.66 | ||||||||||
Thereafter | 4,659 | 3.05 | 4,331 | 3.04 | ||||||||||
Total par value | 102,456 | 1.40 | % | 90,053 | 1.22 | % | ||||||||
Premiums | 210 | 254 | ||||||||||||
Discounts and concessions1 | (65 | ) | (79 | ) | ||||||||||
Fair value hedging adjustments | (307 | ) | (330 | ) | ||||||||||
Total | $ | 102,294 | $ | 89,898 |
June 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
Non-callable or non-putable | $ | 95,202 | $ | 73,578 | |||||||||||||||||||
Callable | 21,839 | 10,994 | |||||||||||||||||||||
Total par value | $ | 117,041 | $ | 84,572 |
Year of Contractual Maturity or Next Call Date | June 30, 2023 | December 31, 2022 | ||||||||||||
Due in one year or less | $ | 93,321 | $ | 62,033 | ||||||||||
Due after one year through two years | 20,365 | 19,141 | ||||||||||||
Due after two years through three years | 969 | 850 | ||||||||||||
Due after three years through four years | 583 | 753 | ||||||||||||
Due after four years through five years | 461 | 324 | ||||||||||||
Thereafter | 1,342 | 1,471 | ||||||||||||
Total par value | $ | 117,041 | $ | 84,572 |
September 30, 2017 | December 31, 2016 | ||||||
Noncallable or nonputable | $ | 99,682 | $ | 87,804 | |||
Callable | 2,774 | 2,249 | |||||
Total par value | $ | 102,456 | $ | 90,053 |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||
Balance, beginning of period | $ | 14 | $ | 18 | $ | 15 | $ | 29 | |||||||||||||||
Capital stock reclassified to (from) MRCS, net | — | 2 | — | 3 | |||||||||||||||||||
Net payments for repurchases/redemptions of MRCS | (1) | (3) | (2) | (15) | |||||||||||||||||||
Balance, end of period | $ | 13 | $ | 17 | $ | 13 | $ | 17 |
For the Three Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Balance, beginning of period | $ | 480 | $ | 698 | |||
Capital stock reclassified to (from) mandatorily redeemable capital stock, net | 12 | 1 | |||||
Repurchases/redemptions of mandatorily redeemable capital stock | (70 | ) | (24 | ) | |||
Balance, end of period | $ | 422 | $ | 675 |
For the Nine Months Ended September 30, | |||||||
2017 | 2016 | ||||||
Balance, beginning of period | $ | 664 | $ | 103 | |||
Capital stock reclassified to (from) mandatorily redeemable capital stock, net | 40 | 732 | |||||
Repurchases/redemptions of mandatorily redeemable capital stock | (282 | ) | (160 | ) | |||
Balance, end of period | $ | 422 | $ | 675 |
Year of Contractual Redemption1 | June 30, 2023 | December 31, 2022 | ||||||||||||
Due after two years through three years | $ | 6 | $ | — | ||||||||||
Due after three years through four years | — | 8 | ||||||||||||
Past contractual redemption date due to outstanding activity with the Bank | 7 | 7 | ||||||||||||
Total | $ | 13 | $ | 15 |
Year of Contractual Redemption1 | September 30, 2017 | December 31, 2016 | ||||||
Due in one year or less | $ | 4 | $ | 4 | ||||
Due after one year through two years | — | 5 | ||||||
Due after two years through three years | 2 | 4 | ||||||
Due after three years through four years | 1 | — | ||||||
Due after four years through five years | 22 | 1 | ||||||
Thereafter2 | 378 | 631 | ||||||
Past contractual redemption date due to outstanding activity with the Bank | 15 | 19 | ||||||
Total | $ | 422 | $ | 664 |
1 At |
Net unrealized gains (losses) on AFS securities (Note 3) | Pension and postretirement benefits | Total AOCI | ||||||||||||||||||||||||||
Balance, March 31, 2022 | Balance, March 31, 2022 | $ | 27 | $ | (6) | $ | 21 | |||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | Other comprehensive income (loss) before reclassifications | |||||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities | Net unrealized gains (losses) on AFS securities | (50) | — | (50) | ||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities (Note 4) | Pension and postretirement benefits | Total AOCI | ||||||||||||||||||||||||||
Balance, June 30, 2016 | $ | (83 | ) | $ | (2 | ) | $ | (85 | ) | |||||||||||||||||||
Net current period other comprehensive income (loss) | Net current period other comprehensive income (loss) | (50) | — | (50) | ||||||||||||||||||||||||
Balance, June 30, 2022 | Balance, June 30, 2022 | $ | (23) | $ | (6) | $ | (29) | |||||||||||||||||||||
Balance, March 31, 2023 | Balance, March 31, 2023 | $ | (181) | $ | (2) | $ | (183) | |||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | Other comprehensive income (loss) before reclassifications | |||||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities | 46 | — | 46 | Net unrealized gains (losses) on AFS securities | 77 | — | 77 | |||||||||||||||||||||
Net actuarial gains (losses) | Net actuarial gains (losses) | — | (1) | (1) | ||||||||||||||||||||||||
Net current period other comprehensive income (loss) | 46 | — | 46 | Net current period other comprehensive income (loss) | 77 | (1) | 76 | |||||||||||||||||||||
Balance, September 30, 2016 | $ | (37 | ) | $ | (2 | ) | $ | (39 | ) | |||||||||||||||||||
Balance, June 30, 2023 | Balance, June 30, 2023 | $ | (104) | $ | (3) | $ | (107) | |||||||||||||||||||||
Balance, June 30, 2017 | $ | 91 | $ | (2 | ) | $ | 89 | |||||||||||||||||||||
Balance, December 31, 2021 | Balance, December 31, 2021 | $ | 88 | $ | (4) | $ | 84 | |||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | Other comprehensive income (loss) before reclassifications | |||||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities | 12 | — | 12 | Net unrealized gains (losses) on AFS securities | (111) | — | (111) | |||||||||||||||||||||
Reclassifications from other comprehensive income (loss) to net income | ||||||||||||||||||||||||||||
Amortization - pension and postretirement | — | (1 | ) | (1 | ) | |||||||||||||||||||||||
Net actuarial gains (losses) | Net actuarial gains (losses) | — | (2) | (2) | ||||||||||||||||||||||||
Net current period other comprehensive income (loss) | 12 | (1 | ) | 11 | Net current period other comprehensive income (loss) | (111) | (2) | (113) | ||||||||||||||||||||
Balance, September 30, 2017 | $ | 103 | $ | (3 | ) | $ | 100 | |||||||||||||||||||||
Balance, June 30, 2022 | Balance, June 30, 2022 | $ | (23) | $ | (6) | $ | (29) | |||||||||||||||||||||
Balance, December 31, 2015 | $ | (82 | ) | $ | (2 | ) | $ | (84 | ) | |||||||||||||||||||
Balance, December 31, 2022 | Balance, December 31, 2022 | $ | (114) | $ | (3) | $ | (117) | |||||||||||||||||||||
Other comprehensive income (loss) before reclassifications | Other comprehensive income (loss) before reclassifications | |||||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities | 45 | — | 45 | Net unrealized gains (losses) on AFS securities | 10 | — | 10 | |||||||||||||||||||||
Net current period other comprehensive income (loss) | 45 | — | 45 | Net current period other comprehensive income (loss) | 10 | — | 10 | |||||||||||||||||||||
Balance, September 30, 2016 | $ | (37 | ) | $ | (2 | ) | $ | (39 | ) | |||||||||||||||||||
Balance, December 31, 2016 | $ | (14 | ) | $ | (4 | ) | $ | (18 | ) | |||||||||||||||||||
Other comprehensive income (loss) before reclassifications | ||||||||||||||||||||||||||||
Net unrealized gains (losses) on AFS securities | 117 | — | 117 | |||||||||||||||||||||||||
Reclassifications from other comprehensive income (loss) to net income | ||||||||||||||||||||||||||||
Amortization - pension and postretirement | — | 1 | 1 | |||||||||||||||||||||||||
Net current period other comprehensive income (loss) | 117 | 1 | 118 | |||||||||||||||||||||||||
Balance, September 30, 2017 | $ | 103 | $ | (3 | ) | $ | 100 | |||||||||||||||||||||
Balance, June 30, 2023 | Balance, June 30, 2023 | $ | (104) | $ | (3) | $ | (107) |
June 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
Required | Actual | Required | Actual | ||||||||||||||||||||
Regulatory capital requirements | |||||||||||||||||||||||
Risk-based capital | $ | 1,500 | $ | 9,316 | $ | 737 | $ | 8,883 | |||||||||||||||
Regulatory capital | $ | 7,207 | $ | 9,316 | $ | 6,567 | $ | 8,883 | |||||||||||||||
Leverage capital | $ | 9,009 | $ | 13,974 | $ | 8,208 | $ | 13,323 | |||||||||||||||
Capital-to-assets ratio | 4.00 | % | 5.17 | % | 4.00 | % | 5.41 | % | |||||||||||||||
Capital stock-to-assets ratio | 2.00 | % | 3.49 | % | 2.00 | % | 3.73 | % | |||||||||||||||
Leverage ratio | 5.00 | % | 7.76 | % | 5.00 | % | 8.12 | % |
September 30, 2017 | December 31, 2016 | ||||||||||||||
Required | Actual | Required | Actual | ||||||||||||
Regulatory capital requirements | |||||||||||||||
Risk-based capital | $ | 1,059 | $ | 7,820 | $ | 1,046 | $ | 8,031 | |||||||
Regulatory capital | $ | 6,582 | $ | 7,820 | $ | 7,224 | $ | 8,083 | |||||||
Leverage capital | $ | 8,227 | $ | 11,730 | $ | 9,030 | $ | 12,098 | |||||||
Capital-to-assets ratio | 4.00 | % | 4.75 | % | 4.00 | % | 4.48 | % | |||||||
Leverage ratio | 5.00 | % | 7.13 | % | 5.00 | % | 6.70 | % |
June 30, 2023 | ||||||||||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||||||||||||||||
Financial Instruments | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral1 | Total | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 52 | $ | 52 | $ | — | $ | — | $ | — | $ | 52 | ||||||||||||||||||||||||||
Interest-bearing deposits | 2,841 | — | 2,841 | — | — | 2,841 | ||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 17,950 | — | 17,950 | — | — | 17,950 | ||||||||||||||||||||||||||||||||
Federal funds sold | 12,145 | — | 12,145 | — | — | 12,145 | ||||||||||||||||||||||||||||||||
Trading securities | 1,562 | — | 1,562 | — | — | 1,562 | ||||||||||||||||||||||||||||||||
Available-for-sale securities | 20,095 | — | 20,095 | — | — | 20,095 | ||||||||||||||||||||||||||||||||
Held-to-maturity securities | 905 | — | 896 | 3 | — | 899 | ||||||||||||||||||||||||||||||||
Advances | 114,057 | — | 114,031 | — | — | 114,031 | ||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 8,909 | — | 7,869 | 31 | — | 7,900 | ||||||||||||||||||||||||||||||||
Accrued interest receivable | 430 | — | 430 | — | — | 430 | ||||||||||||||||||||||||||||||||
Derivative assets, net | 1,111 | — | 206 | — | 905 | 1,111 | ||||||||||||||||||||||||||||||||
Other assets | 37 | 37 | — | — | — | 37 | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||
Deposits | (1,063) | — | (1,063) | — | — | (1,063) | ||||||||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||||
Discount notes | (50,443) | — | (50,435) | — | — | (50,435) | ||||||||||||||||||||||||||||||||
Bonds | (116,810) | — | (115,690) | — | — | (115,690) | ||||||||||||||||||||||||||||||||
Total consolidated obligations | (167,253) | — | (166,125) | — | — | (166,125) | ||||||||||||||||||||||||||||||||
Borrowings from other FHLBanks | (200) | — | (200) | — | — | (200) | ||||||||||||||||||||||||||||||||
MRCS | (13) | (13) | — | — | — | (13) | ||||||||||||||||||||||||||||||||
Accrued interest payable | (927) | — | (927) | — | — | (927) | ||||||||||||||||||||||||||||||||
Derivative liabilities, net | (9) | — | (168) | — | 159 | (9) | ||||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjustment1 | Total | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Cash and due from banks | $ | 218 | $ | 218 | $ | — | $ | — | $ | — | $ | 218 | ||||||||||||
Interest-bearing deposits | 1 | — | 1 | — | — | 1 | ||||||||||||||||||
Securities purchased under agreements to resell | 5,500 | — | 5,500 | — | — | 5,500 | ||||||||||||||||||
Federal funds sold | 6,770 | — | 6,770 | — | — | 6,770 | ||||||||||||||||||
Trading securities | 1,792 | — | 1,792 | — | — | 1,792 | ||||||||||||||||||
Available-for-sale securities | 21,459 | — | 21,459 | — | — | 21,459 | ||||||||||||||||||
Held-to-maturity securities | 3,819 | — | 3,867 | 13 | — | 3,880 | ||||||||||||||||||
Advances | 117,514 | — | 117,731 | — | — | 117,731 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 7,031 | — | 7,078 | 66 | — | 7,144 | ||||||||||||||||||
Accrued interest receivable | 239 | — | 239 | — | — | 239 | ||||||||||||||||||
Derivative assets, net | 119 | — | 188 | — | (69 | ) | 119 | |||||||||||||||||
Other assets | 27 | 27 | — | — | — | 27 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||
Deposits | (934 | ) | — | (934 | ) | — | — | (934 | ) | |||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | (52,976 | ) | — | (52,976 | ) | — | — | (52,976 | ) | |||||||||||||||
Bonds | (102,294 | ) | — | (102,743 | ) | — | — | (102,743 | ) | |||||||||||||||
Total consolidated obligations | (155,270 | ) | — | (155,719 | ) | — | — | (155,719 | ) | |||||||||||||||
Mandatorily redeemable capital stock | (422 | ) | (422 | ) | — | — | — | (422 | ) | |||||||||||||||
Accrued interest payable | (227 | ) | — | (227 | ) | — | — | (227 | ) | |||||||||||||||
Derivative liabilities, net | (3 | ) | — | (611 | ) | — | 608 | (3 | ) |
December 31, 2022 | ||||||||||||||||||||||||||||||||||||||
Fair Value | ||||||||||||||||||||||||||||||||||||||
Financial Instruments | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral1 | Total | ||||||||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 89 | $ | 89 | $ | — | $ | — | $ | — | $ | 89 | ||||||||||||||||||||||||||
Interest-bearing deposits | 2,031 | — | 2,031 | — | — | 2,031 | ||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 12,590 | — | 12,590 | — | — | 12,590 | ||||||||||||||||||||||||||||||||
Federal funds sold | 9,415 | — | 9,415 | — | — | 9,415 | ||||||||||||||||||||||||||||||||
Trading securities | 2,817 | — | 2,817 | — | — | 2,817 | ||||||||||||||||||||||||||||||||
Available-for-sale securities | 15,563 | — | 15,563 | — | — | 15,563 | ||||||||||||||||||||||||||||||||
Held-to-maturity securities | 965 | — | 955 | 4 | — | 959 | ||||||||||||||||||||||||||||||||
Advances | 111,202 | — | 110,909 | — | — | 110,909 | ||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 8,348 | — | 7,316 | 36 | — | 7,352 | ||||||||||||||||||||||||||||||||
Accrued interest receivable | 389 | — | 389 | — | — | 389 | ||||||||||||||||||||||||||||||||
Derivative assets, net | 643 | — | 237 | — | 406 | 643 | ||||||||||||||||||||||||||||||||
Other assets | 35 | 35 | — | — | — | 35 | ||||||||||||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||||||||
Deposits | (1,076) | — | (1,076) | — | — | (1,076) | ||||||||||||||||||||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||||||||||||||||
Discount notes | (69,170) | — | (69,162) | — | — | (69,162) | ||||||||||||||||||||||||||||||||
Bonds | (84,337) | — | (83,238) | — | — | (83,238) | ||||||||||||||||||||||||||||||||
Total consolidated obligations | (153,507) | — | (152,400) | — | — | (152,400) | ||||||||||||||||||||||||||||||||
MRCS | (15) | (15) | — | — | — | (15) | ||||||||||||||||||||||||||||||||
Accrued interest payable | (436) | — | (436) | — | — | (436) | ||||||||||||||||||||||||||||||||
Derivative liabilities, net | (4) | — | (218) | — | 214 | (4) |
Fair Value | ||||||||||||||||||||||||
Financial Instruments | Carrying Value | Level 1 | Level 2 | Level 3 | Netting Adjustment1 | Total | ||||||||||||||||||
Assets | ||||||||||||||||||||||||
Cash and due from banks | $ | 223 | $ | 223 | $ | — | $ | — | $ | — | $ | 223 | ||||||||||||
Interest-bearing deposits | 2 | — | 2 | — | — | 2 | ||||||||||||||||||
Securities purchased under agreements to resell | 5,925 | — | 5,925 | — | — | 5,925 | ||||||||||||||||||
Federal funds sold | 5,095 | — | 5,095 | — | — | 5,095 | ||||||||||||||||||
Trading securities | 2,553 | — | 2,553 | — | — | 2,553 | ||||||||||||||||||
Available-for-sale securities | 22,969 | — | 22,969 | — | — | 22,969 | ||||||||||||||||||
Held-to-maturity securities | 4,674 | — | 4,691 | 15 | — | 4,706 | ||||||||||||||||||
Advances | 131,601 | — | 131,772 | — | — | 131,772 | ||||||||||||||||||
Mortgage loans held for portfolio, net | 6,913 | — | 6,918 | 71 | — | 6,989 | ||||||||||||||||||
Loans to other FHLBanks | 200 | — | 200 | — | — | 200 | ||||||||||||||||||
Accrued interest receivable | 197 | — | 197 | — | — | 197 | ||||||||||||||||||
Derivative assets, net | 191 | — | 204 | — | (13 | ) | 191 | |||||||||||||||||
Other assets | 24 | 24 | — | — | — | 24 | ||||||||||||||||||
Liabilities | ||||||||||||||||||||||||
Deposits | (1,113 | ) | — | (1,113 | ) | — | — | (1,113 | ) | |||||||||||||||
Consolidated obligations | ||||||||||||||||||||||||
Discount notes | (80,947 | ) | — | (80,943 | ) | — | — | (80,943 | ) | |||||||||||||||
Bonds | (89,898 | ) | — | (90,370 | ) | — | — | (90,370 | ) | |||||||||||||||
Total consolidated obligations | (170,845 | ) | — | (171,313 | ) | — | — | (171,313 | ) | |||||||||||||||
Mandatorily redeemable capital stock | (664 | ) | (664 | ) | — | — | — | (664 | ) | |||||||||||||||
Accrued interest payable | (180 | ) | — | (180 | ) | — | — | (180 | ) | |||||||||||||||
Derivative liabilities, net | (76 | ) | — | (744 | ) | — | 668 | (76 | ) |
1 Amounts represent the application of the netting requirements that allow the Bank to net settle positive and negative positions and also cash collateral and the related accrued interest held or placed with the same clearing agent and/or counterparty. |
June 30, 2023 | ||||||||||||||||||||||||||||||||
Recurring Fair Value Measurements | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral1 | Total | |||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Trading securities | ||||||||||||||||||||||||||||||||
U.S. Treasury obligations | $ | — | $ | 1,276 | $ | — | $ | — | $ | 1,276 | ||||||||||||||||||||||
Other U.S. obligations | — | 72 | — | — | 72 | |||||||||||||||||||||||||||
GSE and TVA obligations | — | 48 | — | — | 48 | |||||||||||||||||||||||||||
Other non-MBS | — | 121 | — | — | 121 | |||||||||||||||||||||||||||
GSE multifamily MBS | — | 45 | — | — | 45 | |||||||||||||||||||||||||||
Total trading securities | — | 1,562 | — | — | 1,562 | |||||||||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||||||||||
Other U.S. obligations | — | 569 | — | — | 569 | |||||||||||||||||||||||||||
GSE and TVA obligations | — | 447 | — | — | 447 | |||||||||||||||||||||||||||
State or local housing agency obligations | — | 428 | — | — | 428 | |||||||||||||||||||||||||||
Other non-MBS | — | 241 | — | — | 241 | |||||||||||||||||||||||||||
U.S. obligations single-family MBS | — | 3,573 | — | — | 3,573 | |||||||||||||||||||||||||||
GSE single-family MBS | — | 194 | — | — | 194 | |||||||||||||||||||||||||||
GSE multifamily MBS | — | 14,643 | — | — | 14,643 | |||||||||||||||||||||||||||
Total available-for-sale securities | — | 20,095 | — | — | 20,095 | |||||||||||||||||||||||||||
Derivative assets, net | ||||||||||||||||||||||||||||||||
Interest-rate related | — | 205 | — | 905 | 1,110 | |||||||||||||||||||||||||||
Forward settlement agreements | — | 1 | — | — | 1 | |||||||||||||||||||||||||||
Total derivative assets, net | — | 206 | — | 905 | 1,111 | |||||||||||||||||||||||||||
Other assets | 37 | — | — | — | 37 | |||||||||||||||||||||||||||
Total recurring assets at fair value | $ | 37 | $ | 21,863 | $ | — | $ | 905 | $ | 22,805 | ||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Discount notes2 | $ | — | $ | (30,641) | $ | — | $ | — | $ | (30,641) | ||||||||||||||||||||||
Derivative liabilities, net | ||||||||||||||||||||||||||||||||
Interest-rate related | — | (167) | — | 159 | (8) | |||||||||||||||||||||||||||
Mortgage loan purchase commitments | — | (1) | — | — | (1) | |||||||||||||||||||||||||||
Total derivative liabilities, net | — | (168) | — | 159 | (9) | |||||||||||||||||||||||||||
Total recurring liabilities at fair value | $ | — | $ | (30,809) | $ | — | $ | 159 | $ | (30,650) |
Recurring Fair Value Measurements | Level 1 | Level 2 | Level 3 | Netting Adjustment1 | Total | |||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | ||||||||||||||||||||
Other U.S. obligations | $ | — | $ | 203 | $ | — | $ | — | $ | 203 | ||||||||||
GSE and Tennessee Valley Authority obligations | — | 861 | — | — | 861 | |||||||||||||||
Other non-MBS | — | 274 | — | — | 274 | |||||||||||||||
GSE multifamily MBS | — | 454 | — | — | 454 | |||||||||||||||
Total trading securities | — | 1,792 | — | — | 1,792 | |||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
Other U.S. obligations | — | 3,207 | — | — | 3,207 | |||||||||||||||
GSE and Tennessee Valley Authority obligations | — | 1,275 | — | — | 1,275 | |||||||||||||||
State or local housing agency obligations | — | 961 | — | — | 961 | |||||||||||||||
Other non-MBS | — | 281 | — | — | 281 | |||||||||||||||
Other U.S. obligations single-family MBS | — | 3,842 | — | — | 3,842 | |||||||||||||||
GSE single-family MBS | — | 1,055 | — | — | 1,055 | |||||||||||||||
GSE multifamily MBS | — | 10,838 | — | — | 10,838 | |||||||||||||||
Total available-for-sale securities | — | 21,459 | — | — | 21,459 | |||||||||||||||
Derivative assets, net | ||||||||||||||||||||
Interest-rate related | — | 188 | — | (69 | ) | 119 | ||||||||||||||
Other assets | 27 | — | — | — | 27 | |||||||||||||||
Total recurring assets at fair value | $ | 27 | $ | 23,439 | $ | — | $ | (69 | ) | $ | 23,397 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities, net | ||||||||||||||||||||
Interest-rate related | — | (611 | ) | — | 608 | (3 | ) | |||||||||||||
Total recurring liabilities at fair value | $ | — | $ | (611 | ) | $ | — | $ | 608 | $ | (3 | ) |
December 31, 2022 | ||||||||||||||||||||||||||||||||
Recurring Fair Value Measurements | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral1 | Total | |||||||||||||||||||||||||||
Assets | ||||||||||||||||||||||||||||||||
Trading securities | ||||||||||||||||||||||||||||||||
U.S. Treasury obligations | $ | — | $ | 2,501 | $ | — | $ | — | $ | 2,501 | ||||||||||||||||||||||
Other U.S. obligations | — | 76 | — | — | 76 | |||||||||||||||||||||||||||
GSE and TVA obligations | — | 49 | — | — | 49 | |||||||||||||||||||||||||||
Other non-MBS | — | 146 | — | — | 146 | |||||||||||||||||||||||||||
GSE multifamily MBS | — | 45 | — | — | 45 | |||||||||||||||||||||||||||
Total trading securities | — | 2,817 | — | — | 2,817 | |||||||||||||||||||||||||||
Available-for-sale securities | ||||||||||||||||||||||||||||||||
Other U.S. obligations | — | 758 | — | — | 758 | |||||||||||||||||||||||||||
GSE and TVA obligations | — | 470 | — | — | 470 | |||||||||||||||||||||||||||
State or local housing agency obligations | — | 449 | — | — | 449 | |||||||||||||||||||||||||||
Other non-MBS | — | 240 | — | — | 240 | |||||||||||||||||||||||||||
U.S. obligations single-family MBS | — | 3,676 | — | — | 3,676 | |||||||||||||||||||||||||||
GSE single-family MBS | — | 210 | — | — | 210 | |||||||||||||||||||||||||||
GSE multifamily MBS | — | 9,760 | — | — | 9,760 | |||||||||||||||||||||||||||
Total available-for-sale securities | — | 15,563 | — | — | 15,563 | |||||||||||||||||||||||||||
Derivative assets, net | ||||||||||||||||||||||||||||||||
Interest-rate related | — | 237 | — | 406 | 643 | |||||||||||||||||||||||||||
Other assets | 35 | — | — | — | 35 | |||||||||||||||||||||||||||
Total recurring assets at fair value | $ | 35 | $ | 18,617 | $ | — | $ | 406 | $ | 19,058 | ||||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||||||||||
Discount notes2 | $ | — | $ | (44,531) | $ | — | $ | — | $ | (44,531) | ||||||||||||||||||||||
Derivative liabilities, net | ||||||||||||||||||||||||||||||||
Interest-rate related | — | (218) | — | 214 | (4) | |||||||||||||||||||||||||||
Total recurring liabilities at fair value | $ | — | $ | (44,749) | $ | — | $ | 214 | $ | (44,535) |
Recurring Fair Value Measurements | Level 1 | Level 2 | Level 3 | Netting Adjustment1 | Total | |||||||||||||||
Assets | ||||||||||||||||||||
Trading securities | ||||||||||||||||||||
Other U.S. obligations | $ | — | $ | 216 | $ | — | $ | — | $ | 216 | ||||||||||
GSE and Tennessee Valley Authority obligations | — | 1,611 | — | — | 1,611 | |||||||||||||||
Other non-MBS | — | 273 | — | — | 273 | |||||||||||||||
GSE multifamily MBS | — | 453 | — | — | 453 | |||||||||||||||
Total trading securities | — | 2,553 | — | — | 2,553 | |||||||||||||||
Available-for-sale securities | ||||||||||||||||||||
Other U.S. obligations | — | 3,529 | — | — | 3,529 | |||||||||||||||
GSE and Tennessee Valley Authority obligations | — | 1,351 | — | — | 1,351 | |||||||||||||||
State or local housing agency obligations | — | 1,009 | — | — | 1,009 | |||||||||||||||
Other non-MBS | — | 278 | — | — | 278 | |||||||||||||||
Other U.S. obligations single-family MBS | — | 3,838 | — | — | 3,838 | |||||||||||||||
GSE single-family MBS | — | 1,261 | — | — | 1,261 | |||||||||||||||
GSE multifamily MBS | — | 11,703 | — | — | 11,703 | |||||||||||||||
Total available-for-sale securities | — | 22,969 | — | — | 22,969 | |||||||||||||||
Derivative assets, net | ||||||||||||||||||||
Interest-rate related | — | 204 | — | (13 | ) | 191 | ||||||||||||||
Other assets | 24 | — | — | — | 24 | |||||||||||||||
Total recurring assets at fair value | $ | 24 | $ | 25,726 | $ | — | $ | (13 | ) | $ | 25,737 | |||||||||
Liabilities | ||||||||||||||||||||
Derivative liabilities, net | ||||||||||||||||||||
Interest-rate related | — | (744 | ) | — | 668 | (76 | ) | |||||||||||||
Total recurring liabilities at fair value | $ | — | $ | (744 | ) | $ | — | $ | 668 | $ | (76 | ) |
1 Amounts represent the application of the netting requirements that allow the Bank to net settle positive and negative positions and also cash collateral and the related accrued interest held or placed with the same clearing agent and/or counterparty. |
June 30, 2023 | |||||||||||||||||
Unpaid Principal Balance | Fair Value | Fair Value Over (Under) Unpaid Principal | |||||||||||||||
Discount Notes | $ | 31,154 | $ | 30,641 | $ | (513) |
December 31, 2022 | |||||||||||||||||
Unpaid Principal Balance | Fair Value | Fair Value Over (Under) Unpaid Principal | |||||||||||||||
Discount Notes | $ | 45,244 | $ | 44,531 | $ | (713) |
June 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
Expire within one year | Expire after one year | Total | Total | ||||||||||||||||||||
Standby letters of credit1,2 | $ | 7,372 | $ | 158 | $ | 7,530 | $ | 6,566 | |||||||||||||||
Standby bond purchase agreements2 | 111 | 625 | 736 | 736 | |||||||||||||||||||
Commitments to purchase mortgage loans | 231 | — | 231 | 46 | |||||||||||||||||||
Commitment to issue bonds | 1,110 | — | 1,110 | 3,200 | |||||||||||||||||||
Commitments to issue discount notes | 65 | — | 65 | 202 | |||||||||||||||||||
Commitments to fund advances2 | 236 | 70 | 306 | 128 |
September 30, 2017 | December 31, 2016 | ||||||||||||||
Expire within one year | Expire after one year | Total | Total | ||||||||||||
Standby letters of credit1 | $ | 7,312 | $ | 102 | $ | 7,414 | $ | 7,281 | |||||||
Standby bond purchase agreements | 109 | 698 | 807 | 458 | |||||||||||
Commitments to purchase mortgage loans | 113 | — | 113 | 102 | |||||||||||
Commitments to issue bonds | 24 | — | 24 | — | |||||||||||
Commitments to fund advances | 1,420 | 18 | 1,438 | 280 |
June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||
Amount | % of Total | Amount | % of Total | |||||||||||||||||||||||
Advances | $ | 622 | 1 | $ | 317 | — | ||||||||||||||||||||
Mortgage loans | 105 | 1 | 143 | 2 | ||||||||||||||||||||||
Deposits | 8 | 1 | 4 | — | ||||||||||||||||||||||
Capital stock | 51 | 1 | 40 | 1 |
September 30, 2017 | December 31, 2016 | |||||||||||
Amount | % of Total | Amount | % of Total | |||||||||
Advances | $ | 5,056 | 4 | $ | 2,497 | 2 | ||||||
Mortgage loans | 62 | 1 | 186 | 3 | ||||||||
Deposits | 42 | 4 | 82 | 7 | ||||||||
Capital stock | 257 | 4 | 157 | 2 |
June 30, 2023 | ||||||||||||||||||||||||||||||||
Capital Stock | Mortgage | Interest | ||||||||||||||||||||||||||||||
Stockholder | Amount | % of Total1 | Advances | Loans | Income2 | |||||||||||||||||||||||||||
Wells Fargo Bank, N.A.3 | $ | 970 | 15 | $ | 24,000 | $ | 8 | $ | 693 | |||||||||||||||||||||||
Superior Guaranty Insurance Company3,4 | 6 | — | — | 149 | — | |||||||||||||||||||||||||||
Total | $ | 976 | 15 | $ | 24,000 | $ | 157 | $ | 693 |
Capital Stock | Mortgage | Interest | ||||||||||||||||
Stockholder | Amount | % of Total1 | Advances | Loans | Income2 | |||||||||||||
Wells Fargo Bank, N.A. | $ | 2,406 | 40 | $ | 59,895 | $ | — | $ | 629 | |||||||||
Superior Guaranty Insurance Company3 | 23 | — | — | 556 | — | |||||||||||||
Wells Fargo Bank Northwest, N.A.3 | 1 | — | — | 31 | — | |||||||||||||
Total | $ | 2,430 | 40 | $ | 59,895 | $ | 587 | $ | 629 |
December 31, 2022 | ||||||||||||||||||||||||||||||||
Capital Stock | Mortgage | Interest | ||||||||||||||||||||||||||||||
Stockholder | Amount | % of Total1 | Advances | Loans | Income2 | |||||||||||||||||||||||||||
Wells Fargo Bank, N.A.3 | $ | 1,290 | 21 | $ | 32,000 | $ | 9 | $ | 336 | |||||||||||||||||||||||
Superior Guaranty Insurance Company3,4 | 7 | — | — | 162 | — | |||||||||||||||||||||||||||
Total | $ | 1,297 | 21 | $ | 32,000 | $ | 171 | $ | 336 |
2 Represents interest income earned on advances during the six months ended ended June 30, 2023 and the year ended |
Capital Stock | Mortgage | Interest | ||||||||||||||||
Stockholder | Amount | % of Total1 | Advances | Loans | Income2 | |||||||||||||
Wells Fargo Bank, N.A. | $ | 3,093 | 47 | $ | 77,075 | $ | — | $ | 429 | |||||||||
Superior Guaranty Insurance Company3 | 28 | 1 | — | 683 | — | |||||||||||||
Wells Fargo Bank Northwest N.A.3 | 2 | — | — | 38 | — | |||||||||||||
Total | $ | 3,123 | 48 | $ | 77,075 | $ | 721 | $ | 429 |
Other FHLBank | Beginning Balance | Loans | Principal Repayment | Ending Balance | ||||||||||||
2017 | ||||||||||||||||
San Francisco | $ | 200 | $ | — | $ | (200 | ) | $ | — |
Other FHLBank | Beginning Balance | Loans | Principal Repayment | Ending Balance | ||||||||||||||||||||||
2023 | ||||||||||||||||||||||||||
Chicago | $ | — | $ | 5 | $ | (5) | $ | — | ||||||||||||||||||
New York | — | 500 | (500) | — | ||||||||||||||||||||||
San Francisco | — | 1,905 | (1,905) | — | ||||||||||||||||||||||
$ | — | $ | 2,410 | $ | (2,410) | $ | — | |||||||||||||||||||
2022 | ||||||||||||||||||||||||||
Chicago | $ | — | $ | 1 | $ | (1) | $ | — |
Other FHLBank | Beginning Balance | Borrowing | Principal Payment | Ending Balance | ||||||||||||||||||||||
2023 | ||||||||||||||||||||||||||
Boston | $ | — | $ | 200 | $ | — | $ | 200 | ||||||||||||||||||
Cincinnati | — | 250 | (250) | — | ||||||||||||||||||||||
Topeka | — | 65 | (65) | — | ||||||||||||||||||||||
$ | — | $ | 515 | $ | (315) | $ | 200 | |||||||||||||||||||
2022 | ||||||||||||||||||||||||||
Chicago | $ | — | $ | 250 | $ | (250) | $ | — | ||||||||||||||||||
San Francisco | — | 500 | (500) | — | ||||||||||||||||||||||
$ | — | $ | 750 | $ | (750) | $ | — |
Other FHLBank | Beginning Balance | Borrowing | Principal Payment | Ending Balance | ||||||||||||
2016 | ||||||||||||||||
San Francisco | $ | — | $ | 200 | $ | (200 | ) | $ | — |
CONTENTS | ||||||||
Other Income (Loss) | ||||||||
For the Three Months Ended | For the Six Months Ended | ||||||||||||||||||||||
June 30, | June 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||
GAAP net interest income | $ | 337 | $ | 125 | $ | 619 | $ | 224 | |||||||||||||||
Exclude: | |||||||||||||||||||||||
Prepayment fees on advances, net1 | — | 3 | (1) | 9 | |||||||||||||||||||
Prepayment fees on investments, net2 | 5 | 7 | 10 | 10 | |||||||||||||||||||
MRCS interest expense | (1) | (1) | (1) | (1) | |||||||||||||||||||
Market value adjustments on fair value hedges3 | 11 | 5 | 1 | 8 | |||||||||||||||||||
Total adjustments | 15 | 14 | 9 | 26 | |||||||||||||||||||
Include items reclassified from other income (loss): | |||||||||||||||||||||||
Net interest income (expense) on economic hedges | (27) | 10 | (48) | 9 | |||||||||||||||||||
Adjusted net interest income | $ | 295 | $ | 121 | $ | 562 | $ | 207 | |||||||||||||||
GAAP net interest margin | 0.72 | % | 0.54 | % | 0.69 | % | 0.50 | % | |||||||||||||||
Adjusted net interest margin | 0.63 | % | 0.52 | % | 0.63 | % | 0.46 | % |
For the Three Months Ended | For the Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
GAAP net interest income before provision (reversal) for credit losses on mortgage loans | $ | 174 | $ | 117 | $ | 497 | $ | 314 | |||||||
Exclude: | |||||||||||||||
Prepayment fees on advances, net1 | — | 1 | 1 | 6 | |||||||||||
Prepayment fees on investments, net2 | — | — | — | 2 | |||||||||||
Mandatorily redeemable capital stock interest expense | (4 | ) | (6 | ) | (13 | ) | (15 | ) | |||||||
Total adjustments | (4 | ) | (5 | ) | (12 | ) | (7 | ) | |||||||
Include items reclassified from other income (loss): | |||||||||||||||
Net interest expense on economic hedges | (3 | ) | (4 | ) | (10 | ) | (13 | ) | |||||||
Adjusted net interest income | $ | 175 | $ | 118 | $ | 499 | $ | 308 | |||||||
Adjusted net interest margin | 0.41 | % | 0.27 | % | 0.38 | % | 0.25 | % |
For the Three Months Ended | For the Nine Months Ended | For the Three Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||||||
September 30, | September 30, | June 30, | June 30, | |||||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||||||||||
GAAP net income before assessments | $ | 147 | $ | 83 | $ | 448 | $ | 549 | GAAP net income before assessments | $ | 278 | $ | 110 | $ | 490 | $ | 170 | |||||||||||||||||||||
Exclude: | Exclude: | |||||||||||||||||||||||||||||||||||||
Prepayment fees on advances, net1 | — | 1 | 1 | 6 | Prepayment fees on advances, net1 | — | 3 | (1) | 9 | |||||||||||||||||||||||||||||
Prepayment fees on investments, net2 | — | — | — | 2 | Prepayment fees on investments, net2 | 5 | 7 | 10 | 10 | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock interest expense | (4 | ) | (6 | ) | (13 | ) | (15 | ) | ||||||||||||||||||||||||||||||
MRCS interest expense | MRCS interest expense | (1) | (1) | (1) | (1) | |||||||||||||||||||||||||||||||||
Market value adjustments on fair value hedges3 | Market value adjustments on fair value hedges3 | 11 | 5 | 1 | 8 | |||||||||||||||||||||||||||||||||
Market value adjustments on economic hedges4 | Market value adjustments on economic hedges4 | 10 | (40) | 41 | (23) | |||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | Net gains (losses) on financial instruments held under fair value option | 4 | 77 | (61) | 99 | |||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities | 1 | (2 | ) | 10 | 51 | Net gains (losses) on trading securities | (10) | (23) | 23 | (64) | ||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (2 | ) | (3 | ) | 1 | (76 | ) | |||||||||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | Net gains (losses) on extinguishment of debt | — | — | 2 | — | |||||||||||||||||||||||||||||||||
Gains on litigation settlements, net | — | — | 21 | 337 | Gains on litigation settlements, net | 1 | — | 1 | — | |||||||||||||||||||||||||||||
Include: | ||||||||||||||||||||||||||||||||||||||
Net interest expense on economic hedges | (3 | ) | (4 | ) | (10 | ) | (13 | ) | ||||||||||||||||||||||||||||||
Adjusted net income before assessments | 149 | 89 | 418 | 231 | Adjusted net income before assessments | 258 | 82 | 475 | 132 | |||||||||||||||||||||||||||||
Adjusted AHP assessments3 | 15 | 9 | 42 | 23 | ||||||||||||||||||||||||||||||||||
Adjusted AHP assessments5 | Adjusted AHP assessments5 | 25 | 8 | 47 | 13 | |||||||||||||||||||||||||||||||||
Adjusted net income | $ | 134 | $ | 80 | $ | 376 | $ | 208 | Adjusted net income | $ | 233 | $ | 74 | $ | 428 | $ | 119 |
Second Quarter 2023 3-Month Average | Second Quarter 2022 3-Month Average | Second Quarter 2023 6-Month Average | Second Quarter 2022 6-Month Average | June 30, 2023 Ending Rate | December 31, 2022 Ending Rate | ||||||||||||||||||||||||||||||
Federal funds | 4.99 | % | 0.77 | % | 4.76 | % | 0.45 | % | 5.08 | % | 4.33 | % | |||||||||||||||||||||||
SOFR | 4.97 | 0.71 | 4.73 | 0.41 | 5.09 | 4.30 | |||||||||||||||||||||||||||||
2-year U.S. Treasury | 4.28 | 2.72 | 4.31 | 2.10 | 4.87 | 4.43 | |||||||||||||||||||||||||||||
10-year U.S. Treasury | 3.60 | 2.93 | 3.62 | 2.45 | 3.81 | 3.88 | |||||||||||||||||||||||||||||
30-year residential mortgage note | 6.54 | 5.20 | 6.44 | 4.48 | 6.70 | 6.41 |
Third Quarter 2017 3-Month Average | Third Quarter 2016 3-Month Average | Third Quarter 2017 9-Month Average | Third Quarter 2016 9-Month Average | September 30, 2017 Ending Rate | December 31, 2016 Ending Rate | ||||||||||||
Federal funds | 1.16 | % | 0.40 | % | 0.94 | % | 0.38 | % | 1.06 | % | 0.55 | % | |||||
Three-month LIBOR | 1.32 | 0.79 | 1.20 | 0.69 | 1.33 | 1.00 | |||||||||||
2-year U.S. Treasury | 1.36 | 0.72 | 1.29 | 0.77 | 1.49 | 1.19 | |||||||||||
10-year U.S. Treasury | 2.24 | 1.56 | 2.31 | 1.74 | 2.33 | 2.45 | |||||||||||
30-year residential mortgage note | 3.89 | 3.45 | 4.02 | 3.60 | 3.83 | 4.32 |
Third Quarter 2017 3-Month Average | Third Quarter 2016 3-Month Average | Third Quarter 2017 9-Month Average | Third Quarter 2016 9-Month Average | September 30, 2017 Ending Spread | December 31, 2016 Ending Spread | ||||||||||||
3-month | (24.6 | ) | (43.1 | ) | (30.6 | ) | (30.3 | ) | (27.6 | ) | (42.7 | ) | |||||
2-year | (15.5 | ) | (8.2 | ) | (16.9 | ) | (2.3 | ) | (17.2 | ) | (16.5 | ) | |||||
5-year | 0.6 | 15.3 | 2.2 | 18.7 | 0.5 | 9.0 | |||||||||||
10-year | 39.1 | 51.7 | 46.1 | 59.0 | 38.4 | 57.7 |
Statements of Condition | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | June 30, 2022 | ||||||||||||||||||||||||
Cash and due from banks | $ | 52 | $ | 71 | $ | 89 | $ | 58 | $ | 50 | |||||||||||||||||||
Investments1 | 55,498 | 57,530 | 43,381 | 40,753 | 32,753 | ||||||||||||||||||||||||
Advances | 114,057 | 119,027 | 111,202 | 82,196 | 52,731 | ||||||||||||||||||||||||
Mortgage loans held for portfolio, net2 | 8,909 | 8,473 | 8,348 | 8,243 | 7,940 | ||||||||||||||||||||||||
Total assets | 180,181 | 186,417 | 164,169 | 133,155 | 93,968 | ||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||||
Discount notes | 50,443 | 72,642 | 69,170 | 64,166 | 50,185 | ||||||||||||||||||||||||
Bonds | 116,810 | 100,883 | 84,337 | 58,708 | 35,130 | ||||||||||||||||||||||||
Total consolidated obligations3 | 167,253 | 173,525 | 153,507 | 122,874 | 85,315 | ||||||||||||||||||||||||
Mandatorily redeemable capital stock | 13 | 14 | 15 | 15 | 17 | ||||||||||||||||||||||||
Total liabilities | 170,985 | 177,295 | 155,418 | 125,623 | 87,663 | ||||||||||||||||||||||||
Capital stock — Class B putable | 6,449 | 6,592 | 6,250 | 5,086 | 3,876 | ||||||||||||||||||||||||
Retained earnings | 2,854 | 2,713 | 2,618 | 2,538 | 2,458 | ||||||||||||||||||||||||
Accumulated other comprehensive income (loss) | (107) | (183) | (117) | (92) | (29) | ||||||||||||||||||||||||
Total capital | 9,196 | 9,122 | 8,751 | 7,532 | 6,305 | ||||||||||||||||||||||||
Regulatory capital ratio4 | 5.17 | 5.00 | 5.41 | 5.74 | 6.76 |
For the Three Months Ended | |||||||||||||||||||||||||||||
Statements of Income | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | June 30, 2022 | ||||||||||||||||||||||||
Net interest income | $ | 337 | $ | 282 | $ | 262 | $ | 197 | $ | 125 | |||||||||||||||||||
Provision (reversal) for credit losses on mortgage loans | 1 | — | 1 | — | 1 | ||||||||||||||||||||||||
Other income (loss)5 | (17) | (15) | (53) | (12) | 25 | ||||||||||||||||||||||||
Other expense6 | 41 | 55 | 46 | 39 | 39 | ||||||||||||||||||||||||
AHP assessments | 28 | 21 | 16 | 15 | 11 | ||||||||||||||||||||||||
Net income | 250 | 191 | 146 | 131 | 99 | ||||||||||||||||||||||||
Selected Financial Ratios7 | |||||||||||||||||||||||||||||
Net interest spread8 | 0.43 | % | 0.41 | % | 0.48 | % | 0.55 | % | 0.47 | % | |||||||||||||||||||
Net interest margin9 | 0.72 | 0.66 | 0.69 | 0.69 | 0.54 | ||||||||||||||||||||||||
Return on average equity (annualized) | 10.98 | 8.51 | 7.02 | 7.64 | 6.43 | ||||||||||||||||||||||||
Return on average capital stock (annualized) | 15.04 | 12.00 | 9.95 | 11.71 | 10.44 | ||||||||||||||||||||||||
Return on average assets (annualized) | 0.53 | 0.44 | 0.38 | 0.46 | 0.42 | ||||||||||||||||||||||||
Average equity to average assets | 4.79 | 5.19 | 5.36 | 5.98 | 6.56 |
Statements of Condition | September 30, 2017 | June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | ||||||||||||||
Cash and due from banks | $ | 218 | $ | 964 | $ | 237 | $ | 223 | $ | 245 | |||||||||
Investments1 | 39,341 | 37,763 | 41,792 | 41,218 | 42,851 | ||||||||||||||
Advances | 117,514 | 118,878 | 123,609 | 131,601 | 125,828 | ||||||||||||||
Mortgage loans held for portfolio, net2 | 7,031 | 6,953 | 6,870 | 6,913 | 6,792 | ||||||||||||||
Total assets | 164,545 | 164,988 | 172,918 | 180,605 | 176,074 | ||||||||||||||
Consolidated obligations | |||||||||||||||||||
Discount notes | 52,976 | 66,558 | 72,549 | 80,947 | 84,481 | ||||||||||||||
Bonds | 102,294 | 89,171 | 90,956 | 89,898 | 82,454 | ||||||||||||||
Total consolidated obligations3 | 155,270 | 155,729 | 163,505 | 170,845 | 166,935 | ||||||||||||||
Mandatorily redeemable capital stock | 422 | 480 | 494 | 664 | 675 | ||||||||||||||
Total liabilities | 157,047 | 157,592 | 165,469 | 173,204 | 169,069 | ||||||||||||||
Capital stock — Class B putable | 5,624 | 5,623 | 5,803 | 5,917 | 5,658 | ||||||||||||||
Additional capital from merger | — | — | 9 | 52 | 92 | ||||||||||||||
Retained earnings | 1,774 | 1,684 | 1,590 | 1,450 | 1,294 | ||||||||||||||
Accumulated other comprehensive income (loss) | 100 | 89 | 47 | (18 | ) | (39 | ) | ||||||||||||
Total capital | 7,498 | 7,396 | 7,449 | 7,401 | 7,005 | ||||||||||||||
Regulatory capital ratio4 | 4.75 | 4.72 | 4.57 | 4.48 | 4.38 |
For the Three Months Ended | |||||||||||||||||||
Statements of Income | September 30, 2017 | June 30, 2017 | March 31, 2017 | December 31, 2016 | September 30, 2016 | ||||||||||||||
Net interest income | $ | 174 | $ | 170 | $ | 153 | $ | 135 | $ | 117 | |||||||||
Provision (reversal) for credit losses on mortgage loans | 1 | — | — | 1 | 1 | ||||||||||||||
Other income (loss)5 | 4 | 6 | 35 | 77 | (5 | ) | |||||||||||||
Other expense6 | 30 | 31 | 32 | 36 | 28 | ||||||||||||||
AHP assessments | 15 | 15 | 16 | 19 | 9 | ||||||||||||||
Net income | 132 | 130 | 140 | 156 | 74 | ||||||||||||||
Selected Financial Ratios7 | |||||||||||||||||||
Net interest spread8 | 0.35 | % | 0.37 | % | 0.31 | % | 0.27 | % | 0.24 | % | |||||||||
Net interest margin9 | 0.40 | 0.41 | 0.35 | 0.30 | 0.27 | ||||||||||||||
Return on average equity | 6.96 | 7.13 | 7.52 | 8.81 | 4.35 | ||||||||||||||
Return on average capital stock | 9.19 | 9.30 | 9.49 | 10.99 | 5.40 | ||||||||||||||
Return on average assets | 0.31 | 0.31 | 0.31 | 0.35 | 0.17 | ||||||||||||||
Average equity to average assets | 4.42 | 4.41 | 4.16 | 4.00 | 3.92 | ||||||||||||||
Dividend payout ratio10 | 32.26 | 34.53 | 30.74 | 26.01 | 47.85 |
For the Three Months Ended | For the Nine Months Ended | ||||||||||||||||||||||||||||
September 30, | September 30, | ||||||||||||||||||||||||||||
2017 | 2016 | $ Change | % Change | 2017 | 2016 | $ Change | % Change | ||||||||||||||||||||||
Net interest income | $ | 174 | $ | 117 | $ | 57 | 49 | % | $ | 497 | $ | 314 | $ | 183 | 58 | % | |||||||||||||
Provision (reversal) for credit losses on mortgage loans | 1 | 1 | — | — | 1 | 2 | (1 | ) | (50 | ) | |||||||||||||||||||
Other income (loss) | 4 | (5 | ) | 9 | 180 | 45 | 319 | (274 | ) | (86 | ) | ||||||||||||||||||
Other expense | 30 | 28 | 2 | 7 | 93 | 82 | 11 | 13 | |||||||||||||||||||||
AHP assessments | 15 | 9 | 6 | 67 | 46 | 56 | (10 | ) | (18 | ) | |||||||||||||||||||
Net income | $ | 132 | $ | 74 | $ | 58 | 78 | % | $ | 402 | $ | 493 | $ | (91 | ) | (18 | )% |
For the Three Months Ended June 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Average Balance1 | Yield/Cost | Interest Income/ Expense2 | Average Balance1 | Yield/Cost | Interest Income/ Expense2 | ||||||||||||||||||||||||||||||||||||||||||||||||
Interest-earning assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 4,174 | 4.80 | % | $ | 50 | $ | 1,423 | 0.76 | % | $ | 2 | |||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 13,409 | 5.04 | 169 | 4,229 | 0.76 | 8 | |||||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold | 17,801 | 5.06 | 225 | 11,397 | 0.79 | 23 | |||||||||||||||||||||||||||||||||||||||||||||||
MBS3,4,5 | 18,668 | 5.83 | 271 | 11,522 | 1.66 | 48 | |||||||||||||||||||||||||||||||||||||||||||||||
Other investments3,4,5,6 | 4,508 | 3.78 | 42 | 4,826 | 1.95 | 24 | |||||||||||||||||||||||||||||||||||||||||||||||
Advances4,7 | 120,464 | 5.36 | 1,608 | 51,542 | 1.43 | 184 | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans8 | 8,655 | 3.41 | 74 | 7,805 | 2.89 | 56 | |||||||||||||||||||||||||||||||||||||||||||||||
Loans to other FHLBanks | 20 | 5.13 | 1 | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | 187,699 | 5.21 | 2,440 | 92,744 | 1.49 | 345 | |||||||||||||||||||||||||||||||||||||||||||||||
Non-interest-earning assets | 3,100 | — | — | 1,657 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 190,799 | 5.13 | % | $ | 2,440 | $ | 94,401 | 1.46 | % | $ | 345 | |||||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits | $ | 1,050 | 4.12 | % | $ | 11 | $ | 1,702 | 0.12 | % | $ | 1 | |||||||||||||||||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes4 | 62,632 | 4.66 | 727 | 48,158 | 0.79 | 94 | |||||||||||||||||||||||||||||||||||||||||||||||
Bonds4 | 112,573 | 4.86 | 1,364 | 36,161 | 1.38 | 124 | |||||||||||||||||||||||||||||||||||||||||||||||
Other interest-bearing liabilities9 | 22 | 6.91 | 1 | 26 | 4.66 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 176,277 | 4.78 | 2,103 | 86,047 | 1.02 | 220 | |||||||||||||||||||||||||||||||||||||||||||||||
Non-interest-bearing liabilities | 5,386 | — | — | 2,159 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | 181,663 | 4.64 | 2,103 | 88,206 | 1.00 | 220 | |||||||||||||||||||||||||||||||||||||||||||||||
Capital | 9,136 | — | — | 6,195 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 190,799 | 4.42 | % | $ | 2,103 | $ | 94,401 | 0.93 | % | $ | 220 | |||||||||||||||||||||||||||||||||||||||||
Net interest income and spread10 | 0.43 | % | $ | 337 | 0.47 | % | $ | 125 | |||||||||||||||||||||||||||||||||||||||||||||
Net interest margin11 | 0.72 | % | 0.54 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 106.48 | % | 107.78 | % |
For the Three Months Ended September 30, | |||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||
Average Balance1 | Yield/Cost | Interest Income/ Expense | Average Balance1 | Yield/Cost | Interest Income/ Expense | ||||||||||||||||
Interest-earning assets | |||||||||||||||||||||
Interest-bearing deposits | $ | 269 | 0.93 | % | $ | — | $ | 945 | 0.38 | % | $ | 1 | |||||||||
Securities purchased under agreements to resell | 5,028 | 1.07 | 14 | 5,076 | 0.36 | 4 | |||||||||||||||
Federal funds sold | 8,845 | 1.17 | 26 | 5,492 | 0.40 | 5 | |||||||||||||||
Mortgage-backed securities2,3 | 19,731 | 1.79 | 89 | 20,295 | 1.13 | 58 | |||||||||||||||
Other investments2,3,4 | 8,268 | 1.98 | 41 | 11,998 | 1.23 | 37 | |||||||||||||||
Advances3,5 | 120,223 | 1.49 | 451 | 121,016 | 0.78 | 238 | |||||||||||||||
Mortgage loans6 | 6,995 | 3.33 | 59 | 6,704 | 3.33 | 56 | |||||||||||||||
Total interest-earning assets | 169,359 | 1.59 | 680 | 171,526 | 0.93 | 399 | |||||||||||||||
Non-interest-earning assets | 1,165 | — | — | 545 | — | — | |||||||||||||||
Total assets | $ | 170,524 | 1.58 | % | $ | 680 | $ | 172,071 | 0.92 | % | $ | 399 | |||||||||
Interest-bearing liabilities | |||||||||||||||||||||
Deposits | $ | 878 | 0.72 | % | $ | 1 | $ | 979 | 0.09 | % | $ | 1 | |||||||||
Consolidated obligations | |||||||||||||||||||||
Discount notes | 62,267 | 1.04 | 163 | 86,422 | 0.45 | 98 | |||||||||||||||
Bonds3 | 98,255 | 1.37 | 338 | 75,549 | 0.93 | 177 | |||||||||||||||
Other interest-bearing liabilities7 | 450 | 3.38 | 4 | 689 | 3.40 | 6 | |||||||||||||||
Total interest-bearing liabilities | 161,850 | 1.24 | 506 | 163,639 | 0.69 | 282 | |||||||||||||||
Non-interest-bearing liabilities | 1,143 | — | — | 1,681 | — | — | |||||||||||||||
Total liabilities | 162,993 | 1.23 | 506 | 165,320 | 0.68 | 282 | |||||||||||||||
Capital | 7,531 | — | — | 6,751 | — | — | |||||||||||||||
Total liabilities and capital | $ | 170,524 | 1.18 | % | $ | 506 | $ | 172,071 | 0.65 | % | $ | 282 | |||||||||
Net interest income and spread8 | 0.35 | % | $ | 174 | 0.24 | % | $ | 117 | |||||||||||||
Net interest margin9 | 0.40 | % | 0.27 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 104.64 | % | 104.82 | % |
For the Six Months Ended June 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||||
2023 | 2022 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Average Balance1 | Yield/Cost | Interest Income/ Expense2 | Average Balance1 | Yield/Cost | Interest Income/ Expense2 | ||||||||||||||||||||||||||||||||||||||||||||||||
Interest-earning assets | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 3,863 | 4.65 | % | $ | 89 | $ | 1,310 | 0.49 | % | $ | 3 | |||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 10,849 | 4.87 | 262 | 4,386 | 0.42 | 9 | |||||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold | 16,530 | 4.83 | 396 | 11,350 | 0.46 | 26 | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities3,4,5 | 17,068 | 5.65 | 478 | 11,490 | 1.30 | 74 | |||||||||||||||||||||||||||||||||||||||||||||||
Other investments3,4,5,6 | 4,668 | 3.40 | 79 | 4,609 | 1.77 | 41 | |||||||||||||||||||||||||||||||||||||||||||||||
Advances4,7 | 118,528 | 5.11 | 3,002 | 49,165 | 1.21 | 295 | |||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans8 | 8,521 | 3.38 | 143 | 7,722 | 2.85 | 109 | |||||||||||||||||||||||||||||||||||||||||||||||
Loans to other FHLBanks | 24 | 4.86 | 1 | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | 180,051 | 4.98 | 4,450 | 90,032 | 1.25 | 557 | |||||||||||||||||||||||||||||||||||||||||||||||
Non-interest-earning assets | 3,098 | — | — | 1,234 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total assets | $ | 183,149 | 4.90 | % | $ | 4,450 | $ | 91,266 | 1.23 | % | $ | 557 | |||||||||||||||||||||||||||||||||||||||||
Interest-bearing liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits | $ | 1,081 | 3.91 | % | $ | 21 | $ | 1,830 | 0.06 | % | $ | 1 | |||||||||||||||||||||||||||||||||||||||||
Consolidated obligations | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes4 | 66,386 | 4.44 | 1,462 | 38,714 | 0.56 | 108 | |||||||||||||||||||||||||||||||||||||||||||||||
Bonds4 | 101,832 | 4.65 | 2,347 | 42,834 | 1.05 | 223 | |||||||||||||||||||||||||||||||||||||||||||||||
Other interest-bearing liabilities9 | 19 | 7.25 | 1 | 27 | 4.74 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | 169,318 | 4.56 | 3,831 | 83,405 | 0.80 | 333 | |||||||||||||||||||||||||||||||||||||||||||||||
Non-interest-bearing liabilities | 4,708 | — | — | 1,826 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities | 174,026 | 4.44 | 3,831 | 85,231 | 0.79 | 333 | |||||||||||||||||||||||||||||||||||||||||||||||
Capital | 9,123 | — | — | 6,035 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 183,149 | 4.22 | % | $ | 3,831 | $ | 91,266 | 0.73 | % | $ | 333 | |||||||||||||||||||||||||||||||||||||||||
Net interest income and spread10 | 0.42 | % | $ | 619 | 0.45 | % | $ | 224 | |||||||||||||||||||||||||||||||||||||||||||||
Net interest margin11 | 0.69 | % | 0.50 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 106.34 | % | 107.95 | % | |||||||||||||||||||||||||||||||||||||||||||||||||
For the Nine Months Ended September 30, | |||||||||||||||||||||
2017 | 2016 | ||||||||||||||||||||
Average Balance1 | Yield/Cost | Interest Income/ Expense | Average Balance1 | Yield/Cost | Interest Income/ Expense | ||||||||||||||||
Interest-earning assets | |||||||||||||||||||||
Interest-bearing deposits | $ | 258 | 0.74 | % | $ | 1 | $ | 894 | 0.36 | % | $ | 2 | |||||||||
Securities purchased under agreements to resell | 4,864 | 0.82 | 30 | 5,018 | 0.35 | 13 | |||||||||||||||
Federal funds sold | 7,295 | 0.97 | 53 | 4,730 | 0.38 | 13 | |||||||||||||||
Mortgage-backed securities2,3 | 20,300 | 1.60 | 243 | 19,423 | 1.13 | 165 | |||||||||||||||
Other investments2,3,4 | 8,846 | 1.79 | 118 | 12,737 | 1.14 | 109 | |||||||||||||||
Advances3,5 | 123,094 | 1.27 | 1,165 | 110,003 | 0.73 | 600 | |||||||||||||||
Mortgage loans6 | 6,930 | 3.40 | 176 | 6,684 | 3.51 | 176 | |||||||||||||||
Loans to other FHLBanks | 1 | 0.55 | — | — | — | — | |||||||||||||||
Total interest-earning assets | 171,588 | 1.39 | 1,786 | 159,489 | 0.90 | 1,078 | |||||||||||||||
Non-interest-earning assets | 1,117 | — | — | 521 | — | — | |||||||||||||||
Total assets | $ | 172,705 | 1.38 | % | $ | 1,786 | $ | 160,010 | 0.90 | % | $ | 1,078 | |||||||||
Interest-bearing liabilities | |||||||||||||||||||||
Deposits | $ | 914 | 0.49 | % | $ | 3 | $ | 955 | 0.07 | % | $ | 1 | |||||||||
Consolidated obligations | |||||||||||||||||||||
Discount notes | 68,151 | 0.78 | 396 | 96,560 | 0.44 | 320 | |||||||||||||||
Bonds3 | 94,504 | 1.24 | 877 | 54,163 | 1.06 | 428 | |||||||||||||||
Other interest-bearing liabilities7 | 494 | 3.39 | 13 | 605 | 3.38 | 15 | |||||||||||||||
Total interest-bearing liabilities | 164,063 | 1.05 | 1,289 | 152,283 | 0.67 | 764 | |||||||||||||||
Non-interest-bearing liabilities | 1,171 | — | — | 1,509 | — | — | |||||||||||||||
Total liabilities | 165,234 | 1.04 | 1,289 | 153,792 | 0.66 | 764 | |||||||||||||||
Capital | 7,471 | — | — | 6,218 | — | — | |||||||||||||||
Total liabilities and capital | $ | 172,705 | 1.00 | % | $ | 1,289 | $ | 160,010 | 0.64 | % | $ | 764 | |||||||||
Net interest income and spread8 | 0.34 | % | $ | 497 | 0.23 | % | $ | 314 | |||||||||||||
Net interest margin9 | 0.38 | % | 0.26 | % | |||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 104.59 | % | 104.73 | % |
Three Months Ended | Nine Months Ended | Three Months Ended | Six Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2017 vs. September 30, 2016 | September 30, 2017 vs. September 30, 2016 | June 30, 2023 vs. June 30, 2022 | June 30, 2023 vs. June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total Increase (Decrease) Due to | Total Increase (Decrease) | Total Increase (Decrease) Due to | Total Increase (Decrease) | Total Increase (Decrease) Due to | Total Increase (Decrease) | Total Increase (Decrease) Due to | Total Increase (Decrease) | |||||||||||||||||||||||||||||||||||||||||||||||||||
Volume | Rate | Volume | Rate | Volume | Rate | Volume | Rate | |||||||||||||||||||||||||||||||||||||||||||||||||||
Interest income | Interest income | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | (1 | ) | $ | — | $ | (1 | ) | $ | (2 | ) | $ | 1 | $ | (1 | ) | Interest-bearing deposits | $ | 13 | $ | 35 | $ | 48 | $ | 16 | $ | 70 | $ | 86 | |||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | 10 | 10 | — | 17 | 17 | Securities purchased under agreements to resell | 45 | 116 | 161 | 31 | 222 | 253 | |||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold | 5 | 16 | 21 | 10 | 30 | 40 | Federal funds sold | 19 | 183 | 202 | 17 | 353 | 370 | |||||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities | (2 | ) | 33 | 31 | 8 | 70 | 78 | |||||||||||||||||||||||||||||||||||||||||||||||||||
MBS | MBS | 44 | 179 | 223 | 51 | 353 | 404 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Other investments | (14 | ) | 18 | 4 | (40 | ) | 49 | 9 | Other investments | (2) | 20 | 18 | 1 | 37 | 38 | |||||||||||||||||||||||||||||||||||||||||||
Advances | (2 | ) | 215 | 213 | 78 | 487 | 565 | Advances | 466 | 958 | 1,424 | 824 | 1,883 | 2,707 | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans | 3 | — | 3 | 6 | (6 | ) | — | Mortgage loans | 7 | 11 | 18 | 12 | 22 | 34 | ||||||||||||||||||||||||||||||||||||||||||||
Loans to other FHLBanks | Loans to other FHLBanks | — | 1 | 1 | — | 1 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Total interest income | (11 | ) | 292 | 281 | 60 | 648 | 708 | Total interest income | 592 | 1,503 | 2,095 | 952 | 2,941 | 3,893 | ||||||||||||||||||||||||||||||||||||||||||||
Interest expense | Interest expense | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits | — | — | — | — | 2 | 2 | Deposits | — | 10 | 10 | — | 20 | 20 | |||||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations | Consolidated obligations | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | (34 | ) | 99 | 65 | (114 | ) | 190 | 76 | Discount notes | 37 | 596 | 633 | 127 | 1,227 | 1,354 | |||||||||||||||||||||||||||||||||||||||||||
Bonds | 63 | 98 | 161 | 366 | 83 | 449 | Bonds | 565 | 675 | 1,240 | 609 | 1,515 | 2,124 | |||||||||||||||||||||||||||||||||||||||||||||
Other interest-bearing liabilities | (2 | ) | — | (2 | ) | (2 | ) | — | (2 | ) | ||||||||||||||||||||||||||||||||||||||||||||||||
Total interest expense | 27 | 197 | 224 | 250 | 275 | 525 | Total interest expense | 602 | 1,281 | 1,883 | 736 | 2,762 | 3,498 | |||||||||||||||||||||||||||||||||||||||||||||
Net interest income | $ | (38 | ) | $ | 95 | $ | 57 | $ | (190 | ) | $ | 373 | $ | 183 | Net interest income | $ | (10) | $ | 222 | $ | 212 | $ | 216 | $ | 179 | $ | 395 |
For the Three Months Ended | For the Six Months Ended | |||||||||||||||||||||||||||||||||||||
For the Three Months Ended | For the Nine Months Ended | June 30, | June 30, | |||||||||||||||||||||||||||||||||||
September 30, | September 30, | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||||||||||||||||
2017 | 2016 | 2017 | 2016 | |||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities | $ | 1 | $ | (2 | ) | $ | 10 | $ | 51 | Net gains (losses) on trading securities | $ | (10) | $ | (23) | $ | 23 | $ | (64) | ||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities | (2 | ) | (3 | ) | 1 | (76 | ) | |||||||||||||||||||||||||||||||
Gains on litigation settlements, net | — | — | 21 | 337 | ||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option | Net gains (losses) on financial instruments held under fair value option | 4 | 77 | (61) | 99 | |||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives | Net gains (losses) on derivatives | (17) | (30) | (7) | (14) | |||||||||||||||||||||||||||||||||
Net gains (losses) on extinguishment of debt | Net gains (losses) on extinguishment of debt | — | — | 2 | — | |||||||||||||||||||||||||||||||||
Standby letter of credit fees | Standby letter of credit fees | 2 | 3 | 4 | 5 | |||||||||||||||||||||||||||||||||
Other, net | 5 | — | 13 | 7 | Other, net | 4 | (2) | 7 | (1) | |||||||||||||||||||||||||||||
Total other income (loss) | $ | 4 | $ | (5 | ) | $ | 45 | $ | 319 | Total other income (loss) | $ | (17) | $ | 25 | $ | (32) | $ | 25 |
For the Three Months Ended June 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Mortgage Loans | Discount Notes | Bonds | Other | Total | |||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net amortization/accretion1 | $ | 12 | $ | 9 | $ | — | $ | — | $ | (5) | $ | — | $ | 16 | ||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedged items | (5) | 27 | — | — | (11) | — | 11 | |||||||||||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives2 | 193 | 65 | — | — | (48) | — | 210 | |||||||||||||||||||||||||||||||||||||||||||||||||
Total impact to net interest income | 200 | 101 | — | — | (64) | — | 237 | |||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives3 | — | 32 | — | (44) | — | — | (12) | |||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities4 | — | (10) | — | — | — | — | (10) | |||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option4 | — | — | — | 4 | — | — | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||
Price alignment amount on derivatives5 | — | — | — | — | — | (5) | (5) | |||||||||||||||||||||||||||||||||||||||||||||||||
Total impact to other income (loss) | — | 22 | — | (40) | — | (5) | (23) | |||||||||||||||||||||||||||||||||||||||||||||||||
Total net effect of hedging activities6 | $ | 200 | $ | 123 | $ | — | $ | (40) | $ | (64) | $ | (5) | $ | 214 |
For the Three Months Ended September 30, 2017 | ||||||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Mortgage Loans | Bonds | Other | Total | ||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||
Net amortization/accretion1 | $ | 3 | $ | 2 | $ | — | $ | (3 | ) | $ | — | $ | 2 | |||||||||||
Net interest settlements | (19 | ) | (23 | ) | — | (4 | ) | — | (46 | ) | ||||||||||||||
Total impact to net interest income | (16 | ) | (21 | ) | — | (7 | ) | — | (44 | ) | ||||||||||||||
Other income (loss): | ||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||||||
Gains (losses) on fair value hedges | 1 | (4 | ) | — | 2 | — | (1 | ) | ||||||||||||||||
Gains (losses) on economic hedges | — | (2 | ) | — | — | — | (2 | ) | ||||||||||||||||
Price alignment amount on derivatives2 | — | — | — | — | 1 | 1 | ||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | 1 | (6 | ) | — | 2 | 1 | (2 | ) | ||||||||||||||||
Net gains (losses) on trading securities3 | — | 2 | — | — | — | 2 | ||||||||||||||||||
Total impact to other income (loss) | 1 | (4 | ) | — | 2 | 1 | — | |||||||||||||||||
Total net effect of hedging activities4 | $ | (15 | ) | $ | (25 | ) | $ | — | $ | (5 | ) | $ | 1 | $ | (44 | ) |
For the Three Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Discount Notes | Bonds | Other | Total | ||||||||||||||||||||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||||||||||||||||||||||
Net amortization/accretion1 | $ | 6 | $ | 5 | $ | — | $ | (1) | $ | — | $ | 10 | ||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedged items | —�� | 8 | — | (1) | — | 7 | ||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives2 | (19) | (20) | — | 5 | — | (34) | ||||||||||||||||||||||||||||||||||||||
Total impact to net interest income | (13) | (7) | — | 3 | — | (17) | ||||||||||||||||||||||||||||||||||||||
Other income (loss): | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives3 | — | 21 | (50) | (1) | — | (30) | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities4 | — | (23) | — | — | — | (23) | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option4 | — | — | 77 | — | — | 77 | ||||||||||||||||||||||||||||||||||||||
Price alignment amount on derivatives5 | — | — | — | — | (1) | (1) | ||||||||||||||||||||||||||||||||||||||
Total impact to other income (loss) | — | (2) | 27 | (1) | (1) | 23 | ||||||||||||||||||||||||||||||||||||||
Total net effect of hedging activities6 | $ | (13) | $ | (9) | $ | 27 | $ | 2 | $ | (1) | $ | 6 |
For the Three Months Ended September 30, 2016 | ||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Mortgage Loans | Bonds | Total | |||||||||||||||
Net interest income: | ||||||||||||||||||||
Net amortization/accretion1 | $ | 6 | $ | — | $ | — | $ | 1 | $ | 7 | ||||||||||
Net interest settlements | (42 | ) | (38 | ) | — | 26 | (54 | ) | ||||||||||||
Total impact to net interest income | (36 | ) | (38 | ) | — | 27 | (47 | ) | ||||||||||||
Other income (loss): | ||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||
Gains (losses) on fair value hedges | — | (13 | ) | — | 6 | (7 | ) | |||||||||||||
Gains (losses) on economic hedges | — | 5 | (1 | ) | — | 4 | ||||||||||||||
Total net gains (losses) on derivatives and hedging activities | — | (8 | ) | (1 | ) | 6 | (3 | ) | ||||||||||||
Net gains (losses) on trading securities3 | — | (4 | ) | — | — | (4 | ) | |||||||||||||
Total impact to other income (loss) | — | (12 | ) | (1 | ) | 6 | (7 | ) | ||||||||||||
Total net effect of hedging activities4 | $ | (36 | ) | $ | (50 | ) | $ | (1 | ) | $ | 33 | $ | (54 | ) |
For the Nine Months Ended September 30, 2017 | ||||||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Mortgage Loans | Bonds | Other | Total | ||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||
Net amortization/accretion1 | $ | 13 | $ | 5 | $ | (1 | ) | $ | (5 | ) | $ | — | $ | 12 | ||||||||||
Net interest settlements | (75 | ) | (79 | ) | — | 27 | — | (127 | ) | |||||||||||||||
Total impact to net interest income | (62 | ) | (74 | ) | (1 | ) | 22 | — | (115 | ) | ||||||||||||||
Other income (loss): | ||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||||||
Gains (losses) on fair value hedges | 3 | 10 | — | (4 | ) | — | 9 | |||||||||||||||||
Gains (losses) on economic hedges | — | (10 | ) | — | — | — | (10 | ) | ||||||||||||||||
Price alignment amount on derivatives2 | — | — | — | — | 2 | 2 | ||||||||||||||||||
Total net gains (losses) on derivatives and hedging activities | 3 | — | — | (4 | ) | 2 | 1 | |||||||||||||||||
Net gains (losses) on trading securities3 | — | 12 | — | — | — | 12 | ||||||||||||||||||
Total impact to other income (loss) | 3 | 12 | — | (4 | ) | 2 | 13 | |||||||||||||||||
Total net effect of hedging activities4 | $ | (59 | ) | $ | (62 | ) | $ | (1 | ) | $ | 18 | $ | 2 | $ | (102 | ) |
For the Six Months Ended June 30, 2023 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Mortgage Loans | Discount Notes | Bonds | Other | Total | |||||||||||||||||||||||||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net amortization/accretion1 | $ | 21 | $ | 15 | $ | — | $ | — | $ | (6) | $ | — | $ | 30 | ||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedged items | (11) | 38 | — | — | (25) | — | 2 | |||||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives2 | 328 | 113 | — | — | (97) | — | 344 | |||||||||||||||||||||||||||||||||||||||||||
Total impact to net interest income | 338 | 166 | — | — | (128) | — | 376 | |||||||||||||||||||||||||||||||||||||||||||
Other income (loss): | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives3 | — | 29 | (1) | (23) | — | — | 5 | |||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities4 | — | 23 | — | — | — | — | 23 | |||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option4 | — | — | — | (61) | — | — | (61) | |||||||||||||||||||||||||||||||||||||||||||
Price alignment amount on derivatives5 | — | — | — | — | — | (12) | (12) | |||||||||||||||||||||||||||||||||||||||||||
Total impact to other income (loss) | — | 52 | (1) | (84) | — | (12) | (45) | |||||||||||||||||||||||||||||||||||||||||||
Total net effect of hedging activities6 | $ | 338 | $ | 218 | $ | (1) | $ | (84) | $ | (128) | $ | (12) | $ | 331 |
For the Six Months Ended June 30, 2022 | ||||||||||||||||||||||||||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Mortgage Loans | Discount Notes | Bonds | Other | Total | |||||||||||||||||||||||||||||||||||||
Net interest income: | ||||||||||||||||||||||||||||||||||||||||||||
Net amortization/accretion1 | $ | 6 | $ | 5 | $ | (1) | $ | — | $ | (2) | $ | — | $ | 8 | ||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedged items | — | 15 | — | — | (4) | 11 | ||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives2 | (58) | (48) | — | — | 18 | — | (88) | |||||||||||||||||||||||||||||||||||||
Total impact to net interest income | (52) | (28) | (1) | — | 12 | — | (69) | |||||||||||||||||||||||||||||||||||||
Other income (loss): | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives3 | — | 53 | — | (66) | (1) | — | (14) | |||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities4 | — | (64) | — | — | — | — | (64) | |||||||||||||||||||||||||||||||||||||
Net gains (losses) on financial instruments held under fair value option4 | — | — | — | 99 | — | — | 99 | |||||||||||||||||||||||||||||||||||||
Price alignment amount on derivatives5 | — | — | — | — | — | (1) | (1) | |||||||||||||||||||||||||||||||||||||
Total impact to other income (loss) | — | (11) | — | 33 | (1) | (1) | 20 | |||||||||||||||||||||||||||||||||||||
Total net effect of hedging activities6 | $ | (52) | $ | (39) | $ | (1) | $ | 33 | $ | 11 | $ | (1) | $ | (49) |
For the Nine Months Ended September 30, 2016 | ||||||||||||||||||||
Net Effect of Hedging Activities | Advances | Investments | Mortgage Loans | Bonds | Total | |||||||||||||||
Net interest income: | ||||||||||||||||||||
Net amortization/accretion1 | $ | 19 | $ | 1 | $ | (1 | ) | $ | 1 | $ | 20 | |||||||||
Net interest settlements | (138 | ) | (115 | ) | — | 65 | (188 | ) | ||||||||||||
Total impact to net interest income | (119 | ) | (114 | ) | (1 | ) | 66 | (168 | ) | |||||||||||
Other income (loss): | ||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities: | ||||||||||||||||||||
Gains (losses) on fair value hedges | 1 | (16 | ) | — | (1 | ) | (16 | ) | ||||||||||||
Gains (losses) on economic hedges | — | (59 | ) | (1 | ) | — | (60 | ) | ||||||||||||
Total net gains (losses) on derivatives and hedging activities | 1 | (75 | ) | (1 | ) | (1 | ) | (76 | ) | |||||||||||
Net gains (losses) on trading securities3 | — | 47 | — | — | 47 | |||||||||||||||
Total impact to other income (loss) | 1 | (28 | ) | (1 | ) | (1 | ) | (29 | ) | |||||||||||
Total net effect of hedging activities4 | $ | (118 | ) | $ | (142 | ) | $ | (2 | ) | $ | 65 | $ | (197 | ) |
For the Three Months Ended | For the Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Gains (losses) on interest rate swaps economically hedging our investments | $ | 1 | $ | 10 | $ | — | $ | (45 | ) | ||||||
Interest settlements | (3 | ) | (5 | ) | (10 | ) | (14 | ) | |||||||
Net gains (losses) on investment derivatives | (2 | ) | 5 | (10 | ) | (59 | ) | ||||||||
Net gains (losses) on related trading securities | 2 | (4 | ) | 12 | 47 | ||||||||||
Net gains (losses) on economic investment hedge relationships | $ | — | $ | 1 | $ | 2 | $ | (12 | ) |
For the Three Months Ended June 30, | For the Six Months Ended June 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||
Compensation and benefits | $ | 18 | $ | 18 | $ | 38 | $ | 36 | |||||||||||||||
Contractual services | 6 | 5 | 12 | 10 | |||||||||||||||||||
Professional fees | 4 | 3 | 7 | 6 | |||||||||||||||||||
Other operating expenses | 6 | 5 | 11 | 9 | |||||||||||||||||||
Total operating expenses | 34 | 31 | 68 | 61 | |||||||||||||||||||
Federal Housing Finance Agency | 3 | 2 | 5 | 5 | |||||||||||||||||||
Office of Finance | 1 | 2 | 4 | 4 | |||||||||||||||||||
Community and housing contributions | — | — | 12 | — | |||||||||||||||||||
Other, net | 3 | 4 | 7 | 6 | |||||||||||||||||||
Total other expense | $ | 41 | $ | 39 | $ | 96 | $ | 76 |
For the Three Months Ended September 30, | For the Nine Months Ended September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Compensation and benefits | $ | 12 | $ | 13 | $ | 39 | $ | 39 | |||||||
Contractual services | 2 | 1 | 8 | 7 | |||||||||||
Professional fees | 5 | 4 | 15 | 8 | |||||||||||
Other operating expenses | 6 | 5 | 16 | 14 | |||||||||||
Total operating expenses | 25 | 23 | 78 | 68 | |||||||||||
Federal Housing Finance Agency | 3 | 2 | 8 | 6 | |||||||||||
Office of Finance | 1 | 2 | 5 | 5 | |||||||||||
Other, net | 1 | 1 | 2 | 3 | |||||||||||
Total other expense | $ | 30 | $ | 28 | $ | 93 | $ | 82 |
June 30, 2023 | December 31, 2022 | ||||||||||
Commercial banks | $ | 69,150 | $ | 66,303 | |||||||
Savings institutions | 1,442 | 1,498 | |||||||||
Credit unions | 13,200 | 12,989 | |||||||||
Insurance companies | 31,581 | 31,433 | |||||||||
CDFIs | 12 | 12 | |||||||||
Total member advances | 115,385 | 112,235 | |||||||||
Housing associates | 54 | 74 | |||||||||
Non-member borrowers | 60 | 65 | |||||||||
Total par value | $ | 115,499 | $ | 112,374 |
September 30, 2017 | December 31, 2016 | ||||||
Commercial banks | $ | 82,887 | $ | 94,939 | |||
Savings institutions | 2,478 | 1,376 | |||||
Credit unions | 3,918 | 2,903 | |||||
Non-captive insurance companies | 19,089 | 17,441 | |||||
Captive insurance companies | 8,516 | 14,510 | |||||
Community development financial institution | 3 | 3 | |||||
Total member advances | 116,891 | 131,172 | |||||
Housing associates | 81 | 61 | |||||
Non-member borrowers | 533 | 304 | |||||
Total par value | $ | 117,505 | $ | 131,537 |
June 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
Amount | % of Total | Amount | % of Total | ||||||||||||||||||||
Fixed rate | $ | 76,089 | 66 | $ | 63,693 | 57 | |||||||||||||||||
Fixed rate, putable | 1 | — | 168 | — | |||||||||||||||||||
Variable rate | 21,520 | 19 | 23,908 | 21 | |||||||||||||||||||
Variable rate, callable1 | 16,511 | 14 | 23,291 | 21 | |||||||||||||||||||
Other2 | 1,370 | 1 | 1,313 | 1 | |||||||||||||||||||
Overdrawn demand deposit accounts | 8 | — | 1 | — | |||||||||||||||||||
Total advance par value | 115,499 | 100 | 112,374 | 100 | |||||||||||||||||||
Premiums | 7 | 11 | |||||||||||||||||||||
Fair value hedging adjustments | (1,449) | (1,183) | |||||||||||||||||||||
Total | $ | 114,057 | $ | 111,202 |
September 30, 2017 | December 31, 2016 | ||||||||||
Amount | % of Total | Amount | % of Total | ||||||||
Variable rate | $ | 79,997 | 68 | $ | 104,594 | 80 | |||||
Fixed rate | 35,842 | 31 | 25,453 | 19 | |||||||
Amortizing | 1,666 | 1 | 1,490 | 1 | |||||||
Total par value | 117,505 | 100 | 131,537 | 100 | |||||||
Premiums | 58 | 83 | |||||||||
Discounts | (12 | ) | (7 | ) | |||||||
Fair value hedging adjustments | (37 | ) | (12 | ) | |||||||
Total advances | $ | 117,514 | $ | 131,601 |
Amount | % of Total Advances | ||||||||||
Wells Fargo Bank, N.A. | $ | 24,000 | 21 | ||||||||
Umpqua Bank | 6,200 | 5 | |||||||||
Athene Annuity and Life Company1 | 4,481 | 4 | |||||||||
UBS Bank USA | 4,359 | 4 | |||||||||
Principal Life Insurance Company | 4,250 | 4 | |||||||||
Total par value | $ | 43,290 | 38 |
Amount | % of Total | ||||
Wells Fargo Bank, N.A. | $ | 59,895 | 51 | ||
Transamerica Life Insurance Company1 | 4,145 | 3 | |||
Truman Insurance Company2 | 3,588 | 3 | |||
ZB, National Association | 3,250 | 3 | |||
Principal Life Insurance Company | 3,250 | 3 | |||
Total par value | $ | 74,128 | 63 |
June 30, 2023 | December 31, 2022 | ||||||||||
Fixed rate conventional loans | $ | 8,453 | $ | 7,890 | |||||||
Fixed rate government-insured loans | 381 | 387 | |||||||||
Total unpaid principal balance | 8,834 | 8,277 | |||||||||
Premiums | 103 | 96 | |||||||||
Discounts | (11) | (11) | |||||||||
Basis adjustments from mortgage loan purchase commitments | (11) | (9) | |||||||||
Total mortgage loans held for portfolio | 8,915 | 8,353 | |||||||||
Allowance for credit losses | (6) | (5) | |||||||||
Total mortgage loans held for portfolio, net | $ | 8,909 | $ | 8,348 |
September 30, 2017 | |||||||||||
MPF | MPP | Total | |||||||||
Fixed rate conventional loans | $ | 6,104 | $ | 299 | $ | 6,403 | |||||
Fixed rate government-insured loans | 501 | 33 | 534 | ||||||||
Total unpaid principal balance | 6,605 | 332 | 6,937 | ||||||||
Premiums | 87 | 11 | 98 | ||||||||
Discounts | (6 | ) | (1 | ) | (7 | ) | |||||
Basis adjustments from mortgage loan commitments | 5 | — | 5 | ||||||||
Total mortgage loans held for portfolio | 6,691 | 342 | 7,033 | ||||||||
Allowance for credit losses | (2 | ) | — | (2 | ) | ||||||
Total mortgage loans held for portfolio, net | $ | 6,689 | $ | 342 | $ | 7,031 |
December 31, 2016 | |||||||||||
MPF | MPP | Total | |||||||||
Fixed rate conventional loans | $ | 5,907 | $ | 361 | $ | 6,268 | |||||
Fixed rate government-insured loans | 513 | 42 | 555 | ||||||||
Total unpaid principal balance | 6,420 | 403 | 6,823 | ||||||||
Premiums | 82 | 14 | 96 | ||||||||
Discounts | (8 | ) | (1 | ) | (9 | ) | |||||
Basis adjustments from mortgage loan commitments | 5 | — | 5 | ||||||||
Total mortgage loans held for portfolio | 6,499 | 416 | 6,915 | ||||||||
Allowance for credit losses | (2 | ) | — | (2 | ) | ||||||
Total mortgage loans held for portfolio, net | $ | 6,497 | $ | 416 | $ | 6,913 |
September 30, 2017 | December 31, 2016 | June 30, 2023 | December 31, 2022 | |||||||||||||||||||||||||||||||
Amount | % of Total | Amount | % of Total | Amount | % of Total | Amount | % of Total | |||||||||||||||||||||||||||
Short-term investments1 | Short-term investments1 | |||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | — | $ | 1 | — | Interest-bearing deposits | $ | 2,841 | 5 | $ | 2,031 | 4 | |||||||||||||||||||||
Securities purchased under agreements to resell | 5,500 | 14 | 5,925 | 14 | Securities purchased under agreements to resell | 17,950 | 32 | 12,590 | 29 | |||||||||||||||||||||||||
Federal funds sold | 6,770 | 17 | 5,095 | 12 | Federal funds sold | 12,145 | 22 | 9,415 | 22 | |||||||||||||||||||||||||
Total short-term investments | 12,270 | 31 | 11,021 | 26 | Total short-term investments | 32,936 | 59 | 24,036 | 55 | |||||||||||||||||||||||||
Long-term investments2 | Long-term investments2 | |||||||||||||||||||||||||||||||||
Interest-bearing deposits | 1 | — | 1 | — | ||||||||||||||||||||||||||||||
Mortgage-backed securities | ||||||||||||||||||||||||||||||||||
MBS | MBS | |||||||||||||||||||||||||||||||||
GSE single-family | 3,974 | 10 | 4,804 | 12 | GSE single-family | 696 | 1 | 767 | 2 | |||||||||||||||||||||||||
GSE multifamily | 11,292 | 29 | 12,156 | 30 | GSE multifamily | 14,688 | 27 | 9,805 | 23 | |||||||||||||||||||||||||
Other U.S. obligations single-family3 | 3,859 | 10 | 3,864 | 9 | ||||||||||||||||||||||||||||||
Other U.S. obligations commercial3 | 3 | — | 4 | — | ||||||||||||||||||||||||||||||
U.S. obligations single-family3 | U.S. obligations single-family3 | 3,575 | 6 | 3,678 | 8 | |||||||||||||||||||||||||||||
Private-label residential | 13 | — | 16 | — | Private-label residential | 3 | — | 4 | — | |||||||||||||||||||||||||
Total mortgage-backed securities | 19,141 | 49 | 20,844 | 51 | ||||||||||||||||||||||||||||||
Non-mortgage-backed securities | ||||||||||||||||||||||||||||||||||
Total MBS | Total MBS | 18,962 | 34 | 14,254 | 33 | |||||||||||||||||||||||||||||
Non-MBS | Non-MBS | |||||||||||||||||||||||||||||||||
U.S. Treasury obligations3 | U.S. Treasury obligations3 | 1,276 | 2 | 2,501 | 6 | |||||||||||||||||||||||||||||
Other U.S. obligations3 | 3,410 | 9 | 3,745 | 9 | Other U.S. obligations3 | 641 | 1 | 834 | 2 | |||||||||||||||||||||||||
GSE and Tennessee Valley Authority obligations | 2,530 | 6 | 3,359 | 8 | ||||||||||||||||||||||||||||||
GSE and TVA obligations | GSE and TVA obligations | 861 | 2 | 888 | 2 | |||||||||||||||||||||||||||||
State or local housing agency obligations | 1,434 | 4 | 1,697 | 4 | State or local housing agency obligations | 460 | 1 | 482 | 1 | |||||||||||||||||||||||||
Other | 555 | 1 | 551 | 2 | ||||||||||||||||||||||||||||||
Total non-mortgage-backed securities | 7,929 | 20 | 9,352 | 23 | ||||||||||||||||||||||||||||||
Other4 | Other4 | 362 | 1 | 386 | 1 | |||||||||||||||||||||||||||||
Total non-MBS | Total non-MBS | 3,600 | 7 | 5,091 | 12 | |||||||||||||||||||||||||||||
Total long-term investments | 27,071 | 69 | 30,197 | 74 | Total long-term investments | 22,562 | 41 | 19,345 | 45 | |||||||||||||||||||||||||
Total investments | $ | 39,341 | 100 | $ | 41,218 | 100 | Total investments | $ | 55,498 | 100 | $ | 43,381 | 100 |
September 30, 2017 | December 31, 2016 | June 30, 2023 | December 31, 2022 | |||||||||||||||||||||
Par value | $ | 53,074 | $ | 81,019 | Par value | $ | 51,049 | $ | 70,002 | |||||||||||||||
Discounts and concession fees1 | (98 | ) | (72 | ) | Discounts and concession fees1 | (560) | (725) | |||||||||||||||||
Fair value option valuation adjustments | Fair value option valuation adjustments | (46) | (107) | |||||||||||||||||||||
Total | $ | 52,976 | $ | 80,947 | Total | $ | 50,443 | $ | 69,170 |
June 30, 2023 | December 31, 2022 | ||||||||||
Par value | $ | 117,041 | $ | 84,572 | |||||||
Premiums | 69 | 86 | |||||||||
Discounts and concession fees1 | (25) | (23) | |||||||||
Fair value hedging adjustments | (275) | (298) | |||||||||
Total | $ | 116,810 | $ | 84,337 |
September 30, 2017 | December 31, 2016 | ||||||
Total par value | $ | 102,456 | $ | 90,053 | |||
Premiums | 210 | 254 | |||||
Discounts and concession fees1 | (65 | ) | (79 | ) | |||
Fair value hedging adjustments | (307 | ) | (330 | ) | |||
Total bonds | $ | 102,294 | $ | 89,898 |
1 Concessions represent fees paid to dealers in connection with the issuance of certain consolidated obligation bonds. |
June 30, 2023 | December 31, 2022 | ||||||||||
Capital stock | $ | 6,449 | $ | 6,250 | |||||||
Retained earnings | 2,854 | 2,618 | |||||||||
Accumulated other comprehensive income (loss) | (107) | (117) | |||||||||
Total capital | $ | 9,196 | $ | 8,751 |
September 30, 2017 | December 31, 2016 | ||||||
Capital stock | $ | 5,624 | $ | 5,917 | |||
Additional capital from merger | — | 52 | |||||
Retained earnings | 1,774 | 1,450 | |||||
Accumulated other comprehensive income (loss) | 100 | (18 | ) | ||||
Total capital | $ | 7,498 | $ | 7,401 |
September 30, 2017 | December 31, 2016 | June 30, 2023 | December 31, 2022 | |||||||||||||||
Interest rate swaps | Interest rate swaps | |||||||||||||||||
Noncallable | $ | 51,367 | $ | 49,887 | ||||||||||||||
Non-callable | Non-callable | $ | 106,109 | $ | 94,582 | |||||||||||||
Callable by counterparty | 2,228 | 3,287 | Callable by counterparty | 21,479 | 6,901 | |||||||||||||
Callable by the Bank | 172 | 136 | ||||||||||||||||
Total interest rate swaps | 53,767 | 53,310 | Total interest rate swaps | 127,588 | 101,483 | |||||||||||||
Forward settlement agreements (TBAs) | 108 | 94 | ||||||||||||||||
Mortgage delivery commitments | 114 | 102 | ||||||||||||||||
Forward settlement agreements | Forward settlement agreements | 235 | 46 | |||||||||||||||
Mortgage loan purchase commitments | Mortgage loan purchase commitments | 231 | 46 | |||||||||||||||
Total notional amount | $ | 53,989 | $ | 53,506 | Total notional amount | $ | 128,054 | $ | 101,575 |
September 30, 2017 | December 31, 2016 | |||||||||||||||||||||||
1 year or less | > 1 year | Total | 1 year or less | > 1 year | Total | |||||||||||||||||||
Assets | ||||||||||||||||||||||||
Investments1 | $ | 14,786 | $ | 24,136 | $ | 38,922 | $ | 14,265 | $ | 26,653 | $ | 40,918 | ||||||||||||
Advances2 | 47,049 | 70,456 | 117,505 | 22,533 | 109,004 | 131,537 | ||||||||||||||||||
Mortgage loans held for portfolio3 | 934 | 6,003 | 6,937 | 862 | 5,961 | 6,823 | ||||||||||||||||||
Other interest earning assets4 | — | — | — | 200 | — | 200 | ||||||||||||||||||
Subtotal | $ | 62,769 | $ | 100,595 | 163,364 | $ | 37,860 | $ | 141,618 | 179,478 | ||||||||||||||
Other5 | 1,181 | 1,127 | ||||||||||||||||||||||
Total assets | $ | 164,545 | $ | 180,605 | ||||||||||||||||||||
Liabilities | ||||||||||||||||||||||||
Consolidated obligation bonds6 | $ | 49,500 | $ | 52,956 | $ | 102,456 | $ | 47,733 | $ | 42,320 | $ | 90,053 | ||||||||||||
Consolidated obligation discount notes6 | 53,074 | — | 53,074 | 81,019 | — | 81,019 | ||||||||||||||||||
Subtotal | $ | 102,574 | $ | 52,956 | 155,530 | $ | 128,752 | $ | 42,320 | 171,072 | ||||||||||||||
Other5 | 1,517 | 2,132 | ||||||||||||||||||||||
Total liabilities | $ | 157,047 | $ | 173,204 | ||||||||||||||||||||
Maturity gap | $ | 39,805 | $ | 90,892 | ||||||||||||||||||||
Maturity gap percentage7 | 24 | % | 50 | % |
June 30, 2023 | December 31, 2022 | ||||||||||
Commercial banks | $ | 3,811 | $ | 3,659 | |||||||
Savings institutions | 119 | 119 | |||||||||
Credit unions | 963 | 926 | |||||||||
Insurance companies | 1,555 | 1,545 | |||||||||
CDFIs | 1 | 1 | |||||||||
Total GAAP capital stock | 6,449 | 6,250 | |||||||||
MRCS | 13 | 15 | |||||||||
Total regulatory capital stock | $ | 6,462 | $ | 6,265 |
September 30, 2017 | December 31, 2016 | ||||||
Commercial banks | $ | 4,096 | $ | 4,549 | |||
Savings institutions | 150 | 121 | |||||
Credit unions | 386 | 320 | |||||
Non-captive insurance companies | 614 | 296 | |||||
Captive insurance companies | 378 | 631 | |||||
Total GAAP capital stock | 5,624 | 5,917 | |||||
Mandatorily redeemable capital stock | 422 | 664 | |||||
Total regulatory capital stock | $ | 6,046 | $ | 6,581 |
For the Three Months Ended | For the Six Months Ended | ||||||||||||||||||||||
June 30, | June 30, | ||||||||||||||||||||||
2023 | 2022 | 2023 | 2022 | ||||||||||||||||||||
Aggregate cash dividends paid1 | $ | 109 | $ | 42 | $ | 205 | $ | 85 | |||||||||||||||
Effective combined annualized dividend rate paid on capital stock2 | 6.86 | % | 5.00 | % | 6.72 | % | 4.93 | % | |||||||||||||||
Annualized dividend rate paid on membership capital stock | 3.00 | % | 3.00 | % | 3.00 | % | 3.00 | % | |||||||||||||||
Annualized dividend rate paid on activity-based capital stock | 7.95 | % | 6.25 | % | 7.85 | % | 6.13 | % | |||||||||||||||
Average SOFR | 4.97 | % | 0.71 | % | 4.73 | % | 0.41 | % |
For the Three Months Ended | For the Nine Months Ended | ||||||||||||||
September 30, | September 30, | ||||||||||||||
2017 | 2016 | 2017 | 2016 | ||||||||||||
Aggregate cash dividends paid1 | $ | 42 | $ | 36 | $ | 130 | $ | 102 | |||||||
Effective combined annualized dividend rate paid on capital stock | 3.06 | % | 2.98 | % | 3.07 | % | 2.91 | % | |||||||
Annualized dividend rate paid on membership capital stock | 1.00 | % | 0.75 | % | 0.92 | % | 0.58 | % | |||||||
Annualized dividend rate paid on activity-based capital stock | 3.50 | % | 3.50 | % | 3.50 | % | 3.50 | % | |||||||
Average three-month LIBOR | 1.32 | % | 0.79 | % | 1.20 | % | 0.69 | % |
Market Value of Capital Stock (dollars per share) | |||||||||||||||||||||||||||
Down 200 | Down 100 | Down 50 | Base Case | Up 50 | Up 100 | Up 200 | |||||||||||||||||||||
September 30, 2017 | $ | 128.6 | $ | 129.7 | $ | 130.3 | $ | 130.1 | $ | 129.5 | $ | 128.5 | $ | 126.0 | |||||||||||||
December 31, 2016 | $ | 119.8 | $ | 120.3 | $ | 120.0 | $ | 119.6 | $ | 118.7 | $ | 117.6 | $ | 114.9 |
% Change from Base Case | ||||||||||||||||||||
Down 200 | Down 100 | Down 50 | Base Case | Up 50 | Up 100 | Up 200 | ||||||||||||||
September 30, 2017 | (1.2 | )% | (0.3 | )% | 0.1 | % | — | % | (0.5 | )% | (1.3 | )% | (3.1 | )% | ||||||
December 31, 2016 | 0.2 | % | 0.6 | % | 0.4 | % | — | % | (0.7 | )% | (1.7 | )% | (3.9 | )% |
Policy Limits (declines from base case) | ||||||||||||||||||||
Down 200 | Down 100 | Down 50 | Base Case | Up 50 | Up 100 | Up 200 | ||||||||||||||
September 30, 2017 and December 31, 2016 | (12.0 | )% | (5.0 | )% | (2.2 | )% | — | % | (2.2 | )% | (5.0 | )% | (12.0 | )% |
Market Value of Capital Stock (dollars per share) | |||||||||||||||||||||||||||
Down 200 | Down 100 | Down 50 | Base Case | Up 50 | Up 100 | Up 200 | |||||||||||||||||||||
September 30, 2017 | $ | 129.9 | $ | 130.4 | $ | 130.5 | $ | 130.1 | $ | 129.4 | $ | 128.3 | $ | 125.4 | |||||||||||||
December 31, 2016 | $ | 121.0 | $ | 120.9 | $ | 120.4 | $ | 119.6 | $ | 118.3 | $ | 117.0 | $ | 114.2 |
% Change from Base Case | ||||||||||||||||||||
Down 200 | Down 100 | Down 50 | Base Case | Up 50 | Up 100 | Up 200 | ||||||||||||||
September 30, 2017 | (0.2 | )% | 0.2 | % | 0.3 | % | — | % | (0.6 | )% | (1.4 | )% | (3.6 | )% | ||||||
December 31, 2016 | 1.2 | % | 1.1 | % | 0.7 | % | — | % | (1.0 | )% | (2.1 | )% | (4.5 | )% |
Policy Limits (declines from base case) | ||||||||||||||||||||
Down 200 | Down 100 | Down 50 | Base Case | Up 50 | Up 100 | Up 200 | ||||||||||||||
September 30, 2017 and December 31, 2016 | (13.0 | )% | (5.5 | )% | (2.5 | )% | — | % | (2.5 | )% | (5.5 | )% | (13.0 | )% |
Product Type | June 30, 2023 | December 31, 2022 | ||||||||||||
Conventional | $ | 8,453 | $ | 7,890 | ||||||||||
Government | 381 | 387 | ||||||||||||
Total unpaid principal balance | $ | 8,834 | $ | 8,277 |
Product Type | September 30, 2017 | December 31, 2016 | ||||||
MPF Conventional | $ | 6,104 | $ | 5,907 | ||||
MPF Government | 501 | 513 | ||||||
Total MPF | 6,605 | 6,420 | ||||||
MPP Conventional | 299 | 361 | ||||||
MPP Government | 33 | 42 | ||||||
Total MPP | 332 | 403 | ||||||
Total mortgage loan unpaid principal balance | $ | 6,937 | $ | 6,823 |
June 30, 2023 | ||||||||||||||||||||||||||
Credit Rating1,2 | ||||||||||||||||||||||||||
Domicile of Counterparty | AA | A | Total | |||||||||||||||||||||||
Domestic | $ | — | $ | 3,800 | $ | 3,800 | ||||||||||||||||||||
U.S subsidiaries of foreign commercial banks | — | 910 | 910 | |||||||||||||||||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | — | 4,710 | 4,710 | |||||||||||||||||||||||
U.S. branches and agency offices of foreign commercial banks | ||||||||||||||||||||||||||
Australia | 1,250 | — | 1,250 | |||||||||||||||||||||||
Belgium | — | 960 | 960 | |||||||||||||||||||||||
Canada | — | 2,820 | 2,820 | |||||||||||||||||||||||
Finland | 1,440 | — | 1,440 | |||||||||||||||||||||||
France | — | 200 | 200 | |||||||||||||||||||||||
Germany | 1,200 | — | 1,200 | |||||||||||||||||||||||
Netherlands | — | 500 | 500 | |||||||||||||||||||||||
Sweden | — | 960 | 960 | |||||||||||||||||||||||
United Kingdom | — | 945 | 945 | |||||||||||||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 3,890 | 6,385 | 10,275 | |||||||||||||||||||||||
Total unsecured short-term investment exposure | $ | 3,890 | $ | 11,095 | $ | 14,985 |
Credit Rating1,2 | ||||||||||||||||
Domicile of Counterparty | AA | A | BBB | Total | ||||||||||||
Domestic | $ | — | $ | — | $ | 875 | $ | 875 | ||||||||
U.S subsidiaries of foreign commercial banks | — | 45 | — | 45 | ||||||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | — | 45 | 875 | 920 | ||||||||||||
U.S. branches and agency offices of foreign commercial banks | ||||||||||||||||
Australia | 700 | — | — | 700 | ||||||||||||
Canada | — | 600 | — | 600 | ||||||||||||
France | — | 700 | — | 700 | ||||||||||||
Germany | — | 600 | — | 600 | ||||||||||||
Japan | — | 600 | — | 600 | ||||||||||||
Netherlands | — | 300 | — | 300 | ||||||||||||
Norway | — | 600 | — | 600 | ||||||||||||
Sweden | 1,150 | 600 | — | 1,750 | ||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 1,850 | 4,000 | — | 5,850 | ||||||||||||
Total unsecured investment exposure | $ | 1,850 | $ | 4,045 | $ | 875 | $ | 6,770 |
September 30, 2017 | |||||||||||||||||||||||
Credit Rating1 | |||||||||||||||||||||||
AAA | AA | A | BBB | BB or Lower | Total | ||||||||||||||||||
Interest-bearing deposits2 | $ | — | $ | 1 | $ | — | $ | — | $ | — | $ | 1 | |||||||||||
Securities purchased under agreements to resell | 500 | 250 | 1,000 | 3,750 | — | 5,500 | |||||||||||||||||
Federal funds sold | — | 1,850 | 4,045 | 875 | — | 6,770 | |||||||||||||||||
Investment securities: | |||||||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
GSE single-family | — | 3,974 | — | — | — | 3,974 | |||||||||||||||||
GSE multifamily | — | 11,292 | — | — | — | 11,292 | |||||||||||||||||
Other U.S. obligations single-family3 | — | 3,859 | — | — | — | 3,859 | |||||||||||||||||
Other U.S. obligations commercial3 | — | 3 | — | — | — | 3 | |||||||||||||||||
Private-label residential | — | 4 | — | 7 | 2 | 13 | |||||||||||||||||
Total mortgage-backed securities | — | 19,132 | — | 7 | 2 | 19,141 | |||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations3 | — | 3,410 | — | — | — | 3,410 | |||||||||||||||||
GSE and Tennessee Valley Authority obligations | — | 2,530 | — | — | — | 2,530 | |||||||||||||||||
State or local housing agency obligations | 1,150 | 284 | — | — | — | 1,434 | |||||||||||||||||
Other | 454 | 101 | — | — | — | 555 | |||||||||||||||||
Total non-mortgage-backed securities | 1,604 | 6,325 | — | — | — | 7,929 | |||||||||||||||||
Total investments4 | $ | 2,104 | $ | 27,558 | $ | 5,045 | $ | 4,632 | $ | 2 | $ | 39,341 |
June 30, 2023 | |||||||||||||||||||||||||||||||||||||||||
Credit Rating1 | |||||||||||||||||||||||||||||||||||||||||
AAA | AA | A | BBB | Unrated | Total | ||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | 1 | $ | 2,840 | $ | — | $ | — | $ | 2,841 | |||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | 5,950 | 5,500 | — | 6,500 | 17,950 | |||||||||||||||||||||||||||||||||||
Federal funds sold | — | 3,890 | 8,255 | — | — | 12,145 | |||||||||||||||||||||||||||||||||||
Investment securities: | |||||||||||||||||||||||||||||||||||||||||
MBS | |||||||||||||||||||||||||||||||||||||||||
GSE single-family | — | 696 | — | — | — | 696 | |||||||||||||||||||||||||||||||||||
GSE multifamily | — | 14,688 | — | — | — | 14,688 | |||||||||||||||||||||||||||||||||||
U.S. obligations single-family2 | — | 3,575 | — | — | — | 3,575 | |||||||||||||||||||||||||||||||||||
Private-label residential | — | — | 2 | 1 | — | 3 | |||||||||||||||||||||||||||||||||||
Total MBS | — | 18,959 | 2 | 1 | — | 18,962 | |||||||||||||||||||||||||||||||||||
Non-MBS | |||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations2 | — | 1,276 | — | — | — | 1,276 | |||||||||||||||||||||||||||||||||||
Other U.S. obligations2 | — | 641 | — | — | — | 641 | |||||||||||||||||||||||||||||||||||
GSE and TVA obligations | — | 861 | — | — | — | 861 | |||||||||||||||||||||||||||||||||||
State or local housing agency obligations | 431 | 29 | — | — | — | 460 | |||||||||||||||||||||||||||||||||||
Other3 | 343 | 19 | — | — | — | 362 | |||||||||||||||||||||||||||||||||||
Total non-MBS | 774 | 2,826 | — | — | — | 3,600 | |||||||||||||||||||||||||||||||||||
Total investments | $ | 774 | $ | 31,626 | $ | 16,597 | $ | 1 | $ | 6,500 | $ | 55,498 |
December 31, 2016 | |||||||||||||||||||||||
Credit Rating1 | |||||||||||||||||||||||
AAA | AA | A | BBB | BB or Lower | Total | ||||||||||||||||||
Interest-bearing deposits2 | $ | — | $ | 2 | $ | — | $ | — | $ | — | $ | 2 | |||||||||||
Securities purchased under agreements to resell | 1,425 | 250 | 500 | 3,750 | — | 5,925 | |||||||||||||||||
Federal funds sold | — | 200 | 4,050 | 845 | — | 5,095 | |||||||||||||||||
Investment securities: | |||||||||||||||||||||||
Mortgage-backed securities | |||||||||||||||||||||||
GSE single-family | — | 4,804 | — | — | — | 4,804 | |||||||||||||||||
GSE multifamily | — | 12,156 | — | — | — | 12,156 | |||||||||||||||||
Other U.S. obligations single-family3 | — | 3,864 | — | — | — | 3,864 | |||||||||||||||||
Other U.S. obligations commercial3 | — | 4 | — | — | — | 4 | |||||||||||||||||
Private-label residential | — | — | 5 | 9 | 2 | 16 | |||||||||||||||||
Total mortgage-backed securities | — | 20,828 | 5 | 9 | 2 | 20,844 | |||||||||||||||||
Non-mortgage-backed securities | |||||||||||||||||||||||
Other U.S. obligations3 | — | 3,745 | — | — | — | 3,745 | |||||||||||||||||
GSE and Tennessee Valley Authority obligations | — | 3,359 | — | — | — | 3,359 | |||||||||||||||||
State or local housing agency obligations | 1,242 | 455 | — | — | — | 1,697 | |||||||||||||||||
Other | 449 | 102 | — | — | — | 551 | |||||||||||||||||
Total non-mortgage-backed securities | 1,691 | 7,661 | — | — | — | 9,352 | |||||||||||||||||
Total investments4 | $ | 3,116 | $ | 28,941 | $ | 4,555 | $ | 4,604 | $ | 2 | $ | 41,218 |
June 30, 2023 | ||||||||||||||||||||||||||
Credit Rating1 | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||||||||||
Non-member counterparties: | ||||||||||||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||||||||||||
Uncleared derivatives | ||||||||||||||||||||||||||
A | $ | 1,533 | $ | 22 | $ | (21) | $ | 1 | ||||||||||||||||||
Cleared derivatives2 | 40,212 | 8 | 461 | 469 | ||||||||||||||||||||||
Liability positions with credit exposure | ||||||||||||||||||||||||||
Uncleared derivatives | ||||||||||||||||||||||||||
A | 5,730 | (10) | 12 | 2 | ||||||||||||||||||||||
Cleared derivatives2 | 64,879 | (2) | 641 | 639 | ||||||||||||||||||||||
Total derivative positions with credit exposure to non-member counterparties | 112,354 | 18 | 1,093 | 1,111 | ||||||||||||||||||||||
Member institutions3,4 | 20 | — | — | — | ||||||||||||||||||||||
Total | 112,374 | $ | 18 | $ | 1,093 | $ | 1,111 | |||||||||||||||||||
Derivative positions without credit exposure | 15,680 | |||||||||||||||||||||||||
Total notional | $ | 128,054 |
September 30, 2017 | ||||||||||||||||
Credit Rating1 | Notional Amount | Net Derivatives Fair Value Before Collateral and Variation Margin for Daily Settled Contracts | Cash Collateral Pledged To (From) Counterparty and Variation Margin for Daily Settled Contracts2 | Net Credit Exposure to Counterparties | ||||||||||||
Non-member counterparties: | ||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||
Uncleared derivatives | ||||||||||||||||
A | $ | 2,540 | $ | 9 | $ | (8 | ) | $ | 1 | |||||||
BBB4 | 499 | — | — | — | ||||||||||||
Liability positions with credit exposure | ||||||||||||||||
Uncleared derivatives | ||||||||||||||||
AA | 551 | (25 | ) | 26 | 1 | |||||||||||
A | 4,970 | (64 | ) | 66 | 2 | |||||||||||
BBB | 1,166 | (26 | ) | 27 | 1 | |||||||||||
Cleared derivatives2, 3 | 43,029 | (311 | ) | 425 | 114 | |||||||||||
Total derivative positions with credit exposure to non-member counterparties | 52,755 | (417 | ) | 536 | 118 | |||||||||||
Member institutions4,5 | 105 | — | — | — | ||||||||||||
Total | 52,860 | $ | (417 | ) | $ | 536 | $ | 118 | ||||||||
Derivative positions without credit exposure | 1,129 | |||||||||||||||
Total notional | $ | 53,989 |
December 31, 2016 | ||||||||||||||||
Credit Rating1 | Notional Amount | Net Derivatives Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||
Non-member counterparties: | ||||||||||||||||
Asset positions with credit exposure | ||||||||||||||||
Uncleared derivatives | ||||||||||||||||
A | $ | 94 | $ | 1 | $ | — | $ | 1 | ||||||||
Liability positions with credit exposure | ||||||||||||||||
Uncleared derivatives | ||||||||||||||||
BBB | 736 | (8 | ) | 9 | 1 | |||||||||||
Cleared derivatives2 | 40,678 | (374 | ) | 563 | 189 | |||||||||||
Total derivative positions with credit exposure to non-member counterparties | 41,508 | (381 | ) | 572 | 191 | |||||||||||
Member institutions3,4 | 49 | — | — | — | ||||||||||||
Total | 41,557 | $ | (381 | ) | $ | 572 | $ | 191 | ||||||||
Derivative positions without credit exposure | 11,949 | |||||||||||||||
Total notional | $ | 53,506 |
3.1 | |||||
3.2 | |||||
4.1 | |||||
10.1 | |||||
31.1 | |||||
31.2 | |||||
32.1 | |||||
32.2 | |||||
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 | ||||
XBRL Taxonomy Extension Definition Linkbase Document | |||||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | ||||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | ||||
Cover Page Interactive Data File - The cover page interactive data file does not appear in the interactive data file because its XBRL |
FEDERAL HOME LOAN BANK OF DES MOINES | ||||||||||||||
(Registrant) | ||||||||||||||
August 8, 2023 | ||||||||||||||
Kristina K. Williams President and Chief Executive Officer | ||||||||||||||
By: | /s/ James G. Livingston | |||||||||||||
James G. Livingston Chief Financial Officer (Principal Financial and |