Federally Chartered Corporation | 35-6001443 | |||||||
(State or other jurisdiction of incorporation) | (IRS employer identification number) | |||||||
8250 Woodfield Crossing Blvd. Indianapolis, IN | 46240 | |||||||
(Address of principal executive offices) | (Zip code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
None | None | None |
☐ | Large accelerated filer | ☐ | Accelerated filer | ☐ | Emerging growth company | ||||||||||||
x | Non-accelerated Filer | ☐ | Smaller reporting company |
Shares outstanding as of | |||||
Class A Stock, par value $100 | — | ||||
Class B Stock, par value $100 |
Table of Contents | Page | |||||||
Number | ||||||||
Special Note Regarding Forward-Looking Statements | ||||||||
PART I. | FINANCIAL INFORMATION | |||||||
Item 1. | FINANCIAL STATEMENTS (unaudited) | |||||||
Statements of Condition as of | ||||||||
Statements of Income for the Three and Six Months Ended | ||||||||
Statements of Comprehensive Income for the Three and Six Months Ended | ||||||||
Statements of Capital for the Three and Six Months Ended | ||||||||
Statements of Cash Flows for the | ||||||||
Notes to Financial Statements: | ||||||||
Note 1 - Summary of Significant Accounting Policies | ||||||||
Note 2 - Recently Adopted and Issued Accounting Guidance | ||||||||
Note 3 - Investments | ||||||||
Note 4 - Advances | ||||||||
Note 5 - Mortgage Loans Held for Portfolio | ||||||||
Note 6 - Derivatives and Hedging Activities | ||||||||
Note 7 - Consolidated Obligations | ||||||||
Note 8 - Affordable Housing Program | ||||||||
Note 9 - Capital | ||||||||
Note 10 - Accumulated Other Comprehensive Income | ||||||||
Note 11 - Segment Information | ||||||||
Note 12 - Estimated Fair Values | ||||||||
Note 13 - Commitments and Contingencies | ||||||||
Note 14 - Related Party and Other Transactions | ||||||||
Defined Terms | ||||||||
Item 2. | MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |||||||
Presentation | ||||||||
Executive Summary | ||||||||
Results of Operations and Changes in Financial Condition | ||||||||
Operating Segments | ||||||||
Analysis of Financial Condition | ||||||||
Liquidity and Capital Resources | ||||||||
Critical Accounting Estimates | ||||||||
Recent Accounting and Regulatory Developments | ||||||||
Risk Management | ||||||||
Item 3. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK | |||||||
Item 4. | CONTROLS AND PROCEDURES | |||||||
PART II. | OTHER INFORMATION | |||||||
Item 1. | LEGAL PROCEEDINGS | |||||||
Item 1A. | RISK FACTORS | |||||||
Item 2. | UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS | |||||||
Item 3. | DEFAULTS UPON SENIOR SECURITIES | |||||||
Item 4. | MINE SAFETY DISCLOSURES | |||||||
Item 5. | OTHER INFORMATION | |||||||
Item 6. | EXHIBITS |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||
Cash and due from banks | Cash and due from banks | $ | 225,842 | $ | 867,880 | Cash and due from banks | $ | 59,596 | $ | 867,880 | ||||||||||||
Interest-bearing deposits (Note 3) | Interest-bearing deposits (Note 3) | 100,041 | 100,041 | Interest-bearing deposits (Note 3) | 325,041 | 100,041 | ||||||||||||||||
Securities purchased under agreements to resell (Note 3) | Securities purchased under agreements to resell (Note 3) | 7,600,000 | 3,500,000 | Securities purchased under agreements to resell (Note 3) | 4,500,000 | 3,500,000 | ||||||||||||||||
Federal funds sold (Note 3) | Federal funds sold (Note 3) | 1,640,000 | 2,580,000 | Federal funds sold (Note 3) | 2,496,000 | 2,580,000 | ||||||||||||||||
Trading securities (Note 3) | Trading securities (Note 3) | 4,752,822 | 3,946,799 | Trading securities (Note 3) | 4,039,407 | 3,946,799 | ||||||||||||||||
Available-for-sale securities (Note 3) (amortized cost of $9,802,299 and $9,007,993) | 9,879,778 | 9,159,935 | ||||||||||||||||||||
Held-to-maturity securities (Note 3) (estimated fair values of $4,028,452 and $4,322,157) | 4,052,556 | 4,313,773 | ||||||||||||||||||||
Available-for-sale securities (Note 3) (amortized cost of $10,164,321 and $9,007,993) | Available-for-sale securities (Note 3) (amortized cost of $10,164,321 and $9,007,993) | 10,196,572 | 9,159,935 | |||||||||||||||||||
Held-to-maturity securities (Note 3) (estimated fair values of $3,821,942 and $4,322,157) | Held-to-maturity securities (Note 3) (estimated fair values of $3,821,942 and $4,322,157) | 3,877,299 | 4,313,773 | |||||||||||||||||||
Advances (Note 4) | Advances (Note 4) | 26,588,461 | 27,497,835 | Advances (Note 4) | 30,507,462 | 27,497,835 | ||||||||||||||||
Mortgage loans held for portfolio, net (Note 5) | Mortgage loans held for portfolio, net (Note 5) | 7,701,904 | 7,616,134 | Mortgage loans held for portfolio, net (Note 5) | 7,729,642 | 7,616,134 | ||||||||||||||||
Accrued interest receivable | Accrued interest receivable | 80,400 | 80,758 | Accrued interest receivable | 96,937 | 80,758 | ||||||||||||||||
Derivative assets, net (Note 6) | Derivative assets, net (Note 6) | 270,997 | 220,202 | Derivative assets, net (Note 6) | 325,848 | 220,202 | ||||||||||||||||
Other assets | Other assets | 122,413 | 121,246 | Other assets | 112,459 | 121,246 | ||||||||||||||||
Total assets | Total assets | $ | 63,015,214 | $ | 60,004,603 | Total assets | $ | 64,266,263 | $ | 60,004,603 | ||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||
Deposits | Deposits | $ | 1,237,131 | $ | 1,366,397 | Deposits | $ | 907,525 | $ | 1,366,397 | ||||||||||||
Consolidated obligations (Note 7): | Consolidated obligations (Note 7): | Consolidated obligations (Note 7): | ||||||||||||||||||||
Discount notes | Discount notes | 18,173,383 | 12,116,358 | Discount notes | 19,587,260 | 12,116,358 | ||||||||||||||||
Bonds | Bonds | 39,632,188 | 42,361,572 | Bonds | 39,462,365 | 42,361,572 | ||||||||||||||||
Total consolidated obligations, net | Total consolidated obligations, net | 57,805,571 | 54,477,930 | Total consolidated obligations, net | 59,049,625 | 54,477,930 | ||||||||||||||||
Accrued interest payable | Accrued interest payable | 88,889 | 88,068 | Accrued interest payable | 124,999 | 88,068 | ||||||||||||||||
Affordable Housing Program payable (Note 8) | Affordable Housing Program payable (Note 8) | 31,937 | 31,049 | Affordable Housing Program payable (Note 8) | 28,953 | 31,049 | ||||||||||||||||
Derivative liabilities, net (Note 6) | Derivative liabilities, net (Note 6) | 6,645 | 12,185 | Derivative liabilities, net (Note 6) | 13,569 | 12,185 | ||||||||||||||||
Mandatorily redeemable capital stock (Note 9) | Mandatorily redeemable capital stock (Note 9) | 45,591 | 50,422 | Mandatorily redeemable capital stock (Note 9) | 45,583 | 50,422 | ||||||||||||||||
Other liabilities | Other liabilities | 426,180 | 422,221 | Other liabilities | 619,298 | 422,221 | ||||||||||||||||
Total liabilities | Total liabilities | 59,641,944 | 56,448,272 | Total liabilities | 60,789,552 | 56,448,272 | ||||||||||||||||
Commitments and contingencies (Note 13) | Commitments and contingencies (Note 13) | 0 | 0 | Commitments and contingencies (Note 13) | 0 | 0 | ||||||||||||||||
Capital (Note 9): | Capital (Note 9): | Capital (Note 9): | ||||||||||||||||||||
Capital stock (putable at par value of $100 per share): | Capital stock (putable at par value of $100 per share): | Capital stock (putable at par value of $100 per share): | ||||||||||||||||||||
Class B issued and outstanding shares: 21,215,410 and 22,462,009, respectively | 2,121,541 | 2,246,201 | ||||||||||||||||||||
Class B issued and outstanding shares: 22,508,342 and 22,462,009 | Class B issued and outstanding shares: 22,508,342 and 22,462,009 | 2,250,835 | 2,246,201 | |||||||||||||||||||
Retained earnings: | Retained earnings: | Retained earnings: | ||||||||||||||||||||
Unrestricted | Unrestricted | 899,750 | 889,869 | Unrestricted | 912,329 | 889,869 | ||||||||||||||||
Restricted | Restricted | 292,924 | 287,203 | Restricted | 299,391 | 287,203 | ||||||||||||||||
Total retained earnings | Total retained earnings | 1,192,674 | 1,177,072 | Total retained earnings | 1,211,720 | 1,177,072 | ||||||||||||||||
Total accumulated other comprehensive income (Note 10) | Total accumulated other comprehensive income (Note 10) | 59,055 | 133,058 | Total accumulated other comprehensive income (Note 10) | 14,156 | 133,058 | ||||||||||||||||
Total capital | Total capital | 3,373,270 | 3,556,331 | Total capital | 3,476,711 | 3,556,331 | ||||||||||||||||
Total liabilities and capital | Total liabilities and capital | $ | 63,015,214 | $ | 60,004,603 | Total liabilities and capital | $ | 64,266,263 | $ | 60,004,603 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||||||||||||||
Interest Income: | Interest Income: | Interest Income: | ||||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | $ | 35,041 | $ | 36,109 | Advances | $ | 67,562 | $ | 28,175 | $ | 102,603 | $ | 64,284 | ||||||||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | 290 | 156 | Interest-bearing deposits | 2,623 | 121 | 2,913 | 277 | ||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 905 | 437 | Securities purchased under agreements to resell | 6,066 | 215 | 6,971 | 652 | ||||||||||||||||||||||||||||||||||||||
Federal funds sold | Federal funds sold | 842 | 803 | Federal funds sold | 7,682 | 651 | 8,524 | 1,454 | ||||||||||||||||||||||||||||||||||||||
Trading securities | Trading securities | 5,445 | 16,170 | Trading securities | 8,347 | 14,421 | 13,792 | 30,591 | ||||||||||||||||||||||||||||||||||||||
Available-for-sale securities | Available-for-sale securities | 22,445 | 29,836 | Available-for-sale securities | 38,563 | 21,184 | 61,008 | 51,020 | ||||||||||||||||||||||||||||||||||||||
Held-to-maturity securities | Held-to-maturity securities | 7,511 | 9,864 | Held-to-maturity securities | 9,033 | 7,809 | 16,544 | 17,673 | ||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio | Mortgage loans held for portfolio | 47,801 | 40,282 | Mortgage loans held for portfolio | 51,467 | 40,119 | 99,268 | 80,401 | ||||||||||||||||||||||||||||||||||||||
Other interest income | Other interest income | 22 | — | 22 | — | |||||||||||||||||||||||||||||||||||||||||
Total interest income | Total interest income | 120,280 | 133,657 | Total interest income | 191,365 | 112,695 | 311,645 | 246,352 | ||||||||||||||||||||||||||||||||||||||
Interest Expense: | Interest Expense: | Interest Expense: | ||||||||||||||||||||||||||||||||||||||||||||
Consolidated obligation discount notes | Consolidated obligation discount notes | 3,653 | 4,199 | Consolidated obligation discount notes | 26,535 | 1,733 | 30,188 | 5,932 | ||||||||||||||||||||||||||||||||||||||
Consolidated obligation bonds | Consolidated obligation bonds | 51,699 | 53,796 | Consolidated obligation bonds | 99,192 | 52,674 | 150,891 | 106,470 | ||||||||||||||||||||||||||||||||||||||
Deposits | Deposits | 99 | 37 | Deposits | 1,547 | 43 | 1,646 | 80 | ||||||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | Mandatorily redeemable capital stock | 245 | 1,104 | Mandatorily redeemable capital stock | 269 | 929 | 514 | 2,033 | ||||||||||||||||||||||||||||||||||||||
Total interest expense | Total interest expense | 55,696 | 59,136 | Total interest expense | 127,543 | 55,379 | 183,239 | 114,515 | ||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | 64,584 | 74,521 | Net interest income | 63,822 | 57,316 | 128,406 | 131,837 | ||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | (22) | 88 | Provision for (reversal of) credit losses | (38) | (44) | (60) | 44 | ||||||||||||||||||||||||||||||||||||||
Net interest income after provision for credit losses | Net interest income after provision for credit losses | 64,606 | 74,433 | Net interest income after provision for credit losses | 63,860 | 57,360 | 128,466 | 131,793 | ||||||||||||||||||||||||||||||||||||||
Other Income: | Other Income: | Other Income: | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities | Net gains (losses) on trading securities | (24,195) | (13,628) | Net gains (losses) on trading securities | (14,220) | (13,731) | (38,415) | (27,359) | ||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives | Net gains (losses) on derivatives | 19,994 | (838) | Net gains (losses) on derivatives | 17,203 | 186 | 37,197 | (652) | ||||||||||||||||||||||||||||||||||||||
Other, net | Other, net | (3,201) | 1,490 | Other, net | (4,681) | 3,775 | (7,882) | 5,265 | ||||||||||||||||||||||||||||||||||||||
Total other income (loss) | Total other income (loss) | (7,402) | (12,976) | Total other income (loss) | (1,698) | (9,770) | (9,100) | (22,746) | ||||||||||||||||||||||||||||||||||||||
Other Expenses: | Other Expenses: | Other Expenses: | ||||||||||||||||||||||||||||||||||||||||||||
Compensation and benefits | Compensation and benefits | 12,956 | 15,758 | Compensation and benefits | 13,411 | 14,092 | 26,367 | 29,850 | ||||||||||||||||||||||||||||||||||||||
Other operating expenses | Other operating expenses | 7,094 | 7,271 | Other operating expenses | 7,756 | 7,417 | 14,850 | 14,688 | ||||||||||||||||||||||||||||||||||||||
Federal Housing Finance Agency | Federal Housing Finance Agency | 1,916 | 1,473 | Federal Housing Finance Agency | 1,801 | 1,474 | 3,717 | 2,947 | ||||||||||||||||||||||||||||||||||||||
Office of Finance | Office of Finance | 1,417 | 1,997 | Office of Finance | 1,081 | 1,228 | 2,498 | 3,225 | ||||||||||||||||||||||||||||||||||||||
Other | Other | 2,011 | 1,631 | Other | 2,154 | 4,226 | 4,165 | 5,857 | ||||||||||||||||||||||||||||||||||||||
Total other expenses | Total other expenses | 25,394 | 28,130 | Total other expenses | 26,203 | 28,437 | 51,597 | 56,567 | ||||||||||||||||||||||||||||||||||||||
Income before assessments | Income before assessments | 31,810 | 33,327 | Income before assessments | 35,959 | 19,153 | 67,769 | 52,480 | ||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments | Affordable Housing Program assessments | 3,205 | 3,443 | Affordable Housing Program assessments | 3,623 | 2,008 | 6,828 | 5,451 | ||||||||||||||||||||||||||||||||||||||
Net income | Net income | $ | 28,605 | $ | 29,884 | Net income | $ | 32,336 | $ | 17,145 | $ | 60,941 | $ | 47,029 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||||||||||||||
Net income | Net income | $ | 28,605 | $ | 29,884 | Net income | $ | 32,336 | $ | 17,145 | $ | 60,941 | $ | 47,029 | ||||||||||||||||||||||||||||||||
Other Comprehensive Income: | Other Comprehensive Income: | Other Comprehensive Income: | ||||||||||||||||||||||||||||||||||||||||||||
Net change in unrealized gains (losses) on available-for-sale securities | Net change in unrealized gains (losses) on available-for-sale securities | (74,463) | 73,529 | Net change in unrealized gains (losses) on available-for-sale securities | (45,228) | 4,502 | (119,691) | 78,031 | ||||||||||||||||||||||||||||||||||||||
Pension benefits, net | Pension benefits, net | 460 | 996 | Pension benefits, net | 329 | 8,995 | 789 | 9,991 | ||||||||||||||||||||||||||||||||||||||
Total other comprehensive income (loss) | Total other comprehensive income (loss) | (74,003) | 74,525 | Total other comprehensive income (loss) | (44,899) | 13,497 | (118,902) | 88,022 | ||||||||||||||||||||||||||||||||||||||
Total comprehensive income (loss) | Total comprehensive income (loss) | $ | (45,398) | $ | 104,409 | Total comprehensive income (loss) | $ | (12,563) | $ | 30,642 | $ | (57,961) | $ | 135,051 |
Capital Stock | Retained Earnings | Accumulated Other Comprehensive Income | Total Capital | |||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | ||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2022 | 21,215 | $ | 2,121,541 | $ | 899,750 | $ | 292,924 | $ | 1,192,674 | $ | 59,055 | $ | 3,373,270 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | 25,869 | 6,467 | 32,336 | (44,899) | (12,563) | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 1,293 | 129,294 | 129,294 | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.47% annualized) | (13,290) | — | (13,290) | (13,290) | ||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2022 | 22,508 | $ | 2,250,835 | $ | 912,329 | $ | 299,391 | $ | 1,211,720 | $ | 14,156 | $ | 3,476,711 | |||||||||||||||||||||||||||||||
Balance, March 31, 2021 | 22,142 | $ | 2,214,192 | $ | 878,854 | $ | 274,403 | $ | 1,153,257 | $ | 179,927 | $ | 3,547,376 | |||||||||||||||||||||||||||||||
Total comprehensive income | 13,716 | 3,429 | 17,145 | 13,497 | 30,642 | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 200 | 20,005 | 20,005 | |||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (3) | (281) | (281) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.57% annualized) | (13,989) | — | (13,989) | (13,989) | ||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2021 | 22,339 | $ | 2,233,916 | $ | 878,581 | $ | 277,832 | $ | 1,156,413 | $ | 193,424 | $ | 3,583,753 |
Capital Stock | Retained Earnings | Accumulated Other Comprehensive Income | Total Capital | |||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | ||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2021 | 22,462 | $ | 2,246,201 | $ | 889,869 | $ | 287,203 | $ | 1,177,072 | $ | 133,058 | $ | 3,556,331 | |||||||||||||||||||||||||||||||
Total comprehensive income | 22,884 | 5,721 | 28,605 | (74,003) | (45,398) | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 372 | 37,225 | 37,225 | |||||||||||||||||||||||||||||||||||||||||
Redemption/repurchase of capital stock | (1,619) | (161,885) | (161,885) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.31% annualized) | (13,003) | — | (13,003) | (13,003) | ||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2022 | 21,215 | $ | 2,121,541 | $ | 899,750 | $ | 292,924 | $ | 1,192,674 | $ | 59,055 | $ | 3,373,270 | |||||||||||||||||||||||||||||||
Balance, December 31, 2020 | 22,076 | $ | 2,207,570 | $ | 868,904 | $ | 268,426 | $ | 1,137,330 | $ | 105,402 | $ | 3,450,302 | |||||||||||||||||||||||||||||||
Total comprehensive income | 23,907 | 5,977 | 29,884 | 74,525 | 104,409 | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 66 | 6,622 | 6,622 | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.50% annualized) | (13,957) | — | (13,957) | (13,957) | ||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2021 | 22,142 | $ | 2,214,192 | $ | 878,854 | $ | 274,403 | $ | 1,153,257 | $ | 179,927 | $ | 3,547,376 |
Capital Stock | Retained Earnings | Accumulated Other Comprehensive Income | Total Capital | |||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | ||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2021 | 22,462 | $ | 2,246,201 | $ | 889,869 | $ | 287,203 | $ | 1,177,072 | $ | 133,058 | $ | 3,556,331 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | 48,753 | 12,188 | 60,941 | (118,902) | (57,961) | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 1,665 | 166,519 | 166,519 | |||||||||||||||||||||||||||||||||||||||||
Redemption/repurchase of capital stock | (1,619) | (161,885) | (161,885) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.39% annualized) | (26,293) | — | (26,293) | (26,293) | ||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2022 | 22,508 | $ | 2,250,835 | $ | 912,329 | $ | 299,391 | $ | 1,211,720 | $ | 14,156 | $ | 3,476,711 | |||||||||||||||||||||||||||||||
Balance, December 31, 2020 | 22,076 | $ | 2,207,570 | $ | 868,904 | $ | 268,426 | $ | 1,137,330 | $ | 105,402 | $ | 3,450,302 | |||||||||||||||||||||||||||||||
Total comprehensive income | 37,623 | 9,406 | 47,029 | 88,022 | 135,051 | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 266 | 26,627 | 26,627 | |||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (3) | (281) | (281) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.53% annualized) | (27,946) | — | (27,946) | (27,946) | ||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2021 | 22,339 | $ | 2,233,916 | $ | 878,581 | $ | 277,832 | $ | 1,156,413 | $ | 193,424 | $ | 3,583,753 |
Three Months Ended March 31, | Six Months Ended June 30, | |||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||
Operating Activities: | Operating Activities: | Operating Activities: | ||||||||||||||||||||
Net income | Net income | $ | 28,605 | $ | 29,884 | Net income | $ | 60,941 | $ | 47,029 | ||||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | Adjustments to reconcile net income to net cash provided by (used in) operating activities: | Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||||||||||||||
Amortization and depreciation | Amortization and depreciation | 22,324 | 24,431 | Amortization and depreciation | 50,152 | 42,309 | ||||||||||||||||
Changes in net derivative and hedging activities | Changes in net derivative and hedging activities | 460,458 | 152,082 | Changes in net derivative and hedging activities | 751,617 | 28,776 | ||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | (22) | 88 | Provision for (reversal of) credit losses | (60) | 44 | ||||||||||||||||
Net losses on trading securities | Net losses on trading securities | 24,195 | 13,628 | Net losses on trading securities | 38,415 | 27,359 | ||||||||||||||||
Changes in: | Changes in: | Changes in: | ||||||||||||||||||||
Accrued interest receivable | Accrued interest receivable | 171 | 14,518 | Accrued interest receivable | (17,495) | 11,601 | ||||||||||||||||
Other assets | Other assets | (3,125) | (5,470) | Other assets | 5,955 | (12,783) | ||||||||||||||||
Accrued interest payable | Accrued interest payable | 833 | (3,551) | Accrued interest payable | 37,075 | 8,349 | ||||||||||||||||
Other liabilities | Other liabilities | 25,795 | 13,979 | Other liabilities | 8,559 | 1,182 | ||||||||||||||||
Total adjustments, net | Total adjustments, net | 530,629 | 209,705 | Total adjustments, net | 874,218 | 106,837 | ||||||||||||||||
Net cash provided by operating activities | Net cash provided by operating activities | 559,234 | 239,589 | Net cash provided by operating activities | 935,159 | 153,866 | ||||||||||||||||
Investing Activities: | Investing Activities: | Investing Activities: | ||||||||||||||||||||
Net change in: | Net change in: | Net change in: | ||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | (636,378) | 379,297 | Interest-bearing deposits | (1,219,223) | 452,160 | ||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | (4,100,000) | (2,000,000) | Securities purchased under agreements to resell | (1,000,000) | (500,000) | ||||||||||||||||
Federal funds sold | Federal funds sold | 940,000 | (1,615,000) | Federal funds sold | 84,000 | (1,590,000) | ||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||
Proceeds from maturities | Proceeds from maturities | 1,100,000 | 500,000 | Proceeds from maturities | 1,600,000 | 850,000 | ||||||||||||||||
Proceeds from sales | Proceeds from sales | 200,000 | 50,006 | |||||||||||||||||||
Purchases | Purchases | (1,930,219) | (950,175) | Purchases | (1,930,219) | (1,649,933) | ||||||||||||||||
Available-for-sale securities: | Available-for-sale securities: | Available-for-sale securities: | ||||||||||||||||||||
Proceeds from maturities and paydowns | Proceeds from maturities and paydowns | 366,760 | 343,500 | Proceeds from maturities and paydowns | 503,910 | 643,500 | ||||||||||||||||
Purchases | Purchases | (1,654,878) | (60,290) | Purchases | (2,362,677) | (60,290) | ||||||||||||||||
Held-to-maturity securities: | Held-to-maturity securities: | Held-to-maturity securities: | ||||||||||||||||||||
Proceeds from maturities and paydowns | Proceeds from maturities and paydowns | 312,678 | 290,207 | Proceeds from maturities and paydowns | 630,398 | 538,805 | ||||||||||||||||
Purchases | Purchases | (51,312) | (215,269) | Purchases | (51,312) | (584,749) | ||||||||||||||||
Advances: | Advances: | Advances: | ||||||||||||||||||||
Principal repayments | Principal repayments | 24,653,003 | 67,477,320 | Principal repayments | 71,353,438 | 139,543,669 | ||||||||||||||||
Disbursements to members | Disbursements to members | (24,118,758) | (66,175,807) | Disbursements to members | (74,888,350) | (136,081,315) | ||||||||||||||||
Mortgage loans held for portfolio: | Mortgage loans held for portfolio: | Mortgage loans held for portfolio: | ||||||||||||||||||||
Principal collections | Principal collections | 340,010 | 1,034,979 | Principal collections | 600,449 | 1,776,690 | ||||||||||||||||
Purchases from members | Purchases from members | (460,320) | (610,090) | Purchases from members | (771,838) | (1,145,532) | ||||||||||||||||
Purchases of premises, software, and equipment | Purchases of premises, software, and equipment | (571) | (1,171) | Purchases of premises, software, and equipment | (1,989) | (2,520) | ||||||||||||||||
Loans to other Federal Home Loan Banks: | Loans to other Federal Home Loan Banks: | Loans to other Federal Home Loan Banks: | ||||||||||||||||||||
Principal repayments | Principal repayments | 10,000 | 10,000 | Principal repayments | 520,000 | 20,000 | ||||||||||||||||
Disbursements | Disbursements | (10,000) | (10,000) | Disbursements | (520,000) | (20,000) | ||||||||||||||||
Net cash used in investing activities | (5,239,985) | (1,602,499) | ||||||||||||||||||||
Net cash provided by (used in) investing activities | Net cash provided by (used in) investing activities | (7,253,413) | 2,240,491 | |||||||||||||||||||
(continued) | (continued) | (continued) |
Three Months Ended March 31, | |||||||||||
2022 | 2021 | ||||||||||
Financing Activities: | |||||||||||
Net change in deposits | (47,339) | 475,555 | |||||||||
Net proceeds (payments) on derivative contracts with financing elements | (776) | (4,498) | |||||||||
Net proceeds from issuance of consolidated obligations: | |||||||||||
Discount notes | 111,826,875 | 49,078,395 | |||||||||
Bonds | 7,327,205 | 11,425,764 | |||||||||
Payments for matured and retired consolidated obligations: | |||||||||||
Discount notes | (105,771,958) | (48,118,416) | |||||||||
Bonds | (9,152,800) | (11,836,850) | |||||||||
Proceeds from issuance of capital stock | 37,225 | 6,622 | |||||||||
Payments for redemption/repurchase of capital stock | (161,885) | — | |||||||||
Payments for redemption/repurchase of mandatorily redeemable capital stock | (4,831) | (18,073) | |||||||||
Dividend payments on capital stock | (13,003) | (13,957) | |||||||||
Net cash provided by financing activities | 4,038,713 | 994,542 | |||||||||
Net increase (decrease) in cash and due from banks | (642,038) | (368,368) | |||||||||
Cash and due from banks at beginning of period | 867,880 | 1,811,544 | |||||||||
Cash and due from banks at end of period | $ | 225,842 | $ | 1,443,176 | |||||||
Supplemental Disclosures: | |||||||||||
Cash activities: | |||||||||||
Interest payments | $ | 56,957 | $ | 84,094 | |||||||
Affordable Housing Program payments | 2,317 | 2,155 | |||||||||
Non-cash activities: | |||||||||||
Purchases of investment securities, traded but not yet settled | — | 23,048 | |||||||||
Capitalized interest on certain held-to-maturity securities | 460 | 78 | |||||||||
Six Months Ended June 30, | |||||||||||
2022 | 2021 | ||||||||||
Financing Activities: | |||||||||||
Net change in deposits | (320,726) | 222,576 | |||||||||
Net proceeds (payments) on derivative contracts with financing elements | (1,118) | (7,551) | |||||||||
Net proceeds from issuance of consolidated obligations: | |||||||||||
Discount notes | 369,385,849 | 85,205,681 | |||||||||
Bonds | 10,677,690 | 22,129,860 | |||||||||
Payments for matured and retired consolidated obligations: | |||||||||||
Discount notes | (361,928,027) | (87,373,330) | |||||||||
Bonds | (12,277,200) | (23,000,650) | |||||||||
Proceeds from issuance of capital stock | 166,519 | 26,627 | |||||||||
Payments for redemption/repurchase of capital stock | (161,885) | — | |||||||||
Payments for redemption/repurchase of mandatorily redeemable capital stock | (4,839) | (18,156) | |||||||||
Dividend payments on capital stock | (26,293) | (27,946) | |||||||||
Net cash provided by (used in) financing activities | 5,509,970 | (2,842,889) | |||||||||
Net increase (decrease) in cash and due from banks | (808,284) | (448,532) | |||||||||
Cash and due from banks at beginning of period | 867,880 | 1,811,544 | |||||||||
Cash and due from banks at end of period | $ | 59,596 | $ | 1,363,012 | |||||||
Supplemental Disclosures: | |||||||||||
Cash activities: | |||||||||||
Interest payments | $ | 99,903 | $ | 139,245 | |||||||
Affordable Housing Program payments | 8,924 | 9,088 | |||||||||
Non-cash activities: | |||||||||||
Purchases of investment securities, traded but not yet settled | 220,413 | — | |||||||||
Capitalized interest on certain held-to-maturity securities | 855 | 313 | |||||||||
Par value of shares reclassified to mandatorily redeemable capital stock, net | — | 281 | |||||||||
Security Type | Security Type | March 31, 2022 | December 31, 2021 | Security Type | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | $ | 4,752,822 | $ | 3,946,799 | U.S. Treasury obligations | $ | 4,039,407 | $ | 3,946,799 | ||||||||||||||||||
Total trading securities at estimated fair value | Total trading securities at estimated fair value | $ | 4,752,822 | $ | 3,946,799 | Total trading securities at estimated fair value | $ | 4,039,407 | $ | 3,946,799 |
Three Months Ended March 31, | ||||||||||||||||||||||||||
2022 | 2021 | |||||||||||||||||||||||||
Net gains (losses) on trading securities held at period end | $ | (22,549) | $ | (12,144) | ||||||||||||||||||||||
Net gains (losses) on trading securities that matured/sold during the period | (1,646) | (1,484) | ||||||||||||||||||||||||
Net gains (losses) on trading securities | $ | (24,195) | $ | (13,628) |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||
Net gains (losses) on trading securities held at period end | $ | (13,740) | $ | (12,637) | $ | (34,831) | $ | (23,275) | ||||||||||||||||||
Net gains (losses) on trading securities that matured/sold during the period | (480) | (1,094) | (3,584) | (4,084) | ||||||||||||||||||||||
Net gains (losses) on trading securities | $ | (14,220) | $ | (13,731) | $ | (38,415) | $ | (27,359) |
Gross | Gross | Gross | Gross | |||||||||||||||||||||||||||||||||||||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | Amortized | Unrealized | Unrealized | Estimated | |||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | Cost (1) | Gains | Losses | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Cost (1) | Gains | Losses | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | $ | 1,483,150 | $ | — | $ | (2,521) | $ | 1,480,629 | U.S. Treasury obligations | $ | 2,110,103 | $ | — | $ | (4,225) | $ | 2,105,878 | ||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 2,209,080 | 30,727 | — | 2,239,807 | GSE and TVA debentures | 2,061,550 | 24,514 | (1) | 2,086,063 | ||||||||||||||||||||||||||||||||||||||||||
GSE multifamily MBS | GSE multifamily MBS | 6,110,069 | 62,352 | (13,079) | 6,159,342 | GSE multifamily MBS | 5,992,668 | 35,467 | (23,504) | 6,004,631 | ||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | $ | 9,802,299 | $ | 93,079 | $ | (15,600) | $ | 9,879,778 | Total AFS securities | $ | 10,164,321 | $ | 59,981 | $ | (27,730) | $ | 10,196,572 | ||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | $ | 2,651,571 | $ | 45,557 | $ | (12) | $ | 2,697,116 | GSE and TVA debentures | $ | 2,651,571 | $ | 45,557 | $ | (12) | $ | 2,697,116 | ||||||||||||||||||||||||||||||||||
GSE multifamily MBS | GSE multifamily MBS | 6,356,422 | 109,956 | (3,559) | 6,462,819 | GSE multifamily MBS | 6,356,422 | 109,956 | (3,559) | 6,462,819 | ||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | $ | 9,007,993 | $ | 155,513 | $ | (3,571) | $ | 9,159,935 | Total AFS securities | $ | 9,007,993 | $ | 155,513 | $ | (3,571) | $ | 9,159,935 |
Less than 12 months | 12 months or More | Total | Less than 12 months | 12 months or More | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | $ | 1,480,629 | $ | (2,521) | $ | — | $ | — | $ | 1,480,629 | $ | (2,521) | U.S. Treasury obligations | $ | 2,105,878 | $ | (4,225) | $ | — | $ | — | $ | 2,105,878 | $ | (4,225) | ||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 15,000 | (1) | — | — | 15,000 | (1) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE multifamily MBS | GSE multifamily MBS | 1,131,768 | (13,079) | — | — | 1,131,768 | (13,079) | GSE multifamily MBS | 2,496,226 | (21,280) | 105,536 | (2,224) | 2,601,762 | (23,504) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total impaired AFS securities | Total impaired AFS securities | $ | 2,612,397 | $ | (15,600) | $ | — | $ | — | $ | 2,612,397 | $ | (15,600) | Total impaired AFS securities | $ | 4,617,104 | $ | (25,506) | $ | 105,536 | $ | (2,224) | $ | 4,722,640 | $ | (27,730) | ||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | $ | 250,145 | $ | (12) | $ | — | $ | — | $ | 250,145 | $ | (12) | GSE and TVA debentures | $ | 250,145 | $ | (12) | $ | — | $ | — | $ | 250,145 | $ | (12) | ||||||||||||||||||||||||||||||||||||||||||||||||||
GSE multifamily MBS | GSE multifamily MBS | 384,015 | (3,559) | — | — | 384,015 | (3,559) | GSE multifamily MBS | 384,015 | (3,559) | — | — | 384,015 | (3,559) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total impaired AFS securities | Total impaired AFS securities | $ | 634,160 | $ | (3,571) | $ | — | $ | — | $ | 634,160 | $ | (3,571) | Total impaired AFS securities | $ | 634,160 | $ | (3,571) | $ | — | $ | — | $ | 634,160 | $ | (3,571) |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Amortized | Estimated | Amortized | Estimated | Amortized | Estimated | Amortized | Estimated | |||||||||||||||||||||||||||||||||||||||||||||
Year of Contractual Maturity | Year of Contractual Maturity | Cost | Fair Value | Cost | Fair Value | Year of Contractual Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 280,160 | $ | 280,582 | $ | 581,801 | $ | 582,240 | Due in 1 year or less | $ | 250,957 | $ | 251,579 | $ | 581,801 | $ | 582,240 | ||||||||||||||||||||||||||||||||||
Due after 1 through 5 years | Due after 1 through 5 years | 1,675,433 | 1,700,794 | 1,494,109 | 1,523,600 | Due after 1 through 5 years | 1,566,089 | 1,586,412 | 1,494,109 | 1,523,600 | ||||||||||||||||||||||||||||||||||||||||||
Due after 5 through 10 years | Due after 5 through 10 years | 1,736,637 | 1,739,060 | 575,661 | 591,276 | Due after 5 through 10 years | 2,354,607 | 2,353,950 | 575,661 | 591,276 | ||||||||||||||||||||||||||||||||||||||||||
Total non-MBS | Total non-MBS | 3,692,230 | 3,720,436 | 2,651,571 | 2,697,116 | Total non-MBS | 4,171,653 | 4,191,941 | 2,651,571 | 2,697,116 | ||||||||||||||||||||||||||||||||||||||||||
Total MBS | Total MBS | 6,110,069 | 6,159,342 | 6,356,422 | 6,462,819 | Total MBS | 5,992,668 | 6,004,631 | 6,356,422 | 6,462,819 | ||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | $ | 9,802,299 | $ | 9,879,778 | $ | 9,007,993 | $ | 9,159,935 | Total AFS securities | $ | 10,164,321 | $ | 10,196,572 | $ | 9,007,993 | $ | 9,159,935 |
Gross | Gross | Gross | Gross | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrecognized | Unrecognized | Unrecognized | Unrecognized | |||||||||||||||||||||||||||||||||||||||||||||||||
Amortized | Holding | Holding | Estimated | Amortized | Holding | Holding | Estimated | |||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | Cost (1) | Gains | Losses | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Cost (1) | Gains | Losses | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
MBS: | MBS: | MBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed single-family | Other U.S. obligations - guaranteed single-family | $ | 2,544,639 | $ | 2,765 | $ | (19,083) | $ | 2,528,321 | Other U.S. obligations - guaranteed single-family | $ | 2,521,513 | $ | 152 | $ | (35,792) | $ | 2,485,873 | ||||||||||||||||||||||||||||||||||
GSE single-family | GSE single-family | 765,353 | 6,377 | (13,994) | 757,736 | GSE single-family | 722,385 | 1,697 | (20,401) | 703,681 | ||||||||||||||||||||||||||||||||||||||||||
GSE multifamily | GSE multifamily | 742,564 | 290 | (459) | 742,395 | GSE multifamily | 633,401 | 5 | (1,018) | 632,388 | ||||||||||||||||||||||||||||||||||||||||||
Total HTM securities | Total HTM securities | $ | 4,052,556 | $ | 9,432 | $ | (33,536) | $ | 4,028,452 | Total HTM securities | $ | 3,877,299 | $ | 1,854 | $ | (57,211) | $ | 3,821,942 | ||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||
MBS: | MBS: | MBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed single-family | Other U.S. obligations - guaranteed single-family | $ | 2,626,143 | $ | 7,384 | $ | (9,238) | $ | 2,624,289 | Other U.S. obligations - guaranteed single-family | $ | 2,626,143 | $ | 7,384 | $ | (9,238) | $ | 2,624,289 | ||||||||||||||||||||||||||||||||||
GSE single-family | GSE single-family | 815,924 | 14,424 | (4,773) | 825,575 | GSE single-family | 815,924 | 14,424 | (4,773) | 825,575 | ||||||||||||||||||||||||||||||||||||||||||
GSE multifamily | GSE multifamily | 871,706 | 779 | (192) | 872,293 | GSE multifamily | 871,706 | 779 | (192) | 872,293 | ||||||||||||||||||||||||||||||||||||||||||
Total HTM securities | Total HTM securities | $ | 4,313,773 | $ | 22,587 | $ | (14,203) | $ | 4,322,157 | Total HTM securities | $ | 4,313,773 | $ | 22,587 | $ | (14,203) | $ | 4,322,157 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemption Term | Redemption Term | Amount | WAIR % | Amount | WAIR % | Redemption Term | Amount | WAIR % | Amount | WAIR % | ||||||||||||||||||||||||||||||||||||||||||
Overdrawn demand and overnight deposit accounts | Overdrawn demand and overnight deposit accounts | $ | 98,456 | 3.90 | $ | — | — | |||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 8,074,521 | 0.75 | $ | 7,863,703 | 0.59 | Due in 1 year or less | 13,371,345 | 1.44 | 7,863,703 | 0.59 | ||||||||||||||||||||||||||||||||||||||||
Due after 1 through 2 years | Due after 1 through 2 years | 2,785,573 | 2.07 | 2,684,996 | 2.02 | Due after 1 through 2 years | 3,736,129 | 2.21 | 2,684,996 | 2.02 | ||||||||||||||||||||||||||||||||||||||||||
Due after 2 through 3 years | Due after 2 through 3 years | 3,257,497 | 1.41 | 3,536,759 | 1.35 | Due after 2 through 3 years | 2,384,761 | 1.70 | 3,536,759 | 1.35 | ||||||||||||||||||||||||||||||||||||||||||
Due after 3 through 4 years | Due after 3 through 4 years | 2,929,579 | 1.34 | 2,931,260 | 1.29 | Due after 3 through 4 years | 2,563,139 | 1.82 | 2,931,260 | 1.29 | ||||||||||||||||||||||||||||||||||||||||||
Due after 4 through 5 years | Due after 4 through 5 years | 1,480,636 | 1.38 | 1,908,432 | 1.34 | Due after 4 through 5 years | 1,822,975 | 1.79 | 1,908,432 | 1.34 | ||||||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 8,247,557 | 0.88 | 8,384,458 | 0.82 | Thereafter | 6,867,716 | 1.52 | 8,384,458 | 0.82 | ||||||||||||||||||||||||||||||||||||||||||
Total advances, par value | Total advances, par value | 26,775,363 | 1.11 | 27,309,608 | 1.03 | Total advances, par value | 30,844,521 | 1.63 | 27,309,608 | 1.03 | ||||||||||||||||||||||||||||||||||||||||||
Fair-value hedging basis adjustments, net | Fair-value hedging basis adjustments, net | (195,472) | 179,115 | Fair-value hedging basis adjustments, net | (344,955) | 179,115 | ||||||||||||||||||||||||||||||||||||||||||||||
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 8,570 | 9,112 | Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 7,896 | 9,112 | ||||||||||||||||||||||||||||||||||||||||||||||
Total advances (1) | Total advances (1) | $ | 26,588,461 | $ | 27,497,835 | Total advances (1) | $ | 30,507,462 | $ | 27,497,835 |
Earlier of Redemption or Next Call Date | Earlier of Redemption or Next Put Date | Earlier of Redemption or Next Call Date | Earlier of Redemption or Next Put Date | |||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | December 31, 2021 | March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||
Overdrawn demand and overnight deposit accounts | Overdrawn demand and overnight deposit accounts | $ | 98,456 | $ | — | $ | 98,456 | $ | — | |||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 12,787,935 | $ | 12,547,866 | $ | 13,614,346 | $ | 13,452,703 | Due in 1 year or less | 18,134,158 | 12,547,866 | 16,934,750 | 13,452,703 | ||||||||||||||||||||||||||||||||||||||
Due after 1 through 2 years | Due after 1 through 2 years | 2,583,973 | 2,578,396 | 2,765,853 | 3,090,101 | Due after 1 through 2 years | 2,494,629 | 2,578,396 | 4,138,129 | 3,090,101 | ||||||||||||||||||||||||||||||||||||||||||
Due after 2 through 3 years | Due after 2 through 3 years | 1,902,997 | 2,127,759 | 3,673,897 | 3,636,259 | Due after 2 through 3 years | 2,011,211 | 2,127,759 | 2,770,661 | 3,636,259 | ||||||||||||||||||||||||||||||||||||||||||
Due after 3 through 4 years | Due after 3 through 4 years | 1,946,429 | 1,997,060 | 2,929,579 | 3,007,160 | Due after 3 through 4 years | 1,579,789 | 1,997,060 | 2,563,139 | 3,007,160 | ||||||||||||||||||||||||||||||||||||||||||
Due after 4 through 5 years | Due after 4 through 5 years | 1,145,961 | 1,530,307 | 1,157,536 | 1,485,332 | Due after 4 through 5 years | 1,460,800 | 1,530,307 | 1,509,875 | 1,485,332 | ||||||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 6,408,068 | 6,528,220 | 2,634,152 | 2,638,053 | Thereafter | 5,065,478 | 6,528,220 | 2,829,511 | 2,638,053 | ||||||||||||||||||||||||||||||||||||||||||
Total advances, par value | Total advances, par value | $ | 26,775,363 | $ | 27,309,608 | $ | 26,775,363 | $ | 27,309,608 | Total advances, par value | $ | 30,844,521 | $ | 27,309,608 | $ | 30,844,521 | $ | 27,309,608 |
Term | Term | March 31, 2022 | December 31, 2021 | Term | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Fixed-rate long-term mortgages | Fixed-rate long-term mortgages | $ | 6,555,478 | $ | 6,417,543 | Fixed-rate long-term mortgages | $ | 6,633,317 | $ | 6,417,543 | ||||||||||||||||||
Fixed-rate medium-term (1) mortgages | Fixed-rate medium-term (1) mortgages | 970,851 | 1,016,851 | Fixed-rate medium-term (1) mortgages | 931,310 | 1,016,851 | ||||||||||||||||||||||
Total mortgage loans held for portfolio, UPB | Total mortgage loans held for portfolio, UPB | 7,526,329 | 7,434,394 | Total mortgage loans held for portfolio, UPB | 7,564,627 | 7,434,394 | ||||||||||||||||||||||
Unamortized premiums | Unamortized premiums | 179,876 | 181,172 | Unamortized premiums | 175,372 | 181,172 | ||||||||||||||||||||||
Unamortized discounts | Unamortized discounts | (2,766) | (2,389) | Unamortized discounts | (5,687) | (2,389) | ||||||||||||||||||||||
Hedging basis adjustments, net | Hedging basis adjustments, net | (1,335) | 3,157 | Hedging basis adjustments, net | (4,470) | 3,157 | ||||||||||||||||||||||
Total mortgage loans held for portfolio | Total mortgage loans held for portfolio | 7,702,104 | 7,616,334 | Total mortgage loans held for portfolio | 7,729,842 | 7,616,334 | ||||||||||||||||||||||
Allowance for credit losses | Allowance for credit losses | (200) | (200) | Allowance for credit losses | (200) | (200) | ||||||||||||||||||||||
Total mortgage loans held for portfolio, net (2) | Total mortgage loans held for portfolio, net (2) | $ | 7,701,904 | $ | 7,616,134 | Total mortgage loans held for portfolio, net (2) | $ | 7,729,642 | $ | 7,616,134 |
Type | Type | March 31, 2022 | December 31, 2021 | Type | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Conventional | Conventional | $ | 7,357,543 | $ | 7,254,056 | Conventional | $ | 7,404,571 | $ | 7,254,056 | ||||||||||||||||||
Government-guaranteed or -insured | Government-guaranteed or -insured | 168,786 | 180,338 | Government-guaranteed or -insured | 160,056 | 180,338 | ||||||||||||||||||||||
Total mortgage loans held for portfolio, UPB | Total mortgage loans held for portfolio, UPB | $ | 7,526,329 | $ | 7,434,394 | Total mortgage loans held for portfolio, UPB | $ | 7,564,627 | $ | 7,434,394 |
Origination Year | Origination Year | |||||||||||||||||||||||||||||||||||||||
Payment Status as of March 31, 2022 | Prior to 2018 | 2018 to 2022 | Total | |||||||||||||||||||||||||||||||||||||
Payment Status as of June 30, 2022 | Payment Status as of June 30, 2022 | Prior to 2018 | 2018 to 2022 | Total | ||||||||||||||||||||||||||||||||||||
Past due: | Past due: | Past due: | ||||||||||||||||||||||||||||||||||||||
30-59 days | 30-59 days | $ | 20,959 | $ | 16,758 | $ | 37,717 | 30-59 days | $ | 17,062 | $ | 9,822 | $ | 26,884 | ||||||||||||||||||||||||||
60-89 days | 60-89 days | 3,769 | 660 | 4,429 | 60-89 days | 2,628 | 1,055 | 3,683 | ||||||||||||||||||||||||||||||||
90 days or more | 90 days or more | 19,163 | 3,190 | 22,353 | 90 days or more | 14,450 | 1,630 | 16,080 | ||||||||||||||||||||||||||||||||
Total past due | Total past due | 43,891 | 20,608 | 64,499 | Total past due | 34,140 | 12,507 | 46,647 | ||||||||||||||||||||||||||||||||
Total current | Total current | 2,739,375 | 4,727,522 | 7,466,897 | Total current | 2,613,182 | 4,908,165 | 7,521,347 | ||||||||||||||||||||||||||||||||
Total conventional mortgage loans, amortized cost | Total conventional mortgage loans, amortized cost | $ | 2,783,266 | $ | 4,748,130 | $ | 7,531,396 | Total conventional mortgage loans, amortized cost | $ | 2,647,322 | $ | 4,920,672 | $ | 7,567,994 |
Origination Year | ||||||||||||||||||||
Payment Status as of December 31, 2021 | Prior to 2017 | 2017 to 2021 | Total | |||||||||||||||||
Past due: | ||||||||||||||||||||
30-59 days | $ | 16,968 | $ | 12,662 | $ | 29,630 | ||||||||||||||
60-89 days | 4,175 | 1,767 | 5,942 | |||||||||||||||||
90 days or more | 18,599 | 11,206 | 29,805 | |||||||||||||||||
Total past due | 39,742 | 25,635 | 65,377 | |||||||||||||||||
Total current | 2,447,420 | 4,921,101 | 7,368,521 | |||||||||||||||||
Total conventional mortgage loans, amortized cost | $ | 2,487,162 | $ | 4,946,736 | $ | 7,433,898 |
Other Delinquency Statistics as of March 31, 2022 | Conventional | Government | Total | |||||||||||||||||||||||||||||||||||||
Other Delinquency Statistics as of June 30, 2022 | Other Delinquency Statistics as of June 30, 2022 | Conventional | Government | Total | ||||||||||||||||||||||||||||||||||||
In process of foreclosure (1) | In process of foreclosure (1) | $ | 2,659 | $ | — | $ | 2,659 | In process of foreclosure (1) | $ | 3,368 | $ | — | $ | 3,368 | ||||||||||||||||||||||||||
Serious delinquency rate (2) | Serious delinquency rate (2) | 0.30 | % | 1.49 | % | 0.32 | % | Serious delinquency rate (2) | 0.21 | % | 1.05 | % | 0.23 | % | ||||||||||||||||||||||||||
Past due 90 days or more still accruing interest (3) | Past due 90 days or more still accruing interest (3) | $ | 14,551 | $ | 2,305 | $ | 16,856 | Past due 90 days or more still accruing interest (3) | $ | 11,298 | $ | 1,483 | $ | 12,781 | ||||||||||||||||||||||||||
On non-accrual status (4) | On non-accrual status (4) | $ | 16,166 | $ | — | $ | 16,166 | On non-accrual status (4) | $ | 10,788 | $ | — | $ | 10,788 | ||||||||||||||||||||||||||
Other Delinquency Statistics as of December 31, 2021 | Other Delinquency Statistics as of December 31, 2021 | Other Delinquency Statistics as of December 31, 2021 | ||||||||||||||||||||||||||||||||||||||
In process of foreclosure (1) | In process of foreclosure (1) | $ | 1,999 | $ | — | $ | 1,999 | In process of foreclosure (1) | $ | 1,999 | $ | — | $ | 1,999 | ||||||||||||||||||||||||||
Serious delinquency rate (2) | Serious delinquency rate (2) | 0.40 | % | 0.86 | % | 0.41 | % | Serious delinquency rate (2) | 0.40 | % | 0.86 | % | 0.41 | % | ||||||||||||||||||||||||||
Past due 90 days or more still accruing interest (3) | Past due 90 days or more still accruing interest (3) | $ | 15,725 | $ | 1,364 | $ | 17,089 | Past due 90 days or more still accruing interest (3) | $ | 15,725 | $ | 1,364 | $ | 17,089 | ||||||||||||||||||||||||||
On non-accrual status (4) | On non-accrual status (4) | $ | 23,487 | $ | — | $ | 23,487 | On non-accrual status (4) | $ | 23,487 | $ | — | $ | 23,487 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Rollforward of Allowance | Rollforward of Allowance | 2022 | 2021 | Rollforward of Allowance | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Balance, beginning of period | Balance, beginning of period | $ | 200 | $ | 350 | Balance, beginning of period | $ | 200 | $ | 350 | $ | 200 | $ | 350 | ||||||||||||||||||||||||||||||||||||||
Charge-offs | Charge-offs | — | (92) | Charge-offs | 7 | — | 7 | (92) | ||||||||||||||||||||||||||||||||||||||||||||
Recoveries | Recoveries | 22 | 4 | Recoveries | 31 | 19 | 53 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | (22) | 88 | Provision for (reversal of) credit losses | (38) | (44) | (60) | 44 | ||||||||||||||||||||||||||||||||||||||||||||
Balance, end of period | Balance, end of period | $ | 200 | $ | 350 | Balance, end of period | $ | 200 | $ | 325 | $ | 200 | $ | 325 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Notional | Derivative | Derivative | Notional | Derivative | Derivative | Notional | Derivative | Derivative | Notional | Derivative | Derivative | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Amount | Assets | Liabilities | Amount | Assets | Liabilities | Amount | Assets | Liabilities | Amount | Assets | Liabilities | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives designated as hedging instruments: | Derivatives designated as hedging instruments: | Derivatives designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | $ | 52,555,489 | $ | 341,620 | $ | 1,151,590 | $ | 46,395,451 | $ | 105,446 | $ | 413,324 | Interest-rate swaps | $ | 55,010,636 | $ | 493,855 | $ | 1,555,740 | $ | 46,395,451 | $ | 105,446 | $ | 413,324 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivatives designated as hedging instruments | 52,555,489 | 341,620 | 1,151,590 | 46,395,451 | 105,446 | 413,324 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Economic hedges: | Economic hedges: | Economic hedges: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | 10,660,000 | 2,991 | 244 | 8,595,000 | 357 | 148 | Interest-rate swaps | 9,270,000 | 1,987 | 1,363 | 8,595,000 | 357 | 148 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate caps/floors | Interest-rate caps/floors | 625,500 | 1,250 | — | 625,500 | 1,077 | — | Interest-rate caps/floors | 611,000 | 1,208 | — | 625,500 | 1,077 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate forwards | Interest-rate forwards | 93,100 | 2,129 | 5 | 98,200 | 1 | 199 | Interest-rate forwards | 32,200 | 352 | 66 | 98,200 | 1 | 199 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | 86,668 | 56 | 1,264 | 96,424 | 45 | 105 | MDCs | 31,325 | 108 | 45 | 96,424 | 45 | 105 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivatives not designated as hedging instruments | Total derivatives not designated as hedging instruments | 11,465,268 | 6,426 | 1,513 | 9,415,124 | 1,480 | 452 | Total derivatives not designated as hedging instruments | 9,944,525 | 3,655 | 1,474 | 9,415,124 | 1,480 | 452 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivatives before adjustments | Total derivatives before adjustments | $ | 64,020,757 | 348,046 | 1,153,103 | $ | 55,810,575 | 106,926 | 413,776 | Total derivatives before adjustments | $ | 64,955,161 | 497,510 | 1,557,214 | $ | 55,810,575 | 106,926 | 413,776 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Netting adjustments and cash collateral (1) | Netting adjustments and cash collateral (1) | (77,049) | (1,146,458) | 113,276 | (401,591) | Netting adjustments and cash collateral (1) | (171,662) | (1,543,645) | 113,276 | (401,591) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivatives, net | $ | 270,997 | $ | 6,645 | $ | 220,202 | $ | 12,185 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivatives, net, at estimated fair value | Total derivatives, net, at estimated fair value | $ | 325,848 | $ | 13,569 | $ | 220,202 | $ | 12,185 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||
Derivative instruments meeting netting requirements: | Derivative instruments meeting netting requirements: | Derivative instruments meeting netting requirements: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Gross recognized amount | Gross recognized amount | Gross recognized amount | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | $ | 342,132 | $ | 1,132,565 | $ | 105,667 | $ | 411,886 | Uncleared | $ | 493,033 | $ | 1,482,271 | $ | 105,667 | $ | 411,886 | ||||||||||||||||||||||||||||||||||
Cleared | Cleared | 3,729 | 19,269 | 1,213 | 1,586 | Cleared | 4,017 | 74,832 | 1,213 | 1,586 | ||||||||||||||||||||||||||||||||||||||||||
Total gross recognized amount | Total gross recognized amount | 345,861 | 1,151,834 | 106,880 | 413,472 | Total gross recognized amount | 497,050 | 1,557,103 | 106,880 | 413,472 | ||||||||||||||||||||||||||||||||||||||||||
Gross amounts of netting adjustments and cash collateral | Gross amounts of netting adjustments and cash collateral | Gross amounts of netting adjustments and cash collateral | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | (324,577) | (1,127,189) | (105,417) | (400,005) | Uncleared | (408,142) | (1,468,813) | (105,417) | (400,005) | ||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | 247,528 | (19,269) | 218,693 | (1,586) | Cleared | 236,480 | (74,832) | 218,693 | (1,586) | ||||||||||||||||||||||||||||||||||||||||||
Total gross amounts of netting adjustments and cash collateral | Total gross amounts of netting adjustments and cash collateral | (77,049) | (1,146,458) | 113,276 | (401,591) | Total gross amounts of netting adjustments and cash collateral | (171,662) | (1,543,645) | 113,276 | (401,591) | ||||||||||||||||||||||||||||||||||||||||||
Net amounts after netting adjustments and cash collateral | Net amounts after netting adjustments and cash collateral | Net amounts after netting adjustments and cash collateral | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | 17,555 | 5,376 | 250 | 11,881 | Uncleared | 84,891 | 13,458 | 250 | 11,881 | ||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | 251,257 | — | 219,906 | — | Cleared | 240,497 | — | 219,906 | — | ||||||||||||||||||||||||||||||||||||||||||
Total net amounts after netting adjustments and cash collateral | Total net amounts after netting adjustments and cash collateral | 268,812 | 5,376 | 220,156 | 11,881 | Total net amounts after netting adjustments and cash collateral | 325,388 | 13,458 | 220,156 | 11,881 | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments not meeting netting requirements (1) | Derivative instruments not meeting netting requirements (1) | 2,185 | 1,269 | 46 | 304 | Derivative instruments not meeting netting requirements (1) | 460 | 111 | 46 | 304 | ||||||||||||||||||||||||||||||||||||||||||
Total derivatives, at estimated fair value | $ | 270,997 | $ | 6,645 | $ | 220,202 | $ | 12,185 | ||||||||||||||||||||||||||||||||||||||||||||
Total derivatives, net, at estimated fair value | Total derivatives, net, at estimated fair value | $ | 325,848 | $ | 13,569 | $ | 220,202 | $ | 12,185 |
Three Months Ended June 30, 2022 | Advances | AFS Securities | CO Bonds | Total | ||||||||||||||||||||||
Net impact of fair-value hedging relationships on net interest income: | ||||||||||||||||||||||||||
Net interest settlements on derivatives (1) | $ | (18,870) | $ | (11,663) | $ | 31,275 | $ | 742 | ||||||||||||||||||
Net gains (losses) on derivatives (2) | 141,937 | 106,280 | (390,352) | (142,135) | ||||||||||||||||||||||
Net gains (losses) on hedged items (3) | (147,671) | (122,790) | 387,546 | 117,085 | ||||||||||||||||||||||
Net impact on net interest income | $ | (24,604) | $ | (28,173) | $ | 28,469 | $ | (24,308) | ||||||||||||||||||
Total interest income (expense) recorded in the Statement of Income (4) | $ | 67,562 | $ | 38,563 | $ | (99,192) | $ | 6,933 |
Three Months Ended June 30, 2021 | ||||||||||||||||||||||||||
Net impact of fair-value hedging relationships on net interest income: | ||||||||||||||||||||||||||
Net interest settlements on derivatives (1) | $ | (46,173) | $ | (28,327) | $ | 22,011 | $ | (52,489) | ||||||||||||||||||
Net gains (losses) on derivatives (2) | (12,098) | (87,731) | 37,082 | (62,747) | ||||||||||||||||||||||
Net gains (losses) on hedged items (3) | 10,494 | 81,883 | (39,194) | 53,183 | ||||||||||||||||||||||
Net impact on net interest income | $ | (47,777) | $ | (34,175) | $ | 19,899 | $ | (62,053) | ||||||||||||||||||
Total interest income (expense) recorded in the Statement of Income (4) | $ | 28,175 | $ | 21,184 | $ | (52,674) | $ | (3,315) |
Six Months Ended June 30, 2022 | Advances | AFS Securities | CO Bonds | Total | ||||||||||||||||||||||
Net impact of fair-value hedging relationships on net interest income: | ||||||||||||||||||||||||||
Net interest settlements on derivatives (1) | $ | (59,024) | $ | (34,128) | $ | 82,664 | $ | (10,488) | ||||||||||||||||||
Net gains (losses) on derivatives (2) | 498,571 | 284,010 | (1,290,066) | (507,485) | ||||||||||||||||||||||
Net gains (losses) on hedged items (3) | (500,575) | (314,279) | 1,282,605 | 467,751 | ||||||||||||||||||||||
Net impact on net interest income | $ | (61,028) | $ | (64,397) | $ | 75,203 | $ | (50,222) | ||||||||||||||||||
Total interest income (expense) recorded in the Statement of Income (4) | $ | 102,603 | $ | 61,008 | $ | (150,891) | $ | 12,720 |
Three Months Ended March 31, 2022 | Advances | AFS Securities | CO Bonds | Total | ||||||||||||||||||||||
Net impact of fair-value hedging relationships on net interest income: | ||||||||||||||||||||||||||
Net interest settlements on derivatives (1) | $ | (40,154) | $ | (22,465) | $ | 51,389 | $ | (11,230) | ||||||||||||||||||
Net gains (losses) on derivatives (2) | 356,634 | 177,730 | (899,714) | (365,350) | ||||||||||||||||||||||
Net gains (losses) on hedged items (3) | (352,904) | (191,489) | 895,059 | 350,666 | ||||||||||||||||||||||
Net impact on net interest income | $ | (36,424) | $ | (36,224) | $ | 46,734 | $ | (25,914) | ||||||||||||||||||
Total interest income (expense) recorded in the Statement of Income (4) | $ | 35,041 | $ | 22,445 | $ | (51,699) | $ | 5,787 |
Three Months Ended March 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2021 | Six Months Ended June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Net impact of fair-value hedging relationships on net interest income: | Net impact of fair-value hedging relationships on net interest income: | Net impact of fair-value hedging relationships on net interest income: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives (1) | Net interest settlements on derivatives (1) | $ | (45,719) | $ | (32,453) | $ | 12,226 | $ | (65,946) | Net interest settlements on derivatives (1) | $ | (91,892) | $ | (60,780) | $ | 34,237 | $ | (118,435) | ||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives (2) | Net gains (losses) on derivatives (2) | 246,882 | 321,941 | (118,193) | 450,630 | Net gains (losses) on derivatives (2) | 234,784 | 234,210 | (81,111) | 387,883 | ||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on hedged items (3) | Net gains (losses) on hedged items (3) | (243,525) | (316,514) | 123,415 | (436,624) | Net gains (losses) on hedged items (3) | (233,031) | (234,631) | 84,221 | (383,441) | ||||||||||||||||||||||||||||||||||||||||||
Net impact on net interest income | Net impact on net interest income | $ | (42,362) | $ | (27,026) | $ | 17,448 | $ | (51,940) | Net impact on net interest income | $ | (90,139) | $ | (61,201) | $ | 37,347 | $ | (113,993) | ||||||||||||||||||||||||||||||||||
Total interest income (expense) recorded in the Statement of Income (4) | Total interest income (expense) recorded in the Statement of Income (4) | $ | 36,109 | $ | 29,836 | $ | (53,796) | $ | 12,149 | Total interest income (expense) recorded in the Statement of Income (4) | $ | 64,284 | $ | 51,020 | $ | (106,470) | $ | 8,834 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Type of Hedge | Type of Hedge | 2022 | 2021 | Type of Hedge | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives not designated as hedging instruments: | Net gains (losses) on derivatives not designated as hedging instruments: | Net gains (losses) on derivatives not designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Economic hedges: | Economic hedges: | Economic hedges: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | $ | 22,050 | $ | 4,111 | Interest-rate swaps | $ | 16,413 | $ | 4,083 | $ | 38,463 | $ | 8,194 | ||||||||||||||||||||||||||||||||||||||
Interest-rate caps/floors | Interest-rate caps/floors | 173 | 132 | Interest-rate caps/floors | (42) | (528) | 131 | (396) | ||||||||||||||||||||||||||||||||||||||||||||
Interest-rate forwards | Interest-rate forwards | 5,258 | 4,156 | Interest-rate forwards | 1,768 | (1,344) | 7,026 | 2,812 | ||||||||||||||||||||||||||||||||||||||||||||
Net interest settlements (1) | Net interest settlements (1) | (2,018) | (4,953) | Net interest settlements (1) | 881 | (3,285) | (1,137) | (8,238) | ||||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | (5,469) | (4,284) | MDCs | (1,817) | 1,260 | (7,286) | (3,024) | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives in other income | Net gains (losses) on derivatives in other income | $ | 19,994 | $ | (838) | Net gains (losses) on derivatives in other income | $ | 17,203 | $ | 186 | $ | 37,197 | $ | (652) |
March 31, 2022 | Advances | AFS Securities | CO Bonds | |||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Advances | AFS Securities | CO Bonds | ||||||||||||||||||||||||||||||||||||||||||||||||
Amortized cost of hedged items (1) | Amortized cost of hedged items (1) | $ | 17,166,346 | $ | 9,802,299 | $ | 24,242,856 | Amortized cost of hedged items (1) | $ | 16,303,974 | $ | 10,164,322 | $ | 26,730,944 | ||||||||||||||||||||||||||||||||||||||
Cumulative basis adjustments included in amortized cost: | Cumulative basis adjustments included in amortized cost: | Cumulative basis adjustments included in amortized cost: | ||||||||||||||||||||||||||||||||||||||||||||||||||
For active fair-value hedging relationships (2) | For active fair-value hedging relationships (2) | $ | (195,987) | $ | (662,222) | $ | (1,142,758) | For active fair-value hedging relationships (2) | $ | (345,091) | $ | (934,237) | $ | (1,530,303) | ||||||||||||||||||||||||||||||||||||||
For discontinued fair-value hedging relationships | For discontinued fair-value hedging relationships | 515 | 374,111 | — | For discontinued fair-value hedging relationships | 136 | 357,242 | — | ||||||||||||||||||||||||||||||||||||||||||||
Total cumulative fair-value hedging basis adjustments on hedged items | Total cumulative fair-value hedging basis adjustments on hedged items | $ | (195,472) | $ | (288,111) | $ | (1,142,758) | Total cumulative fair-value hedging basis adjustments on hedged items | $ | (344,955) | $ | (576,995) | $ | (1,530,303) |
December 31, 2021 | ||||||||||||||||||||
Amortized cost of hedged items (1) | $ | 17,374,515 | $ | 9,007,993 | $ | 20,902,714 | ||||||||||||||
Cumulative basis adjustments included in amortized cost: | ||||||||||||||||||||
For active fair-value hedging relationships (2) | $ | 178,543 | $ | (184,724) | $ | (247,699) | ||||||||||||||
For discontinued fair-value hedging relationships | 572 | 390,923 | — | |||||||||||||||||
Total cumulative fair-value hedging basis adjustments on hedged items | $ | 179,115 | $ | 206,199 | $ | (247,699) |
Discount Notes | Discount Notes | March 31, 2022 | December 31, 2021 | Discount Notes | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Book value | Book value | $ | 18,173,383 | $ | 12,116,358 | Book value | $ | 19,587,260 | $ | 12,116,358 | ||||||||||||||||||
Par value | Par value | 18,178,364 | 12,117,846 | Par value | 19,617,332 | 12,117,846 | ||||||||||||||||||||||
Weighted average effective interest rate | Weighted average effective interest rate | 0.20 | % | 0.05 | % | Weighted average effective interest rate | 1.17 | % | 0.05 | % |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Year of Contractual Maturity | Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | ||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 10,574,435 | 0.66 | $ | 14,357,350 | 0.29 | Due in 1 year or less | $ | 8,949,535 | 1.52 | $ | 14,357,350 | 0.29 | ||||||||||||||||||||||||||||||||||||||
Due after 1 through 2 years | Due after 1 through 2 years | 1,774,125 | 1.26 | 2,965,510 | 1.02 | Due after 1 through 2 years | 3,556,625 | 1.49 | 2,965,510 | 1.02 | ||||||||||||||||||||||||||||||||||||||||||
Due after 2 through 3 years | Due after 2 through 3 years | 9,532,750 | 0.96 | 5,797,550 | 0.76 | Due after 2 through 3 years | 9,827,090 | 1.09 | 5,797,550 | 0.76 | ||||||||||||||||||||||||||||||||||||||||||
Due after 3 through 4 years | Due after 3 through 4 years | 4,657,800 | 0.91 | 3,947,300 | 0.83 | Due after 3 through 4 years | 4,878,500 | 1.26 | 3,947,300 | 0.83 | ||||||||||||||||||||||||||||||||||||||||||
Due after 4 through 5 years | Due after 4 through 5 years | 5,560,540 | 1.41 | 6,587,600 | 1.14 | Due after 4 through 5 years | 5,039,820 | 1.36 | 6,587,600 | 1.14 | ||||||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 8,624,820 | 2.16 | 8,894,940 | 2.09 | Thereafter | 8,698,820 | 2.20 | 8,894,940 | 2.09 | ||||||||||||||||||||||||||||||||||||||||||
Total CO bonds, par value | Total CO bonds, par value | 40,724,470 | 1.21 | 42,550,250 | 0.96 | Total CO bonds, par value | 40,950,390 | 1.51 | 42,550,250 | 0.96 | ||||||||||||||||||||||||||||||||||||||||||
Unamortized premiums | Unamortized premiums | 68,520 | 77,035 | Unamortized premiums | 60,418 | 77,035 | ||||||||||||||||||||||||||||||||||||||||||||||
Unamortized discounts | Unamortized discounts | (11,023) | (11,268) | Unamortized discounts | (10,819) | (11,268) | ||||||||||||||||||||||||||||||||||||||||||||||
Unamortized concessions | Unamortized concessions | (7,021) | (6,746) | Unamortized concessions | (7,321) | (6,746) | ||||||||||||||||||||||||||||||||||||||||||||||
Fair-value hedging basis adjustments, net | Fair-value hedging basis adjustments, net | (1,142,758) | (247,699) | Fair-value hedging basis adjustments, net | (1,530,303) | (247,699) | ||||||||||||||||||||||||||||||||||||||||||||||
Total CO bonds | Total CO bonds | $ | 39,632,188 | $ | 42,361,572 | Total CO bonds | $ | 39,462,365 | $ | 42,361,572 |
Redemption Feature | Redemption Feature | March 31, 2022 | December 31, 2021 | Redemption Feature | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Non-callable / non-putable | Non-callable / non-putable | $ | 14,195,970 | $ | 20,346,750 | Non-callable / non-putable | $ | 11,740,890 | $ | 20,346,750 | ||||||||||||||||||
Callable | Callable | 26,528,500 | 22,203,500 | Callable | 29,209,500 | 22,203,500 | ||||||||||||||||||||||
Total CO bonds, par value | Total CO bonds, par value | $ | 40,724,470 | $ | 42,550,250 | Total CO bonds, par value | $ | 40,950,390 | $ | 42,550,250 |
Year of Contractual Maturity or Next Call Date | Year of Contractual Maturity or Next Call Date | March 31, 2022 | December 31, 2021 | Year of Contractual Maturity or Next Call Date | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 35,733,935 | $ | 36,028,850 | Due in 1 year or less | $ | 35,829,035 | $ | 36,028,850 | ||||||||||||||||||
Due after 1 through 2 years | Due after 1 through 2 years | 1,438,125 | 3,122,510 | Due after 1 through 2 years | 1,374,625 | 3,122,510 | ||||||||||||||||||||||
Due after 2 through 3 years | Due after 2 through 3 years | 571,750 | 586,550 | Due after 2 through 3 years | 997,090 | 586,550 | ||||||||||||||||||||||
Due after 3 through 4 years | Due after 3 through 4 years | 747,800 | 577,300 | Due after 3 through 4 years | 745,500 | 577,300 | ||||||||||||||||||||||
Due after 4 through 5 years | Due after 4 through 5 years | 402,040 | 415,100 | Due after 4 through 5 years | 248,320 | 415,100 | ||||||||||||||||||||||
Thereafter | Thereafter | 1,830,820 | 1,819,940 | Thereafter | 1,755,820 | 1,819,940 | ||||||||||||||||||||||
Total CO bonds, par value | Total CO bonds, par value | $ | 40,724,470 | $ | 42,550,250 | Total CO bonds, par value | $ | 40,950,390 | $ | 42,550,250 |
Interest-Rate Payment Type | Interest-Rate Payment Type | March 31, 2022 | December 31, 2021 | Interest-Rate Payment Type | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Fixed-rate | Fixed-rate | $ | 33,452,470 | $ | 36,717,750 | Fixed-rate | $ | 34,548,390 | $ | 36,717,750 | ||||||||||||||||||
Step-up | Step-up | 1,883,500 | 898,500 | Step-up | 2,233,500 | 898,500 | ||||||||||||||||||||||
Simple variable-rate | Simple variable-rate | 5,388,500 | 4,934,000 | Simple variable-rate | 4,168,500 | 4,934,000 | ||||||||||||||||||||||
Total CO bonds, par value | Total CO bonds, par value | $ | 40,724,470 | $ | 42,550,250 | Total CO bonds, par value | $ | 40,950,390 | $ | 42,550,250 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
AHP Activity | AHP Activity | 2022 | 2021 | AHP Activity | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Liability at beginning of period | Liability at beginning of period | $ | 31,049 | $ | 34,402 | Liability at beginning of period | $ | 31,937 | $ | 35,690 | $ | 31,049 | $ | 34,402 | ||||||||||||||||||||||||||||||||||||||
Assessment (expense) | Assessment (expense) | 3,205 | 3,443 | Assessment (expense) | 3,623 | 2,008 | 6,828 | 5,451 | ||||||||||||||||||||||||||||||||||||||||||||
Subsidy usage, net (1) | Subsidy usage, net (1) | (2,317) | (2,155) | Subsidy usage, net (1) | (6,607) | (6,933) | (8,924) | (9,088) | ||||||||||||||||||||||||||||||||||||||||||||
Liability at end of period | Liability at end of period | $ | 31,937 | $ | 35,690 | Liability at end of period | $ | 28,953 | $ | 30,765 | $ | 28,953 | $ | 30,765 |
Capital Stock Outstanding | Capital Stock Outstanding | March 31, 2022 | December 31, 2021 | Capital Stock Outstanding | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Class B-1 | Class B-1 | $ | 821,860 | $ | 931,517 | Class B-1 | $ | 765,075 | $ | 931,517 | ||||||||||||||||||
Class B-2 | Class B-2 | 1,299,681 | 1,314,684 | Class B-2 | 1,485,760 | 1,314,684 | ||||||||||||||||||||||
Total Class B | Total Class B | $ | 2,121,541 | $ | 2,246,201 | Total Class B | $ | 2,250,835 | $ | 2,246,201 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS Activity | MRCS Activity | 2022 | 2021 | MRCS Activity | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Liability at beginning of period | Liability at beginning of period | $ | 50,422 | $ | 250,768 | Liability at beginning of period | $ | 45,591 | $ | 232,695 | $ | 50,422 | $ | 250,768 | ||||||||||||||||||||||||||||||||||||||
Reclassification from capital stock | Reclassification from capital stock | — | 281 | — | 281 | |||||||||||||||||||||||||||||||||||||||||||||||
Redemptions/repurchases | Redemptions/repurchases | (4,831) | (18,073) | Redemptions/repurchases | (8) | (83) | (4,839) | (18,156) | ||||||||||||||||||||||||||||||||||||||||||||
Liability at end of period | Liability at end of period | $ | 45,591 | $ | 232,695 | Liability at end of period | $ | 45,583 | $ | 232,893 | $ | 45,583 | $ | 232,893 |
MRCS Contractual Year of Redemption | MRCS Contractual Year of Redemption | March 31, 2022 | December 31, 2021 | MRCS Contractual Year of Redemption | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Past contractual redemption date (1) | Past contractual redemption date (1) | $ | 568 | $ | 577 | Past contractual redemption date (1) | $ | 560 | $ | 577 | ||||||||||||||||||
Year 1 (2) | Year 1 (2) | 11,835 | 11,835 | Year 1 (2) | 12,298 | 11,835 | ||||||||||||||||||||||
Year 2 | Year 2 | 1,331 | 471 | Year 2 | 868 | 471 | ||||||||||||||||||||||
Year 3 | Year 3 | 9,004 | 9,873 | Year 3 | 12,124 | 9,873 | ||||||||||||||||||||||
Year 4 | Year 4 | 19,179 | 23,218 | Year 4 | 16,059 | 23,218 | ||||||||||||||||||||||
Year 5 | Year 5 | 3,674 | 4,448 | Year 5 | 3,674 | 4,448 | ||||||||||||||||||||||
Total MRCS | Total MRCS | $ | 45,591 | $ | 50,422 | Total MRCS | $ | 45,583 | $ | 50,422 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS Distributions | MRCS Distributions | 2022 | 2021 | MRCS Distributions | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Recorded as interest expense | Recorded as interest expense | $ | 245 | $ | 1,104 | Recorded as interest expense | $ | 269 | $ | 929 | $ | 514 | $ | 2,033 | ||||||||||||||||||||||||||||||||||||||
Recorded as distributions from retained earnings | Recorded as distributions from retained earnings | — | 83 | Recorded as distributions from retained earnings | — | 1 | — | 84 | ||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 245 | $ | 1,187 | Total | $ | 269 | $ | 930 | $ | 514 | $ | 2,117 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Regulatory Capital Requirements | Regulatory Capital Requirements | Required | Actual | Required | Actual | Regulatory Capital Requirements | Required | Actual | Required | Actual | ||||||||||||||||||||||||||||||||||||||||||
Risk-based capital | Risk-based capital | $ | 1,148,940 | $ | 3,359,806 | $ | 1,091,337 | $ | 3,473,695 | Risk-based capital | $ | 1,217,930 | $ | 3,508,138 | $ | 1,091,337 | $ | 3,473,695 | ||||||||||||||||||||||||||||||||||
Total regulatory capital | Total regulatory capital | $ | 2,520,609 | $ | 3,359,806 | $ | 2,400,184 | $ | 3,473,695 | Total regulatory capital | $ | 2,570,651 | $ | 3,508,138 | $ | 2,400,184 | $ | 3,473,695 | ||||||||||||||||||||||||||||||||||
Total regulatory capital-to-assets ratio | Total regulatory capital-to-assets ratio | 4.00% | 5.33% | 4.00% | 5.79% | Total regulatory capital-to-assets ratio | 4.00% | 5.46% | 4.00% | 5.79% | ||||||||||||||||||||||||||||||||||||||||||
Leverage capital | Leverage capital | $ | 3,150,761 | $ | 5,039,709 | $ | 3,000,230 | $ | 5,210,543 | Leverage capital | $ | 3,213,313 | $ | 5,262,207 | $ | 3,000,230 | $ | 5,210,543 | ||||||||||||||||||||||||||||||||||
Leverage ratio | Leverage ratio | 5.00% | 8.00% | 5.00% | 8.69% | Leverage ratio | 5.00% | 8.19% | 5.00% | 8.69% |
AOCI Rollforward | AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Pension Benefits | Total AOCI | AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Pension Benefits | Total AOCI | ||||||||||||||||||||||||||||||||
Balance, December 31, 2021 | $ | 151,942 | $ | (18,884) | $ | 133,058 | ||||||||||||||||||||||||||||||||||
Balance, March 31, 2022 | Balance, March 31, 2022 | $ | 77,479 | $ | (18,424) | $ | 59,055 | |||||||||||||||||||||||||||||||||
OCI before reclassifications: | OCI before reclassifications: | OCI before reclassifications: | ||||||||||||||||||||||||||||||||||||||
Net change in unrealized gains (losses) | Net change in unrealized gains (losses) | (74,463) | — | (74,463) | Net change in unrealized gains (losses) | (45,228) | — | (45,228) | ||||||||||||||||||||||||||||||||
Reclassifications from OCI to net income: | Reclassifications from OCI to net income: | Reclassifications from OCI to net income: | ||||||||||||||||||||||||||||||||||||||
Pension benefits, net | Pension benefits, net | — | 460 | 460 | Pension benefits, net | — | 329 | 329 | ||||||||||||||||||||||||||||||||
Total other comprehensive income (loss) | Total other comprehensive income (loss) | (74,463) | 460 | (74,003) | Total other comprehensive income (loss) | (45,228) | 329 | (44,899) | ||||||||||||||||||||||||||||||||
Balance, March 31, 2022 | $ | 77,479 | $ | (18,424) | $ | 59,055 | ||||||||||||||||||||||||||||||||||
Balance, June 30, 2022 | Balance, June 30, 2022 | $ | 32,251 | $ | (18,095) | $ | 14,156 | |||||||||||||||||||||||||||||||||
Balance, December 31, 2020 | $ | 136,921 | $ | (31,519) | $ | 105,402 | ||||||||||||||||||||||||||||||||||
Balance, March 31, 2021 | Balance, March 31, 2021 | $ | 210,450 | $ | (30,523) | $ | 179,927 | |||||||||||||||||||||||||||||||||
OCI before reclassifications: | OCI before reclassifications: | OCI before reclassifications: | ||||||||||||||||||||||||||||||||||||||
Net change in unrealized gains (losses) | 73,529 | — | 73,529 | |||||||||||||||||||||||||||||||||||||
Net change in unrealized gains | Net change in unrealized gains | 4,502 | — | 4,502 | ||||||||||||||||||||||||||||||||||||
Reclassifications from OCI to net income: | Reclassifications from OCI to net income: | Reclassifications from OCI to net income: | ||||||||||||||||||||||||||||||||||||||
Pension benefits, net | Pension benefits, net | — | 996 | 996 | Pension benefits, net | — | 8,995 | 8,995 | ||||||||||||||||||||||||||||||||
Total other comprehensive income | Total other comprehensive income | 73,529 | 996 | 74,525 | Total other comprehensive income | 4,502 | 8,995 | 13,497 | ||||||||||||||||||||||||||||||||
Balance, March 31, 2021 | $ | 210,450 | $ | (30,523) | $ | 179,927 | ||||||||||||||||||||||||||||||||||
Balance, June 30, 2021 | Balance, June 30, 2021 | $ | 214,952 | $ | (21,528) | $ | 193,424 |
AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Pension Benefits | Total AOCI | |||||||||||||||||
Balance, December 31, 2021 | $ | 151,942 | $ | (18,884) | $ | 133,058 | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | (119,691) | — | (119,691) | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | — | 789 | 789 | |||||||||||||||||
Total other comprehensive income (loss) | (119,691) | 789 | (118,902) | |||||||||||||||||
Balance, June 30, 2022 | $ | 32,251 | $ | (18,095) | $ | 14,156 | ||||||||||||||
Balance, December 31, 2020 | $ | 136,921 | $ | (31,519) | $ | 105,402 | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains | 78,031 | — | 78,031 | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | — | 9,991 | 9,991 | |||||||||||||||||
Total other comprehensive income | 78,031 | 9,991 | 88,022 | |||||||||||||||||
Balance, June 30, 2021 | $ | 214,952 | $ | (21,528) | $ | 193,424 |
Three Months Ended March 31, 2022 | Three Months Ended March 31, 2021 | Three Months Ended June 30, 2022 | Three Months Ended June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 52,674 | $ | 11,910 | $ | 64,584 | $ | 74,185 | $ | 336 | $ | 74,521 | Net interest income | $ | 50,671 | $ | 13,151 | $ | 63,822 | $ | 53,952 | $ | 3,364 | $ | 57,316 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | (22) | (22) | — | 88 | 88 | Provision for (reversal of) credit losses | — | (38) | (38) | — | (44) | (44) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (7,210) | (192) | (7,402) | (12,877) | (99) | (12,976) | Other income (loss) | (1,732) | 34 | (1,698) | (9,734) | (36) | (9,770) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 21,766 | 3,628 | 25,394 | 24,118 | 4,012 | 28,130 | Other expenses | 22,436 | 3,767 | 26,203 | 24,221 | 4,216 | 28,437 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before assessments | Income (loss) before assessments | 23,698 | 8,112 | 31,810 | 37,190 | (3,863) | 33,327 | Income (loss) before assessments | 26,503 | 9,456 | 35,959 | 19,997 | (844) | 19,153 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments (credits) | Affordable Housing Program assessments (credits) | 2,394 | 811 | 3,205 | 3,829 | (386) | 3,443 | Affordable Housing Program assessments (credits) | 2,677 | 946 | 3,623 | 2,093 | (85) | 2,008 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | $ | 21,304 | $ | 7,301 | $ | 28,605 | $ | 33,361 | $ | (3,477) | $ | 29,884 | Net income (loss) | $ | 23,826 | $ | 8,510 | $ | 32,336 | $ | 17,904 | $ | (759) | $ | 17,145 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Six Months Ended June 30, 2022 | Six Months Ended June 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 103,361 | $ | 25,045 | $ | 128,406 | $ | 128,137 | $ | 3,700 | $ | 131,837 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | (60) | (60) | — | 44 | 44 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (8,942) | (158) | (9,100) | (22,611) | (135) | (22,746) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 44,202 | 7,395 | 51,597 | 48,339 | 8,228 | 56,567 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before assessments | Income (loss) before assessments | 50,217 | 17,552 | 67,769 | 57,187 | (4,707) | 52,480 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments (credits) | Affordable Housing Program assessments (credits) | 5,073 | 1,755 | 6,828 | 5,922 | (471) | 5,451 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | $ | 45,144 | $ | 15,797 | $ | 60,941 | $ | 51,265 | $ | (4,236) | $ | 47,029 |
By Date | By Date | Traditional | Mortgage Loans | Total | By Date | Traditional | Mortgage Loans | Total | ||||||||||||||||||||||||||||||||
March 31, 2022 | $ | 55,313,310 | $ | 7,701,904 | $ | 63,015,214 | ||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | $ | 56,536,621 | $ | 7,729,642 | $ | 64,266,263 | |||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | 52,388,469 | 7,616,134 | 60,004,603 | December 31, 2021 | 52,388,469 | 7,616,134 | 60,004,603 |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Fair Value | Estimated Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying | Netting | Carrying | Netting | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instruments | Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and due from banks | Cash and due from banks | $ | 225,842 | $ | 225,842 | $ | 225,842 | $ | — | $ | — | $ | — | Cash and due from banks | $ | 59,596 | $ | 59,596 | $ | 59,596 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | 100,041 | 100,041 | 100,000 | 41 | — | — | Interest-bearing deposits | 325,041 | 325,041 | 325,000 | 41 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 7,600,000 | 7,600,000 | — | 7,600,000 | — | — | Securities purchased under agreements to resell | 4,500,000 | 4,500,000 | — | 4,500,000 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold | Federal funds sold | 1,640,000 | 1,640,000 | — | 1,640,000 | — | — | Federal funds sold | 2,496,000 | 2,496,000 | — | 2,496,000 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities | Trading securities | 4,752,822 | 4,752,822 | — | 4,752,822 | — | — | Trading securities | 4,039,407 | 4,039,407 | — | 4,039,407 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AFS securities | AFS securities | 9,879,778 | 9,879,778 | — | 9,879,778 | — | — | AFS securities | 10,196,572 | 10,196,572 | — | 10,196,572 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
HTM securities | HTM securities | 4,052,556 | 4,028,452 | — | 4,028,452 | — | — | HTM securities | 3,877,299 | 3,821,942 | — | 3,821,942 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | 26,588,461 | 26,452,108 | — | 26,452,108 | — | — | Advances | 30,507,462 | 30,354,762 | — | 30,354,762 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | Mortgage loans held for portfolio, net | 7,701,904 | 7,506,375 | — | 7,488,897 | 17,478 | — | Mortgage loans held for portfolio, net | 7,729,642 | 7,213,065 | — | 7,199,864 | 13,201 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued interest receivable | Accrued interest receivable | 80,400 | 80,400 | — | 80,400 | — | — | Accrued interest receivable | 96,937 | 96,937 | — | 96,937 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets, net | Derivative assets, net | 270,997 | 270,997 | — | 348,046 | — | (77,049) | Derivative assets, net | 325,848 | 325,848 | — | 497,510 | — | (171,662) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Grantor trust assets (2) | Grantor trust assets (2) | 58,322 | 58,322 | 58,322 | — | — | — | Grantor trust assets (2) | 52,400 | 52,400 | 52,400 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits | Deposits | 1,237,131 | 1,237,131 | — | 1,237,131 | — | — | Deposits | 907,525 | 907,525 | — | 907,525 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations: | Consolidated obligations: | Consolidated obligations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | Discount notes | 18,173,383 | 18,168,642 | — | 18,168,642 | — | — | Discount notes | 19,587,260 | 19,579,547 | — | 19,579,547 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bonds | Bonds | 39,632,188 | 39,331,968 | — | 39,331,968 | — | — | Bonds | 39,462,365 | 38,768,013 | — | 38,768,013 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued interest payable | Accrued interest payable | 88,889 | 88,889 | — | 88,889 | — | — | Accrued interest payable | 124,999 | 124,999 | — | 124,999 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities, net | Derivative liabilities, net | 6,645 | 6,645 | — | 1,153,103 | — | (1,146,458) | Derivative liabilities, net | 13,569 | 13,569 | — | 1,557,214 | — | (1,543,645) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS | MRCS | 45,591 | 45,591 | 45,591 | — | — | — | MRCS | 45,583 | 45,583 | 45,583 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | 10,000 | 10,000 | — | 10,000 | — | — |
December 31, 2021 | ||||||||||||||||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 867,880 | $ | 867,880 | $ | 867,880 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||
Interest-bearing deposits | 100,041 | 100,041 | 100,000 | 41 | — | — | ||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 3,500,000 | 3,500,000 | — | 3,500,000 | — | — | ||||||||||||||||||||||||||||||||
Federal funds sold | 2,580,000 | 2,580,000 | — | 2,580,000 | — | — | ||||||||||||||||||||||||||||||||
Trading securities | 3,946,799 | 3,946,799 | — | 3,946,799 | — | — | ||||||||||||||||||||||||||||||||
AFS securities | 9,159,935 | 9,159,935 | — | 9,159,935 | — | — | ||||||||||||||||||||||||||||||||
HTM securities | 4,313,773 | 4,322,157 | — | 4,322,157 | — | — | ||||||||||||||||||||||||||||||||
Advances | 27,497,835 | 27,462,295 | — | 27,462,295 | — | — | ||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 7,616,134 | 7,810,378 | — | 7,787,334 | 23,044 | — | ||||||||||||||||||||||||||||||||
Accrued interest receivable | 80,758 | 80,758 | — | 80,758 | — | — | ||||||||||||||||||||||||||||||||
Derivative assets, net | 220,202 | 220,202 | — | 106,926 | — | 113,276 | ||||||||||||||||||||||||||||||||
Grantor trust assets (2) | 62,640 | 62,640 | 62,640 | — | — | — | ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||
Deposits | 1,366,397 | 1,366,397 | — | 1,366,397 | — | — | ||||||||||||||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||||||||||||||||
Discount notes | 12,116,358 | 12,115,318 | — | 12,115,318 | — | — | ||||||||||||||||||||||||||||||||
Bonds | 42,361,572 | 42,643,536 | — | 42,643,536 | — | — | ||||||||||||||||||||||||||||||||
Accrued interest payable | 88,068 | 88,068 | — | 88,068 | — | — | ||||||||||||||||||||||||||||||||
Derivative liabilities, net | 12,185 | 12,185 | — | 413,776 | — | (401,591) | ||||||||||||||||||||||||||||||||
MRCS | 50,422 | 50,422 | 50,422 | — | — | — |
Netting | Netting | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | $ | 4,752,822 | $ | — | $ | 4,752,822 | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | $ | 4,039,407 | $ | — | $ | 4,039,407 | $ | — | $ | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 4,752,822 | — | 4,752,822 | — | — | Total trading securities | 4,039,407 | — | 4,039,407 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
AFS securities: | AFS securities: | AFS securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | 1,480,629 | — | 1,480,629 | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | 2,105,878 | — | 2,105,878 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 2,239,807 | — | 2,239,807 | — | — | GSE and TVA debentures | 2,086,063 | — | 2,086,063 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE multifamily MBS | GSE multifamily MBS | 6,159,342 | — | 6,159,342 | — | — | GSE multifamily MBS | 6,004,631 | — | 6,004,631 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | 9,879,778 | — | 9,879,778 | — | — | Total AFS securities | 10,196,572 | — | 10,196,572 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets: | Derivative assets: | Derivative assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate related | Interest-rate related | 270,941 | — | 347,990 | — | (77,049) | Interest-rate related | 325,740 | — | 497,402 | — | (171,662) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | 56 | — | 56 | — | — | MDCs | 108 | — | 108 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative assets, net | Total derivative assets, net | 270,997 | — | 348,046 | — | (77,049) | Total derivative assets, net | 325,848 | — | 497,510 | — | (171,662) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | Other assets: | Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Grantor trust assets | Grantor trust assets | 58,322 | 58,322 | — | — | — | Grantor trust assets | 52,400 | 52,400 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets at recurring estimated fair value | Total assets at recurring estimated fair value | $ | 14,961,919 | $ | 58,322 | $ | 14,980,646 | $ | — | $ | (77,049) | Total assets at recurring estimated fair value | $ | 14,614,227 | $ | 52,400 | $ | 14,733,489 | $ | — | $ | (171,662) | ||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities: | Derivative liabilities: | Derivative liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate related | Interest-rate related | $ | 5,381 | $ | — | $ | 1,151,839 | $ | — | $ | (1,146,458) | Interest-rate related | $ | 13,524 | $ | — | $ | 1,557,169 | $ | — | $ | (1,543,645) | ||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | 1,264 | — | 1,264 | — | — | MDCs | 45 | — | 45 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative liabilities, net | Total derivative liabilities, net | 6,645 | — | 1,153,103 | — | (1,146,458) | Total derivative liabilities, net | 13,569 | — | 1,557,214 | — | (1,543,645) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities at recurring estimated fair value | Total liabilities at recurring estimated fair value | $ | 6,645 | $ | — | $ | 1,153,103 | $ | — | $ | (1,146,458) | Total liabilities at recurring estimated fair value | $ | 13,569 | $ | — | $ | 1,557,214 | $ | — | $ | (1,543,645) | ||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (2) | Mortgage loans held for portfolio (2) | $ | 1,059 | $ | — | $ | — | $ | 1,059 | $ | — | Mortgage loans held for portfolio (2) | $ | 970 | $ | — | $ | — | $ | 970 | $ | — | ||||||||||||||||||||||||||||||||||||||||||
Total assets at non-recurring estimated fair value | Total assets at non-recurring estimated fair value | $ | 1,059 | $ | — | $ | — | $ | 1,059 | $ | — | Total assets at non-recurring estimated fair value | $ | 970 | $ | — | $ | — | $ | 970 | $ | — |
Netting | Netting | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2021 | December 31, 2021 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | December 31, 2021 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | $ | 3,946,799 | $ | — | $ | 3,946,799 | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | $ | 3,946,799 | $ | — | $ | 3,946,799 | $ | — | $ | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 3,946,799 | — | 3,946,799 | — | — | Total trading securities | 3,946,799 | — | 3,946,799 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
AFS securities: | AFS securities: | AFS securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 2,697,116 | — | 2,697,116 | — | — | GSE and TVA debentures | 2,697,116 | — | 2,697,116 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 6,462,819 | — | 6,462,819 | — | — | GSE MBS | 6,462,819 | — | 6,462,819 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | 9,159,935 | — | 9,159,935 | — | — | Total AFS securities | 9,159,935 | — | 9,159,935 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets: | Derivative assets: | Derivative assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate related | Interest-rate related | 220,157 | — | 106,881 | — | 113,276 | Interest-rate related | 220,157 | — | 106,881 | — | 113,276 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | 45 | — | 45 | — | — | MDCs | 45 | — | 45 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative assets, net | Total derivative assets, net | 220,202 | — | 106,926 | — | 113,276 | Total derivative assets, net | 220,202 | — | 106,926 | — | 113,276 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | Other assets: | Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Grantor trust assets | Grantor trust assets | 62,640 | 62,640 | — | — | — | Grantor trust assets | 62,640 | 62,640 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets at recurring estimated fair value | Total assets at recurring estimated fair value | $ | 13,389,576 | $ | 62,640 | $ | 13,213,660 | $ | — | $ | 113,276 | Total assets at recurring estimated fair value | $ | 13,389,576 | $ | 62,640 | $ | 13,213,660 | $ | — | $ | 113,276 | ||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities: | Derivative liabilities: | Derivative liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate related | Interest-rate related | $ | 12,080 | $ | — | $ | 413,671 | $ | — | $ | (401,591) | Interest-rate related | $ | 12,080 | $ | — | $ | 413,671 | $ | — | $ | (401,591) | ||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | 105 | — | 105 | — | — | MDCs | 105 | — | 105 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative liabilities, net | Total derivative liabilities, net | 12,185 | — | 413,776 | — | (401,591) | Total derivative liabilities, net | 12,185 | — | 413,776 | — | (401,591) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities at recurring estimated fair value | Total liabilities at recurring estimated fair value | $ | 12,185 | $ | — | $ | 413,776 | $ | — | $ | (401,591) | Total liabilities at recurring estimated fair value | $ | 12,185 | $ | — | $ | 413,776 | $ | — | $ | (401,591) | ||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (2) | Mortgage loans held for portfolio (2) | $ | 1,141 | $ | — | $ | — | $ | 1,141 | $ | — | Mortgage loans held for portfolio (2) | $ | 1,141 | $ | — | $ | — | $ | 1,141 | $ | — | ||||||||||||||||||||||||||||||||||||||||||
Total assets at non-recurring estimated fair value | Total assets at non-recurring estimated fair value | $ | 1,141 | $ | — | $ | — | $ | 1,141 | $ | — | Total assets at non-recurring estimated fair value | $ | 1,141 | $ | — | $ | — | $ | 1,141 | $ | — |
March 31, 2022 | June 30, 2022 | |||||||||||||||||||||||||||||||||||||||
Type of Commitment | Type of Commitment | Expire within one year | Expire after one year | Total | Type of Commitment | Expire within one year | Expire after one year | Total | ||||||||||||||||||||||||||||||||
Standby letters of credit outstanding | Standby letters of credit outstanding | $ | 49,567 | $ | 414,902 | $ | 464,469 | Standby letters of credit outstanding | $ | 48,363 | $ | 616,213 | $ | 664,576 | ||||||||||||||||||||||||||
Unused lines of credit (1) | Unused lines of credit (1) | 876,080 | — | 876,080 | Unused lines of credit (1) | 906,668 | — | 906,668 | ||||||||||||||||||||||||||||||||
Commitments to fund additional advances (2) | Commitments to fund additional advances (2) | 38,000 | — | 38,000 | Commitments to fund additional advances (2) | 68,000 | — | 68,000 | ||||||||||||||||||||||||||||||||
Commitments to fund or purchase mortgage loans, net (3) | Commitments to fund or purchase mortgage loans, net (3) | 86,668 | — | 86,668 | Commitments to fund or purchase mortgage loans, net (3) | 31,325 | — | 31,325 | ||||||||||||||||||||||||||||||||
Unsettled CO bonds, at par | Unsettled CO bonds, at par | 555,000 | — | 555,000 | Unsettled CO bonds, at par | 43,800 | — | 43,800 | ||||||||||||||||||||||||||||||||
Unsettled discount notes, at par | Unsettled discount notes, at par | 424,000 | — | 424,000 |
Transactions with Directors' Financial Institutions | Transactions with Directors' Financial Institutions | Three Months Ended March 31, | Transactions with Directors' Financial Institutions | Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||||||||||||||||||||||||
2022 | 2021 | Transactions with Directors' Financial Institutions | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||||
Net capital stock issuances (redemptions and repurchases) | Net capital stock issuances (redemptions and repurchases) | $ | (50,420) | $ | — | $ | 3,437 | $ | — | $ | (46,983) | $ | — | |||||||||||||||||||||||||||||||||||||||
Net advances (repayments) | Net advances (repayments) | (1,800,285) | (1,049,277) | Net advances (repayments) | 3,034,988 | (993,987) | 1,234,703 | (2,043,264) | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage loan purchases | Mortgage loan purchases | 8,722 | 12,877 | Mortgage loan purchases | 4,025 | 16,745 | 12,747 | 29,622 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Balances with Directors' Financial Institutions | Balances with Directors' Financial Institutions | Par value | % of Total | Par value | % of Total | Balances with Directors' Financial Institutions | Par value | % of Total | Par value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Capital stock | Capital stock | $ | 377,624 | 17 | % | $ | 440,949 | 19 | % | Capital stock | $ | 381,061 | 17 | % | $ | 440,949 | 19 | % | ||||||||||||||||||||||||||||||||||
Advances | Advances | 1,916,176 | 7 | % | 3,854,856 | 14 | % | Advances | 4,695,040 | 16 | % | 3,854,856 | 14 | % |
Average for Three Months Ended | Period End | |||||||||||||||||||||||||||||||||||||
March 31, | March 31, | December 31, | ||||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||||||||
Federal Funds Effective | 0.12 | % | 0.08 | % | 0.33 | % | 0.07 | % | ||||||||||||||||||||||||||||||
SOFR | 0.09 | % | 0.04 | % | 0.29 | % | 0.05 | % | ||||||||||||||||||||||||||||||
Overnight LIBOR | 0.12 | % | 0.08 | % | 0.33 | % | 0.06 | % | ||||||||||||||||||||||||||||||
1-week OIS | 0.15 | % | 0.07 | % | 0.34 | % | 0.08 | % | ||||||||||||||||||||||||||||||
3-month LIBOR | 0.53 | % | 0.20 | % | 0.96 | % | 0.21 | % | ||||||||||||||||||||||||||||||
3-month U.S. Treasury yield | 0.29 | % | 0.04 | % | 0.50 | % | 0.04 | % | ||||||||||||||||||||||||||||||
2-year U.S Treasury yield | 1.45 | % | 0.13 | % | 2.34 | % | 0.73 | % | ||||||||||||||||||||||||||||||
10-year U.S. Treasury yield | 1.95 | % | 1.32 | % | 2.34 | % | 1.51 | % |
Average for Three Months Ended | Six-Month Average | Period End | ||||||||||||||||||||||||||||||||||||
June 30, | June 30, | June 30, | December 31, | |||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||||||
Federal Funds Effective | 0.76 | % | 0.07 | % | 0.44 | % | 0.07 | % | 1.58 | % | 0.07 | % | ||||||||||||||||||||||||||
SOFR | 0.71 | % | 0.02 | % | 0.40 | % | 0.03 | % | 1.50 | % | 0.05 | % | ||||||||||||||||||||||||||
Overnight LIBOR | 0.77 | % | 0.07 | % | 0.44 | % | 0.07 | % | 1.58 | % | 0.06 | % | ||||||||||||||||||||||||||
1-week OIS | 0.84 | % | 0.07 | % | 0.49 | % | 0.07 | % | 1.59 | % | 0.08 | % | ||||||||||||||||||||||||||
3-month LIBOR | 1.54 | % | 0.16 | % | 1.02 | % | 0.18 | % | 2.29 | % | 0.21 | % | ||||||||||||||||||||||||||
3-month U.S. Treasury yield | 1.07 | % | 0.02 | % | 0.69 | % | 0.03 | % | 1.67 | % | 0.04 | % | ||||||||||||||||||||||||||
2-year U.S Treasury yield | 2.72 | % | 0.17 | % | 2.09 | % | 0.15 | % | 2.96 | % | 0.73 | % | ||||||||||||||||||||||||||
10-year U.S. Treasury yield | 2.93 | % | 1.58 | % | 2.44 | % | 1.45 | % | 3.02 | % | 1.51 | % |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Condensed Statements of Comprehensive Income | Condensed Statements of Comprehensive Income | 2022 | 2021 | $ Change | % Change | Condensed Statements of Comprehensive Income | 2022 | 2021 | $ Change | % Change | 2022 | 2021 | $ Change | % Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 65 | $ | 74 | $ | (9) | (13) | % | Net interest income | $ | 64 | $ | 57 | $ | 7 | 11 | % | $ | 128 | $ | 132 | $ | (4) | (3) | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | — | — | Provision for (reversal of) credit losses | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income after provision for credit losses | Net interest income after provision for credit losses | 65 | 74 | (9) | (13) | % | Net interest income after provision for credit losses | 64 | 57 | 7 | 11 | % | 128 | 132 | (4) | (3) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (7) | (13) | 6 | Other income (loss) | (2) | (10) | 8 | (9) | (23) | 14 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 26 | 28 | (2) | Other expenses | 26 | 28 | (2) | 51 | 57 | (6) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income before assessments | Income before assessments | 32 | 33 | (1) | (5) | % | Income before assessments | 36 | 19 | 17 | 88 | % | 68 | 52 | 16 | 29 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AHP assessments | AHP assessments | 3 | 3 | — | AHP assessments | 4 | 2 | 2 | 7 | 5 | 2 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | Net income | 29 | 30 | (1) | (4) | % | Net income | 32 | 17 | 15 | 89 | % | 61 | 47 | 14 | 30 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other comprehensive income (loss) | Total other comprehensive income (loss) | (74) | 74 | (148) | Total other comprehensive income (loss) | (45) | 13 | (58) | (119) | 88 | (207) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total comprehensive income (loss) | Total comprehensive income (loss) | $ | (45) | $ | 104 | $ | (149) | (143) | % | Total comprehensive income (loss) | $ | (13) | $ | 30 | $ | (43) | (141) | % | $ | (58) | $ | 135 | $ | (193) | (143) | % |
Three Months Ended June 30, | Six Months Ended June 30, | |||||||||||||||||||||||||
Ratios | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||
Return on average assets | 0.21 | % | 0.11 | % | 0.20 | % | 0.14 | % | ||||||||||||||||||
Return on average equity | 3.71 | % | 1.94 | % | 3.48 | % | 2.66 | % |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Net Income | Reconciliation of Net Income | 2022 | 2021 | Reconciliation of Net Income | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
GAAP net income | GAAP net income | $ | 28.6 | $ | 29.9 | GAAP net income | $ | 32.3 | $ | 17.1 | $ | 60.9 | $ | 47.0 | ||||||||||||||||||||||||||||||||||||||
Adjustments to exclude: | Adjustments to exclude: | Adjustments to exclude: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair-value hedging (gains) losses (1) | Fair-value hedging (gains) losses (1) | (2.0) | (18.6) | Fair-value hedging (gains) losses (1) | 6.8 | 5.6 | 4.8 | (13.0) | ||||||||||||||||||||||||||||||||||||||||||||
Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2) | 16.8 | 5.4 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Amortization/accretion of (gains) losses on ineffective and discontinued fair-value hedging relationships (2) | Amortization/accretion of (gains) losses on ineffective and discontinued fair-value hedging relationships (2) | 17.3 | 7.5 | 34.1 | 12.9 | |||||||||||||||||||||||||||||||||||||||||||||||
Trading (gains) losses, net of economic hedging gains (losses) (3) | Trading (gains) losses, net of economic hedging gains (losses) (3) | 0.1 | 9.0 | Trading (gains) losses, net of economic hedging gains (losses) (3) | (0.8) | 10.1 | (0.7) | 19.1 | ||||||||||||||||||||||||||||||||||||||||||||
Net unrealized (gains) losses on other economic hedges | Net unrealized (gains) losses on other economic hedges | 1.8 | 0.4 | Net unrealized (gains) losses on other economic hedges | (1.5) | 0.1 | 0.3 | 0.5 | ||||||||||||||||||||||||||||||||||||||||||||
Interest expense on MRCS | Interest expense on MRCS | 0.2 | 1.1 | Interest expense on MRCS | 0.3 | 0.9 | 0.5 | 2.0 | ||||||||||||||||||||||||||||||||||||||||||||
Total adjustments | Total adjustments | 16.9 | (2.7) | Total adjustments | 22.1 | 24.2 | 39.0 | 21.5 | ||||||||||||||||||||||||||||||||||||||||||||
AHP assessments (credits) on adjustments | (1.6) | 0.4 | ||||||||||||||||||||||||||||||||||||||||||||||||||
AHP assessments on adjustments | AHP assessments on adjustments | (2.2) | (2.3) | (3.8) | (1.9) | |||||||||||||||||||||||||||||||||||||||||||||||
Adjusted net income (non-GAAP measure) | Adjusted net income (non-GAAP measure) | $ | 43.9 | $ | 27.6 | Adjusted net income (non-GAAP measure) | $ | 52.2 | $ | 39.0 | $ | 96.1 | $ | 66.6 |
Condensed Statements of Condition | Condensed Statements of Condition | March 31, 2022 | December 31, 2021 | $ Change | % Change | Condensed Statements of Condition | June 30, 2022 | December 31, 2021 | $ Change | % Change | ||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | $ | 26,588 | $ | 27,498 | $ | (910) | (3) | % | Advances | $ | 30,507 | $ | 27,498 | $ | 3,009 | 11 | % | ||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | Mortgage loans held for portfolio, net | 7,702 | 7,616 | 86 | 1 | % | Mortgage loans held for portfolio, net | 7,730 | 7,616 | 114 | 1 | % | ||||||||||||||||||||||||||||||||||||||||
Cash and short-term investments (1) | Cash and short-term investments (1) | 9,566 | 7,048 | 2,518 | 36 | % | Cash and short-term investments (1) | 7,381 | 7,048 | 333 | 5 | % | ||||||||||||||||||||||||||||||||||||||||
Investment securities and other assets (2) | Investment securities and other assets (2) | 19,159 | 17,843 | 1,316 | 7 | % | Investment securities and other assets (2) | 18,648 | 17,843 | 805 | 5 | % | ||||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | $ | 63,015 | $ | 60,005 | $ | 3,010 | 5 | % | Total assets | $ | 64,266 | $ | 60,005 | $ | 4,261 | 7 | % | ||||||||||||||||||||||||||||||||||
Consolidated obligations | Consolidated obligations | $ | 57,805 | $ | 54,478 | $ | 3,327 | 6 | % | Consolidated obligations | $ | 59,050 | $ | 54,478 | $ | 4,572 | 8 | % | ||||||||||||||||||||||||||||||||||
MRCS | MRCS | 46 | 50 | (4) | (10) | % | MRCS | 46 | 50 | (4) | (10) | % | ||||||||||||||||||||||||||||||||||||||||
Other liabilities | Other liabilities | 1,791 | 1,921 | (130) | (7) | % | Other liabilities | 1,693 | 1,921 | (228) | (12) | % | ||||||||||||||||||||||||||||||||||||||||
Total liabilities | Total liabilities | 59,642 | 56,449 | 3,193 | 6 | % | Total liabilities | 60,789 | 56,449 | 4,340 | 8 | % | ||||||||||||||||||||||||||||||||||||||||
Capital stock | Capital stock | 2,122 | 2,246 | (124) | (6) | % | Capital stock | 2,251 | 2,246 | 5 | — | % | ||||||||||||||||||||||||||||||||||||||||
Retained earnings (3) | Retained earnings (3) | 1,192 | 1,177 | 15 | 1 | % | Retained earnings (3) | 1,212 | 1,177 | 35 | 3 | % | ||||||||||||||||||||||||||||||||||||||||
AOCI | AOCI | 59 | 133 | (74) | (56) | % | AOCI | 14 | 133 | (119) | (89) | % | ||||||||||||||||||||||||||||||||||||||||
Total capital | Total capital | 3,373 | 3,556 | (183) | (5) | % | Total capital | 3,477 | 3,556 | (79) | (2) | % | ||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | Total liabilities and capital | $ | 63,015 | $ | 60,005 | $ | 3,010 | 5 | % | Total liabilities and capital | $ | 64,266 | $ | 60,005 | $ | 4,261 | 7 | % | ||||||||||||||||||||||||||||||||||
Total regulatory capital (4) | Total regulatory capital (4) | $ | 3,360 | $ | 3,473 | $ | (113) | (3) | % | Total regulatory capital (4) | $ | 3,509 | $ | 3,473 | $ | 36 | 1 | % |
Three Months Ended March 31, | Three Months Ended June 30, | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | Federal funds sold and securities purchased under agreements to resell | $ | 6,046 | $ | 2 | 0.12 | % | $ | 8,301 | $ | 1 | 0.06 | % | Federal funds sold and securities purchased under agreements to resell | $ | 7,223 | $ | 14 | 0.76 | % | $ | 7,219 | $ | 1 | 0.05 | % | ||||||||||||||||||||||||||||||||||||||||||||
Investment securities (3) | Investment securities (3) | 16,986 | 35 | 0.84 | % | 20,029 | 56 | 1.13 | % | Investment securities (3) | 18,060 | 56 | 1.24 | % | 19,607 | 43 | 0.89 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances (4) | Advances (4) | 26,464 | 35 | 0.54 | % | 29,627 | 36 | 0.49 | % | Advances (4) | 27,455 | 68 | 0.99 | % | 29,010 | 28 | 0.39 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (4) (5) | Mortgage loans held for portfolio (4) (5) | 7,658 | 48 | 2.53 | % | 8,282 | 40 | 1.97 | % | Mortgage loans held for portfolio (4) (5) | 7,736 | 51 | 2.67 | % | 7,875 | 40 | 2.04 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets (interest-earning) (6) | Other assets (interest-earning) (6) | 810 | — | 0.15 | % | 903 | — | 0.07 | % | Other assets (interest-earning) (6) | 1,458 | 3 | 0.73 | % | 731 | — | 0.07 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total interest-earning assets | Total interest-earning assets | 57,964 | 120 | 0.84 | % | 67,142 | 133 | 0.81 | % | Total interest-earning assets | 61,932 | 192 | 1.24 | % | 64,442 | 112 | 0.70 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets (7) | Other assets (7) | 881 | 916 | Other assets (7) | (413) | 571 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | $ | 58,845 | $ | 68,058 | Total assets | $ | 61,519 | $ | 65,013 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities and Capital: | Liabilities and Capital: | Liabilities and Capital: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | $ | 1,347 | — | 0.03 | % | $ | 1,511 | — | 0.01 | % | Interest-bearing deposits | $ | 1,215 | 2 | 0.51 | % | $ | 1,694 | — | 0.01 | % | ||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | Discount notes | 12,830 | 4 | 0.12 | % | 18,773 | 4 | 0.09 | % | Discount notes | 17,102 | 27 | 0.62 | % | 16,497 | 2 | 0.04 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
CO bonds (4) | CO bonds (4) | 40,430 | 51 | 0.52 | % | 43,225 | 54 | 0.50 | % | CO bonds (4) | 39,146 | 99 | 1.02 | % | 42,319 | 52 | 0.50 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS | MRCS | 48 | — | 2.05 | % | 243 | 1 | 1.85 | % | MRCS | 46 | — | 2.37 | % | 233 | 1 | 1.60 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total interest-bearing liabilities | Total interest-bearing liabilities | 54,655 | 55 | 0.41 | % | 63,752 | 59 | 0.38 | % | Total interest-bearing liabilities | 57,509 | 128 | 0.89 | % | 60,743 | 55 | 0.37 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other liabilities | Other liabilities | 633 | 738 | Other liabilities | 512 | 716 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total capital | Total capital | 3,557 | 3,568 | Total capital | 3,498 | 3,554 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | Total liabilities and capital | $ | 58,845 | $ | 68,058 | Total liabilities and capital | $ | 61,519 | $ | 65,013 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 65 | $ | 74 | Net interest income | $ | 64 | $ | 57 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities | Net spread on interest-earning assets less interest-bearing liabilities | 0.43 | % | 0.43 | % | Net spread on interest-earning assets less interest-bearing liabilities | 0.35 | % | 0.33 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest margin (8) | Net interest margin (8) | 0.45 | % | 0.44 | % | Net interest margin (8) | 0.41 | % | 0.36 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | Average interest-earning assets to interest-bearing liabilities | 1.06 | 1.05 | Average interest-earning assets to interest-bearing liabilities | 1.08 | 1.06 |
Six Months Ended June 30, | |||||||||||||||||||||||||||||||||||
2022 | 2021 | ||||||||||||||||||||||||||||||||||
Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | Average Balance | Interest Income/ Expense (1) | Average Yield/Cost of Funds (1) (2) | ||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | $ | 6,638 | $ | 15 | 0.47 | % | $ | 7,757 | $ | 2 | 0.05 | % | |||||||||||||||||||||||
Investment securities (3) | 17,826 | 92 | 1.03 | % | 19,817 | 99 | 1.01 | % | |||||||||||||||||||||||||||
Advances (4) | 26,963 | 102 | 0.77 | % | 29,317 | 65 | 0.44 | % | |||||||||||||||||||||||||||
Mortgage loans held for portfolio (4) (5) | 7,697 | 99 | 2.60 | % | 8,077 | 80 | 2.01 | % | |||||||||||||||||||||||||||
Other assets (interest-earning) (6) | 1,136 | 3 | 0.52 | % | 816 | — | 0.07 | % | |||||||||||||||||||||||||||
Total interest-earning assets | 60,260 | 311 | 1.04 | % | 65,784 | 246 | 0.76 | % | |||||||||||||||||||||||||||
Other assets (7) | (71) | 743 | |||||||||||||||||||||||||||||||||
Total assets | $ | 60,189 | $ | 66,527 | |||||||||||||||||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 1,281 | 1 | 0.26 | % | $ | 1,602 | — | 0.01 | % | |||||||||||||||||||||||||
Discount notes | 14,978 | 30 | 0.41 | % | 17,629 | 6 | 0.07 | % | |||||||||||||||||||||||||||
CO bonds (4) | 39,785 | 151 | 0.76 | % | 42,770 | 106 | 0.50 | % | |||||||||||||||||||||||||||
MRCS | 47 | 1 | 2.20 | % | 238 | 2 | 1.73 | % | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 56,091 | 183 | 0.66 | % | 62,239 | 114 | 0.37 | % | |||||||||||||||||||||||||||
Other liabilities | 571 | 727 | |||||||||||||||||||||||||||||||||
Total capital | 3,527 | 3,561 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 60,189 | $ | 66,527 | |||||||||||||||||||||||||||||||
Net interest income | $ | 128 | $ | 132 | |||||||||||||||||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities (2) | 0.38 | % | 0.39 | % | |||||||||||||||||||||||||||||||
Net interest margin (8) | 0.43 | % | 0.40 | % | |||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.07 | 1.06 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Components | Components | 2022 | 2021 | Components | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Net unrealized gains (losses) on trading securities (1) | Net unrealized gains (losses) on trading securities (1) | $ | (7) | $ | (16) | Net unrealized gains (losses) on trading securities (1) | $ | (11) | $ | (13) | $ | (18) | $ | (29) | ||||||||||||||||||||||||||||||||||||||
Net realized gains (losses) on trading securities (2) | Net realized gains (losses) on trading securities (2) | (17) | 3 | Net realized gains (losses) on trading securities (2) | (3) | (1) | (20) | 2 | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities | Net gains (losses) on trading securities | (24) | (13) | Net gains (losses) on trading securities | (14) | (14) | (38) | (27) | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives hedging trading securities | Net gains (losses) on derivatives hedging trading securities | 24 | 5 | Net gains (losses) on derivatives hedging trading securities | 17 | 3 | 41 | 8 | ||||||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives (3) | Net interest settlements on derivatives (3) | (2) | (5) | Net interest settlements on derivatives (3) | 1 | (3) | (1) | (8) | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on other derivatives not designated as hedging instruments | Net gains (losses) on other derivatives not designated as hedging instruments | (2) | (1) | Net gains (losses) on other derivatives not designated as hedging instruments | (1) | — | (3) | (1) | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives | Net gains (losses) on derivatives | 20 | (1) | Net gains (losses) on derivatives | 17 | — | 37 | (1) | ||||||||||||||||||||||||||||||||||||||||||||
Change in fair value of investments indirectly funding our SERP | (4) | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Change in fair value of investments indirectly funding certain employee benefit plans | Change in fair value of investments indirectly funding certain employee benefit plans | (6) | 3 | (10) | 4 | |||||||||||||||||||||||||||||||||||||||||||||||
Other, net | Other, net | 1 | — | Other, net | 1 | 1 | 2 | 1 | ||||||||||||||||||||||||||||||||||||||||||||
Total other income (loss) | Total other income (loss) | $ | (7) | $ | (13) | Total other income (loss) | $ | (2) | $ | (10) | $ | (9) | $ | (23) |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||
Earnings Components of Trading Securities | Earnings Components of Trading Securities | 2022 | 2021 | Earnings Components of Trading Securities | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||
Net interest income (1) | Net interest income (1) | $ | 5 | $ | 15 | Net interest income (1) | $ | 1 | $ | 14 | $ | 5 | $ | 28 | ||||||||||||||||||||||||||
Other income: | Other income: | Other income: | ||||||||||||||||||||||||||||||||||||||
Net unrealized gains (losses) | Net unrealized gains (losses) | (7) | (16) | Net unrealized gains (losses) | (11) | (13) | (18) | (29) | ||||||||||||||||||||||||||||||||
Net realized gains (losses) | Net realized gains (losses) | (17) | 3 | Net realized gains (losses) | (3) | (1) | (20) | 2 | ||||||||||||||||||||||||||||||||
Net interest settlements on derivatives | Net interest settlements on derivatives | (2) | (5) | Net interest settlements on derivatives | 2 | (2) | — | (8) | ||||||||||||||||||||||||||||||||
Change in fair value of derivatives | Change in fair value of derivatives | 24 | 4 | Change in fair value of derivatives | 17 | 3 | 41 | 8 | ||||||||||||||||||||||||||||||||
Other income (loss), net | Other income (loss), net | (2) | (14) | Other income (loss), net | 5 | (13) | 3 | (27) | ||||||||||||||||||||||||||||||||
Net impact of trading securities on income before assessments | Net impact of trading securities on income before assessments | $ | 3 | $ | 1 | Net impact of trading securities on income before assessments | $ | 6 | $ | 1 | $ | 8 | $ | 1 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Components | Components | 2022 | 2021 | Components | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Compensation and benefits | Compensation and benefits | $ | 13 | $ | 16 | Compensation and benefits | $ | 13 | $ | 14 | $ | 26 | $ | 30 | ||||||||||||||||||||||||||||||||||||||
Other operating expenses | Other operating expenses | 7 | 7 | Other operating expenses | 8 | 7 | 15 | 15 | ||||||||||||||||||||||||||||||||||||||||||||
Finance Agency and Office of Finance | Finance Agency and Office of Finance | 3 | 3 | Finance Agency and Office of Finance | 3 | 3 | 6 | 6 | ||||||||||||||||||||||||||||||||||||||||||||
Other | 3 | 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other, net | Other, net | 2 | 4 | 4 | 6 | |||||||||||||||||||||||||||||||||||||||||||||||
Total other expenses | Total other expenses | $ | 26 | $ | 28 | Total other expenses | $ | 26 | $ | 28 | $ | 51 | $ | 57 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Traditional | 2022 | 2021 | Traditional | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 53 | $ | 74 | Net interest income | $ | 51 | $ | 53 | $ | 103 | $ | 128 | ||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | — | Provision for (reversal of) credit losses | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (7) | (13) | Other income (loss) | (2) | (10) | (9) | (23) | ||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 22 | 24 | Other expenses | 22 | 24 | 44 | 49 | ||||||||||||||||||||||||||||||||||||||||||||
Income before assessments | Income before assessments | 24 | 37 | Income before assessments | 27 | 19 | 50 | 56 | ||||||||||||||||||||||||||||||||||||||||||||
AHP assessments | AHP assessments | 2 | 3 | AHP assessments | 3 | 2 | 5 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
Net income | Net income | $ | 22 | $ | 34 | Net income | $ | 24 | $ | 17 | $ | 45 | $ | 51 |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans | Mortgage Loans | 2022 | 2021 | Mortgage Loans | 2022 | 2021 | 2022 | 2021 | ||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 12 | $ | — | Net interest income | $ | 13 | $ | 4 | $ | 25 | $ | 4 | ||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | — | Provision for (reversal of) credit losses | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | — | — | Other income (loss) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 4 | 4 | Other expenses | 4 | 4 | 7 | 8 | ||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before assessments | Income (loss) before assessments | 8 | (4) | Income (loss) before assessments | 9 | — | 18 | (4) | ||||||||||||||||||||||||||||||||||||||||||||
AHP assessments (credits) | AHP assessments (credits) | 1 | — | AHP assessments (credits) | 1 | — | 2 | — | ||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | $ | 7 | $ | (4) | Net income (loss) | $ | 8 | $ | — | $ | 16 | $ | (4) |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Major Asset Categories | Major Asset Categories | Carrying Value | % of Total | Carrying Value | % of Total | Major Asset Categories | Carrying Value | % of Total | Carrying Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | $ | 26,588 | 42 | % | $ | 27,498 | 46 | % | Advances | $ | 30,507 | 47 | % | $ | 27,498 | 46 | % | ||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | Mortgage loans held for portfolio, net | 7,702 | 12 | % | 7,616 | 13 | % | Mortgage loans held for portfolio, net | 7,730 | 12 | % | 7,616 | 13 | % | ||||||||||||||||||||||||||||||||||||||
Cash and short-term investments | Cash and short-term investments | 9,566 | 15 | % | 7,048 | 12 | % | Cash and short-term investments | 7,381 | 12 | % | 7,048 | 12 | % | ||||||||||||||||||||||||||||||||||||||
Trading securities | Trading securities | 4,753 | 8 | % | 3,947 | 7 | % | Trading securities | 4,039 | 6 | % | 3,947 | 7 | % | ||||||||||||||||||||||||||||||||||||||
Other investment securities | Other investment securities | 13,933 | 22 | % | 13,474 | 22 | % | Other investment securities | 14,074 | 22 | % | 13,474 | 22 | % | ||||||||||||||||||||||||||||||||||||||
Other assets (1) | Other assets (1) | 473 | 1 | % | 422 | — | % | Other assets (1) | 535 | 1 | % | 422 | — | % | ||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | $ | 63,015 | 100 | % | $ | 60,005 | 100 | % | Total assets | $ | 64,266 | 100 | % | $ | 60,005 | 100 | % |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Borrower Type | Borrower Type | Par Value | % of Total | Par Value | % of Total | Borrower Type | Par Value | % of Total | Par Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Depository institutions: | Depository institutions: | Depository institutions: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial banks and savings institutions | Commercial banks and savings institutions | $ | 10,418 | 39 | % | $ | 12,199 | 45 | % | Commercial banks and savings institutions | $ | 14,055 | 46 | % | $ | 12,199 | 45 | % | ||||||||||||||||||||||||||||||||||
Credit unions | Credit unions | 2,167 | 8 | % | 2,199 | 8 | % | Credit unions | 2,674 | 9 | % | 2,199 | 8 | % | ||||||||||||||||||||||||||||||||||||||
Former members - depositories | Former members - depositories | 224 | 1 | % | 225 | 1 | % | Former members - depositories | 224 | — | % | 225 | 1 | % | ||||||||||||||||||||||||||||||||||||||
Total depository institutions | Total depository institutions | 12,809 | 48 | % | 14,623 | 54 | % | Total depository institutions | 16,953 | 55 | % | 14,623 | 54 | % | ||||||||||||||||||||||||||||||||||||||
Insurance companies: | Insurance companies: | Insurance companies: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Captive insurance companies (1) | Captive insurance companies (1) | 263 | 1 | % | 263 | 1 | % | Captive insurance companies (1) | 263 | 1 | % | 263 | 1 | % | ||||||||||||||||||||||||||||||||||||||
Other insurance companies | Other insurance companies | 13,698 | 51 | % | 12,419 | 45 | % | Other insurance companies | 13,624 | 44 | % | 12,419 | 45 | % | ||||||||||||||||||||||||||||||||||||||
Former members - other insurance companies | Former members - other insurance companies | 5 | — | % | 5 | — | % | Former members - other insurance companies | 5 | — | % | 5 | — | % | ||||||||||||||||||||||||||||||||||||||
Total insurance companies | Total insurance companies | 13,966 | 52 | % | 12,687 | 46 | % | Total insurance companies | 13,892 | 45 | % | 12,687 | 46 | % | ||||||||||||||||||||||||||||||||||||||
CDFIs | CDFIs | — | — | % | — | — | % | CDFIs | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total advances outstanding | Total advances outstanding | $ | 26,775 | 100 | % | $ | 27,310 | 100 | % | Total advances outstanding | $ | 30,845 | 100 | % | $ | 27,310 | 100 | % |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Product Type and Redemption Term | Product Type and Redemption Term | Par Value | % of Total | Par Value | % of Total | Product Type and Redemption Term | Par Value | % of Total | Par Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Fixed-rate: | Fixed-rate: | Fixed-rate: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Without call or put options | Without call or put options | Without call or put options | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 7,843 | 29 | % | $ | 7,670 | 29 | % | Due in 1 year or less | $ | 12,593 | 41 | % | $ | 7,670 | 29 | % | ||||||||||||||||||||||||||||||||||
Due after 1 through 5 years | Due after 1 through 5 years | 5,086 | 19 | % | 5,708 | 21 | % | Due after 1 through 5 years | 5,437 | 18 | % | 5,708 | 21 | % | ||||||||||||||||||||||||||||||||||||||
Due after 5 through 15 years | Due after 5 through 15 years | 743 | 3 | % | 752 | 3 | % | Due after 5 through 15 years | 978 | 3 | % | 752 | 3 | % | ||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 2 | — | % | 2 | — | % | Thereafter | 2 | — | % | 2 | — | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 13,674 | 51 | % | 14,132 | 53 | % | Total | 19,010 | 62 | % | 14,132 | 53 | % | ||||||||||||||||||||||||||||||||||||||
Callable or prepayable | Callable or prepayable | Callable or prepayable | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | 2 | — | % | — | — | % | Due in 1 year or less | 2 | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 through 5 years | Due after 1 through 5 years | — | — | % | 2 | — | % | Due after 1 through 5 years | — | — | % | 2 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 5 through 15 years | Due after 5 through 15 years | 5 | — | % | 5 | — | % | Due after 5 through 15 years | 5 | — | % | 5 | — | % | ||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | — | — | % | — | — | % | Thereafter | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 7 | — | % | 7 | — | % | Total | 7 | — | % | 7 | — | % | ||||||||||||||||||||||||||||||||||||||
Putable | Putable | Putable | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | — | — | % | — | — | % | Due in 1 year or less | 250 | 1 | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 through 5 years | Due after 1 through 5 years | 2,256 | 8 | % | 2,289 | 8 | % | Due after 1 through 5 years | 1,883 | 6 | % | 2,289 | 8 | % | ||||||||||||||||||||||||||||||||||||||
Due after 5 through 15 years | Due after 5 through 15 years | 5,613 | 21 | % | 5,747 | 21 | % | Due after 5 through 15 years | 4,038 | 13 | % | 5,747 | 21 | % | ||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | — | — | % | — | — | % | Thereafter | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 7,869 | 29 | % | 8,036 | 29 | % | Total | 6,171 | 20 | % | 8,036 | 29 | % | ||||||||||||||||||||||||||||||||||||||
Other (1) | Other (1) | Other (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | 49 | — | % | 50 | — | % | Due in 1 year or less | 50 | — | % | 50 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 through 5 years | Due after 1 through 5 years | 65 | — | % | 64 | — | % | Due after 1 through 5 years | 54 | — | % | 64 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 5 through 15 years | Due after 5 through 15 years | 34 | — | % | 24 | — | % | Due after 5 through 15 years | 32 | — | % | 24 | — | % | ||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 16 | — | % | 3 | — | % | Thereafter | 16 | — | % | 3 | — | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 164 | — | % | 141 | — | % | Total | 152 | — | % | 141 | — | % | ||||||||||||||||||||||||||||||||||||||
Total fixed-rate | Total fixed-rate | 21,714 | 80 | % | 22,316 | 82 | % | Total fixed-rate | 25,340 | 82 | % | 22,316 | 82 | % | ||||||||||||||||||||||||||||||||||||||
Variable-rate: | Variable-rate: | Variable-rate: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Without call or put options | Without call or put options | Without call or put options | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | 9 | — | % | 18 | — | % | Due in 1 year or less | 256 | 1 | % | 18 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 through 5 years | Due after 1 through 5 years | 167 | 1 | % | 167 | 1 | % | Due after 1 through 5 years | 167 | 1 | % | 167 | 1 | % | ||||||||||||||||||||||||||||||||||||||
Due after 5 through 15 years | Due after 5 through 15 years | — | — | % | — | — | % | Due after 5 through 15 years | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | — | — | % | — | — | % | Thereafter | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 176 | 1 | % | 185 | 1 | % | Total | 423 | 2 | % | 185 | 1 | % | ||||||||||||||||||||||||||||||||||||||
Callable or prepayable | Callable or prepayable | Callable or prepayable | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | 171 | 1 | % | 126 | — | % | Due in 1 year or less | 221 | 1 | % | 126 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 through 5 years | Due after 1 through 5 years | 2,879 | 11 | % | 2,831 | 10 | % | Due after 1 through 5 years | 2,965 | 9 | % | 2,831 | 10 | % | ||||||||||||||||||||||||||||||||||||||
Due after 5 through 15 years | Due after 5 through 15 years | 1,480 | 6 | % | 1,297 | 5 | % | Due after 5 through 15 years | 1,443 | 5 | % | 1,297 | 5 | % | ||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 355 | 1 | % | 555 | 2 | % | Thereafter | 355 | 1 | % | 555 | 2 | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 4,885 | 19 | % | 4,809 | 17 | % | Total | 4,984 | 16 | % | 4,809 | 17 | % | ||||||||||||||||||||||||||||||||||||||
Total variable-rate | Total variable-rate | 5,061 | 20 | % | 4,994 | 18 | % | Total variable-rate | 5,407 | 18 | % | 4,994 | 18 | % | ||||||||||||||||||||||||||||||||||||||
Overdrawn demand and overnight deposit accounts | Overdrawn demand and overnight deposit accounts | 98 | — | % | — | — | % | |||||||||||||||||||||||||||||||||||||||||||||
Total advances | Total advances | $ | 26,775 | 100 | % | $ | 27,310 | 100 | % | Total advances | $ | 30,845 | 100 | % | $ | 27,310 | 100 | % |
Components | Components | March 31, 2022 | December 31, 2021 | Components | June 30, 2022 | December 31, 2021 | Change | |||||||||||||||||||||||||||||||||
Cash and short-term investments: | Cash and short-term investments: | Cash and short-term investments: | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | Cash and due from banks | $ | 226 | $ | 868 | Cash and due from banks | $ | 60 | $ | 868 | $ | (808) | ||||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | 100 | 100 | Interest-bearing deposits | 325 | 100 | 225 | |||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 7,600 | 3,500 | Securities purchased under agreements to resell | 4,500 | 3,500 | 1,000 | |||||||||||||||||||||||||||||||||
Federal funds sold | Federal funds sold | 1,640 | 2,580 | Federal funds sold | 2,496 | 2,580 | (84) | |||||||||||||||||||||||||||||||||
Total cash and short-term investments | Total cash and short-term investments | 9,566 | 7,048 | Total cash and short-term investments | 7,381 | 7,048 | 333 | |||||||||||||||||||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | 4,753 | 3,947 | U.S. Treasury obligations | 4,039 | 3,947 | 92 | |||||||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 4,753 | 3,947 | Total trading securities | 4,039 | 3,947 | 92 | |||||||||||||||||||||||||||||||||
Other investment securities: | Other investment securities: | Other investment securities: | ||||||||||||||||||||||||||||||||||||||
AFS securities: | AFS securities: | AFS securities: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | 1,481 | — | U.S. Treasury obligations | 2,106 | — | 2,106 | |||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 2,240 | 2,697 | GSE and TVA debentures | 2,086 | 2,697 | (611) | |||||||||||||||||||||||||||||||||
GSE multifamily MBS | GSE multifamily MBS | 6,159 | 6,463 | GSE multifamily MBS | 6,005 | 6,463 | (458) | |||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | 9,880 | 9,160 | Total AFS securities | 10,197 | 9,160 | 1,037 | |||||||||||||||||||||||||||||||||
HTM securities: | HTM securities: | HTM securities: | ||||||||||||||||||||||||||||||||||||||
Other U.S. obligations single-family MBS | Other U.S. obligations single-family MBS | 2,545 | 2,626 | Other U.S. obligations single-family MBS | 2,522 | 2,626 | (104) | |||||||||||||||||||||||||||||||||
GSE single-family MBS | GSE single-family MBS | 765 | 816 | GSE single-family MBS | 722 | 816 | (94) | |||||||||||||||||||||||||||||||||
GSE multifamily MBS | GSE multifamily MBS | 743 | 872 | GSE multifamily MBS | 633 | 872 | (239) | |||||||||||||||||||||||||||||||||
Total HTM securities | Total HTM securities | 4,053 | 4,314 | Total HTM securities | 3,877 | 4,314 | (437) | |||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 18,686 | 17,421 | Total investment securities | 18,113 | 17,421 | 692 | |||||||||||||||||||||||||||||||||
Total cash and investments, carrying value | Total cash and investments, carrying value | $ | 28,252 | $ | 24,469 | Total cash and investments, carrying value | $ | 25,494 | $ | 24,469 | $ | 1,025 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
Interest-Rate Payment Terms | Interest-Rate Payment Terms | Estimated Fair Value | % of Total | Estimated Fair Value | % of Total | Interest-Rate Payment Terms | Estimated Fair Value | % of Total | Estimated Fair Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Total fixed-rate trading securities | Total fixed-rate trading securities | $ | 4,753 | 100 | % | $ | 3,947 | 100 | % | Total fixed-rate trading securities | $ | 4,039 | 100 | % | $ | 3,947 | 100 | % | ||||||||||||||||||||||||||||||||||
Amortized Cost | % of Total | Amortized Cost | % of Total | Amortized Cost | % of Total | Amortized Cost | % of Total | |||||||||||||||||||||||||||||||||||||||||||||
AFS (1) and HTM securities: | AFS (1) and HTM securities: | AFS (1) and HTM securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total fixed-rate | Total fixed-rate | $ | 10,015 | 72 | % | $ | 9,226 | 69 | % | Total fixed-rate | $ | 10,375 | 74 | % | $ | 9,226 | 69 | % | ||||||||||||||||||||||||||||||||||
Total variable-rate | Total variable-rate | 3,839 | 28 | % | 4,096 | 31 | % | Total variable-rate | 3,667 | 26 | % | 4,096 | 31 | % | ||||||||||||||||||||||||||||||||||||||
Total AFS and HTM securities | Total AFS and HTM securities | $ | 13,854 | 100 | % | $ | 13,322 | 100 | % | Total AFS and HTM securities | $ | 14,042 | 100 | % | $ | 13,322 | 100 | % |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
By Term | By Term | Par Value | % of Total | Par Value | % of Total | By Term | Par Value | % of Total | Par Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations due in 1 year or less: | Consolidated obligations due in 1 year or less: | Consolidated obligations due in 1 year or less: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | Discount notes | $ | 18,178 | 31 | % | $ | 12,118 | 22 | % | Discount notes | $ | 19,617 | 32 | % | $ | 12,118 | 22 | % | ||||||||||||||||||||||||||||||||||
CO bonds | CO bonds | 10,574 | 18 | % | 14,357 | 26 | % | CO bonds | 8,950 | 15 | % | 14,357 | 26 | % | ||||||||||||||||||||||||||||||||||||||
Total due in 1 year or less | Total due in 1 year or less | 28,752 | 49 | % | 26,475 | 48 | % | Total due in 1 year or less | 28,567 | 47 | % | 26,475 | 48 | % | ||||||||||||||||||||||||||||||||||||||
Long-term CO bonds | Long-term CO bonds | 30,150 | 51 | % | 28,193 | 52 | % | Long-term CO bonds | 32,001 | 53 | % | 28,193 | 52 | % | ||||||||||||||||||||||||||||||||||||||
Total consolidated obligations | Total consolidated obligations | $ | 58,902 | 100 | % | $ | 54,668 | 100 | % | Total consolidated obligations | $ | 60,568 | 100 | % | $ | 54,668 | 100 | % |
Hedged Item | Hedged Item | March 31, 2022 | December 31, 2021 | Hedged Item | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Advances | Advances | $ | 22,450 | $ | 21,084 | Advances | $ | 21,037 | $ | 21,084 | ||||||||||||||||||
Investments | 15,553 | 13,356 | ||||||||||||||||||||||||||
AFS securities | AFS securities | 15,570 | 13,356 | |||||||||||||||||||||||||
Mortgage loans MDCs | Mortgage loans MDCs | 180 | 194 | Mortgage loans MDCs | 64 | 194 | ||||||||||||||||||||||
CO bonds | CO bonds | 25,838 | 21,177 | CO bonds | 28,284 | 21,177 | ||||||||||||||||||||||
Total notional | $ | 64,021 | $ | 55,811 | ||||||||||||||||||||||||
Total notional outstanding | Total notional outstanding | $ | 64,955 | $ | 55,811 |
March 31, 2022 | Advances | AFS Securities | CO Bonds | Total | ||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Advances | AFS Securities | CO Bonds | Total | |||||||||||||||||||||||||||||||||||||||||||||||
Cumulative fair-value hedging basis adjustments on hedged items | Cumulative fair-value hedging basis adjustments on hedged items | $ | (195) | $ | (288) | $ | 1,143 | $ | 660 | Cumulative fair-value hedging basis adjustments on hedged items | $ | (345) | $ | (577) | $ | 1,530 | $ | 608 | ||||||||||||||||||||||||||||||||||
Estimated fair value of associated derivatives, net | Estimated fair value of associated derivatives, net | 199 | 596 | (1,149) | (354) | Estimated fair value of associated derivatives, net | 344 | 869 | (1,539) | (326) | ||||||||||||||||||||||||||||||||||||||||||
Net cumulative fair-value hedging basis adjustments | Net cumulative fair-value hedging basis adjustments | $ | 4 | $ | 308 | $ | (6) | $ | 306 | Net cumulative fair-value hedging basis adjustments | $ | (1) | $ | 292 | $ | (9) | $ | 282 |
Components | Components | March 31, 2022 | December 31, 2021 | Components | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Capital stock | Capital stock | 63 | % | 63 | % | Capital stock | 65 | % | 63 | % | ||||||||||||||||||
Retained earnings | Retained earnings | 35 | % | 33 | % | Retained earnings | 35 | % | 33 | % | ||||||||||||||||||
AOCI | AOCI | 2 | % | 4 | % | AOCI | — | % | 4 | % | ||||||||||||||||||
Total GAAP capital | Total GAAP capital | 100 | % | 100 | % | Total GAAP capital | 100 | % | 100 | % |
Reconciliation | Reconciliation | March 31, 2022 | December 31, 2021 | Reconciliation | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Total GAAP capital | Total GAAP capital | $ | 3,373 | $ | 3,556 | Total GAAP capital | $ | 3,477 | $ | 3,556 | ||||||||||||||||||
Exclude: AOCI | Exclude: AOCI | (59) | (133) | Exclude: AOCI | (14) | (133) | ||||||||||||||||||||||
Add: MRCS | Add: MRCS | 46 | 50 | Add: MRCS | 46 | 50 | ||||||||||||||||||||||
Total regulatory capital | Total regulatory capital | $ | 3,360 | $ | 3,473 | Total regulatory capital | $ | 3,509 | $ | 3,473 |
March 31, 2022 | December 31, 2021 | June 30, 2022 | December 31, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||
By Type of Member Institution | By Type of Member Institution | Amount | % of Total | Amount | % of Total | By Type of Member Institution | Amount | % of Total | Amount | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Capital Stock: | Capital Stock: | Capital Stock: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Depository institutions: | Depository institutions: | Depository institutions: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial banks and savings institutions | Commercial banks and savings institutions | $ | 1,046 | 48 | % | $ | 1,126 | 49 | % | Commercial banks and savings institutions | $ | 1,110 | 48 | % | $ | 1,126 | 49 | % | ||||||||||||||||||||||||||||||||||
Credit unions | Credit unions | 288 | 13 | % | 309 | 13 | % | Credit unions | 332 | 15 | % | 309 | 13 | % | ||||||||||||||||||||||||||||||||||||||
Total depository institutions | Total depository institutions | 1,334 | 61 | % | 1,435 | 62 | % | Total depository institutions | 1,442 | 63 | % | 1,435 | 62 | % | ||||||||||||||||||||||||||||||||||||||
Insurance companies | Insurance companies | 788 | 36 | % | 811 | 35 | % | Insurance companies | 809 | 35 | % | 811 | 35 | % | ||||||||||||||||||||||||||||||||||||||
CDFIs | CDFIs | — | — | % | — | — | % | CDFIs | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total capital stock, putable at par value | Total capital stock, putable at par value | 2,122 | 97 | % | 2,246 | 97 | % | Total capital stock, putable at par value | 2,251 | 98 | % | 2,246 | 97 | % | ||||||||||||||||||||||||||||||||||||||
MRCS: | MRCS: | MRCS: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Captive insurance companies (1) | Captive insurance companies (1) | 12 | 1 | % | 12 | 1 | % | Captive insurance companies (1) | 12 | 1 | % | 12 | 1 | % | ||||||||||||||||||||||||||||||||||||||
Other former members | Other former members | 34 | 2 | % | 38 | 2 | % | Other former members | 34 | 1 | % | 38 | 2 | % | ||||||||||||||||||||||||||||||||||||||
Total MRCS | Total MRCS | 46 | 3 | % | 50 | 3 | % | Total MRCS | 46 | 2 | % | 50 | 3 | % | ||||||||||||||||||||||||||||||||||||||
Total regulatory capital stock | Total regulatory capital stock | $ | 2,168 | 100 | % | $ | 2,296 | 100 | % | Total regulatory capital stock | $ | 2,297 | 100 | % | $ | 2,296 | 100 | % |
Components | Components | March 31, 2022 | December 31, 2021 | Components | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Member capital stock not subject to outstanding redemption requests | Member capital stock not subject to outstanding redemption requests | $ | 705 | $ | 798 | Member capital stock not subject to outstanding redemption requests | $ | 636 | $ | 798 | ||||||||||||||||||
Member capital stock subject to outstanding redemption requests | Member capital stock subject to outstanding redemption requests | — | 14 | Member capital stock subject to outstanding redemption requests | — | 14 | ||||||||||||||||||||||
MRCS | MRCS | 23 | 28 | MRCS | 23 | 28 | ||||||||||||||||||||||
Total excess capital stock | Total excess capital stock | $ | 728 | $ | 840 | Total excess capital stock | $ | 659 | $ | 840 | ||||||||||||||||||
Excess stock as a percentage of regulatory capital stock | Excess stock as a percentage of regulatory capital stock | 34 | % | 37 | % | Excess stock as a percentage of regulatory capital stock | 29 | % | 37 | % |
Three Months Ended March 31, | Three Months Ended June 30, | Six Months Ended June 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
2022 | 2021 | 2022 | 2021 | 2022 | 2021 | |||||||||||||||||||||||||||||||||||||||||||||||
Weighted-average dividend rate (1) | Weighted-average dividend rate (1) | 2.31 | % | 2.50 | % | Weighted-average dividend rate (1) | 2.47 | % | 2.57 | % | 2.39 | % | 2.53 | % | ||||||||||||||||||||||||||||||||||||||
Dividend payout ratio (2) | Dividend payout ratio (2) | 45.46 | % | 46.70 | % | Dividend payout ratio (2) | 41.10 | % | 81.59 | % | 43.15 | % | 59.42 | % |
Risk-Based Capital Components | Risk-Based Capital Components | March 31, 2022 | December 31, 2021 | Risk-Based Capital Components | June 30, 2022 | December 31, 2021 | ||||||||||||||||||||||
Credit risk | Credit risk | $ | 170 | $ | 155 | Credit risk | $ | 160 | $ | 155 | ||||||||||||||||||
Market risk | Market risk | 714 | 684 | Market risk | 777 | 684 | ||||||||||||||||||||||
Operational risk | Operational risk | 265 | 252 | Operational risk | 281 | 252 | ||||||||||||||||||||||
Total risk-based capital requirement | Total risk-based capital requirement | $ | 1,149 | $ | 1,091 | Total risk-based capital requirement | $ | 1,218 | $ | 1,091 | ||||||||||||||||||
Permanent capital | Permanent capital | $ | 3,360 | $ | 3,473 | Permanent capital | $ | 3,509 | $ | 3,473 |
Director Composition | June 30, 2022 | January 1, 2023 | ||||||||||||
Member directors: | ||||||||||||||
Indiana | 5 | 5 | ||||||||||||
Michigan | 4 | 3 | ||||||||||||
Total member directors | 9 | 8 | ||||||||||||
Independent directors | 8 | 7 | ||||||||||||
Total directors | 17 | 15 |
March 31, 2022 | AA | A | Total | |||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | AA | A | Total | ||||||||||||||||||||||||||||||||||||
Domestic | Domestic | $ | — | $ | 100 | $ | 100 | Domestic | $ | — | $ | 910 | $ | 910 | ||||||||||||||||||||||||||
Australia | Australia | 875 | — | 875 | Australia | 1,110 | — | 1,110 | ||||||||||||||||||||||||||||||||
Canada | Canada | — | 765 | 765 | Canada | — | 801 | 801 | ||||||||||||||||||||||||||||||||
Total unsecured credit exposure | Total unsecured credit exposure | $ | 875 | $ | 865 | $ | 1,740 | Total unsecured credit exposure | $ | 1,110 | $ | 1,711 | $ | 2,821 |
March 31, 2022 | AA | A | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | AA | A | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Short-term investments: | Short-term investments: | Short-term investments: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | $ | — | $ | 100 | $ | 100 | Interest-bearing deposits | $ | — | $ | 325 | $ | 325 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 7,600 | — | 7,600 | Securities purchased under agreements to resell | 4,500 | — | 4,500 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold | Federal funds sold | 875 | 765 | 1,640 | Federal funds sold | 1,110 | 1,386 | 2,496 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total short-term investments | Total short-term investments | 8,475 | 865 | 9,340 | Total short-term investments | 5,610 | 1,711 | 7,321 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | 4,753 | — | 4,753 | U.S. Treasury obligations | 4,039 | — | 4,039 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 4,753 | — | 4,753 | Total trading securities | 4,039 | — | 4,039 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other investment securities: | Other investment securities: | Other investment securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | 1,481 | — | 1,481 | U.S. Treasury obligations | 2,106 | — | 2,106 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 2,240 | — | 2,240 | GSE and TVA debentures | 2,086 | — | 2,086 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 7,667 | — | 7,667 | GSE MBS | 7,360 | — | 7,360 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | Other U.S. obligations - guaranteed RMBS | 2,545 | — | 2,545 | Other U.S. obligations - guaranteed RMBS | 2,522 | — | 2,522 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other investment securities | Total other investment securities | 13,933 | — | 13,933 | Total other investment securities | 14,074 | — | 14,074 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total investments, carrying value | Total investments, carrying value | $ | 27,161 | $ | 865 | $ | 28,026 | Total investments, carrying value | $ | 23,723 | $ | 1,711 | $ | 25,434 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Percentage of total | Percentage of total | 97 | % | 3 | % | 100 | % | Percentage of total | 93 | % | 7 | % | 100 | % |
Three Months Ended June 30, 2022 | Six Months Ended June 30, 2022 | |||||||||||||||||||||||||||||||||||||
LRA Activity | Original | Advantage | Total | Original | Advantage | Total | ||||||||||||||||||||||||||||||||
Liability, beginning of period | $ | 4 | $ | 232 | $ | 236 | $ | 4 | $ | 227 | $ | 231 | ||||||||||||||||||||||||||
Additions | — | 4 | 4 | — | 9 | 9 | ||||||||||||||||||||||||||||||||
Claims paid | — | — | — | — | — | — | ||||||||||||||||||||||||||||||||
Distributions to PFIs | (2) | (3) | (5) | (2) | (3) | (5) | ||||||||||||||||||||||||||||||||
Liability, end of period | $ | 2 | $ | 233 | $ | 235 | $ | 2 | $ | 233 | $ | 235 |
March 31, 2022 | Notional Amount | Net Estimated Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure | ||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Notional Amount | Net Estimated Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure | |||||||||||||||||||||||||||||||||||||||||||||||
Non-member counterparties: | Non-member counterparties: | Non-member counterparties: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Asset positions with credit exposure | Asset positions with credit exposure | Asset positions with credit exposure | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared derivatives - A | Uncleared derivatives - A | $ | 91 | $ | 2 | $ | — | $ | 2 | Uncleared derivatives - A | $ | 89 | $ | 1 | $ | — | $ | 1 | ||||||||||||||||||||||||||||||||||
Uncleared derivatives - BBB | 5 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||
Liability positions with credit exposure | Liability positions with credit exposure | Liability positions with credit exposure | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared derivatives - A | Uncleared derivatives - A | 24,369 | (732) | 747 | 15 | Uncleared derivatives - A | 31,712 | (1,012) | 1,088 | 76 | ||||||||||||||||||||||||||||||||||||||||||
Uncleared derivatives - BBB | Uncleared derivatives - BBB | 3,314 | (82) | 84 | 2 | Uncleared derivatives - BBB | 2,801 | (102) | 111 | 9 | ||||||||||||||||||||||||||||||||||||||||||
Cleared derivatives (1) | Cleared derivatives (1) | 26,517 | (15) | 267 | 252 | Cleared derivatives (1) | 26,918 | (71) | 311 | 240 | ||||||||||||||||||||||||||||||||||||||||||
Total derivative positions with credit exposure to non-member counterparties | Total derivative positions with credit exposure to non-member counterparties | 54,296 | (827) | 1,098 | 271 | Total derivative positions with credit exposure to non-member counterparties | 61,520 | (1,184) | 1,510 | 326 | ||||||||||||||||||||||||||||||||||||||||||
Total derivative positions with credit exposure to member institutions (2) | Total derivative positions with credit exposure to member institutions (2) | 16 | — | — | — | Total derivative positions with credit exposure to member institutions (2) | 19 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Subtotal - derivative positions with credit exposure | Subtotal - derivative positions with credit exposure | 54,312 | $ | (827) | $ | 1,098 | $ | 271 | Subtotal - derivative positions with credit exposure | 61,539 | $ | (1,184) | $ | 1,510 | $ | 326 | ||||||||||||||||||||||||||||||||||||
Derivative positions without credit exposure | Derivative positions without credit exposure | 9,709 | Derivative positions without credit exposure | 3,416 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative positions | Total derivative positions | $ | 64,021 | Total derivative positions | $ | 64,955 |
March 31, 2022 | Down 200 (1) | Down 100 (1) | Base | Up 100 | Up 200 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | Down 200 (1) | Down 100 (1) | Base | Up 100 | Up 200 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MVE | MVE | $ | 3,271 | $ | 3,272 | $ | 3,275 | $ | 3,250 | $ | 3,219 | MVE | $ | 3,375 | $ | 3,352 | $ | 3,311 | $ | 3,275 | $ | 3,249 | ||||||||||||||||||||||||||||||||||||||||||
Percent change in MVE from base | Percent change in MVE from base | (0.1) | % | (0.1) | % | — | % | (0.8) | % | (1.7) | % | Percent change in MVE from base | 1.9 | % | 1.2 | % | — | % | (1.1) | % | (1.9) | % | ||||||||||||||||||||||||||||||||||||||||||
MVE/book value of equity | MVE/book value of equity | 95.7 | % | 95.7 | % | 95.8 | % | 95.1 | % | 94.2 | % | MVE/book value of equity | 95.8 | % | 95.2 | % | 94.0 | % | 93.0 | % | 92.2 | % | ||||||||||||||||||||||||||||||||||||||||||
Duration of equity | Duration of equity | 2.8 | (0.7) | 0.5 | 0.9 | 0.9 | Duration of equity | 0.3 | 1.0 | 1.2 | 1.0 | 0.7 |
December 31, 2021 | December 31, 2021 | December 31, 2021 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MVE | MVE | $ | 3,599 | $ | 3,485 | $ | 3,530 | $ | 3,556 | $ | 3,543 | MVE | $ | 3,599 | $ | 3,485 | $ | 3,530 | $ | 3,556 | $ | 3,543 | ||||||||||||||||||||||||||||||||||||||||||
Percent change in MVE from base | Percent change in MVE from base | 2.0 | % | (1.3) | % | 0 | % | 0.7 | % | 0.4 | % | Percent change in MVE from base | 2.0 | % | (1.3) | % | — | % | 0.7 | % | 0.4 | % | ||||||||||||||||||||||||||||||||||||||||||
MVE/book value of equity | MVE/book value of equity | 99.8 | % | 96.6 | % | 97.9 | % | 98.6 | % | 98.2 | % | MVE/book value of equity | 99.8 | % | 96.6 | % | 97.9 | % | 98.6 | % | 98.2 | % | ||||||||||||||||||||||||||||||||||||||||||
Duration of equity | Duration of equity | 0.9 | 1.7 | (1.3) | (0.1) | 0.6 | Duration of equity | 0.9 | 1.7 | (1.3) | (0.1) | 0.6 |
LIBOR-Indexed Financial Instruments | LIBOR-Indexed Financial Instruments | Year of Maturity | LIBOR-Indexed Financial Instruments | Year of Maturity | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2022 | 2022 | Through June 30, 2023 | Thereafter | Total | % of Total Outstanding | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
June 30, 2022 | June 30, 2022 | 2022 | Through June 30, 2023 | Thereafter | Total | % of Total Outstanding | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances, par value (1) | Advances, par value (1) | $ | 124 | $ | 48 | $ | 2,249 | $ | 2,421 | 9 | % | Advances, par value (1) | $ | 24 | $ | 48 | $ | 2,240 | $ | 2,312 | 7 | % | ||||||||||||||||||||||||||||||||||||||||||
MBS, par value (2) | MBS, par value (2) | — | — | 2,495 | 2,495 | 25 | % | MBS, par value (2) | — | — | 2,306 | 2,306 | 22 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 124 | $ | 48 | $ | 4,744 | $ | 4,916 | Total | $ | 24 | $ | 48 | $ | 4,546 | $ | 4,618 | ||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps - receive leg, notional (2): | Interest-rate swaps - receive leg, notional (2): | Interest-rate swaps - receive leg, notional (2): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | $ | 1,046 | $ | 767 | $ | 2,320 | $ | 4,133 | 16 | % | Cleared | $ | 648 | $ | 760 | $ | 2,196 | $ | 3,604 | 13 | % | ||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | 105 | 314 | 5,570 | 5,989 | 16 | % | Uncleared | 105 | 314 | 3,308 | 3,727 | 10 | % | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 1,151 | $ | 1,081 | $ | 7,890 | $ | 10,122 | Total | $ | 753 | $ | 1,074 | $ | 5,504 | $ | 7,331 | ||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps - pay leg, notional (2): | Interest-rate swaps - pay leg, notional (2): | Interest-rate swaps - pay leg, notional (2): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | $ | 2,930 | $ | 2,200 | $ | 300 | $ | 5,430 | 20 | % | Cleared | $ | 2,230 | $ | 2,200 | $ | 300 | $ | 4,730 | 18 | % | ||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 2,930 | $ | 2,200 | $ | 300 | $ | 5,430 | Total | $ | 2,230 | $ | 2,200 | $ | 300 | $ | 4,730 | ||||||||||||||||||||||||||||||||||||||||||||||
Other derivatives, notional: | Other derivatives, notional: | Other derivatives, notional: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate caps held (2) | Interest-rate caps held (2) | $ | 15 | $ | — | $ | 611 | $ | 626 | 100 | % | Interest-rate caps held (2) | $ | — | $ | — | $ | 611 | $ | 611 | 100 | % |
December 31, 2021 | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Advances, par value (1) | $ | 134 | $ | 48 | $ | 2,259 | $ | 2,441 | 9 | % | ||||||||||||||||||||||
MBS, par value (2) | — | — | 2,669 | 2,669 | 25 | % | ||||||||||||||||||||||||||
Total | $ | 134 | $ | 48 | $ | 4,928 | $ | 5,110 | ||||||||||||||||||||||||
Interest-rate swaps - receive leg, notional (2): | ||||||||||||||||||||||||||||||||
Cleared | $ | 1,366 | $ | 767 | $ | 2,336 | $ | 4,469 | 20 | % | ||||||||||||||||||||||
Uncleared | 320 | 314 | 6,176 | 6,810 | 21 | % | ||||||||||||||||||||||||||
Total | $ | 1,686 | $ | 1,081 | $ | 8,512 | $ | 11,279 | ||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
Interest-rate swaps - pay leg, notional (2): | ||||||||||||||||||||||||||||||||
Cleared | $ | 3,134 | $ | 1,150 | $ | — | $ | 4,284 | 19 | % | ||||||||||||||||||||||
Total | $ | 3,134 | $ | 1,150 | $ | — | $ | 4,284 | ||||||||||||||||||||||||
Other derivatives, notional: | ||||||||||||||||||||||||||||||||
Interest-rate caps held (2) | $ | 15 | $ | — | $ | 611 | $ | 626 | 100 | % |
Exhibit Number | Description | |||||||
10.1*+ | ||||||||
31.1 | ||||||||
31.2 | ||||||||
31.3 | ||||||||
32 | ||||||||
101.INS | XBRL Instance Document | |||||||
101.SCH | XBRL Taxonomy Extension Schema Document | |||||||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |||||||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |||||||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | |||||||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document | |||||||
104 | Cover Page Interactive Data File (formatted as inline XBRL) |
FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||||||||
By: | /s/ K. LOWELL SHORT, JR. | |||||||
Name: | K. Lowell Short, Jr. | |||||||
Title: | Senior Vice President - Chief Accounting Officer |