Document and Entity Information
Document and Entity Information Document - shares | 9 Months Ended | |
Sep. 30, 2021 | Oct. 31, 2021 | |
Entity Information | ||
Document Transition Report | false | |
Document Quarterly Report | true | |
Entity Incorporation, State or Country Code | X1 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF SAN FRANCISCO | |
Entity Central Index Key | 0001316944 | |
Document Type | 10-Q | |
Entity File Number | 000-51398 | |
Document Period End Date | Sep. 30, 2021 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2021 | |
Document Fiscal Period Focus | Q3 | |
Current Fiscal Year End Date | --12-31 | |
Entity Emerging Growth Company | false | |
Entity Small Business | false | |
Entity Current Reporting Status | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Tax Identification Number | 94-6000630 | |
Entity Address, Address Line One | 333 Bush Street, Suite 2700 | |
Entity Address, City or Town | San Francisco, | |
Entity Address, State or Province | CA | |
Entity Address, Postal Zip Code | 94104 | |
City Area Code | 415 | |
Local Phone Number | 616-1000 | |
Entity Interactive Data Current | Yes | |
Entity Shell Company | false | |
Common Stock, Shares, Outstanding | 21,330,563 |
Statements of Condition
Statements of Condition - USD ($) shares in Millions, $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 | |
Assets: | |||
Cash and due from banks | $ 55 | $ 174 | |
Interest-bearing deposits | 1,125 | 1,078 | |
Securities purchased under agreements to resell | 6,500 | 7,250 | |
Federal funds sold | 6,133 | 1,880 | |
Trading Securities | [1] | 2,260 | 4,260 |
Available-for-sale (AFS) securities, net of allowance for credit losses of $15 and $21, respectively (amortized cost of $10,504 and $15,456, respectively) | [2] | 10,825 | 15,679 |
Held-to-maturity (HTM) securities (fair values were $3,551 and $5,155 respectively) | [1] | 3,521 | 5,081 |
Advances (includes $1,952 and $2,147 at fair value under the fair value option, respectively) | 22,613 | 30,976 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $4, respectively | 1,134 | 1,935 | |
Accrued interest receivable | 61 | 82 | |
Derivative assets, net | 11 | 3 | |
Other assets | 221 | 236 | |
Total Assets | 54,459 | 68,634 | |
Liabilities: | |||
Deposits | 826 | 887 | |
Consolidated obligations: | |||
Bonds (includes $521 and $111 at fair value under the fair value option, respectively) | 22,025 | 44,408 | |
Discount notes | 24,814 | 16,213 | |
Total consolidated obligations | 46,839 | 60,621 | |
Mandatorily redeemable capital stock | 4 | 2 | |
Accrued interest payable | 25 | 24 | |
Affordable Housing Program (AHP) payable | 122 | 120 | |
Derivative liabilities, net | 9 | 12 | |
Other liabilities | 260 | 774 | |
Total Liabilities | 48,085 | 62,440 | |
Commitments and Contingencies (Note 13) | |||
Capital: | |||
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 23 shares and 23 shares, respectively | 2,253 | 2,284 | |
Unrestricted retained earnings | 3,059 | 2,919 | |
Restricted retained earnings | 743 | 761 | |
Total Retained Earnings | 3,802 | 3,680 | |
Accumulated other comprehensive income/(loss) (AOCI) | 319 | 230 | |
Total Capital | 6,374 | 6,194 | |
Total Liabilities and Capital | 54,459 | 68,634 | |
Amortized Cost of AFS | [3] | 10,504 | 15,456 |
Allowance for Credit Losses on AFS | 15 | 21 | |
HTM Securities, Fair Value | 3,551 | 5,115 | |
Fair Value of Advances Under the Fair Value Option | [4] | 1,952 | 2,147 |
Allowance for credit losses on mortgage loans | $ 1 | 4 | |
Common Stock, Par or Stated Value Per Share | $ 100 | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 284 | 379 | |
Trading securities pledged as collateral that may be repledged | 0 | 0 | |
HTM securities pledged as collateral that may be repledged | 0 | 0 | |
Portion at Fair Value Measurement | |||
Fair Value of Advances Under the Fair Value Option | 1,952 | 2,147 | |
Fair Value of Bonds Under the Fair Value Option | $ 521 | $ 111 | |
Common Class B [Member] | |||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 | |
Common Stock, Shares, Outstanding | 23 | 23 | |
Common Stock, Shares, Issued | 23 | 23 | |
[1] | At September 30, 2021, and December 31, 2020, none of these securities were pledged as collateral that may be repledged. | ||
[2] | At September 30, 2021, and December 31, 2020, $284 and $379, respectively, of these securities were pledged as collateral that may be repledged. | ||
[3] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $30 and $46 at September 30, 2021, and December 31, 2020, respectively. | ||
[4] | At September 30, 2021, and December 31, 2020, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |||
Interest Income: | ||||||
Advances | $ 47 | $ 88 | $ 167 | $ 509 | ||
Interest-bearing deposits | 0 | 1 | 1 | 14 | ||
Securities purchased under agreements to resell | 1 | 1 | 1 | 20 | ||
Federal funds sold | 2 | 1 | 4 | 16 | ||
Trading Securities | 13 | 23 | 54 | 61 | ||
AFS Securities | 57 | 67 | 168 | 179 | ||
HTM securities | 10 | 19 | 34 | 92 | ||
Mortgage loans held for portfolio | 7 | 7 | 34 | 22 | ||
Total Interest Income | 137 | 207 | 463 | 913 | ||
Interest Expense: | ||||||
Bonds | 13 | 47 | 49 | 405 | ||
Discount notes | 3 | 12 | 10 | 163 | ||
Deposits | 1 | 0 | 1 | 2 | ||
Mandatorily redeemable capital stock | 0 | [1] | 1 | [1] | 0 | 5 |
Total Interest Expense | 17 | 60 | 60 | 575 | ||
Net Interest Income | 120 | 147 | 403 | 338 | ||
Provision for/(reversal of) credit loss | 0 | (2) | (8) | 30 | ||
Net Interest Income After Provision for/(Reversal of) Credit Losses | 120 | 149 | 411 | 308 | ||
Other Income/(Loss): | ||||||
Net gain/(loss) on trading securities | (13) | (19) | (50) | 36 | ||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | (9) | (7) | (40) | 96 | ||
Net Gain/(Loss) on Derivatives | 15 | 5 | 25 | (156) | ||
Gain on disgorgement settlement | 0 | 85 | 0 | 85 | ||
Other, net | 4 | 6 | 15 | 18 | ||
Total Other Income/(Loss) | (3) | 70 | (50) | 79 | ||
Other Expense: | ||||||
Compensation and benefits | 22 | 23 | 70 | 65 | ||
Other operating expense | 13 | 14 | 37 | 41 | ||
Federal Housing Finance Agency | 2 | 2 | 6 | 6 | ||
Office of Finance | 1 | 1 | 4 | 4 | ||
Other, net | 0 | 0 | (1) | 3 | ||
Total Other Expense | 38 | 40 | 116 | 119 | ||
Income/(Loss) Before Assessment | 79 | 179 | 245 | 268 | ||
AHP Assessment | 8 | 18 | 25 | 27 | ||
Net Income/(Loss) | $ 71 | $ 161 | $ 220 | $ 241 | ||
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Statement of Comprehensive Income [Abstract] | ||||
Net Income/(Loss) | $ 71 | $ 161 | $ 220 | $ 241 |
Other Comprehensive Income/(Loss): | ||||
Net unrealized gain/(loss) on AFS securities | (72) | 172 | 92 | (138) |
Net change in pension and postretirement benefits | (3) | (1) | (3) | (1) |
Net non-credit-related gain/(loss) on HTM securities | 0 | 0 | 0 | 1 |
Total other comprehensive income/(loss) | (75) | 171 | 89 | (138) |
Total Comprehensive Income/(Loss) | $ (4) | $ 332 | $ 309 | $ 103 |
Statements of Capital Accounts
Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions | Total | Total Retained Earnings | Total Restricted Retained Earnings | Unrestricted Retained Earnings | Accumulated Other Comprehensive Income/(Loss) | Common Class B - PutableCommon Stock | Adoption of ASU 2016-13 | Adoption of ASU 2016-13Total Retained Earnings | Adoption of ASU 2016-13Unrestricted Retained Earnings | Adoption of ASU 2016-13Accumulated Other Comprehensive Income/(Loss) |
Balance, Shares at Dec. 31, 2019 | 30 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Issuance of capital stock, shares | 8 | |||||||||
Repurchase of capital stock, shares | (13) | |||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||||||
Balance, Shares at Sep. 30, 2020 | 25 | |||||||||
Balance at Dec. 31, 2019 | $ 6,741 | $ 3,467 | $ 713 | $ 2,754 | $ 274 | $ 3,000 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Comprehensive Income (Loss) | 103 | 241 | 48 | 193 | (138) | |||||
Issuance of capital stock, value | 781 | 781 | ||||||||
Repurchase of capital stock, value | (1,313) | (1,313) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (3) | (3) | ||||||||
Partial Recovery of Prior Capital Distribution to Financing Corporation | 40 | 40 | 40 | |||||||
Cash dividends on capital stock | (126) | (126) | (126) | |||||||
Balance at Sep. 30, 2020 | $ 6,220 | 3,619 | 761 | 2,858 | 136 | $ 2,465 | ||||
Balance (Adjustment for cumulative effect of accounting change - ASU 2016-13) at Sep. 30, 2020 | $ 0 | |||||||||
Balance (Adjustment for cumulative effect of accounting change - ASU 2016-13) at Sep. 30, 2020 | $ (3) | $ (3) | $ (3) | |||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Dividends, Cash, Annualized Rate | 5.68% | |||||||||
Balance, Shares at Jun. 30, 2020 | 27 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Issuance of capital stock, shares | 0 | |||||||||
Repurchase of capital stock, shares | (2) | |||||||||
Balance, Shares at Sep. 30, 2020 | 25 | |||||||||
Balance at Jun. 30, 2020 | $ 6,127 | 3,494 | 729 | 2,765 | (35) | $ 2,668 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Comprehensive Income (Loss) | 332 | 161 | 32 | 129 | 171 | |||||
Issuance of capital stock, value | 30 | 30 | ||||||||
Repurchase of capital stock, value | (233) | (233) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | 0 | |||||||||
Cash dividends on capital stock | (36) | (36) | (36) | |||||||
Balance at Sep. 30, 2020 | $ 6,220 | 3,619 | 761 | 2,858 | 136 | $ 2,465 | ||||
Balance (Adjustment for cumulative effect of accounting change - ASU 2016-13) at Sep. 30, 2020 | $ 0 | |||||||||
Balance (Adjustment for cumulative effect of accounting change - ASU 2016-13) at Sep. 30, 2020 | $ (3) | $ (3) | $ (3) | |||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Dividends, Cash, Annualized Rate | 5.00% | |||||||||
Balance, Shares at Dec. 31, 2020 | 23 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Issuance of capital stock, shares | 7 | |||||||||
Repurchase of capital stock, shares | (7) | |||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||||||
Balance, Shares at Sep. 30, 2021 | 23 | |||||||||
Balance at Dec. 31, 2020 | $ 6,194 | 3,680 | 761 | 2,919 | 230 | $ 2,284 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Comprehensive Income (Loss) | 309 | 220 | 0 | 220 | 89 | |||||
Issuance of capital stock, value | 685 | 685 | ||||||||
Repurchase of capital stock, value | (700) | (700) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (16) | (16) | ||||||||
Transfers from restricted retained earnings | 0 | 0 | (18) | (18) | ||||||
Partial Recovery of Prior Capital Distribution to Financing Corporation | 0 | |||||||||
Cash dividends on capital stock | (98) | (98) | (98) | |||||||
Balance at Sep. 30, 2021 | $ 6,374 | 3,802 | 743 | 3,059 | 319 | $ 2,253 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Dividends, Cash, Annualized Rate | 5.65% | |||||||||
Balance, Shares at Jun. 30, 2021 | 23 | |||||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Issuance of capital stock, shares | 4 | |||||||||
Repurchase of capital stock, shares | (4) | |||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||||||
Balance, Shares at Sep. 30, 2021 | 23 | |||||||||
Balance at Jun. 30, 2021 | $ 6,428 | 3,765 | 761 | 3,004 | 394 | $ 2,269 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Comprehensive Income (Loss) | (4) | 71 | 0 | 71 | (75) | |||||
Issuance of capital stock, value | 357 | 357 | ||||||||
Repurchase of capital stock, value | (360) | (360) | ||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (13) | (13) | ||||||||
Transfers from restricted retained earnings | 0 | 0 | (18) | (18) | ||||||
Cash dividends on capital stock | (34) | (34) | (34) | |||||||
Balance at Sep. 30, 2021 | $ 6,374 | $ 3,802 | $ 743 | $ 3,059 | $ 319 | $ 2,253 | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||||
Dividends, Cash, Annualized Rate | 6.00% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2021 | Sep. 30, 2020 | |
Net Cash Provided by (Used in) Operating Activities | ||
Net Income/(Loss) | $ 220 | $ 241 |
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: | ||
Depreciation and amortization/(accretion) | 60 | 15 |
Provision for/(reversal of) credit loss | (8) | 30 |
Change in net fair value of Trading Securities | 50 | (36) |
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | 40 | (96) |
Change in net derivatives and hedging activities | 417 | (1,180) |
Other Adjustments, net | 5 | 7 |
Net change in: | ||
Accrued interest receivable | 22 | 41 |
Other assets | 8 | (2) |
Accrued interest payable | 1 | (133) |
Other liabilities | (13) | (41) |
Total adjustments | 582 | (1,395) |
Net cash provided by/(used in) operating activities | 802 | (1,154) |
Net Cash Provided by (Used in) Investing Activities | ||
Interest-bearing deposits | (10) | 834 |
Securities purchased under agreements to resell | 750 | 250 |
Federal funds sold | (4,253) | 1,239 |
Trading securities: | ||
Proceeds | 1,950 | 1 |
Purchases | 0 | (2,480) |
AFS securities: | ||
Proceeds | 8,334 | 1,929 |
Purchases | (4,275) | (525) |
HTM securities: | ||
Proceeds | 1,560 | 1,830 |
Advances: | ||
Repaid | 111,264 | 453,774 |
Originated | (103,233) | (425,576) |
Mortgage loans held for portfolio: | ||
Principal collected | 805 | 1,295 |
Purchases | (7) | (446) |
Other Investing Activities, net | 0 | (2) |
Net cash provided by/(used in) investing activities | 12,885 | 32,123 |
Net Cash Provided by (Used in) Financing Activities | ||
Net change in deposits and other financing activities | 65 | 472 |
Net (payments)/proceeds on derivative contracts with financing elements | (32) | (133) |
Net proceeds from issuance of consolidated obligations: | ||
Bonds | 15,174 | 41,669 |
Discount notes | 61,597 | 98,750 |
Payments for matured and retired consolidated obligations: | ||
Bonds | (37,491) | (58,137) |
Discount notes | (52,992) | (112,776) |
Proceeds from issuance of capital stock | 685 | 781 |
Repurchase/redemption of mandatorily redeemable capital stock | (14) | (139) |
Payments for repurchase of capital stock | (700) | (1,313) |
Cash dividends paid | (98) | (126) |
Partial Recovery of Prior Capital Distribution to Financing Corporation | 0 | 40 |
Net cash provided by/(used in) financing activities | (13,806) | (30,912) |
Net increase/(decrease) in cash and due from banks | (119) | 57 |
Cash and due from banks beginning of period | 174 | 118 |
Cash and due from banks end of period | 55 | 175 |
Supplemental Disclosures: | ||
Interest paid | 78 | 706 |
AHP payments | $ 23 | $ 50 |
Basis of Presentation (Notes)
Basis of Presentation (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Basis of Presentation The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2021. These unaudited financial statements should be read in conjunction with the Bank’s Annual Report on Form 10-K for the year ended December 31, 2020 (2020 Form 10-K). There have been no changes to the basis of presentation of the Bank’s financial instruments meeting netting requirements or of the Bank’s investments in variable interest entities disclosed in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2020 Form 10-K. Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include: • accounting for derivatives; • estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and • estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded prior to the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans. Actual results could differ significantly from these estimates. Out-of-Period Adjustments in the Statements of Condition and Statements of Income. In the third quarter of 2021, the Bank identified five hedge strategy elections that originated starting in the fourth quarter of 2020 where the transactions were incorrectly designated as fair value hedges when they should have been recorded as non-hedge qualifying economic hedges. The incorrect designations resulted in misstatements to previously issued financial statements as presented in the following tables. December 31, 2020 March 31, 2021 June 30, 2021 As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) Advances $ 30,976 $ 1 $ 28,140 $ (17) $ 24,194 $ (13) Total Assets 68,634 1 57,908 (17) 54,244 (13) As Reported Overstatement/(Understatement) Year ended December 31, 2020: Net gain/(loss) on derivatives $ (152) $ 1 Income/(loss) before assessments 373 1 Three months ended March 31, 2021: Net gain/(loss) on derivatives $ 18 $ (18) Income/(loss) before assessments 104 (18) Three months ended June 30, 2021: Net gain/(loss) on derivatives $ (8) $ 4 Income/(loss) before assessments 62 4 Six months ended June 30, 2021: Net gain/(loss) on derivatives $ 10 $ (14) Income/(loss) before assessments 166 (14) The Bank made out-of-period adjustments to reverse the net impact on the Bank’s financial statements resulting from the incorrect designations in the third quarter of 2021. These adjustments resulted in an increase in advances and net gain/(loss) on derivatives by $13 for the three months ended September 30, 2021, and an understatement of net gain/(loss) on derivatives of $1 for the nine months ended September 30, 2021. The Bank has evaluated the impact of these adjustments, on a quantitative and qualitative basis, and has concluded that these adjustments were not material to the current and any previously issued financial statements. Descriptions of the Bank’s significant accounting policies are included in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2020 Form 10-K. Other changes to these policies as of September 30, 2021, are discussed in Note 2 – Recently Issued Accounting Guidance. |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Issued Accounting Guidance | Note 2 — Recently Issued Accounting Guidance The following table provides a summary of recently issued accounting standards that may have an effect on the financial statements. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04) This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: This guidance is effective immediately for the Bank, and the Bank may elect to apply the amendments prospectively through December 31, 2022. The Bank has assessed the guidance and has elected some of the optional expedients and exceptions provided. In particular, during the fourth quarter of 2020, the Bank elected optional expedients specific to the discounting transition for cleared derivative transactions on a retrospective basis, which did not have a material effect. Additionally, the Bank elected optional expedients related to the discounting transition for uncleared derivative transactions on a prospective basis during the third quarter of 2021, which did not have a material effect. |
Investments (Notes)
Investments (Notes) | 9 Months Ended |
Sep. 30, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-Sale Securities | Investments The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold, and may make other investments in debt securities, which are classified as trading, AFS, or HTM. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received an investment grade credit rating of BBB or greater by a nationally recognized statistical rating organization (NRSRO). At September 30, 2021, and December 31, 2020, none of these investments were with counterparties rated below BBB nor with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. Federal funds sold are unsecured loans that are generally transacted on an overnight term. Federal Housing Finance Agency (Finance Agency) regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At September 30, 2021, and December 31, 2020, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at September 30, 2021, and December 31, 2020. Carrying values of interest-bearing deposits and Federal funds sold exclude de minimis amounts of accrued interest receivable as of September 30, 2021, and December 31, 2020. Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at September 30, 2021, and December 31, 2020. The carrying value of securities purchased under agreements excludes de minimis amounts of accrued interest receivable as of September 30, 2021, and December 31, 2020. Debt Securities The Bank invests in debt securities, which are classified as either trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private-label residential mortgage-backed securities (PLRMBS) that are supported by underlying mortgage loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher risk securities, such as equity securities and debt instruments that are not investment quality at time of purchase. Trading Securities. The estimated fair value of trading securities as of September 30, 2021, and December 31, 2020, was as follows: September 30, 2021 December 31, 2020 U.S. obligations – Treasury notes $ 2,258 $ 4,257 MBS – Other U.S. obligations – Ginnie Mae 2 3 Total $ 2,260 $ 4,260 The net gain/(loss) on trading securities was $(13) and $(19) for the three months ended September 30, 2021 and 2020, respectively, of which $(12) and $(19) related to unrealized gain/(loss) on trading securities held at September 30, 2021 and 2020, respectively. The net gain/(loss) on trading securities was $(50) and $36 for the nine months ended September 30, 2021 and 2020, respectively, of which $(34) and $36 related to unrealized gain/(loss) on trading securities held at September 30, 2021 and 2020, respectively. These amounts represent the changes in the fair value of the securities during the reported periods. Available-for-Sale Securities. AFS securities by major security type as of September 30, 2021, and December 31, 2020, were as follows: September 30, 2021 Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. obligations – Treasury notes $ 856 $ — $ — $ — $ 856 MBS: Government Sponsored Enterprises (GSEs) – multifamily: Freddie Mac 792 — 26 — 818 Fannie Mae 7,318 — 129 — 7,447 Subtotal MBS – GSEs – multifamily 8,110 — 155 — 8,265 PLRMBS: Prime 142 — 13 — 155 Alt-A 1,396 (15) 173 (5) 1,549 Subtotal PLRMBS 1,538 (15) 186 (5) 1,704 Total MBS 9,648 (15) 341 (5) 9,969 Total $ 10,504 $ (15) $ 341 $ (5) $ 10,825 December 31, 2020 Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. obligations – Treasury securities: U.S. Treasury notes $ 2,980 $ — $ 3 $ — $ 2,983 U.S. Treasury bills 2,000 — — — 2,000 Total U.S. obligations – Treasury securities 4,980 — 3 — 4,983 MBS: GSEs – multifamily: Freddie Mac 833 — 18 — 851 Fannie Mae 7,744 — 72 (6) 7,810 Subtotal MBS – GSEs – multifamily 8,577 — 90 (6) 8,661 PLRMBS: Prime 174 (1) 9 — 182 Alt-A 1,725 (20) 168 (20) 1,853 Subtotal PLRMBS 1,899 (21) 177 (20) 2,035 Total MBS 10,476 (21) 267 (26) 10,696 Total $ 15,456 $ (21) $ 270 $ (26) $ 15,679 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $30 and $46 at September 30, 2021, and December 31, 2020, respectively. At September 30, 2021, the amortized cost of the Bank’s MBS classified as AFS included premiums of $60, discounts of $42, and credit-related other-than-temporary impairment (OTTI) of $424 for AFS securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2020, the amortized cost of the Bank’s MBS classified as AFS included premiums of $65, discounts of $47, and credit-related OTTI of $486 for AFS securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. The following tables summarize the AFS securities with unrealized losses as of September 30, 2021, and December 31, 2020. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position. September 30, 2021 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized U.S. obligations – Treasury notes $ 350 $ — $ — $ — $ 350 $ — MBS – GSEs – multifamily – Fannie Mae 77 — — — 77 — PLRMBS: Prime — — 6 — 6 — Alt-A — — 172 5 172 5 Subtotal PLRMBS — — 178 5 178 5 Total $ 427 $ — $ 178 $ 5 $ 605 $ 5 December 31, 2020 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized U.S. obligations – Treasury notes $ 501 $ — $ — $ — $ 501 $ — MBS – GSEs – multifamily – Fannie Mae 731 6 222 — 953 6 PLRMBS: Prime 4 — 7 — 11 — Alt-A 151 7 168 13 319 20 Subtotal PLRMBS 155 7 175 13 330 20 Total $ 1,387 $ 13 $ 397 $ 13 $ 1,784 $ 26 Redemption Terms. The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2021, and December 31, 2020, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees. September 30, 2021 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS – Due in 1 year or less $ 856 $ 856 MBS 9,648 9,969 Total $ 10,504 $ 10,825 December 31, 2020 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS: Due in 1 year or less $ 4,469 $ 4,470 Due after 1 year through 5 years 511 513 Subtotal 4,980 4,983 MBS 10,476 10,696 Total $ 15,456 $ 15,679 Held-to-Maturity Securities. The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity: September 30, 2021 Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 135 $ 3 $ — $ 138 MBS – GSEs – single-family: Freddie Mac 250 7 — 257 Fannie Mae 885 15 (1) 899 Subtotal MBS – GSEs – single-family 1,135 22 (1) 1,156 MBS – GSEs – multifamily: Freddie Mac 1,308 5 — 1,313 Fannie Mae 709 — (3) 706 Subtotal MBS – GSEs – multifamily 2,017 5 (3) 2,019 Subtotal MBS – GSEs 3,152 27 (4) 3,175 PLRMBS: Prime 149 1 (1) 149 Alt-A 85 4 — 89 Subtotal PLRMBS 234 5 (1) 238 Total $ 3,521 $ 35 $ (5) $ 3,551 December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 261 $ 7 $ — $ 268 MBS – GSEs – single-family: Freddie Mac 511 11 — 522 Fannie Mae 1,229 21 (1) 1,249 Subtotal MBS – GSEs – single-family 1,740 32 (1) 1,771 MBS – GSEs – multifamily: Freddie Mac 1,844 2 (2) 1,844 Fannie Mae 945 — (1) 944 Subtotal MBS – GSEs – multifamily 2,789 2 (3) 2,788 Subtotal MBS – GSEs 4,529 34 (4) 4,559 PLRMBS: Prime 185 — (4) 181 Alt-A 106 3 (2) 107 Subtotal PLRMBS 291 3 (6) 288 Total $ 5,081 $ 44 $ (10) $ 5,115 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $3 and $5 at September 30, 2021, and December 31, 2020, respectively. (2) Gross unrecognized gains/(losses) represent the difference between estimated fair value and net carrying value. Expected maturities of MBS classified as HTM will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees. At September 30, 2021, the amortized cost of the Bank’s MBS classified as HTM included premiums of $4, discounts of $4, and credit-related OTTI of $6 for HTM securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. At December 31, 2020, the amortized cost of the Bank’s MBS classified as HTM included premiums of $5, discounts of $6, and credit-related OTTI of $6 for HTM securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020. Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three and nine months ended September 30, 2021 and 2020. The Bank recorded no allowance for credit losses associated with HTM securities during the three and nine months ended September 30, 2021 and 2020. Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Balance, beginning of the period $ 14 $ 29 $ 21 $ — (Charge-offs)/recoveries — (1) (1) (2) Provision for/(reversal of) credit losses 1 (4) (5) 26 Balance, end of the period $ 15 $ 24 $ 15 $ 24 To evaluate investment securities for credit loss at September 30, 2021, the Bank employed the following methodologies, based on the type of security. AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at September 30, 2021, and December 31, 2020, substantially all of AFS securities and HTM securities, based on amortized cost, were rated A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. At September 30, 2021, and December 31, 2020, certain of the Bank’s AFS securities were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments. In addition, substantially all of these securities carry an implicit or explicit government guarantee. As a result, no allowance for credit losses was recorded on these AFS securities at September 30, 2021, and December 31, 2020. As of September 30, 2021, and December 31, 2020, the Bank had not established an allowance for credit loss on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity, (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of GSE or other U.S. obligations, carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, many of these securities have subsequently experienced significant credit deterioration. As of September 30, 2021, and December 31, 2020, approximately 5% and 6%, respectively, of PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses. For certain PLRMBS where underlying collateral data is not available, alternative procedures as determined by the Bank are used to assess these securities for credit loss measurement. At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using: • expected housing price changes; • expected interest rate assumptions; • the remaining payment terms for the security; • expected default rates based on underlying loan-level borrower and loan characteristics; • loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics; and • prepayment speeds based on underlying loan-level borrower and loan characteristics. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in these assumptions and expectations. The cash flows determined reflects management’s expectations and includes a base case housing price forecast for near- and long-term horizons. For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. For securities with an OTTI recognized pursuant to the impairment guidance in effect prior to January 1, 2020, as of September 30, 2021 (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), the following table presents a summary of the significant inputs used in measuring the fair value of PLRMBS classified as Level 3 as of September 30, 2021, and the related current credit enhancement for the Bank. September 30, 2021 Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Collateral Type at Origination Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Prime 15.8 4.0 86.5 13.1 Alt-A 10.9 8.1 49.5 7.5 Total 11.3 7.8 52.9 8.1 (1) Weighted average percentage is based on unpaid principal balance. Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. The calculated averages represent the dollar-weighted averages of all the PLRMBS investments in each category shown. The classification is based on the model used to run the estimated cash flows for the CUSIP, which may not necessarily be the same as the classification at the time of origination. The total net accretion recognized in interest income associated with PLRMBS that were other-than-temporarily impaired prior to January 1, 2020, totaled $19 and $17 for the three months ended September 30, 2021 and 2020, respectively, and $52 and $54 for the nine months ended September 30, 2021 and 2020, respectively. Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities totaled $13 and $14 for the three months ended September 30, 2021 and 2020, respectively, and $39 and $45 for the nine months ended September 30, 2021 and 2020, respectively. In general, the Bank elects to transfer any PLRMBS that incurred a credit loss during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. The Bank recognized a credit loss on these HTM PLRMBS, which the Bank believes is evidence of a significant decline in the credit quality of the underlying collateral. The decline in the credit quality of the underlying collateral is the basis for the transfers to the AFS portfolio. These transfers allow the Bank the option to sell these securities prior to maturity in view of changes in interest rates, changes in prepayment risk, or other factors, while recognizing the Bank’s intent to hold these securities for an indefinite period of time. The Bank did not transfer any PLRMBS from its HTM portfolio to its AFS portfolio during the three and nine months ended September 30, 2021, nor during the three months ended September 30, 2020. The Bank transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value of $1 during the nine months ended September 30, 2020. |
Advances
Advances | 9 Months Ended |
Sep. 30, 2021 | |
Federal Home Loan Banks [Abstract] | |
Advances | Advances The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from less than 30 days to 10 years, with the interest rates resetting periodically at a fixed spread to a specified index. Redemption Terms. The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.13% to 8.57% at September 30, 2021, and 0.00% to 8.57% at December 31, 2020, as summarized below. September 30, 2021 December 31, 2020 Redemption Term Amount Outstanding (1) Weighted Amount Outstanding (1) Weighted Within 1 year $ 8,632 1.61 % $ 11,862 1.65 % After 1 year through 2 years 2,514 1.53 6,399 1.61 After 2 years through 3 years 2,468 1.65 4,321 2.10 After 3 years through 4 years 4,082 1.34 2,704 1.79 After 4 years through 5 years 3,365 1.83 3,278 1.26 After 5 years 1,246 2.08 1,774 1.79 Total par value 22,307 1.62 % 30,338 1.68 % Valuation adjustments for hedging activities 220 509 Valuation adjustments under fair value option 86 130 Unamortized discounts — (1) Total $ 22,613 $ 30,976 (1) Carrying amounts exclude accrued interest receivable of $5 and $6 at September 30, 2021, and December 31, 2020, respectively. Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is generally charged a prepayment fee intended to make the Bank financially indifferent to the prepayment. In addition, for certain advances with full or partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. The Bank had advances with full prepayment symmetry outstanding totaling $14,363 at September 30, 2021, and $19,919 at December 31, 2020. The Bank had advances with partial prepayment symmetry outstanding totaling $1,596 at September 30, 2021, and $1,817 at December 31, 2020. Some advances may be repaid on pertinent call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $70 at September 30, 2021, and $1,100 at December 31, 2020. The Bank had putable advances totaling $220 at September 30, 2021, and $220 December 31, 2020. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase relative to contractual rates. The following table summarizes advances at September 30, 2021, and December 31, 2020, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances. Earlier of Redemption Earlier of Redemption September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 Within 1 year $ 8,702 $ 12,962 $ 8,852 $ 12,082 After 1 year through 2 years 2,514 5,299 2,514 6,399 After 2 years through 3 years 2,418 4,321 2,468 4,321 After 3 years through 4 years 4,082 2,704 4,082 2,704 After 4 years through 5 years 3,365 3,278 3,365 3,278 After 5 years 1,226 1,774 1,026 1,554 Total par value $ 22,307 $ 30,338 $ 22,307 $ 30,338 Concentration Risk. The following tables present the concentration in advances to the top five borrowers and their affiliates at September 30, 2021 and 2020. The tables also present the interest income from these advances before the impact of interest rate exchange agreements associated with these advances for the three and nine months ended September 30, 2021 and 2020. September 30, 2021 Three Months Ended Nine Months Ended Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of First Republic Bank $ 7,700 35 % $ 28 29 % $ 103 32 % MUFG Union Bank, National Association 4,075 18 24 25 83 25 First Technology Federal Credit Union 1,776 8 7 7 21 6 Luther Burbank Savings 752 3 3 3 11 3 Banc of California, National Association 411 2 3 3 8 3 Subtotal 14,714 66 65 67 226 69 Others 7,593 34 32 33 103 31 Total par value $ 22,307 100 % $ 97 100 % $ 329 100 % September 30, 2020 Three Months Ended Nine Months Ended Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of First Republic Bank $ 13,510 37 % $ 62 35 % $ 201 28 % MUFG Union Bank, National Association 4,925 13 36 21 141 19 CIT Bank, National Association 2,550 7 4 2 20 3 First Technology Federal Credit Union 1,975 5 11 6 34 5 Luther Burbank Savings 962 3 5 3 16 2 Subtotal 23,922 65 118 67 412 57 Others 12,968 35 57 33 310 43 Total par value $ 36,890 100 % $ 175 100 % $ 722 100 % (1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. The Bank held a security interest in collateral from each of the top five advances borrowers and their affiliates sufficient to support their respective advances outstanding, and the Bank does not expect to incur any credit losses on these advances. Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances through an integrated approach that generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss while taking into account borrowers’ needs for a reliable funding source. In addition, the Bank lends to member financial institutions that have a principal place of business in Arizona, California, or Nevada, in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances: • one-to-four-family first lien residential mortgage loans; • securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae; • cash or deposits in the Bank; • certain other real estate-related collateral, such as certain privately issued mortgage-backed securities, multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and • small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions. At September 30, 2021, and December 31, 2020, none of the Bank’s credit products were past due or on nonaccrual status. There were no troubled debt restructurings related to credit products during the nine months ended September 30, 2021, or during 2020. Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of September 30, 2021, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for losses on advances was deemed necessary by the Bank as of September 30, 2021, and December 31, 2020. For more information on the credit risk exposure and security terms of advances, see “Item 8. Financial Statements and Supplementary Data – Note 5 – Advances” in the Bank’s 2020 Form 10-K. Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2021, and December 31, 2020, are detailed below: September 30, 2021 December 31, 2020 Par value of advances: Fixed rate: Due within 1 year $ 7,907 $ 11,044 Due after 1 year 13,600 17,126 Total fixed rate 21,507 28,170 Adjustable rate: Due within 1 year 725 818 Due after 1 year 75 1,350 Total adjustable rate 800 2,168 Total par value $ 22,307 $ 30,338 The Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2021, or December 31, 2020. The Bank has generally elected to account for certain advances with embedded features under the fair value option, and these advances are carried at fair value on the Statements of Condition. For more information, see Note 11 – Derivatives and Hedging Activities and Note 12 – Fair Value. Prepayment Fees, Net. The Bank charges borrowers prepayment fees or pays borrowers prepayment credits when the principal on certain advances is paid prior to original maturity. The Bank records prepayment fees net of any associated fair value adjustments related to prepaid advances that were hedged. The net amount of prepayment fees is reflected as advances interest income in the Statements of Income for the three and nine months ended September 30, 2021 and 2020, as follows: Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Prepayment fees received/(paid) $ 2 $ 38 $ 28 $ 77 Fair value adjustments (2) (35) (13) (62) Net $ — $ 3 $ 15 $ 15 Advance principal prepaid $ 1,397 $ 5,018 $ 5,073 $ 21,804 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 9 Months Ended |
Sep. 30, 2021 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio The following table presents information as of September 30, 2021, and December 31, 2020, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. September 30, 2021 December 31, 2020 Fixed rate medium-term mortgage loans $ 20 $ 27 Fixed rate long-term mortgage loans 1,087 1,879 Subtotal 1,107 1,906 Unamortized premiums 29 35 Unamortized discounts (1) (2) Mortgage loans held for portfolio (1) 1,135 1,939 Less: Allowance for credit losses (1) (4) Total mortgage loans held for portfolio, net $ 1,134 $ 1,935 (1) Excludes accrued interest receivable of $7 and $10 at September 30, 2021, and December 31, 2020, respectively. Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years. Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2021, and December 31, 2020. September 30, 2021 Origination Year Payment Status 2017 to 2021 Prior to 2017 Amortized Cost (1) 30 – 59 days delinquent $ 7 $ 2 $ 9 60 – 89 days delinquent 5 2 7 90 days or more delinquent 31 11 42 Total past due 43 15 58 Total current loans 852 225 1,077 Total MPF $ 895 $ 240 $ 1,135 In process of foreclosure, included above (2) $ 2 Nonaccrual loans (3) $ 42 Serious delinquencies as a percentage of total mortgage loans outstanding (4) 3.74 % December 31, 2020 Origination Year Payment Status 2016 to 2020 Prior to 2016 Amortized Cost (1) 30 – 59 days delinquent $ 20 $ 2 $ 22 60 – 89 days delinquent 5 2 7 90 days or more delinquent 95 9 104 Total past due 120 13 133 Total current loans 1,628 178 1,806 Total MPF (5) $ 1,748 $ 191 $ 1,939 In process of foreclosure, included above (2) $ 1 Nonaccrual loans (3) $ 104 Serious delinquencies as a percentage of total mortgage loans outstanding (4) 5.34 % (1) The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. (2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. (3) At September 30, 2021, and December 31, 2020, $42 and $103, respectively, of these mortgage loans on nonaccrual status did not have an associated allowance for credit losses. (4) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding. (5) The amortized costs of the mortgage loans by origination year in the 2016 to 2020 column and prior to 2016 column that were previously disclosed in the “Mortgage Loans Held for Portfolio” note were incorrectly presented as of December 31, 2020, in the Bank’s 2020 Form 10-K. The amortized costs of the mortgage loans by origination year as of December 31, 2020, have been corrected. The total amortized costs presented for each period were properly disclosed. These revisions had no effect on the Bank’s total assets, net interest income, or net income for all affected periods. Allowance for Credit Losses on Mortgage Partnership Finance ® (MPF ® ) Loans. MPF loans are evaluated collectively for expected credit losses when similar risk characteristics exist. MPF loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowances for credit losses on MPF loans through analyses that include consideration of various loan portfolio and collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago.) The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At September 30, 2021, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 7.8% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 3.3% after five additional years in the forecast based on historical averages. At December 31, 2020, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 2.3% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 3.8% over a three-year forecast horizon based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses. Certain MPF loans may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss. The following table presents a rollforward of the allowance for credit losses on the mortgage loan portfolio for the three and nine months ended September 30, 2021 and 2020. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the three and nine months ended September 30, 2021 and 2020. Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Balance, beginning of the period $ 2 $ 5 $ 4 $ — Adjustment for cumulative effect of accounting change — — — 3 Provision for/(reversal of) credit losses (1) 2 (3) 4 Balance, end of the period $ 1 $ 7 $ 1 $ 7 For more information related to the Bank’s accounting policies for mortgage loans held for portfolio, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2020 Form 10-K. |
Deposits
Deposits | 9 Months Ended |
Sep. 30, 2021 | |
Deposits [Abstract] | |
Deposits | Deposits The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Deposits and interest rate payment terms for deposits as of September 30, 2021, and December 31, 2020, were as follows: September 30, 2021 December 31, 2020 Amount Weighted Amount Weighted Interest-bearing deposits: Adjustable rate $ 705 0.01 % $ 732 0.01 % Fixed rate 66 0.01 16 0.01 Total interest-bearing deposits 771 748 Non-interest-bearing deposits 55 139 Total $ 826 $ 887 |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act) or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 16 – Commitments and Contingencies” in the Bank’s 2020 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance. Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at September 30, 2021, and December 31, 2020. September 30, 2021 December 31, 2020 Contractual Maturity Amount Weighted Amount Weighted Within 1 year $ 6,565 0.36 % $ 34,542 0.23 % After 1 year through 2 years 3,628 0.30 6,923 0.21 After 2 years through 3 years 1,750 0.44 751 1.00 After 3 years through 4 years 2,500 0.60 677 0.67 After 4 years through 5 years 5,023 0.87 185 0.82 After 5 years 2,608 1.36 1,311 2.24 Total par value 22,074 0.62 % 44,389 0.31 % Unamortized premiums 4 10 Unamortized discounts (4) (5) Valuation adjustments for hedging activities (47) 13 Fair value option valuation adjustments (2) 1 Total $ 22,025 $ 44,408 The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $12,133 at September 30, 2021, and $3,140 at December 31, 2020. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $10,543 at September 30, 2021, and $930 at December 31, 2020. The combined callable swaps and callable bonds enable the Bank to meet its funding needs at lower costs relative to similar tenor non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate. The Bank’s participation in consolidated obligation bonds at September 30, 2021, and December 31, 2020, was as follows: September 30, 2021 December 31, 2020 Par value of consolidated obligation bonds: Non-callable $ 9,941 $ 41,249 Callable 12,133 3,140 Total par value $ 22,074 $ 44,389 The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2021, and December 31, 2020, by the earlier of the year of contractual maturity or next call date. Earlier of Contractual September 30, 2021 December 31, 2020 Within 1 year $ 18,323 $ 36,667 After 1 year through 2 years 3,623 7,228 After 2 years through 3 years 77 396 After 3 years through 4 years — 47 After 4 years through 5 years 3 — After 5 years 48 51 Total par value $ 22,074 $ 44,389 Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face value and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows: September 30, 2021 December 31, 2020 Amount Weighted Average Interest Rate (1) Amount Weighted Average Interest Rate (1) Par value $ 24,817 0.04 % $ 16,217 0.12 % Unamortized discounts (3) (4) Total $ 24,814 $ 16,213 (1) Represents yield to maturity excluding concession fees. Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at September 30, 2021, and December 31, 2020, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 2020 Form 10-K. September 30, 2021 December 31, 2020 Par value of consolidated obligations: Bonds: Fixed rate $ 14,736 $ 6,632 Adjustable rate 6,815 37,712 Step-up 523 45 Total bonds, par value 22,074 44,389 Discount notes, par value 24,817 16,217 Total consolidated obligations, par value $ 46,891 $ 60,606 The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2021, or December 31, 2020. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 11 – Derivatives and Hedging Activities and Note 12 – Fair Value. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 9 Months Ended |
Sep. 30, 2021 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income/(Loss) | Accumulated Other Comprehensive Income/(Loss) The following table summarizes the changes in Accumulated Other Comprehensive Income (AOCI) for the three months ended September 30, 2021 and 2020: Net Unrealized Gain/(Loss) on AFS Securities Pension and Postretirement Benefits Total Balance, June 30, 2020 $ (21) $ (14) $ (35) Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (1) (1) Net change in fair value 172 172 Net current period other comprehensive income/(loss) 172 (1) 171 Balance, September 30, 2020 $ 151 $ (15) $ 136 Balance, June 30, 2021 $ 408 $ (14) $ 394 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (3) (3) Net change in fair value (72) (72) Net current period other comprehensive income/(loss) (72) (3) (75) Balance, September 30, 2021 $ 336 $ (17) $ 319 The following table summarizes the changes in AOCI for the nine months ended September 30, 2021 and 2020: Net Unrealized Gain/(Loss) on AFS Securities Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total Balance, December 31, 2019 $ 21 $ 268 $ (1) $ (14) $ 274 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (1) (1) Net change in fair value (138) — (138) Accretion of non-credit loss 1 1 Net current period other comprehensive income/(loss) (138) — 1 (1) (138) Adoption of ASU 2016-13, as amended (1) 268 (268) — Balance, September 30, 2020 $ 151 $ — $ — $ (15) $ 136 Balance, December 31, 2020 $ 244 $ — $ — $ (14) $ 230 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (3) (3) Net change in fair value 92 — 92 Net current period other comprehensive income/(loss) 92 — — (3) 89 Balance, September 30, 2021 $ 336 $ — $ — $ (17) $ 319 |
Capital
Capital | 9 Months Ended |
Sep. 30, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Capital Capital Requirements. Under the Housing and Economic Recovery Act of 2008, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. The Finance Agency requires each FHLBank to maintain a ratio of at least 2% of capital stock to total assets in order to help preserve the cooperative structure incentives that encourage members to remain fully engaged in the oversight of their investment in the FHLBank. The Finance Agency will consider the proportion of capital stock to assets, measured on a daily average basis at monthend, when assessing each FHLBank’s capital management practices. As of September 30, 2021, and December 31, 2020, the Bank complied with this capital guidance. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require an FHLBank to maintain a greater amount of permanent capital than is required by the risk-based capital requirement as defined. As of September 30, 2021, and December 31, 2020, the Bank complied with these capital rules and requirements as shown in the following table. September 30, 2021 December 31, 2020 Required Actual Required Actual Risk-based capital $ 1,109 $ 6,059 $ 1,404 $ 5,966 Total regulatory capital $ 2,178 $ 6,059 $ 2,745 $ 5,966 Total regulatory capital ratio 4.00 % 11.12 % 4.00 % 8.69 % Leverage capital $ 2,723 $ 9,088 $ 3,432 $ 8,949 Leverage ratio 5.00 % 16.69 % 5.00 % 13.04 % Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $4 outstanding to three institutions at September 30, 2021, and $2 outstanding to three institutions at December 31, 2020. The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2021 and 2020 was as follows: Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Balance at the beginning of the period $ 3 $ 83 $ 2 $ 138 Reclassified from/(to) capital during the period 13 — 16 3 Repurchase/redemption of mandatorily redeemable capital stock (12) (81) (14) (139) Balance at the end of the period $ 4 $ 2 $ 4 $ 2 Cash dividends on mandatorily redeemable capital stock were recorded as interest expense of a de minimis amount and $1 for the three months ended September 30, 2021 and 2020, respectively, and of a de minimis amount and $5 for the nine months ended September 30, 2021 and 2020, respectively. The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2021, and December 31, 2020. Contractual Redemption Period September 30, 2021 December 31, 2020 After 4 years through 5 years $ 3 $ — Past contractual redemption date because of remaining activity (1) 1 2 Total $ 4 $ 2 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2020 Form 10-K. Excess Stock Repurchase, Retained Earnings, and Dividend Framework. By Finance Agency regulation, dividends may be paid only out of current net earnings or previously retained earnings. As required by the Finance Agency, the Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) summarizes the Bank’s capital management principles and objectives, as well as its policies and practices, with respect to retained earnings, dividend payments, and the repurchase of excess capital stock. The Bank may be restricted from paying dividends if the Bank is not in compliance with any of its minimum capital requirements or if payment would cause the Bank to fail to meet any of its minimum capital requirements. In addition, the Bank may not pay dividends if any principal or interest due on any consolidated obligations has not been paid in full or is not expected to be paid in full, or, under certain circumstances, if the Bank fails to satisfy certain liquidity requirements under applicable Finance Agency regulations. The Bank’s board of directors reviews the Framework at least annually and may amend the Framework from time to time. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend at an annualized rate between 5% and 7%. The decision to declare any dividend and the dividend rate are at the discretion of the Bank’s board of directors, which may choose to follow the dividend philosophy as guidance in the dividend declaration. The Board may also revise or eliminate the dividend policy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations. The Bank’s Risk Management Policy limits the payment of dividends if the ratio of the Bank’s estimated market value of total capital to par value of capital stock falls below certain levels. If this ratio at the end of any quarter is less than 100% but greater than or equal to 70%, any dividend would be limited to an annualized rate no greater than the daily average of the Federal funds effective rate for the applicable quarter (subject to certain conditions), and if this ratio is less than 70%, the Bank would be restricted from paying a dividend. The ratio of the Bank’s estimated market value of total capital to par value of capital stock was 292% as of September 30, 2021. In addition, the Bank monitors the condition of its balance sheet, its financial performance, its capital position, overall financial market conditions, and other relevant information as the basis for determining the payment of dividends in future quarters. Retained Earnings – The Bank’s Framework assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. As determined using the Bank’s methodology, the required level of total retained earnings had ranged from $2,400 to $2,500 during 2019 and continuing through September 2020. In September 2020, the methodology was revised and resulted in a required level of retained earnings of $2,900. In January 2021, the methodology was further revised and resulted in a required level of retained earnings of $1,900. In July 2021, the methodology was further revised and resulted in a required level of retained earnings of $1,500. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement (JCE) Agreement) and unrestricted retained earnings. The Bank’s retained earnings requirement may be changed at any time. The board of directors periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate. The JCE Agreement is intended to enhance the capital position of each FHLBank. In accordance with the JCE Agreement, each FHLBank is required to allocate 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account, calculated as of the last day of each calendar quarter, equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the calendar quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends. With the decline in consolidated obligations outstanding in 2020, the Bank ceased contributions to restricted retained earnings in the fourth quarter of 2020, in accordance with the JCE Agreement, and no further allocations of net income into restricted retained earnings are required until such time as the allocation requirement exceeds the balance of restricted retained earnings. Additionally, the JCE Agreement provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum (i.e., 1% of the Bank’s total consolidated obligations calculated as of the last day of each calendar quarter) may be released from restricted retained earnings. As a result of the Bank exceeding this threshold, the Bank reclassified $18 from restricted retained earnings to unrestricted retained earnings during the third quarter of 2021. The Bank’s restricted retained earnings totaled $743 and $761 at September 30, 2021, and December 31, 2020, respectively. The Bank’s unrestricted retained earnings totaled $3,059 and $2,919 at September 30, 2021, and December 31, 2020, respectively. For more information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2020 Form 10-K. Dividend Payments – Finance Agency rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings and may not declare or pay dividends based on projected or anticipated earnings. There is no requirement that the board of directors declare and pay any dividend. A decision by the board of directors to declare or not declare a dividend is a discretionary matter and is subject to the requirements and restrictions of the FHLBank Act and applicable requirements under the regulations governing the operations of the FHLBanks. In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess capital stock exceeds 1% of its total assets. Excess capital stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. Excess capital stock totaled $139, or 0.26% of total assets as of September 30, 2021. Excess capital stock totaled $161, or 0.23% of total assets as of December 31, 2020. In the third quarter of 2021, the Bank paid dividends at an annualized rate of 6.00%, totaling $34, including $34 in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. In the third quarter of 2020, the Bank paid dividends at an annualized rate of 5.00%, totaling $37, including $36 in dividends on capital stock and $1 in dividends on mandatorily redeemable capital stock. In the first nine months of 2021, the Bank paid dividends at an annualized rate of 5.65%, totaling $98, including $98 in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. In the first nine months of 2020, the Bank paid dividends at an annualized rate of 5.68%, totaling $131, including $126 in dividends on capital stock and $5 in dividends on mandatorily redeemable capital stock. For the periods referenced above, the Bank paid dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income. On October 28, 2021, the Bank’s board of directors declared a quarterly cash dividend on the capital stock outstanding during the third quarter of 2021 at an annualized rate of 6.00%, totaling $36. The Bank recorded the dividend on October 28, 2021. The Bank expects to pay the dividend on November 10, 2021. Excess Capital Stock – The Bank’s capital plan provides that the Bank may repurchase some or all of a shareholder’s excess capital stock, including any excess mandatorily redeemable capital stock, at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank may also repurchase all of a member’s excess capital stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. A shareholder’s excess capital stock is defined as any capital stock holdings in excess of the shareholder’s minimum capital stock requirement, as established by the Bank’s capital plan. The Bank’s practice is to repurchase the surplus capital stock of all members and the excess capital stock of all former members on a daily schedule. Surplus capital stock is defined as any stock holdings in excess of 115% of a member’s minimum stock requirement. The Bank calculates the amount of stock to be repurchased each business day based on the shareholder’s capital stock outstanding after all stock transactions are completed for the day, ensuring that each member and former member would continue to meet its minimum capital stock requirement after the repurchase. The Bank may change this practice at any time. The Bank repurchased $373 and $314 in excess capital stock during the third quarter of 2021 and 2020, respectively, and $714 and $1,452 in excess capital stock during the first nine months of 2021 and 2020, respectively. The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the third quarter of 2021 and 2020, the Bank redeemed a de minimis amount in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value per share. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank. Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2021, or December 31, 2020. September 30, 2021 December 31, 2020 Name of Institution Capital Stock Percentage Capital Stock Percentage First Republic Bank $ 239 11 % $ 354 16 % Others 2,018 89 1,932 84 Total $ 2,257 100 % $ 2,286 100 % |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2021 | |
Segment Reporting [Abstract] | |
Segment Information | Segment Information The Bank uses an analysis of financial results based on the financial components and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and determine financial management strategies related to the operations of these two business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives” in other income, excludes interest income and expense associated with changes in fair value from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Affordable Housing Program (AHP) assessments are not included in the segment reporting analysis but are incorporated into the Bank’s overall assessment of financial performance. For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 13 – Segment Information” in the Bank’s 2020 Form 10-K. The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three and nine months ended September 30, 2021 and 2020. Advances- Related Business (1) Mortgage- Related Business (2) Adjusted Net Interest Income (1) Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges (1)(3) Income/(Expense) on Economic Hedges (4) Interest Expense on Mandatorily Redeemable Capital Stock (5) Net Other Other Income/(Loss) Three months ended: September 30, 2021 $ 42 $ 62 $ 104 $ — $ (16) $ — $ 120 $ (3) $ 38 $ 79 September 30, 2020 63 53 116 — (34) 1 149 70 40 179 Nine months ended: September 30, 2021 $ 143 $ 200 $ 343 $ (7) $ (61) $ — $ 411 $ (50) $ 116 $ 245 September 30, 2020 198 140 338 77 (52) 5 308 79 119 268 (1) Amounts have been corrected to properly disclose the classification of amortization of basis adjustments and certain fees on prepaid advances within adjusted net interest income of the advances-related business segment and within amortization of basis adjustments. The Bank previously disclosed in “Note 10 - Segment Information” in the Bank’s third quarter 2020 Form 10-Q adjusted net interest income totaling $103 and $322 for the three and nine months ended September 30, 2020, respectively. These amounts should have been disclosed as $116 and $338, respectively. These revisions had no effect on total assets, net interest income, or net income of the Bank reported for all affected periods. (2) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $19 and $17 for the three months ended September 30, 2021 and 2020; and totaled $52 and $54 for the nine months ended September 30, 2021 and 2020, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses of a de minimis amount and $(2) for the three months ended September 30, 2021 and 2020, respectively, and $(8) and $30 for the nine months ended September 30, 2021 and 2020, respectively. (3) Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income. (4) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives.” (5) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments. The following table presents total assets by operating segment at September 30, 2021, and December 31, 2020. Advances- Mortgage- Total September 30, 2021 $ 39,798 $ 14,661 $ 54,459 December 31, 2020 50,876 17,758 68,634 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities General . The Bank may enter into interest rate swaps (including callable, putable, and basis swaps) and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers. For more information related to the Bank’s interest rate exchange agreement instruments and hedging activities, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Derivatives and Hedging Activities” in the Bank’s 2020 Form 10-K. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2020 Form 10-K. The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2021, and December 31, 2020. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. September 30, 2021 December 31, 2020 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments: Interest rate swaps $ 36,138 $ 222 $ 83 $ 35,060 $ 88 $ 128 Total 36,138 222 83 35,060 88 128 Derivatives not designated as hedging instruments: Interest rate swaps 38,877 1 16 42,804 4 16 Interest rate caps and floors 550 — — 780 — — Mortgage delivery commitments — — — 1 — — Total 39,427 1 16 43,585 4 16 Total derivatives before netting and collateral adjustments $ 75,565 223 99 $ 78,645 92 144 Netting adjustments and cash collateral (1) (212) (90) (89) (132) Total derivative assets and total derivative liabilities $ 11 $ 9 $ 3 $ 12 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $36 and $72 at September 30, 2021, and December 31, 2020, respectively. Cash collateral received, including accrued interest, was $158 and $30 at September 30, 2021, and December 31, 2020, respectively. The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2021 and 2020. Three Months Ended September 30, 2021 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 47 $ 57 $ (13) Gain/(loss) on fair value hedging relationships Derivatives (1) $ (2) $ 42 $ (1) Hedged items (41) (56) 20 Net gain/(loss) on fair value hedging relationships (43) (14) 19 Net amortization of gain on discontinued fair value hedging relationships (7) (27) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (50) $ (41) $ 19 Three Months Ended September 30, 2020 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 88 $ 67 $ (47) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 22 $ 54 $ (1) Hedged items (111) (89) 8 Net gain/(loss) on fair value hedging relationships (89) (35) 7 Net amortization of gain on discontinued fair value hedging relationships (1) (23) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (90) $ (58) $ 7 Nine Months Ended September 30, 2021 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 167 $ 168 $ (49) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 97 $ 299 $ (17) Hedged items (260) (349) 60 Net gain/(loss) on fair value hedging relationships (163) (50) 43 Net amortization of gain on discontinued fair value hedging relationships (15) (81) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (178) $ (131) $ 43 Nine Months Ended September 30, 2020 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 509 $ 179 $ (405) Gain/(loss) on fair value hedging relationships Derivatives (1) $ (715) $ (995) $ 27 Hedged items 488 828 (9) Net gain/(loss) on fair value hedging relationships (227) (167) 18 Net amortization of gain on discontinued fair value hedging relationships (2) (25) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (229) $ (192) $ 18 (1) Includes net interest settlements. The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2021, and December 31, 2020. September 30, 2021 December 31, 2020 Advances AFS Securities Consolidated Obligation Bonds Advances AFS Securities Consolidated Obligation Bonds Amortized cost of hedged asset/(liability) (1) $ 19,850 $ 8,966 $ (11,797) $ 23,605 $ 11,557 $ (3,645) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ 95 $ (304) $ 47 $ 477 $ 43 $ (13) Discontinued hedging relationships included in amortized cost 125 928 — 32 1,016 — Total amount of fair value hedging basis adjustments $ 220 $ 624 $ 47 $ 509 $ 1,059 $ (13) (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three and nine months ended September 30, 2021 and 2020. Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Derivatives not designated as hedging instruments Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Economic hedges: Interest rate swaps $ 31 $ 39 $ 86 $ (107) Net settlements (16) (34) (61) (52) Mortgage delivery commitments — — — 3 Net gain/(loss) on derivatives (1) $ 15 $ 5 $ 25 $ (156) (1) The Bank made out-of-period adjustments in the third quarter of 2021 that resulted in an overstatement of net gain/(loss) on derivatives of $13 and an understatement of net gain/(loss) on derivatives of $1 for the three and nine months ended September 30, 2021, respectively. For more information on the adjustments, see Note 1 - Basis of Presentation. Credit Risk. The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives. For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a clearing agent to the clearinghouse exposes the Bank to institutional credit risk if the clearing agent fails to meet its obligations. The use of a clearinghouse, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible counterparty default credit events. Variation margin is posted or collected for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse. Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions. The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s Investors Service and S&P Global Ratings to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. The aggregate fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at September 30, 2021, was $17, for which the Bank had posted cash collateral of $16 in the ordinary course of business. The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty when the netting requirements have been met. The following tables present separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2021, and December 31, 2020. September 30, 2021 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 222 $ (222) $ — $ — $ — Cleared 1 10 11 (284) 295 Total $ 11 $ 295 Derivative Liabilities Uncleared $ 89 $ (80) $ 9 $ — $ 9 Cleared 10 (10) — — — Total $ 9 $ 9 December 31, 2020 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 85 $ (85) $ — $ — $ — Cleared 7 (4) 3 (379) 382 Total $ 3 $ 382 Derivative Liabilities Uncleared $ 124 $ (114) $ 10 $ — $ 10 Cleared 20 (18) 2 — 2 Total $ 12 $ 12 |
Fair Value
Fair Value | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Fair Value The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2021, and December 31, 2020. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. U.S. GAAP defines fair value as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., an exit price). Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities. The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at September 30, 2021, and December 31, 2020. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. September 30, 2021 Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 55 $ 55 $ 55 $ — $ — $ — Interest-bearing deposits 1,125 1,125 1,125 — — — Securities purchased under agreements to resell 6,500 6,500 — 6,500 — — Federal funds sold 6,133 6,133 — 6,133 — — Trading securities 2,260 2,260 — 2,260 — — AFS securities 10,825 10,825 — 9,121 1,704 — HTM securities 3,521 3,551 — 3,313 238 — Advances 22,613 22,721 — 22,721 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 1,134 1,134 — 1,134 — — Accrued interest receivable 61 61 — 61 — — Derivative assets, net (2) 11 11 — 223 — (212) Other assets (3) 24 24 24 — — — Liabilities Deposits 826 826 — 826 — — Consolidated obligations: Bonds 22,025 21,986 — 21,986 — — Discount notes 24,814 24,815 — 24,815 — — Total consolidated obligations 46,839 46,801 — 46,801 — — Mandatorily redeemable capital stock 4 4 4 — — — Accrued interest payable 25 25 — 25 — — Derivative liabilities, net (2) 9 9 — 99 — (90) Other Standby letters of credit 31 31 — 31 — — December 31, 2020 Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 174 $ 174 $ 174 $ — $ — $ — Interest-bearing deposits 1,078 1,078 1,078 — — — Securities purchased under agreements to resell 7,250 7,250 — 7,250 — — Federal funds sold 1,880 1,880 — 1,880 — — Trading securities 4,260 4,260 — 4,260 — — AFS securities 15,679 15,679 — 13,644 2,035 — HTM securities 5,081 5,115 — 4,827 288 — Advances 30,976 31,166 — 31,166 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 1,935 1,941 — 1,941 — — Accrued interest receivable 82 82 — 82 — — Derivative assets, net (2) 3 3 — 92 — (89) Other assets (3) 22 22 22 — — — Liabilities Deposits 887 887 — 887 — — Consolidated obligations: Bonds 44,408 44,457 — 44,457 — — Discount notes 16,213 16,214 — 16,214 — — Total consolidated obligations 60,621 60,671 — 60,671 — — Mandatorily redeemable capital stock 2 2 2 — — — Accrued interest payable 24 24 — 24 — — Derivative liabilities, net (2) 12 12 — 144 — (132) Other Standby letters of credit 36 36 — 36 — — (1) For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses. (2) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty. (3) Represents publicly traded mutual funds held in a grantor trust. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows: • Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. • Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. • Level 3 – Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2021: • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. Summary of Valuation Methodologies and Primary Inputs. For information related to the valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2020 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the nine months ended September 30, 2021. Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments often have a material effect on the fair value estimates. Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2021, and December 31, 2020, by level within the fair value hierarchy. September 30, 2021 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 2,258 $ — $ — $ 2,258 MBS – Other U.S. obligations – Ginnie Mae — 2 — — 2 Total trading securities — 2,260 — — 2,260 AFS securities: U.S. obligations – Treasury securities — 856 — — 856 MBS: GSEs – multifamily — 8,265 — — 8,265 PLRMBS — — 1,704 — 1,704 Subtotal MBS — 8,265 1,704 — 9,969 Total AFS securities — 9,121 1,704 — 10,825 Advances (2) — 1,952 — — 1,952 Derivative assets, net: interest rate-related — 223 — (212) 11 Other assets 24 — — — 24 Total recurring fair value measurements – Assets $ 24 $ 13,556 $ 1,704 $ (212) $ 15,072 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 521 $ — $ — $ 521 Derivative liabilities, net: interest rate-related — 99 — (90) 9 Total recurring fair value measurements – Liabilities $ — $ 620 $ — $ (90) $ 530 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 23 $ — $ 23 Total nonrecurring fair value measurements – Assets $ — $ — $ 23 $ — $ 23 December 31, 2020 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 4,257 $ — $ — $ 4,257 MBS – Other U.S. obligations – Ginnie Mae — 3 — — 3 Total trading securities — 4,260 — — 4,260 AFS securities: U.S. obligations – Treasury securities — 4,983 — — 4,983 MBS: GSEs – multifamily — 8,661 — — 8,661 PLRMBS — — 2,035 — 2,035 Subtotal MBS — 8,661 2,035 — 10,696 Total AFS securities — 13,644 2,035 — 15,679 Advances (2) — 2,147 — — 2,147 Derivative assets, net: interest rate-related — 92 — (89) 3 Other assets 22 — — — 22 Total recurring fair value measurements – Assets $ 22 $ 20,143 $ 2,035 $ (89) $ 22,111 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 111 $ — $ — $ 111 Derivative liabilities, net: interest rate-related — 144 — (132) 12 Total recurring fair value measurements – Liabilities $ — $ 255 $ — $ (132) $ 123 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 18 $ — $ 18 Total nonrecurring fair value measurements – Assets $ — $ — $ 18 $ — $ 18 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty. (2) Represents advances recorded under the fair value option at September 30, 2021, and December 31, 2020. (3) Represents consolidated obligation bonds recorded under the fair value option at September 30, 2021, and December 31, 2020. (4) The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2021, and the year ended December 31, 2020. The following tables present a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2021 and 2020. Three Months Ended September 30, 2021 September 30, 2020 Balance, beginning of the period $ 1,827 $ 2,225 Total gain/(loss) realized and unrealized included in: Interest income 18 17 (Provision for)/reversal of credit losses (1) 4 Unrealized gain/(loss) included in AOCI (6) 29 Settlements (134) (139) Balance, end of the period $ 1,704 $ 2,136 Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period $ (5) $ 29 Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period $ 16 $ 20 Nine Months Ended September 30, 2021 September 30, 2020 Balance, beginning of the period $ 2,035 $ 2,597 Total gain/(loss) realized and unrealized included in: Interest income 52 53 (Provision for)/reversal of credit losses 5 (26) Unrealized gain/(loss) included in AOCI 23 (111) Settlements (411) (378) Transfers of HTM securities to AFS securities — 1 Balance, end of the period $ 1,704 $ 2,136 Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period $ 24 $ (111) Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period $ 55 $ 27 Fair Value Option. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized in non-interest income or non-interest expense. For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Values” in the Bank’s 2020 Form 10-K. The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with recording fair value changes of only the hedging derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. The following tables summarize the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2021 and 2020: Three Months Ended September 30, 2021 September 30, 2020 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 1,984 $ 235 $ 3,478 $ 128 New transactions elected for fair value option — 318 — — Maturities and terminations (21) (30) (367) (15) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings (11) (2) (8) (1) Balance, end of the period $ 1,952 $ 521 $ 3,103 $ 112 Nine Months Ended September 30, 2021 September 30, 2020 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 2,147 $ 111 $ 4,370 $ 337 New transactions elected for fair value option 670 538 7,070 — Maturities and terminations (821) (125) (8,432) (225) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings (43) (3) 97 1 Change in accrued interest (1) — (2) (1) Balance, end of the period $ 1,952 $ 521 $ 3,103 $ 112 For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2021 and 2020. In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors: • The Bank is a federally chartered GSE, and as a result of this status, the consolidated obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States. • The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2021, and December 31, 2020: September 30, 2021 December 31, 2020 Principal Balance Fair Value Fair Value Principal Balance Fair Value Fair Value Advances (1) $ 1,866 $ 1,952 $ 86 $ 2,017 $ 2,147 $ 130 Consolidated obligation bonds 523 521 (2) 110 111 1 (1) At September 30, 2021, and December 31, 2020, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2021, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $641,438 at September 30, 2021, and $746,722 at December 31, 2020. The par value of the Bank’s participation in consolidated obligations was $46,891 at September 30, 2021, and $60,606 at December 31, 2020. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 16 – Commitments and Contingencies” in the Bank’s 2020 Form 10-K. Off-balance sheet commitments as of September 30, 2021, and December 31, 2020, were as follows: September 30, 2021 December 31, 2020 Expire Within Expire After Total Expire Within Expire After Total Standby letters of credit outstanding $ 10,805 $ 4,718 $ 15,523 $ 14,838 $ 4,551 $ 19,389 Commitments to issue consolidated obligation discount notes, par 2,136 — 2,136 — — — Commitments to issue consolidated obligation bonds, par 235 — 235 — — — Commitments to purchase mortgage loans — — — 1 — 1 Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. At September 30, 2021, the original terms of these standby letters of credit range from 1 day to 15 years, including a final expiration in 2036. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $31 and $36 at September 30, 2021, and December 31, 2020, respectively. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of September 30, 2021, and December 31, 2020. There were no commitments to fund advances at September 30, 2021, and December 31, 2020. Advances funded under advance commitments are fully collateralized at the time of funding. The Bank had previously entered into commitments that unconditionally obligated it to purchase mortgage loans from its members. Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition. The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 11 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit risk-related contingent features. As of September 30, 2021, the Bank had pledged total collateral of $320, including securities with a carrying value of $284, all of which may be repledged, and cash collateral, including accrued interest, of $36 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. As of December 31, 2020, the Bank had pledged total collateral of $451, including securities with a carrying value of $379, all of which may be repledged, and cash collateral, including accrued interest, of $72 to counterparties and the clearinghouse that had market risk exposure to the Bank related to derivatives. The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations. |
Transactions with Certain Membe
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks Transactions with Members and Nonmembers. The following tables set forth information at the dates and for the periods indicated with respect to transactions with members that have an officer or director serving on the Bank’s board of directors. September 30, 2021 December 31, 2020 Assets: Advances $ 3,078 $ 2,650 Accrued interest receivable 2 3 Liabilities: Deposits $ 122 $ 27 Capital: Capital Stock $ 111 $ 103 Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Interest Income: Advances $ 12 $ 19 $ 38 $ 59 All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2021, and December 31, 2020, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2020 Form 10-K. Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below. Deposits with other FHLBanks . The Bank may, from time to time, maintain deposits with other FHLBanks. Deposits with other FHLBanks totaled a de minimis amount and $1 at September 30, 2021, and December 31, 2020, respectively, and were recorded as “Interest-bearing deposits” in the Statements of Condition. Overnight Funds . The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in interest income and interest expense in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the nine months ended September 30, 2021, the Bank extended no overnight loans to other FHLBanks. During the nine months ended September 30, 2020, the Bank extended overnight loans to other FHLBanks for $925. During the nine months ended September 30, 2021 and 2020, the Bank borrowed $120 and $885, respectively, from other FHLBanks. The impact to net interest income related to these transactions was de minimis for all periods in this report. MPF Mortgage Loans . The Bank pays a membership fee to the FHLBank of Chicago for its participation in the MPF Program and a transaction services fee that is assessed monthly based on the amount of mortgage loans in which the Bank invested and which remain outstanding on its Statements of Condition. For the three months ended September 30, 2021 and 2020, the Bank recorded a de minimis amount and $1, respectively, in MPF membership fee expense and transaction services fee expense to the FHLBank of Chicago, which were recorded in the Statements of Income as other expense. For the nine months ended September 30, 2021 and 2020, the Bank recorded $1 and $2, respectively, in MPF membership fee expense and transaction services fee expense to the FHLBank of Chicago, which were recorded in the Statements of Income as other expense. Transactions with the Office of Finance . The Bank’s proportionate share of the cost of operating the Office of Finance is identified in the Statements of Income. |
Subsequent Events
Subsequent Events | 9 Months Ended |
Sep. 30, 2021 | |
Subsequent Events [Abstract] | |
Subsequent Events | Subsequent Events There were no material events identified, subsequent to September 30, 2021, until the time of the Form 10-Q filing with the Securities and Exchange Commission. |
Summary of Significant Accounti
Summary of Significant Accounting Policies / Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Policies [Abstract] | |
New Accounting Pronouncements, Policy | Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04) This guidance provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: This guidance is effective immediately for the Bank, and the Bank may elect to apply the amendments prospectively through December 31, 2022. The Bank has assessed the guidance and has elected some of the optional expedients and exceptions provided. In particular, during the fourth quarter of 2020, the Bank elected optional expedients specific to the discounting transition for cleared derivative transactions on a retrospective basis, which did not have a material effect. Additionally, the Bank elected optional expedients related to the discounting transition for uncleared derivative transactions on a prospective basis during the third quarter of 2021, which did not have a material effect. |
Subsequent Events, Policy [Policy Text Block] | There were no material events identified, subsequent to September 30, 2021, until the time of the Form 10-Q filing with the Securities and Exchange Commission. |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include: • accounting for derivatives; • estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and • estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded prior to the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans. Actual results could differ significantly from these estimates. Out-of-Period Adjustments in the Statements of Condition and Statements of Income. In the third quarter of 2021, the Bank identified five hedge strategy elections that originated starting in the fourth quarter of 2020 where the transactions were incorrectly designated as fair value hedges when they should have been recorded as non-hedge qualifying economic hedges. The incorrect designations resulted in misstatements to previously issued financial statements as presented in the following tables. December 31, 2020 March 31, 2021 June 30, 2021 As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) Advances $ 30,976 $ 1 $ 28,140 $ (17) $ 24,194 $ (13) Total Assets 68,634 1 57,908 (17) 54,244 (13) As Reported Overstatement/(Understatement) Year ended December 31, 2020: Net gain/(loss) on derivatives $ (152) $ 1 Income/(loss) before assessments 373 1 Three months ended March 31, 2021: Net gain/(loss) on derivatives $ 18 $ (18) Income/(loss) before assessments 104 (18) Three months ended June 30, 2021: Net gain/(loss) on derivatives $ (8) $ 4 Income/(loss) before assessments 62 4 Six months ended June 30, 2021: Net gain/(loss) on derivatives $ 10 $ (14) Income/(loss) before assessments 166 (14) The Bank made out-of-period adjustments to reverse the net impact on the Bank’s financial statements resulting from the incorrect designations in the third quarter of 2021. These adjustments resulted in an increase in advances and net gain/(loss) on derivatives by $13 for the three months ended September 30, 2021, and an understatement of net gain/(loss) on derivatives of $1 for the nine months ended September 30, 2021. The Bank has evaluated the impact of these adjustments, on a quantitative and qualitative basis, and has concluded that these adjustments were not material to the current and any previously issued financial statements. |
Derivatives Credit Policy [Policy Text Block] | The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives.For cleared derivatives, the clearinghouse is the Bank’s counterparty. The requirement that the Bank post initial and variation margin through a clearing agent to the clearinghouse exposes the Bank to institutional credit risk if the clearing agent fails to meet its obligations. The use of a clearinghouse, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible counterparty default credit events. Variation margin is posted or collected for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank has analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearinghouse or clearing agent insolvency and under applicable clearinghouse rules upon a non-insolvency-based event of default of the clearinghouse or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearinghouse. |
Derivatives, Methods of Accounting, Hedging Derivatives | The Bank may enter into interest rate swaps (including callable, putable, and basis swaps) and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). Most of the Bank’s interest rate exchange agreements are executed in conjunction with the origination of advances or the issuance of consolidated obligations to create variable rate structures. The interest rate exchange agreements are generally executed at the same time the advances and consolidated obligations are transacted and generally have the same maturity dates as the related hedged instrument. The Bank transacts most of its derivatives with large banks and major broker-dealers.For more information related to the Bank’s interest rate exchange agreement instruments and hedging activities, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Derivatives and Hedging Activities” in the Bank’s 2020 Form 10-K. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2020 Form 10-K. |
Derivatives, Embedded Derivatives | When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at September 30, 2021, or December 31, 2020. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. |
Stockholders' Equity, Policy | Under the Housing and Economic Recovery Act of 2008, the Director of the Finance Agency is responsible for setting the risk-based capital standards for the FHLBanks. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total capital, leverage capital, and risk-based capital. The Bank must maintain: (i) total regulatory capital in an amount equal to at least 4% of its total assets, (ii) leverage capital in an amount equal to at least 5% of its total assets, and (iii) permanent capital in an amount that is greater than or equal to its risk-based capital requirement. The Finance Agency requires each FHLBank to maintain a ratio of at least 2% of capital stock to total assets in order to help preserve the cooperative structure incentives that encourage members to remain fully engaged in the oversight of their investment in the FHLBank. The Finance Agency will consider the proportion of capital stock to assets, measured on a daily average basis at monthend, when assessing each FHLBank’s capital management practices. As of September 30, 2021, and December 31, 2020, the Bank complied with this capital guidance. Because the Bank issues only Class B stock, regulatory capital and permanent capital for the Bank are both composed of retained earnings and Class B stock, including mandatorily redeemable capital stock (which is classified as a liability for financial reporting purposes). Regulatory capital and permanent capital do not include AOCI. Leverage capital is defined as the sum of permanent capital, weighted by a 1.5 multiplier, plus non-permanent capital. The risk-based capital requirement is equal to the sum of the Bank’s credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. |
Segment Reporting, Policy | The Bank uses an analysis of financial results based on the financial components and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and determine financial management strategies related to the operations of these two business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives” in other income, excludes interest income and expense associated with changes in fair value from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Affordable Housing Program (AHP) assessments are not included in the segment reporting analysis but are incorporated into the Bank’s overall assessment of financial performance. For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 13 – Segment Information” in the Bank’s 2020 Form 10-K. |
Fair Value of Financial Instruments, Policy | The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows: • Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. • Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. • Level 3 – Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2021: • Trading securities • AFS securities • Certain advances • Derivative assets and liabilities • Certain consolidated obligation bonds • Certain other assets For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Values” in the Bank’s 2020 Form 10-K. The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with recording fair value changes of only the hedging derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. |
Fair Value Transfer, Policy | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. |
Commitments and Contingencies, Policy | Delivery commitments are recorded at fair value as derivative assets or derivative liabilities in the Statements of Condition. |
Basis of Presentation (Policies
Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2021 | |
Accounting Policies [Abstract] | |
Use of Estimates, Policy [Policy Text Block] | Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include: • accounting for derivatives; • estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and • estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded prior to the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans. Actual results could differ significantly from these estimates. Out-of-Period Adjustments in the Statements of Condition and Statements of Income. In the third quarter of 2021, the Bank identified five hedge strategy elections that originated starting in the fourth quarter of 2020 where the transactions were incorrectly designated as fair value hedges when they should have been recorded as non-hedge qualifying economic hedges. The incorrect designations resulted in misstatements to previously issued financial statements as presented in the following tables. December 31, 2020 March 31, 2021 June 30, 2021 As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) Advances $ 30,976 $ 1 $ 28,140 $ (17) $ 24,194 $ (13) Total Assets 68,634 1 57,908 (17) 54,244 (13) As Reported Overstatement/(Understatement) Year ended December 31, 2020: Net gain/(loss) on derivatives $ (152) $ 1 Income/(loss) before assessments 373 1 Three months ended March 31, 2021: Net gain/(loss) on derivatives $ 18 $ (18) Income/(loss) before assessments 104 (18) Three months ended June 30, 2021: Net gain/(loss) on derivatives $ (8) $ 4 Income/(loss) before assessments 62 4 Six months ended June 30, 2021: Net gain/(loss) on derivatives $ 10 $ (14) Income/(loss) before assessments 166 (14) The Bank made out-of-period adjustments to reverse the net impact on the Bank’s financial statements resulting from the incorrect designations in the third quarter of 2021. These adjustments resulted in an increase in advances and net gain/(loss) on derivatives by $13 for the three months ended September 30, 2021, and an understatement of net gain/(loss) on derivatives of $1 for the nine months ended September 30, 2021. The Bank has evaluated the impact of these adjustments, on a quantitative and qualitative basis, and has concluded that these adjustments were not material to the current and any previously issued financial statements. |
Organization, Consolidation and
Organization, Consolidation and Presentation of Financial Statements (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Schedule of Error Corrections and Prior Period Adjustments | The incorrect designations resulted in misstatements to previously issued financial statements as presented in the following tables. December 31, 2020 March 31, 2021 June 30, 2021 As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) As Reported Overstatement/(Understatement) Advances $ 30,976 $ 1 $ 28,140 $ (17) $ 24,194 $ (13) Total Assets 68,634 1 57,908 (17) 54,244 (13) As Reported Overstatement/(Understatement) Year ended December 31, 2020: Net gain/(loss) on derivatives $ (152) $ 1 Income/(loss) before assessments 373 1 Three months ended March 31, 2021: Net gain/(loss) on derivatives $ 18 $ (18) Income/(loss) before assessments 104 (18) Three months ended June 30, 2021: Net gain/(loss) on derivatives $ (8) $ 4 Income/(loss) before assessments 62 4 Six months ended June 30, 2021: Net gain/(loss) on derivatives $ 10 $ (14) Income/(loss) before assessments 166 (14) |
Investments (Tables)
Investments (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Debt Instrument [Line Items] | |
Trading Securities (and Certain Trading Assets) | The estimated fair value of trading securities as of September 30, 2021, and December 31, 2020, was as follows: September 30, 2021 December 31, 2020 U.S. obligations – Treasury notes $ 2,258 $ 4,257 MBS – Other U.S. obligations – Ginnie Mae 2 3 Total $ 2,260 $ 4,260 |
Available-for-sale Securities | AFS securities by major security type as of September 30, 2021, and December 31, 2020, were as follows: September 30, 2021 Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. obligations – Treasury notes $ 856 $ — $ — $ — $ 856 MBS: Government Sponsored Enterprises (GSEs) – multifamily: Freddie Mac 792 — 26 — 818 Fannie Mae 7,318 — 129 — 7,447 Subtotal MBS – GSEs – multifamily 8,110 — 155 — 8,265 PLRMBS: Prime 142 — 13 — 155 Alt-A 1,396 (15) 173 (5) 1,549 Subtotal PLRMBS 1,538 (15) 186 (5) 1,704 Total MBS 9,648 (15) 341 (5) 9,969 Total $ 10,504 $ (15) $ 341 $ (5) $ 10,825 December 31, 2020 Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. obligations – Treasury securities: U.S. Treasury notes $ 2,980 $ — $ 3 $ — $ 2,983 U.S. Treasury bills 2,000 — — — 2,000 Total U.S. obligations – Treasury securities 4,980 — 3 — 4,983 MBS: GSEs – multifamily: Freddie Mac 833 — 18 — 851 Fannie Mae 7,744 — 72 (6) 7,810 Subtotal MBS – GSEs – multifamily 8,577 — 90 (6) 8,661 PLRMBS: Prime 174 (1) 9 — 182 Alt-A 1,725 (20) 168 (20) 1,853 Subtotal PLRMBS 1,899 (21) 177 (20) 2,035 Total MBS 10,476 (21) 267 (26) 10,696 Total $ 15,456 $ (21) $ 270 $ (26) $ 15,679 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $30 and $46 at September 30, 2021, and December 31, 2020, respectively. |
Held-to-maturity Securities | The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity: September 30, 2021 Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 135 $ 3 $ — $ 138 MBS – GSEs – single-family: Freddie Mac 250 7 — 257 Fannie Mae 885 15 (1) 899 Subtotal MBS – GSEs – single-family 1,135 22 (1) 1,156 MBS – GSEs – multifamily: Freddie Mac 1,308 5 — 1,313 Fannie Mae 709 — (3) 706 Subtotal MBS – GSEs – multifamily 2,017 5 (3) 2,019 Subtotal MBS – GSEs 3,152 27 (4) 3,175 PLRMBS: Prime 149 1 (1) 149 Alt-A 85 4 — 89 Subtotal PLRMBS 234 5 (1) 238 Total $ 3,521 $ 35 $ (5) $ 3,551 December 31, 2020 Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family: Ginnie Mae $ 261 $ 7 $ — $ 268 MBS – GSEs – single-family: Freddie Mac 511 11 — 522 Fannie Mae 1,229 21 (1) 1,249 Subtotal MBS – GSEs – single-family 1,740 32 (1) 1,771 MBS – GSEs – multifamily: Freddie Mac 1,844 2 (2) 1,844 Fannie Mae 945 — (1) 944 Subtotal MBS – GSEs – multifamily 2,789 2 (3) 2,788 Subtotal MBS – GSEs 4,529 34 (4) 4,559 PLRMBS: Prime 185 — (4) 181 Alt-A 106 3 (2) 107 Subtotal PLRMBS 291 3 (6) 288 Total $ 5,081 $ 44 $ (10) $ 5,115 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge offs, and excludes accrued interest receivable of $3 and $5 at September 30, 2021, and December 31, 2020, respectively. (2) Gross unrecognized gains/(losses) represent the difference between estimated fair value and net carrying value. |
Debt Securities, Available-for-sale, Allowance for Credit Loss | The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three and nine months ended September 30, 2021 and 2020. The Bank recorded no allowance for credit losses associated with HTM securities during the three and nine months ended September 30, 2021 and 2020. Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Balance, beginning of the period $ 14 $ 29 $ 21 $ — (Charge-offs)/recoveries — (1) (1) (2) Provision for/(reversal of) credit losses 1 (4) (5) 26 Balance, end of the period $ 15 $ 24 $ 15 $ 24 |
Schedule of Significant Inputs In Measuring Other Than Temporary Impairments Recognized In Earnings | the following table presents a summary of the significant inputs used in measuring the fair value of PLRMBS classified as Level 3 as of September 30, 2021, and the related current credit enhancement for the Bank. September 30, 2021 Current Prepayment Rates Default Rates Loss Severities Credit Enhancement Collateral Type at Origination Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Weighted Average % (1) Prime 15.8 4.0 86.5 13.1 Alt-A 10.9 8.1 49.5 7.5 Total 11.3 7.8 52.9 8.1 (1) Weighted average percentage is based on unpaid principal balance. |
Available-for-sale Securities | |
Debt Instrument [Line Items] | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | September 30, 2021 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized U.S. obligations – Treasury notes $ 350 $ — $ — $ — $ 350 $ — MBS – GSEs – multifamily – Fannie Mae 77 — — — 77 — PLRMBS: Prime — — 6 — 6 — Alt-A — — 172 5 172 5 Subtotal PLRMBS — — 178 5 178 5 Total $ 427 $ — $ 178 $ 5 $ 605 $ 5 December 31, 2020 Less Than 12 Months 12 Months or More Total Estimated Unrealized Estimated Unrealized Estimated Unrealized U.S. obligations – Treasury notes $ 501 $ — $ — $ — $ 501 $ — MBS – GSEs – multifamily – Fannie Mae 731 6 222 — 953 6 PLRMBS: Prime 4 — 7 — 11 — Alt-A 151 7 168 13 319 20 Subtotal PLRMBS 155 7 175 13 330 20 Total $ 1,387 $ 13 $ 397 $ 13 $ 1,784 $ 26 |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and estimated fair value of non-MBS investments by contractual maturity (based on contractual final principal payment) and of MBS as of September 30, 2021, and December 31, 2020, are shown below. Expected maturities of MBS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees. September 30, 2021 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS – Due in 1 year or less $ 856 $ 856 MBS 9,648 9,969 Total $ 10,504 $ 10,825 December 31, 2020 Year of Contractual Maturity Amortized Estimated AFS securities other than MBS: Due in 1 year or less $ 4,469 $ 4,470 Due after 1 year through 5 years 511 513 Subtotal 4,980 4,983 MBS 10,476 10,696 Total $ 15,456 $ 15,679 |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances | The Bank had advances outstanding, excluding overdrawn demand deposit accounts, at interest rates ranging from 0.13% to 8.57% at September 30, 2021, and 0.00% to 8.57% at December 31, 2020, as summarized below. September 30, 2021 December 31, 2020 Redemption Term Amount Outstanding (1) Weighted Amount Outstanding (1) Weighted Within 1 year $ 8,632 1.61 % $ 11,862 1.65 % After 1 year through 2 years 2,514 1.53 6,399 1.61 After 2 years through 3 years 2,468 1.65 4,321 2.10 After 3 years through 4 years 4,082 1.34 2,704 1.79 After 4 years through 5 years 3,365 1.83 3,278 1.26 After 5 years 1,246 2.08 1,774 1.79 Total par value 22,307 1.62 % 30,338 1.68 % Valuation adjustments for hedging activities 220 509 Valuation adjustments under fair value option 86 130 Unamortized discounts — (1) Total $ 22,613 $ 30,976 (1) Carrying amounts exclude accrued interest receivable of $5 and $6 at September 30, 2021, and December 31, 2020, respectively. The following table summarizes advances at September 30, 2021, and December 31, 2020, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances. Earlier of Redemption Earlier of Redemption September 30, 2021 December 31, 2020 September 30, 2021 December 31, 2020 Within 1 year $ 8,702 $ 12,962 $ 8,852 $ 12,082 After 1 year through 2 years 2,514 5,299 2,514 6,399 After 2 years through 3 years 2,418 4,321 2,468 4,321 After 3 years through 4 years 4,082 2,704 4,082 2,704 After 4 years through 5 years 3,365 3,278 3,365 3,278 After 5 years 1,226 1,774 1,026 1,554 Total par value $ 22,307 $ 30,338 $ 22,307 $ 30,338 September 30, 2021 Three Months Ended Nine Months Ended Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of First Republic Bank $ 7,700 35 % $ 28 29 % $ 103 32 % MUFG Union Bank, National Association 4,075 18 24 25 83 25 First Technology Federal Credit Union 1,776 8 7 7 21 6 Luther Burbank Savings 752 3 3 3 11 3 Banc of California, National Association 411 2 3 3 8 3 Subtotal 14,714 66 65 67 226 69 Others 7,593 34 32 33 103 31 Total par value $ 22,307 100 % $ 97 100 % $ 329 100 % September 30, 2020 Three Months Ended Nine Months Ended Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of First Republic Bank $ 13,510 37 % $ 62 35 % $ 201 28 % MUFG Union Bank, National Association 4,925 13 36 21 141 19 CIT Bank, National Association 2,550 7 4 2 20 3 First Technology Federal Credit Union 1,975 5 11 6 34 5 Luther Burbank Savings 962 3 5 3 16 2 Subtotal 23,922 65 118 67 412 57 Others 12,968 35 57 33 310 43 Total par value $ 36,890 100 % $ 175 100 % $ 722 100 % (1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. September 30, 2021 December 31, 2020 Par value of advances: Fixed rate: Due within 1 year $ 7,907 $ 11,044 Due after 1 year 13,600 17,126 Total fixed rate 21,507 28,170 Adjustable rate: Due within 1 year 725 818 Due after 1 year 75 1,350 Total adjustable rate 800 2,168 Total par value $ 22,307 $ 30,338 Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Prepayment fees received/(paid) $ 2 $ 38 $ 28 $ 77 Fair value adjustments (2) (35) (13) (62) Net $ — $ 3 $ 15 $ 15 Advance principal prepaid $ 1,397 $ 5,018 $ 5,073 $ 21,804 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Receivables [Abstract] | |
Schedule of Participating Mortgage Loans | The following table presents information as of September 30, 2021, and December 31, 2020, on mortgage loans, all of which are secured by one- to four-unit residential properties and single-unit second homes. September 30, 2021 December 31, 2020 Fixed rate medium-term mortgage loans $ 20 $ 27 Fixed rate long-term mortgage loans 1,087 1,879 Subtotal 1,107 1,906 Unamortized premiums 29 35 Unamortized discounts (1) (2) Mortgage loans held for portfolio (1) 1,135 1,939 Less: Allowance for credit losses (1) (4) Total mortgage loans held for portfolio, net $ 1,134 $ 1,935 |
Other Delinquency Statistics | The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2021, and December 31, 2020. September 30, 2021 Origination Year Payment Status 2017 to 2021 Prior to 2017 Amortized Cost (1) 30 – 59 days delinquent $ 7 $ 2 $ 9 60 – 89 days delinquent 5 2 7 90 days or more delinquent 31 11 42 Total past due 43 15 58 Total current loans 852 225 1,077 Total MPF $ 895 $ 240 $ 1,135 In process of foreclosure, included above (2) $ 2 Nonaccrual loans (3) $ 42 Serious delinquencies as a percentage of total mortgage loans outstanding (4) 3.74 % December 31, 2020 Origination Year Payment Status 2016 to 2020 Prior to 2016 Amortized Cost (1) 30 – 59 days delinquent $ 20 $ 2 $ 22 60 – 89 days delinquent 5 2 7 90 days or more delinquent 95 9 104 Total past due 120 13 133 Total current loans 1,628 178 1,806 Total MPF (5) $ 1,748 $ 191 $ 1,939 In process of foreclosure, included above (2) $ 1 Nonaccrual loans (3) $ 104 Serious delinquencies as a percentage of total mortgage loans outstanding (4) 5.34 % (1) The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. (2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. (3) At September 30, 2021, and December 31, 2020, $42 and $103, respectively, of these mortgage loans on nonaccrual status did not have an associated allowance for credit losses. (4) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding. (5) The amortized costs of the mortgage loans by origination year in the 2016 to 2020 column and prior to 2016 column that were previously disclosed in the “Mortgage Loans Held for Portfolio” note were incorrectly presented as of December 31, 2020, in the Bank’s 2020 Form 10-K. The amortized costs of the mortgage loans by origination year as of December 31, 2020, have been corrected. The total amortized costs presented for each period were properly disclosed. These revisions had no effect on the Bank’s total assets, net interest income, or net income for all affected periods. |
Financing Receivable, Allowance for Credit Loss | The following table presents a rollforward of the allowance for credit losses on the mortgage loan portfolio for the three and nine months ended September 30, 2021 and 2020. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the three and nine months ended September 30, 2021 and 2020. Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Balance, beginning of the period $ 2 $ 5 $ 4 $ — Adjustment for cumulative effect of accounting change — — — 3 Provision for/(reversal of) credit losses (1) 2 (3) 4 Balance, end of the period $ 1 $ 7 $ 1 $ 7 |
Deposits (Tables)
Deposits (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component | Deposits and interest rate payment terms for deposits as of September 30, 2021, and December 31, 2020, were as follows: |
Schedule of Interest Rate Payment Terms On Deposit Liabilities | September 30, 2021 December 31, 2020 Amount Weighted Amount Weighted Interest-bearing deposits: Adjustable rate $ 705 0.01 % $ 732 0.01 % Fixed rate 66 0.01 16 0.01 Total interest-bearing deposits 771 748 Non-interest-bearing deposits 55 139 Total $ 826 $ 887 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Debt Disclosure [Abstract] | |
Schedule of Maturities of Long-term Debt | The following is a summary of the Bank’s participation in consolidated obligation bonds at September 30, 2021, and December 31, 2020. September 30, 2021 December 31, 2020 Contractual Maturity Amount Weighted Amount Weighted Within 1 year $ 6,565 0.36 % $ 34,542 0.23 % After 1 year through 2 years 3,628 0.30 6,923 0.21 After 2 years through 3 years 1,750 0.44 751 1.00 After 3 years through 4 years 2,500 0.60 677 0.67 After 4 years through 5 years 5,023 0.87 185 0.82 After 5 years 2,608 1.36 1,311 2.24 Total par value 22,074 0.62 % 44,389 0.31 % Unamortized premiums 4 10 Unamortized discounts (4) (5) Valuation adjustments for hedging activities (47) 13 Fair value option valuation adjustments (2) 1 Total $ 22,025 $ 44,408 |
Schedule of Long-term Debt by Call Feature | The Bank’s participation in consolidated obligation bonds at September 30, 2021, and December 31, 2020, was as follows: September 30, 2021 December 31, 2020 Par value of consolidated obligation bonds: Non-callable $ 9,941 $ 41,249 Callable 12,133 3,140 Total par value $ 22,074 $ 44,389 |
Schedule of Maturities of Long-term Debt by Contractual or Next Call Date | The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2021, and December 31, 2020, by the earlier of the year of contractual maturity or next call date. Earlier of Contractual September 30, 2021 December 31, 2020 Within 1 year $ 18,323 $ 36,667 After 1 year through 2 years 3,623 7,228 After 2 years through 3 years 77 396 After 3 years through 4 years — 47 After 4 years through 5 years 3 — After 5 years 48 51 Total par value $ 22,074 $ 44,389 |
Schedule of Short-term Debt | The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows: September 30, 2021 December 31, 2020 Amount Weighted Average Interest Rate (1) Amount Weighted Average Interest Rate (1) Par value $ 24,817 0.04 % $ 16,217 0.12 % Unamortized discounts (3) (4) Total $ 24,814 $ 16,213 |
Schedule of Interest Rate Payment Terms for Debt | Interest rate payment terms for consolidated obligations at September 30, 2021, and December 31, 2020, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 2020 Form 10-K. September 30, 2021 December 31, 2020 Par value of consolidated obligations: Bonds: Fixed rate $ 14,736 $ 6,632 Adjustable rate 6,815 37,712 Step-up 523 45 Total bonds, par value 22,074 44,389 Discount notes, par value 24,817 16,217 Total consolidated obligations, par value $ 46,891 $ 60,606 |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in Accumulated Other Comprehensive Income (AOCI) for the three months ended September 30, 2021 and 2020: Net Unrealized Gain/(Loss) on AFS Securities Pension and Postretirement Benefits Total Balance, June 30, 2020 $ (21) $ (14) $ (35) Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (1) (1) Net change in fair value 172 172 Net current period other comprehensive income/(loss) 172 (1) 171 Balance, September 30, 2020 $ 151 $ (15) $ 136 Balance, June 30, 2021 $ 408 $ (14) $ 394 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (3) (3) Net change in fair value (72) (72) Net current period other comprehensive income/(loss) (72) (3) (75) Balance, September 30, 2021 $ 336 $ (17) $ 319 The following table summarizes the changes in AOCI for the nine months ended September 30, 2021 and 2020: Net Unrealized Gain/(Loss) on AFS Securities Net Non-Credit-Related OTTI Loss on AFS Securities Net Non-Credit-Related OTTI Loss on HTM Securities Pension and Postretirement Benefits Total Balance, December 31, 2019 $ 21 $ 268 $ (1) $ (14) $ 274 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (1) (1) Net change in fair value (138) — (138) Accretion of non-credit loss 1 1 Net current period other comprehensive income/(loss) (138) — 1 (1) (138) Adoption of ASU 2016-13, as amended (1) 268 (268) — Balance, September 30, 2020 $ 151 $ — $ — $ (15) $ 136 Balance, December 31, 2020 $ 244 $ — $ — $ (14) $ 230 Other comprehensive income/(loss) before reclassifications: Net change in pension and postretirement benefits (3) (3) Net change in fair value 92 — 92 Net current period other comprehensive income/(loss) 92 — — (3) 89 Balance, September 30, 2021 $ 336 $ — $ — $ (17) $ 319 |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As of September 30, 2021, and December 31, 2020, the Bank complied with these capital rules and requirements as shown in the following table. September 30, 2021 December 31, 2020 Required Actual Required Actual Risk-based capital $ 1,109 $ 6,059 $ 1,404 $ 5,966 Total regulatory capital $ 2,178 $ 6,059 $ 2,745 $ 5,966 Total regulatory capital ratio 4.00 % 11.12 % 4.00 % 8.69 % Leverage capital $ 2,723 $ 9,088 $ 3,432 $ 8,949 Leverage ratio 5.00 % 16.69 % 5.00 % 13.04 % |
Schedule of Mandatorily Redeemable Capital Stock | The Bank had mandatorily redeemable capital stock totaling $4 outstanding to three institutions at September 30, 2021, and $2 outstanding to three institutions at December 31, 2020. The change in mandatorily redeemable capital stock for the three and nine months ended September 30, 2021 and 2020 was as follows: Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Balance at the beginning of the period $ 3 $ 83 $ 2 $ 138 Reclassified from/(to) capital during the period 13 — 16 3 Repurchase/redemption of mandatorily redeemable capital stock (12) (81) (14) (139) Balance at the end of the period $ 4 $ 2 $ 4 $ 2 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | The following table presents mandatorily redeemable capital stock amounts by contractual redemption period at September 30, 2021, and December 31, 2020. Contractual Redemption Period September 30, 2021 December 31, 2020 After 4 years through 5 years $ 3 $ — Past contractual redemption date because of remaining activity (1) 1 2 Total $ 4 $ 2 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because of outstanding activity. |
Schedule of Concentration of Capital [Table Text Block] | The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2021, or December 31, 2020. September 30, 2021 December 31, 2020 Name of Institution Capital Stock Percentage Capital Stock Percentage First Republic Bank $ 239 11 % $ 354 16 % Others 2,018 89 1,932 84 Total $ 2,257 100 % $ 2,286 100 % |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Segment Reporting [Abstract] | |
Reconciliation of Operating Profit (Loss) from Segments to Consolidated | The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three and nine months ended September 30, 2021 and 2020. Advances- Related Business (1) Mortgage- Related Business (2) Adjusted Net Interest Income (1) Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges (1)(3) Income/(Expense) on Economic Hedges (4) Interest Expense on Mandatorily Redeemable Capital Stock (5) Net Other Other Income/(Loss) Three months ended: September 30, 2021 $ 42 $ 62 $ 104 $ — $ (16) $ — $ 120 $ (3) $ 38 $ 79 September 30, 2020 63 53 116 — (34) 1 149 70 40 179 Nine months ended: September 30, 2021 $ 143 $ 200 $ 343 $ (7) $ (61) $ — $ 411 $ (50) $ 116 $ 245 September 30, 2020 198 140 338 77 (52) 5 308 79 119 268 (1) Amounts have been corrected to properly disclose the classification of amortization of basis adjustments and certain fees on prepaid advances within adjusted net interest income of the advances-related business segment and within amortization of basis adjustments. The Bank previously disclosed in “Note 10 - Segment Information” in the Bank’s third quarter 2020 Form 10-Q adjusted net interest income totaling $103 and $322 for the three and nine months ended September 30, 2020, respectively. These amounts should have been disclosed as $116 and $338, respectively. These revisions had no effect on total assets, net interest income, or net income of the Bank reported for all affected periods. (2) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $19 and $17 for the three months ended September 30, 2021 and 2020; and totaled $52 and $54 for the nine months ended September 30, 2021 and 2020, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses of a de minimis amount and $(2) for the three months ended September 30, 2021 and 2020, respectively, and $(8) and $30 for the nine months ended September 30, 2021 and 2020, respectively. (3) Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income. (4) The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives.” (5) The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments. |
Schedule of Segment Assets by Segment | The following table presents total assets by operating segment at September 30, 2021, and December 31, 2020. Advances- Mortgage- Total September 30, 2021 $ 39,798 $ 14,661 $ 54,459 December 31, 2020 50,876 17,758 68,634 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2021, and December 31, 2020. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. September 30, 2021 December 31, 2020 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments: Interest rate swaps $ 36,138 $ 222 $ 83 $ 35,060 $ 88 $ 128 Total 36,138 222 83 35,060 88 128 Derivatives not designated as hedging instruments: Interest rate swaps 38,877 1 16 42,804 4 16 Interest rate caps and floors 550 — — 780 — — Mortgage delivery commitments — — — 1 — — Total 39,427 1 16 43,585 4 16 Total derivatives before netting and collateral adjustments $ 75,565 223 99 $ 78,645 92 144 Netting adjustments and cash collateral (1) (212) (90) (89) (132) Total derivative assets and total derivative liabilities $ 11 $ 9 $ 3 $ 12 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $36 and $72 at September 30, 2021, and December 31, 2020, respectively. Cash collateral received, including accrued interest, was $158 and $30 at September 30, 2021, and December 31, 2020, respectively. |
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three and nine months ended September 30, 2021 and 2020. Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Derivatives not designated as hedging instruments Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Economic hedges: Interest rate swaps $ 31 $ 39 $ 86 $ (107) Net settlements (16) (34) (61) (52) Mortgage delivery commitments — — — 3 Net gain/(loss) on derivatives (1) $ 15 $ 5 $ 25 $ (156) (1) The Bank made out-of-period adjustments in the third quarter of 2021 that resulted in an overstatement of net gain/(loss) on derivatives of $13 and an understatement of net gain/(loss) on derivatives of $1 for the three and nine months ended September 30, 2021, respectively. For more information on the adjustments, see Note 1 - Basis of Presentation. |
Derivative Instruments, Gain (Loss) [Table Text Block] | The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2021 and 2020. Three Months Ended September 30, 2021 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 47 $ 57 $ (13) Gain/(loss) on fair value hedging relationships Derivatives (1) $ (2) $ 42 $ (1) Hedged items (41) (56) 20 Net gain/(loss) on fair value hedging relationships (43) (14) 19 Net amortization of gain on discontinued fair value hedging relationships (7) (27) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (50) $ (41) $ 19 Three Months Ended September 30, 2020 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 88 $ 67 $ (47) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 22 $ 54 $ (1) Hedged items (111) (89) 8 Net gain/(loss) on fair value hedging relationships (89) (35) 7 Net amortization of gain on discontinued fair value hedging relationships (1) (23) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (90) $ (58) $ 7 Nine Months Ended September 30, 2021 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 167 $ 168 $ (49) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 97 $ 299 $ (17) Hedged items (260) (349) 60 Net gain/(loss) on fair value hedging relationships (163) (50) 43 Net amortization of gain on discontinued fair value hedging relationships (15) (81) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (178) $ (131) $ 43 Nine Months Ended September 30, 2020 Interest Income/(Expense) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 509 $ 179 $ (405) Gain/(loss) on fair value hedging relationships Derivatives (1) $ (715) $ (995) $ 27 Hedged items 488 828 (9) Net gain/(loss) on fair value hedging relationships (227) (167) 18 Net amortization of gain on discontinued fair value hedging relationships (2) (25) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ (229) $ (192) $ 18 (1) Includes net interest settlements. |
Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance | The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2021, and December 31, 2020. September 30, 2021 December 31, 2020 Advances AFS Securities Consolidated Obligation Bonds Advances AFS Securities Consolidated Obligation Bonds Amortized cost of hedged asset/(liability) (1) $ 19,850 $ 8,966 $ (11,797) $ 23,605 $ 11,557 $ (3,645) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ 95 $ (304) $ 47 $ 477 $ 43 $ (13) Discontinued hedging relationships included in amortized cost 125 928 — 32 1,016 — Total amount of fair value hedging basis adjustments $ 220 $ 624 $ 47 $ 509 $ 1,059 $ (13) (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. |
Schedule of Derivative Instruments, Offsetting Derivative Assets | The following tables present separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2021, and December 31, 2020. September 30, 2021 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 222 $ (222) $ — $ — $ — Cleared 1 10 11 (284) 295 Total $ 11 $ 295 Derivative Liabilities Uncleared $ 89 $ (80) $ 9 $ — $ 9 Cleared 10 (10) — — — Total $ 9 $ 9 December 31, 2020 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 85 $ (85) $ — $ — $ — Cleared 7 (4) 3 (379) 382 Total $ 3 $ 382 Derivative Liabilities Uncleared $ 124 $ (114) $ 10 $ — $ 10 Cleared 20 (18) 2 — 2 Total $ 12 $ 12 |
Schedule of Derivative Instruments, Offsetting Derivative Liabilities | The following tables present separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2021, and December 31, 2020. September 30, 2021 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 222 $ (222) $ — $ — $ — Cleared 1 10 11 (284) 295 Total $ 11 $ 295 Derivative Liabilities Uncleared $ 89 $ (80) $ 9 $ — $ 9 Cleared 10 (10) — — — Total $ 9 $ 9 December 31, 2020 Derivative Instruments Meeting Netting Requirements Amount Recognized Gross Amount of Netting Adjustments and Cash Collateral Total Derivative Assets and Total Derivative Liabilities Noncash Collateral Not Offset That Net Amount Derivative Assets Uncleared $ 85 $ (85) $ — $ — $ — Cleared 7 (4) 3 (379) 382 Total $ 3 $ 382 Derivative Liabilities Uncleared $ 124 $ (114) $ 10 $ — $ 10 Cleared 20 (18) 2 — 2 Total $ 12 $ 12 |
Fair Value (Tables)
Fair Value (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at September 30, 2021, and December 31, 2020. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. September 30, 2021 Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 55 $ 55 $ 55 $ — $ — $ — Interest-bearing deposits 1,125 1,125 1,125 — — — Securities purchased under agreements to resell 6,500 6,500 — 6,500 — — Federal funds sold 6,133 6,133 — 6,133 — — Trading securities 2,260 2,260 — 2,260 — — AFS securities 10,825 10,825 — 9,121 1,704 — HTM securities 3,521 3,551 — 3,313 238 — Advances 22,613 22,721 — 22,721 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 1,134 1,134 — 1,134 — — Accrued interest receivable 61 61 — 61 — — Derivative assets, net (2) 11 11 — 223 — (212) Other assets (3) 24 24 24 — — — Liabilities Deposits 826 826 — 826 — — Consolidated obligations: Bonds 22,025 21,986 — 21,986 — — Discount notes 24,814 24,815 — 24,815 — — Total consolidated obligations 46,839 46,801 — 46,801 — — Mandatorily redeemable capital stock 4 4 4 — — — Accrued interest payable 25 25 — 25 — — Derivative liabilities, net (2) 9 9 — 99 — (90) Other Standby letters of credit 31 31 — 31 — — December 31, 2020 Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 174 $ 174 $ 174 $ — $ — $ — Interest-bearing deposits 1,078 1,078 1,078 — — — Securities purchased under agreements to resell 7,250 7,250 — 7,250 — — Federal funds sold 1,880 1,880 — 1,880 — — Trading securities 4,260 4,260 — 4,260 — — AFS securities 15,679 15,679 — 13,644 2,035 — HTM securities 5,081 5,115 — 4,827 288 — Advances 30,976 31,166 — 31,166 — — Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans 1,935 1,941 — 1,941 — — Accrued interest receivable 82 82 — 82 — — Derivative assets, net (2) 3 3 — 92 — (89) Other assets (3) 22 22 22 — — — Liabilities Deposits 887 887 — 887 — — Consolidated obligations: Bonds 44,408 44,457 — 44,457 — — Discount notes 16,213 16,214 — 16,214 — — Total consolidated obligations 60,621 60,671 — 60,671 — — Mandatorily redeemable capital stock 2 2 2 — — — Accrued interest payable 24 24 — 24 — — Derivative liabilities, net (2) 12 12 — 144 — (132) Other Standby letters of credit 36 36 — 36 — — (1) For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses. (2) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty. (3) Represents publicly traded mutual funds held in a grantor trust. |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques | The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2021, and December 31, 2020, by level within the fair value hierarchy. September 30, 2021 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 2,258 $ — $ — $ 2,258 MBS – Other U.S. obligations – Ginnie Mae — 2 — — 2 Total trading securities — 2,260 — — 2,260 AFS securities: U.S. obligations – Treasury securities — 856 — — 856 MBS: GSEs – multifamily — 8,265 — — 8,265 PLRMBS — — 1,704 — 1,704 Subtotal MBS — 8,265 1,704 — 9,969 Total AFS securities — 9,121 1,704 — 10,825 Advances (2) — 1,952 — — 1,952 Derivative assets, net: interest rate-related — 223 — (212) 11 Other assets 24 — — — 24 Total recurring fair value measurements – Assets $ 24 $ 13,556 $ 1,704 $ (212) $ 15,072 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 521 $ — $ — $ 521 Derivative liabilities, net: interest rate-related — 99 — (90) 9 Total recurring fair value measurements – Liabilities $ — $ 620 $ — $ (90) $ 530 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 23 $ — $ 23 Total nonrecurring fair value measurements – Assets $ — $ — $ 23 $ — $ 23 December 31, 2020 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: Trading securities: U.S. obligations – Treasury notes $ — $ 4,257 $ — $ — $ 4,257 MBS – Other U.S. obligations – Ginnie Mae — 3 — — 3 Total trading securities — 4,260 — — 4,260 AFS securities: U.S. obligations – Treasury securities — 4,983 — — 4,983 MBS: GSEs – multifamily — 8,661 — — 8,661 PLRMBS — — 2,035 — 2,035 Subtotal MBS — 8,661 2,035 — 10,696 Total AFS securities — 13,644 2,035 — 15,679 Advances (2) — 2,147 — — 2,147 Derivative assets, net: interest rate-related — 92 — (89) 3 Other assets 22 — — — 22 Total recurring fair value measurements – Assets $ 22 $ 20,143 $ 2,035 $ (89) $ 22,111 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 111 $ — $ — $ 111 Derivative liabilities, net: interest rate-related — 144 — (132) 12 Total recurring fair value measurements – Liabilities $ — $ 255 $ — $ (132) $ 123 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 18 $ — $ 18 Total nonrecurring fair value measurements – Assets $ — $ — $ 18 $ — $ 18 (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty. (2) Represents advances recorded under the fair value option at September 30, 2021, and December 31, 2020. (3) Represents consolidated obligation bonds recorded under the fair value option at September 30, 2021, and December 31, 2020. (4) The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2021, and the year ended December 31, 2020. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following tables present a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the three and nine months ended September 30, 2021 and 2020. Three Months Ended September 30, 2021 September 30, 2020 Balance, beginning of the period $ 1,827 $ 2,225 Total gain/(loss) realized and unrealized included in: Interest income 18 17 (Provision for)/reversal of credit losses (1) 4 Unrealized gain/(loss) included in AOCI (6) 29 Settlements (134) (139) Balance, end of the period $ 1,704 $ 2,136 Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period $ (5) $ 29 Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period $ 16 $ 20 Nine Months Ended September 30, 2021 September 30, 2020 Balance, beginning of the period $ 2,035 $ 2,597 Total gain/(loss) realized and unrealized included in: Interest income 52 53 (Provision for)/reversal of credit losses 5 (26) Unrealized gain/(loss) included in AOCI 23 (111) Settlements (411) (378) Transfers of HTM securities to AFS securities — 1 Balance, end of the period $ 1,704 $ 2,136 Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period $ 24 $ (111) Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period $ 55 $ 27 |
Fair Value, Option, Quantitative Disclosures | The following tables summarize the activity related to financial assets and liabilities for which the Bank elected the fair value option during the three and nine months ended September 30, 2021 and 2020: Three Months Ended September 30, 2021 September 30, 2020 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 1,984 $ 235 $ 3,478 $ 128 New transactions elected for fair value option — 318 — — Maturities and terminations (21) (30) (367) (15) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings (11) (2) (8) (1) Balance, end of the period $ 1,952 $ 521 $ 3,103 $ 112 Nine Months Ended September 30, 2021 September 30, 2020 Advances Consolidated Advances Consolidated Balance, beginning of the period $ 2,147 $ 111 $ 4,370 $ 337 New transactions elected for fair value option 670 538 7,070 — Maturities and terminations (821) (125) (8,432) (225) Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings (43) (3) 97 1 Change in accrued interest (1) — (2) (1) Balance, end of the period $ 1,952 $ 521 $ 3,103 $ 112 The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at September 30, 2021, and December 31, 2020: September 30, 2021 December 31, 2020 Principal Balance Fair Value Fair Value Principal Balance Fair Value Fair Value Advances (1) $ 1,866 $ 1,952 $ 86 $ 2,017 $ 2,147 $ 130 Consolidated obligation bonds 523 521 (2) 110 111 1 (1) At September 30, 2021, and December 31, 2020, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | Off-balance sheet commitments as of September 30, 2021, and December 31, 2020, were as follows: September 30, 2021 December 31, 2020 Expire Within Expire After Total Expire Within Expire After Total Standby letters of credit outstanding $ 10,805 $ 4,718 $ 15,523 $ 14,838 $ 4,551 $ 19,389 Commitments to issue consolidated obligation discount notes, par 2,136 — 2,136 — — — Commitments to issue consolidated obligation bonds, par 235 — 235 — — — Commitments to purchase mortgage loans — — — 1 — 1 |
Transactions with Certain Mem_2
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) | 9 Months Ended |
Sep. 30, 2021 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members and Nonmembers | September 30, 2021 December 31, 2020 Assets: Advances $ 3,078 $ 2,650 Accrued interest receivable 2 3 Liabilities: Deposits $ 122 $ 27 Capital: Capital Stock $ 111 $ 103 Three Months Ended Nine Months Ended September 30, 2021 September 30, 2020 September 30, 2021 September 30, 2020 Interest Income: Advances $ 12 $ 19 $ 38 $ 59 |
Basis of Presentation (Details)
Basis of Presentation (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Reclassification [Line Items] | ||||||||
Assets | $ 54,459 | $ 54,244 | $ 57,908 | $ 54,244 | $ 54,459 | $ 68,634 | ||
Net Income/(Loss) | 71 | $ 161 | 220 | $ 241 | ||||
Advances (includes $1,952 and $2,147 at fair value under the fair value option, respectively) | 22,613 | 24,194 | 28,140 | 24,194 | 22,613 | 30,976 | ||
Net Gain/(Loss) on Derivatives | 15 | (8) | 18 | 5 | 10 | 25 | (156) | (152) |
Income/(Loss) Before Assessment | $ 79 | 62 | 104 | 179 | 166 | $ 245 | 268 | 373 |
Revision of Prior Period, Reclassification, Adjustment | ||||||||
Reclassification [Line Items] | ||||||||
Assets | (13) | (17) | (13) | 1 | ||||
Net Income/(Loss) | $ 13 | $ (1) | ||||||
Advances (includes $1,952 and $2,147 at fair value under the fair value option, respectively) | (13) | (17) | (13) | 1 | ||||
Net Gain/(Loss) on Derivatives | 4 | (18) | (14) | 1 | ||||
Income/(Loss) Before Assessment | $ 4 | $ (18) | $ (14) | $ 1 |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Investments [Line Items] | ||||||||
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Unrated | 0.00% | 0.00% | 0.00% | |||||
Interest-Bearing Deposits, Securities Purchased Under Agreements to Resell, and Federal Funds Sold, Percentage Rated Below Triple-B | 0.00% | 0.00% | 0.00% | |||||
Available-for-sale Securities, Premiums | $ 60 | $ 60 | $ 65 | |||||
Available for sale Securities Discounts | $ (42) | $ (42) | $ (47) | |||||
Available For Sale Debt Securities And Held To Maturity Debt Securities Excluding Private Label Mortgage Back Securities Amortized Cost Percentage Rated Single A Or Above | 100.00% | 100.00% | 100.00% | |||||
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated Single-A Or Above | 5.00% | 5.00% | 6.00% | |||||
Provision for/(reversal of) credit losses | $ 1 | $ (4) | $ (5) | $ 26 | ||||
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities | 13 | 14 | 39 | 45 | ||||
Total net accretion or amortization recognized in interest income associated with PLRMBS that were OTTI | 19 | 17 | 52 | 54 | ||||
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities | 0 | 0 | 0 | 1 | ||||
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities | 0 | 0 | 0 | 1 | ||||
Allowance for Credit Losses on AFS | 15 | 24 | 15 | 24 | $ 14 | $ 21 | $ 29 | $ 0 |
Allowance for Credit Losses on HTM | 0 | $ 0 | 0 | $ 0 | 0 | |||
Interest-bearing Deposits [Member] | ||||||||
Investments [Line Items] | ||||||||
Accrued Interest, after Allowance for Credit Loss | 0 | 0 | 0 | |||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Fed Funds Sold | ||||||||
Investments [Line Items] | ||||||||
Accrued Interest, after Allowance for Credit Loss | 0 | 0 | 0 | |||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Securities Borrowed or Purchased under Agreements to Resell [Member] | ||||||||
Investments [Line Items] | ||||||||
Accrued Interest, after Allowance for Credit Loss | 0 | 0 | 0 | |||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Held-to-maturity Securities, Premiums | 4 | 4 | 5 | |||||
Held-to-maturity Securities, Discounts | (4) | (4) | (6) | |||||
Allowance for Credit Losses on AFS | 15 | 15 | 21 | |||||
AFS securities excluding PLRMBS | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Losses on AFS | 0 | 0 | 0 | |||||
Available-for-sale Securities | Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Credit-related OTTI | 424 | 424 | 486 | |||||
Held-to-maturity Securities | Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Credit-related OTTI | $ 6 | $ 6 | $ 6 |
Investments Trading Securities
Investments Trading Securities by Major Type (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Trading Securities | |||||
Trading securities | $ 2,260 | $ 2,260 | $ 4,260 | ||
Net gain/(loss) on trading securities | (13) | $ (19) | (50) | $ 36 | |
Trading unrealized gain (Loss) on securities held at period end | (12) | $ (19) | (34) | $ 36 | |
US Treasury Notes | |||||
Trading Securities | |||||
Trading securities | 2,258 | 2,258 | 4,257 | ||
MBS – Other U.S. obligations – Ginnie Mae | |||||
Trading Securities | |||||
Trading securities | $ 2 | $ 2 | $ 3 |
Investments AFS Securities by M
Investments AFS Securities by Major Type (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | ||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | [1] | $ 10,504 | $ 15,456 | |||||
Allowance for Credit Losses | (15) | $ (14) | (21) | $ (24) | $ (29) | $ 0 | ||
Gross Unrealized Gains | 341 | 270 | ||||||
Gross Unrealized Losses | (5) | (26) | ||||||
Fair Value of AFS Securities | [2] | 10,825 | 15,679 | |||||
Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | 30 | 46 | ||||||
US Treasury Notes | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | 856 | 2,980 | ||||||
Allowance for Credit Losses | 0 | 0 | ||||||
Gross Unrealized Gains | 0 | 3 | ||||||
Gross Unrealized Losses | 0 | 0 | ||||||
Fair Value of AFS Securities | 856 | 2,983 | ||||||
US Treasury Bills | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | 2,000 | |||||||
Allowance for Credit Losses | 0 | |||||||
Gross Unrealized Gains | 0 | |||||||
Gross Unrealized Losses | 0 | |||||||
Fair Value of AFS Securities | 2,000 | |||||||
US Treasury Securities | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | 4,980 | |||||||
Allowance for Credit Losses | 0 | |||||||
Gross Unrealized Gains | 3 | |||||||
Gross Unrealized Losses | 0 | |||||||
Fair Value of AFS Securities | 4,983 | |||||||
Mortgage Backed Securities | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | [1] | 9,648 | 10,476 | |||||
Allowance for Credit Losses | (15) | (21) | ||||||
Gross Unrealized Gains | 341 | 267 | ||||||
Gross Unrealized Losses | (5) | (26) | ||||||
Fair Value of AFS Securities | 9,969 | 10,696 | ||||||
Multifamily [Member] | MBS - GSEs | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | [1] | 8,110 | 8,577 | |||||
Allowance for Credit Losses | 0 | 0 | ||||||
Gross Unrealized Gains | 155 | 90 | ||||||
Gross Unrealized Losses | 0 | (6) | ||||||
Fair Value of AFS Securities | 8,265 | 8,661 | ||||||
Freddie Mac | Multifamily [Member] | MBS - GSEs | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | 792 | [1] | 833 | |||||
Allowance for Credit Losses | 0 | 0 | ||||||
Gross Unrealized Gains | 26 | 18 | ||||||
Gross Unrealized Losses | 0 | 0 | ||||||
Fair Value of AFS Securities | 818 | 851 | ||||||
Fannie Mae | Multifamily [Member] | MBS - GSEs | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | 7,318 | [1] | 7,744 | |||||
Allowance for Credit Losses | 0 | 0 | ||||||
Gross Unrealized Gains | 129 | 72 | ||||||
Gross Unrealized Losses | 0 | (6) | ||||||
Fair Value of AFS Securities | 7,447 | 7,810 | ||||||
Residential Mortgage Backed Securities | PLRMBS | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | [1] | 1,538 | 1,899 | |||||
Allowance for Credit Losses | (15) | (21) | ||||||
Gross Unrealized Gains | 186 | 177 | ||||||
Gross Unrealized Losses | (5) | (20) | ||||||
Fair Value of AFS Securities | 1,704 | 2,035 | ||||||
Residential Mortgage Backed Securities | Prime | PLRMBS | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | 142 | 174 | ||||||
Allowance for Credit Losses | 0 | (1) | ||||||
Gross Unrealized Gains | 13 | 9 | ||||||
Gross Unrealized Losses | 0 | 0 | ||||||
Fair Value of AFS Securities | 155 | 182 | ||||||
Residential Mortgage Backed Securities | Alt-A | PLRMBS | ||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||
Amortized Cost of AFS | 1,396 | 1,725 | ||||||
Allowance for Credit Losses | (15) | (20) | ||||||
Gross Unrealized Gains | 173 | 168 | ||||||
Gross Unrealized Losses | (5) | (20) | ||||||
Fair Value of AFS Securities | $ 1,549 | $ 1,853 | ||||||
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $30 and $46 at September 30, 2021, and December 31, 2020, respectively. | |||||||
[2] | At September 30, 2021, and December 31, 2020, $284 and $379, respectively, of these securities were pledged as collateral that may be repledged. |
Investments Summary of AFS Secu
Investments Summary of AFS Securities with Unrealized Losses (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 427 | $ 1,387 |
Less Than 12 Months: Unrealized Losses | 0 | 13 |
12 Months or More: Estimated Fair Value | 178 | 397 |
12 Months or More: Unrealized Losses | 5 | 13 |
Unrealized Loss Position, Total Fair Value | 605 | 1,784 |
Unrealized Loss Position, Total Accumulated Loss | 5 | 26 |
US Treasury Notes | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 350 | 501 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 0 | 0 |
12 Months or More: Unrealized Losses | 0 | 0 |
Unrealized Loss Position, Total Fair Value | 350 | 501 |
Unrealized Loss Position, Total Accumulated Loss | 0 | 0 |
Fannie Mae | Multifamily [Member] | MBS - GSEs | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 77 | 731 |
Less Than 12 Months: Unrealized Losses | 0 | 6 |
12 Months or More: Estimated Fair Value | 0 | 222 |
12 Months or More: Unrealized Losses | 0 | 0 |
Unrealized Loss Position, Total Fair Value | 77 | 953 |
Unrealized Loss Position, Total Accumulated Loss | 0 | 6 |
PLRMBS | Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 0 | 155 |
Less Than 12 Months: Unrealized Losses | 0 | 7 |
12 Months or More: Estimated Fair Value | 178 | 175 |
12 Months or More: Unrealized Losses | 5 | 13 |
Unrealized Loss Position, Total Fair Value | 178 | 330 |
Unrealized Loss Position, Total Accumulated Loss | 5 | 20 |
Prime | PLRMBS | Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 0 | 4 |
Less Than 12 Months: Unrealized Losses | 0 | 0 |
12 Months or More: Estimated Fair Value | 6 | 7 |
12 Months or More: Unrealized Losses | 0 | 0 |
Unrealized Loss Position, Total Fair Value | 6 | 11 |
Unrealized Loss Position, Total Accumulated Loss | 0 | 0 |
Alt-A | PLRMBS | Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 0 | 151 |
Less Than 12 Months: Unrealized Losses | 0 | 7 |
12 Months or More: Estimated Fair Value | 172 | 168 |
12 Months or More: Unrealized Losses | 5 | 13 |
Unrealized Loss Position, Total Fair Value | 172 | 319 |
Unrealized Loss Position, Total Accumulated Loss | $ 5 | $ 20 |
Investments AFS by Contractual
Investments AFS by Contractual Maturity (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost of AFS | [1] | $ 10,504 | $ 15,456 |
Fair Value of AFS Securities | [2] | 10,825 | 15,679 |
Other Than Mortgage Backed Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in 1 year or less - Amortized cost | 856 | 4,469 | |
Due in 1 year or less - Fair value | 856 | 4,470 | |
Due after 1 year through 5 years - Amortized cost | 511 | ||
Due after 1 year through 5 years - Fair value | 513 | ||
Amortized Cost of AFS | 4,980 | ||
Fair Value of AFS Securities | 4,983 | ||
Mortgage Backed Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost of AFS | [1] | 9,648 | 10,476 |
Fair Value of AFS Securities | $ 9,969 | $ 10,696 | |
[1] | Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes accrued interest receivable of $30 and $46 at September 30, 2021, and December 31, 2020, respectively. | ||
[2] | At September 30, 2021, and December 31, 2020, $284 and $379, respectively, of these securities were pledged as collateral that may be repledged. |
Investments Classification of H
Investments Classification of Held-to-Maturity Securities (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 3,521 | $ 5,081 |
Gross Unrecognized Holding Gain | 35 | 44 |
Gross Unrecognized Holding Loss | (5) | (10) |
Fair Value of Held-to-maturity securities | 3,551 | 5,115 |
HTM Accrued Interest, after Allowance for Credit Loss | 3 | 5 |
Other US Obligations - Ginnie Mae | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 135 | 261 |
Gross Unrecognized Holding Gain | 3 | 7 |
Gross Unrecognized Holding Loss | 0 | 0 |
Fair Value of Held-to-maturity securities | 138 | 268 |
MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 3,152 | 4,529 |
Gross Unrecognized Holding Gain | 27 | 34 |
Gross Unrecognized Holding Loss | (4) | (4) |
Fair Value of Held-to-maturity securities | 3,175 | 4,559 |
Single Family [Member] | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,135 | 1,740 |
Gross Unrecognized Holding Gain | 22 | 32 |
Gross Unrecognized Holding Loss | (1) | (1) |
Fair Value of Held-to-maturity securities | 1,156 | 1,771 |
Single Family [Member] | Freddie Mac | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 250 | 511 |
Gross Unrecognized Holding Gain | 7 | 11 |
Gross Unrecognized Holding Loss | 0 | 0 |
Fair Value of Held-to-maturity securities | 257 | 522 |
Single Family [Member] | Fannie Mae | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 885 | 1,229 |
Gross Unrecognized Holding Gain | 15 | 21 |
Gross Unrecognized Holding Loss | (1) | (1) |
Fair Value of Held-to-maturity securities | 899 | 1,249 |
Multifamily [Member] | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,017 | 2,789 |
Gross Unrecognized Holding Gain | 5 | 2 |
Gross Unrecognized Holding Loss | (3) | (3) |
Fair Value of Held-to-maturity securities | 2,019 | 2,788 |
Multifamily [Member] | Freddie Mac | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,308 | 1,844 |
Gross Unrecognized Holding Gain | 5 | 2 |
Gross Unrecognized Holding Loss | 0 | (2) |
Fair Value of Held-to-maturity securities | 1,313 | 1,844 |
Multifamily [Member] | Fannie Mae | MBS - GSEs | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 709 | 945 |
Gross Unrecognized Holding Gain | 0 | 0 |
Gross Unrecognized Holding Loss | (3) | (1) |
Fair Value of Held-to-maturity securities | 706 | 944 |
Residential Mortgage Backed Securities | PLRMBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 234 | 291 |
Gross Unrecognized Holding Gain | 5 | 3 |
Gross Unrecognized Holding Loss | (1) | (6) |
Fair Value of Held-to-maturity securities | 238 | 288 |
Residential Mortgage Backed Securities | Prime | PLRMBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 149 | 185 |
Gross Unrecognized Holding Gain | 1 | 0 |
Gross Unrecognized Holding Loss | (1) | (4) |
Fair Value of Held-to-maturity securities | 149 | 181 |
Residential Mortgage Backed Securities | Alt-A | PLRMBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 85 | 106 |
Gross Unrecognized Holding Gain | 4 | 3 |
Gross Unrecognized Holding Loss | 0 | (2) |
Fair Value of Held-to-maturity securities | $ 89 | $ 107 |
Investments Allowance for Credi
Investments Allowance for Credit Losses (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Allowance for Credit Loss [Abstract] | ||||||||
Allowance for Credit Losses on AFS | $ 15 | $ 24 | $ 15 | $ 24 | $ 14 | $ 21 | $ 29 | $ 0 |
(Charge-offs)/recoveries | 0 | (1) | (1) | (2) | ||||
Provision for/(reversal of) credit losses | $ 1 | $ (4) | $ (5) | $ 26 |
Investments Significant Inputs
Investments Significant Inputs on PLRMBS (Details) | 9 Months Ended |
Sep. 30, 2021 | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 11.30% |
Default Rate Weighted Average | 7.80% |
Loss Severity Weighted Average | 52.90% |
Credit Enhancements Weighted Average | 8.10% |
Alt-A | Residential Mortgage Backed Securities | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 10.90% |
Default Rate Weighted Average | 8.10% |
Loss Severity Weighted Average | 49.50% |
Credit Enhancements Weighted Average | 7.50% |
Prime | Residential Mortgage Backed Securities | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 15.80% |
Default Rate Weighted Average | 4.00% |
Loss Severity Weighted Average | 86.50% |
Credit Enhancements Weighted Average | 13.10% |
Investments OTTI Rollforward (D
Investments OTTI Rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Total net accretion or amortization recognized in interest income associated with PLRMBS that were OTTI | $ 19 | $ 17 | $ 52 | $ 54 |
Transfers from HTM to AFS (Deta
Transfers from HTM to AFS (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities | $ 0 | $ 0 | $ 0 | $ 1 |
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities | $ 0 | $ 0 | $ 0 | $ 1 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Millions | 9 Months Ended | ||
Sep. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | |
Advances [Line Items] | |||
Advances, Par Value | $ 22,307 | $ 30,338 | $ 36,890 |
Advances with Full prepayment Symmetry Outstanding | 14,363 | 19,919 | |
Advances With Partial Prepayment Symmetry Outstanding | 1,596 | 1,817 | |
Federal Home Loan Bank Advances | |||
Advances [Line Items] | |||
Allowance for Credit Loss | $ 0 | $ 0 | |
Minimum | |||
Advances [Line Items] | |||
Advances, Maturity Period, Fixed Rate | 1 day | ||
Advances, Maturity Period, Variable Rate | 30 days | ||
Advances, Interest Rate | 0.13% | 0.00% | |
Maximum | |||
Advances [Line Items] | |||
Advances, Maturity Period, Fixed Rate | 30 years | ||
Advances, Maturity Period, Variable Rate | 10 years | ||
Advances, Interest Rate | 8.57% | 8.57% | |
Advances, Callable Option | |||
Advances [Line Items] | |||
Advances, Par Value | $ 70 | $ 1,100 | |
Advances, Putable Option | |||
Advances [Line Items] | |||
Advances, Par Value | $ 220 | $ 220 |
Advances (Redemption Terms) (De
Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | |
Federal Home Loan Bank Advances, Maturities [Abstract] | ||||||
Within 1 year | $ 8,632 | $ 11,862 | ||||
After 1 year through 2 years | 2,514 | 6,399 | ||||
After 2 years through 3 years | 2,468 | 4,321 | ||||
After 3 years through 4 years | 4,082 | 2,704 | ||||
After 4 years through 5 years | 3,365 | 3,278 | ||||
After 5 years | 1,246 | 1,774 | ||||
Total par value | 22,307 | 30,338 | $ 36,890 | |||
Valuation adjustments for hedging activities | 220 | 509 | ||||
Valuation adjustments under fair value option | [1] | 86 | 130 | |||
Unamortized discounts | 0 | (1) | ||||
Total | $ 22,613 | $ 24,194 | $ 28,140 | $ 30,976 | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | ||||||
Within 1 year | 1.61% | 1.65% | ||||
After 1 year through 2 years | 1.53% | 1.61% | ||||
After 2 years through 3 years | 1.65% | 2.10% | ||||
After 3 years through 4 years | 1.34% | 1.79% | ||||
After 4 years through 5 years | 1.83% | 1.26% | ||||
After 5 years | 2.08% | 1.79% | ||||
Total par value | 1.62% | 1.68% | ||||
Advances | ||||||
Federal Home Loan Bank, Advances [Line Items] | ||||||
Accrued Interest Receivable | $ 5 | $ 6 | ||||
[1] | At September 30, 2021, and December 31, 2020, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Advances (Earlier of Contractua
Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | |||
Within 1 year | $ 8,702 | $ 12,962 | |
After 1 year through 2 years | 2,514 | 5,299 | |
After 2 years through 3 years | 2,418 | 4,321 | |
After 3 years through 4 years | 4,082 | 2,704 | |
After 4 years through 5 years | 3,365 | 3,278 | |
After 5 years | 1,226 | 1,774 | |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | |||
Within 1 year | 8,852 | 12,082 | |
After 1 year through 2 years | 2,514 | 6,399 | |
After 2 years through 3 years | 2,468 | 4,321 | |
After 3 years through 4 years | 4,082 | 2,704 | |
After 4 years through 5 years | 3,365 | 3,278 | |
After 5 years | 1,026 | 1,554 | |
Total par value | $ 22,307 | $ 30,338 | $ 36,890 |
Advances (Credit and Concentrat
Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |||
Advances [Line Items] | |||||||
Advances Outstanding | $ 22,307 | $ 36,890 | $ 22,307 | $ 36,890 | $ 30,338 | ||
Interest Income from Advances | 97 | 175 | 329 | [1] | 722 | [1] | |
First Republic Bank [Member] | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 7,700 | 13,510 | 7,700 | 13,510 | |||
Interest Income from Advances | 28 | 62 | 103 | [1] | 201 | [1] | |
MUFG Union Bank, NA [Member] | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 4,075 | 4,925 | 4,075 | 4,925 | |||
Interest Income from Advances | 24 | 36 | 83 | [1] | 141 | [1] | |
First Technology Federal Credit Union | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 1,776 | 1,975 | 1,776 | 1,975 | |||
Interest Income from Advances | 7 | 11 | 21 | [1] | 34 | [1] | |
Luther Burbank Savings | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 752 | 962 | 752 | 962 | |||
Interest Income from Advances | 3 | 5 | 11 | [1] | 16 | [1] | |
Banc of California, NA | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 411 | 411 | |||||
Interest Income from Advances | $ 3 | $ 8 | |||||
CIT Bank, National Association | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | 2,550 | 2,550 | |||||
Interest Income from Advances | $ 4 | $ 20 | |||||
Total Members | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 100.00% | 100.00% | |||||
Total Members | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 100.00% | 100.00% | 100.00% | 100.00% | |||
Top five borrowers | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | $ 14,714 | $ 23,922 | $ 14,714 | $ 23,922 | |||
Interest Income from Advances | $ 65 | $ 118 | $ 226 | [1] | $ 412 | [1] | |
Top five borrowers | First Republic Bank [Member] | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 35.00% | 37.00% | |||||
Top five borrowers | First Republic Bank [Member] | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 29.00% | 35.00% | 32.00% | 28.00% | |||
Top five borrowers | MUFG Union Bank, NA [Member] | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 18.00% | 13.00% | |||||
Top five borrowers | MUFG Union Bank, NA [Member] | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 25.00% | 21.00% | 25.00% | 19.00% | |||
Top five borrowers | First Technology Federal Credit Union | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 8.00% | 5.00% | |||||
Top five borrowers | First Technology Federal Credit Union | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 7.00% | 6.00% | 6.00% | 5.00% | |||
Top five borrowers | Luther Burbank Savings | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 3.00% | 3.00% | |||||
Top five borrowers | Luther Burbank Savings | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 3.00% | 3.00% | 3.00% | 2.00% | |||
Top five borrowers | Banc of California, NA | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 2.00% | ||||||
Top five borrowers | Banc of California, NA | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 3.00% | 3.00% | |||||
Top five borrowers | CIT Bank, National Association | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 7.00% | ||||||
Top five borrowers | CIT Bank, National Association | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 2.00% | 3.00% | |||||
Top five borrowers | Subtotal Members | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 66.00% | 65.00% | |||||
Top five borrowers | Subtotal Members | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 67.00% | 67.00% | 69.00% | 57.00% | |||
Other Borrowers | |||||||
Advances [Line Items] | |||||||
Advances Outstanding | $ 7,593 | $ 12,968 | $ 7,593 | $ 12,968 | |||
Interest Income from Advances | $ 32 | $ 57 | $ 103 | [1] | $ 310 | [1] | |
Other Borrowers | Other Borrowers | Percentage of Total Advances Outstanding | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 34.00% | 35.00% | |||||
Other Borrowers | Other Borrowers | Percentage of Total Interest Income from Advances | |||||||
Advances [Line Items] | |||||||
Concentration Risk, Percentage | 33.00% | 33.00% | 31.00% | 43.00% | |||
[1] | Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | |||||
Fixed Rate, due within 1 year | $ 7,907 | $ 7,907 | $ 11,044 | ||
Fixed Rate, due after 1 year | 13,600 | 13,600 | 17,126 | ||
Advances, Total Fixed Rate | 21,507 | 21,507 | 28,170 | ||
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | |||||
Adjustable Rate, due within 1 year | 725 | 725 | 818 | ||
Adjustable Rate, due after 1 year | 75 | 75 | 1,350 | ||
Advances, Total Adjustable Rate | 800 | 800 | 2,168 | ||
Total par value | 22,307 | $ 36,890 | 22,307 | $ 36,890 | $ 30,338 |
Prepayment Fees Received | 2 | 38 | 28 | 77 | |
Advances Fair Value Gain Loss Adjustments | (2) | (35) | (13) | (62) | |
Prepayment Fees on Advances, Net | 0 | 3 | 15 | 15 | |
Prepayments On Advances Principal | $ 1,397 | $ 5,018 | $ 5,073 | $ 21,804 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions | 9 Months Ended | |||||
Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Unpaid principal balance | $ 1,107 | $ 1,906 | ||||
Unamortized premiums | 29 | 35 | ||||
Unamortized discounts | (1) | (2) | ||||
Mortgage Loans Held For Portfolio | 1,135 | 1,939 | ||||
Less: Allowance for credit losses | (1) | $ (2) | (4) | $ (7) | $ (5) | $ 0 |
Total mortgage loans held for portfolio, net | 1,134 | 1,935 | ||||
Fixed rate medium-term mortgage loans | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Unpaid principal balance | 20 | 27 | ||||
Fixed Rate Long Term mortgage loans | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Unpaid principal balance | $ 1,087 | 1,879 | ||||
Fixed rate medium-term mortgage loans | Maximum | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Medium-term Loan Original Contractual Terms | 15 years | |||||
Fixed Rate Long Term mortgage loans | Minimum | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Medium-term Loan Original Contractual Terms | 15 years | |||||
Conventional Mortgage Loan | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Mortgage Loans Held For Portfolio | $ 1,135 | 1,939 | ||||
Mortgages | ||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||
Accrued Interest Receivable | $ 7 | $ 10 |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio Delinquency Statistics (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | $ 1,135 | $ 1,939 |
Conventional Mortgage Loan | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 895 | 1,748 |
Originated Five or More Years before Latest Fiscal Year | 240 | 191 |
Total Amortized Cost | 1,135 | 1,939 |
In process of foreclosure, included above | 2 | 1 |
Financing Receivable, Nonaccrual | $ 42 | $ 104 |
Serious delinquencies as a percentage of total mortgage loans outstanding | 3.74% | 5.34% |
Mortgage loans on nonaccrual status, with no allowance | $ 42 | $ 103 |
Conventional Mortgage Loan | 30 to 59 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 7 | 20 |
Originated Five or More Years before Latest Fiscal Year | 2 | 2 |
Total Amortized Cost | 9 | 22 |
Conventional Mortgage Loan | 60 to 89 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 5 | 5 |
Originated Five or More Years before Latest Fiscal Year | 2 | 2 |
Total Amortized Cost | 7 | 7 |
Conventional Mortgage Loan | Equal to or Greater than 90 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 31 | 95 |
Originated Five or More Years before Latest Fiscal Year | 11 | 9 |
Total Amortized Cost | 42 | 104 |
Nonperforming | Conventional Mortgage Loan | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 43 | 120 |
Originated Five or More Years before Latest Fiscal Year | 15 | 13 |
Total Amortized Cost | 58 | 133 |
Current Performing Loan | Conventional Mortgage Loan | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 852 | 1,628 |
Originated Five or More Years before Latest Fiscal Year | 225 | 178 |
Total Amortized Cost | $ 1,077 | $ 1,806 |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio Allowance (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Loans and Leases Receivable Disclosure [Line Items] | ||||||||
Housing price forecast appreciation over one year horizon | 7.80% | 7.80% | 2.30% | |||||
Housing price forecast appreciation over three-year horizon | 3.80% | |||||||
Housing price forecast appreciation over five-years plus horizon | 3.30% | 3.30% | ||||||
Allowance for credit losses on mortgage loans | $ 1 | $ 7 | $ 1 | $ 7 | $ 2 | $ 4 | $ 5 | $ 0 |
Provision for/(Reversal of) Credit Losses | (1) | 2 | (3) | 4 | ||||
Charge offs/recoveries | 0 | 0 | 0 | 0 | ||||
Conventional Mortgage Loan | ||||||||
Loans and Leases Receivable Disclosure [Line Items] | ||||||||
Cumulative accounting change for CECL | $ 0 | $ 0 | $ 0 | $ 3 |
Deposits (Details)
Deposits (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Deposits [Line Items] | ||
Interest-bearing Deposits | $ 771 | $ 748 |
Noninterest-bearing Deposits | 55 | 139 |
Deposits | 826 | 887 |
Interest-bearing Deposits [Member] | Adjustable rate | ||
Deposits [Line Items] | ||
Interest-bearing Deposits | $ 705 | $ 732 |
Weighted Average Rate | 0.01% | 0.01% |
Interest-bearing Deposits [Member] | Fixed Interest Rate | ||
Deposits [Line Items] | ||
Interest-bearing Deposits | $ 66 | $ 16 |
Weighted Average Rate | 0.01% | 0.01% |
Consolidated Obligations Narrat
Consolidated Obligations Narrative (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 641,438 | $ 746,722 |
Federal Home Loan Bank, Consolidated Obligations | $ 46,839 | $ 60,621 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Total par value | $ 22,074 | $ 44,389 |
Total CO Bonds | $ 22,025 | $ 44,408 |
Weighted Average Interest Rate [Abstract] | ||
Within 1 year | 0.36% | 0.23% |
After 1 year through 2 years | 0.30% | 0.21% |
After 2 years through 3 years | 0.44% | 1.00% |
After 3 years through 4 years | 0.60% | 0.67% |
After 4 years through 5 years | 0.87% | 0.82% |
After 5 years | 1.36% | 2.24% |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Within 1 year | $ 6,565 | $ 34,542 |
After 1 year through 2 years | 3,628 | 6,923 |
After 2 years through 3 years | 1,750 | 751 |
After 3 years through 4 years | 2,500 | 677 |
After 4 years through 5 years | 5,023 | 185 |
After 5 years | 2,608 | 1,311 |
Unamortized premiums | 4 | 10 |
Unamortized discounts | (4) | (5) |
Valuation adjustments for hedging activities | (47) | 13 |
Fair value option valuation adjustments | $ (2) | $ 1 |
Weighted Average Interest Rate [Abstract] | ||
Total par amount | 0.62% | 0.31% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Derivatives, Notional Amount | $ 75,565 | $ 78,645 |
CO Bonds Par | 22,074 | 44,389 |
Non-callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 9,941 | 41,249 |
Callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 12,133 | 3,140 |
Consolidated obligation bonds | Consolidated Obligations, Callable Option [Member] | ||
Debt Instrument [Line Items] | ||
Derivatives, Notional Amount | $ 10,543 | $ 930 |
Consolidated Obligations (Con_2
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 22,074 | $ 44,389 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Within 1 year | 18,323 | 36,667 |
After 1 year through 2 years | 3,623 | 7,228 |
After 2 years through 3 years | 77 | 396 |
After 3 years through 4 years | 0 | 47 |
After 4 years through 5 years | 3 | 0 |
After 5 years | $ 48 | $ 51 |
Consolidated Obligations (Con_3
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 | |
Short-term Debt [Line Items] | |||
Discount notes, par value | $ 24,817 | $ 16,217 | |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 0.04% | 0.12% |
Total | $ 24,814 | $ 16,213 | |
Discount notes | |||
Short-term Debt [Line Items] | |||
Unamortized discounts | $ (3) | $ (4) | |
[1] | Represents yield to maturity excluding concession fees. |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 22,074 | $ 44,389 |
Discount notes, par value | 24,817 | 16,217 |
Total consolidated obligations, par value | 46,891 | 60,606 |
Fixed Interest Rate | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 14,736 | 6,632 |
Adjustable Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 6,815 | 37,712 |
Step-up Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 523 | $ 45 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | $ 6,374 | $ 6,220 | $ 6,374 | $ 6,220 | $ 6,428 | $ 6,194 | $ 6,127 | $ 6,741 |
Net change in pension and postretirement benefits | (3) | (1) | (3) | (1) | ||||
Accumulated OTTI | Available-for-sale Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 0 | 0 | 0 | 0 | 0 | 268 | ||
Net change in fair value | 0 | 0 | ||||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 0 | 0 | ||||||
Accumulated OTTI | Held-to-maturity Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 0 | 0 | 0 | 0 | 0 | (1) | ||
Accretion of Noncredit Related OTTI Loss | 1 | |||||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 0 | 1 | ||||||
Accumulated Defined Benefit Plans Adjustment | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (17) | (15) | (17) | (15) | (14) | (14) | (14) | (14) |
Net change in pension and postretirement benefits | (3) | (3) | (1) | |||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (3) | (1) | (3) | (1) | ||||
Accumulated Other Comprehensive Income/(Loss) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 319 | 136 | 319 | 136 | 394 | 230 | (35) | 274 |
Net change in pension and postretirement benefits | (3) | (1) | ||||||
Net change in fair value | (72) | 172 | 92 | (138) | ||||
Accretion of Noncredit Related OTTI Loss | 1 | |||||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (75) | 171 | 89 | (138) | ||||
Available-for-sale Securities | AOCI Unrealized gain/loss, Available-for-sale | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 336 | 151 | 336 | 151 | $ 408 | $ 244 | $ (21) | $ 21 |
AFS Unrealized Gain/(Loss) on AFS Securities | (72) | 172 | 92 | (138) | ||||
Reclassification from other comprehensive income/(loss) to net income/(loss) [Abstract] | ||||||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | $ (72) | 172 | $ 92 | (138) | ||||
Adjustment for cumulative effect of accounting change - ASU 2016-13 | AOCI Unrealized gain/loss, Available-for-sale | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 268 | 268 | ||||||
Adjustment for cumulative effect of accounting change - ASU 2016-13 | Accumulated OTTI | Available-for-sale Securities | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (268) | (268) | ||||||
Adoption of ASU 2016-13 | Adjustment for cumulative effect of accounting change - ASU 2016-13 | Accumulated Other Comprehensive Income/(Loss) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | $ 0 | $ 0 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Risk-Based Capital, Required | $ 1,109 | $ 1,404 |
Risk-Based Capital, Actual | 6,059 | 5,966 |
Regulatory Capital, Required | 2,178 | 2,745 |
Regulatory Capital, Actual | $ 6,059 | $ 5,966 |
Regulatory Capital Ratio, Required | 4.00% | 4.00% |
Regulatory Capital Ratio, Actual | 11.12% | 8.69% |
Leverage Capital, Required | $ 2,723 | $ 3,432 |
Leverage Capital, Actual | $ 9,088 | $ 8,949 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage Ratio, Actual | 16.69% | 13.04% |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
Finance Agency capital stock to asset ratio | 2.00% | 2.00% |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2021USD ($)Institutions | Sep. 30, 2020USD ($) | Sep. 30, 2021USD ($)Institutions | Sep. 30, 2020USD ($) | Dec. 31, 2020Institutions | |||
Capital [Line Items] | |||||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 3 | 3 | 3 | ||||
Interest Expense on Mandatorily Redeemable Capital Stock | $ 0 | [1] | $ 1 | [1] | $ 0 | $ 5 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | |||||||
Balance at the beginning of the period | 3 | 83 | 2 | 138 | |||
Reclassified from/(to) capital during the period | 13 | 0 | 16 | 3 | |||
Repurchase/redemption of mandatorily redeemable capital stock | (12) | (81) | (14) | (139) | |||
Balance at the end of the period | $ 4 | $ 2 | $ 4 | $ 2 | |||
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments |
Capital (By Redemption Period)
Capital (By Redemption Period) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||||
Past contractual redemption date because of remaining activity | $ 1 | $ 2 | ||||
Financial Instrument Subject to Mandatory Redemption, Maturity, Year Five | 3 | 0 | ||||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount, Total | $ 4 | $ 3 | $ 2 | $ 2 | $ 83 | $ 138 |
Capital (Retained Earnings and
Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions | Nov. 10, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Oct. 23, 2021 | Jul. 31, 2021 | Jun. 30, 2021 | Jan. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2020 | Jan. 01, 2020 | Dec. 31, 2019 | ||
Capital [Line Items] | |||||||||||||||
Restriction on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital Less than 70% | 70.00% | 70.00% | |||||||||||||
Ratio of Market Value of Capital to Par Value of Capital Stock | 292.00% | 292.00% | |||||||||||||
Retained Earnings, Set by the Board inc JCEA | $ 1,500 | $ 1,900 | $ 2,900 | $ 2,500 | |||||||||||
Excess Capital | $ 139 | $ 139 | $ 161 | ||||||||||||
Excess Capital to Assets | 0.26% | 0.26% | 0.23% | ||||||||||||
Amount of Excess Stock and Financial Instruments Subject to Mandatory Redemption, Repurchased During Period | $ 373 | $ 314 | $ 714 | $ 1,452 | |||||||||||
Percent Of Average Balance Of Outstanding Consolidated Obligations Required Per Joint Capital Enhancement Agreement For Each Previous Quarter | 1.00% | ||||||||||||||
JCE Agreement Amounts in excess of 150% of Restricted Retained Earnings Minimum May Be Releasted | 150.00% | 150.00% | |||||||||||||
Dividends [Abstract] | |||||||||||||||
Dividends, Cash, Annualized Rate | 6.00% | 5.00% | 5.65% | 5.68% | |||||||||||
Total dividends | $ 34 | $ 37 | $ 98 | $ 131 | |||||||||||
Interest Expense on Mandatorily Redeemable Capital Stock | 0 | [1] | 1 | [1] | 0 | 5 | |||||||||
Retained Earnings [Abstract] | |||||||||||||||
Total Capital | 6,374 | 6,220 | 6,374 | 6,220 | $ 6,428 | $ 6,194 | $ 6,127 | $ 6,741 | |||||||
Transfers from restricted retained earnings | $ 0 | $ 0 | |||||||||||||
Subsequent Event | |||||||||||||||
Subsequent Events [Abstract] | |||||||||||||||
Dividends, Cash Declared, Annualized Rate | 6.00% | ||||||||||||||
Interest and Dividends Payable, Current | $ 36 | ||||||||||||||
Dividends Payable, Date to be Paid | Nov. 10, 2021 | ||||||||||||||
Minimum | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent | 1.00% | 1.00% | |||||||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 70.00% | 70.00% | |||||||||||||
Retained Earnings, Set by the Board inc JCEA | 2,400 | ||||||||||||||
Subsequent Events [Abstract] | |||||||||||||||
Dividends, Cash Declared, Annualized Rate | 5.00% | 5.00% | |||||||||||||
Maximum | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Limit on Dividend Payment, Ratio of Market Value of Capital to Par Value of Capital | 100.00% | 100.00% | |||||||||||||
Subsequent Events [Abstract] | |||||||||||||||
Dividends, Cash Declared, Annualized Rate | 7.00% | 7.00% | |||||||||||||
Unrestricted Retained Earnings | |||||||||||||||
Retained Earnings [Abstract] | |||||||||||||||
Total Capital | $ 3,059 | 2,858 | $ 3,059 | 2,858 | 3,004 | 2,919 | 2,765 | 2,754 | |||||||
Transfers from restricted retained earnings | (18) | (18) | |||||||||||||
Total Restricted Retained Earnings | |||||||||||||||
Retained Earnings [Abstract] | |||||||||||||||
Total Capital | 743 | $ 761 | 743 | $ 761 | $ 761 | $ 761 | $ 729 | $ 713 | |||||||
Transfers from restricted retained earnings | $ (18) | $ (18) | |||||||||||||
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments |
Capital (Excess Capital Stock)
Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |||
Capital [Line Items] | |||||||
Amount of Excess Stock Repurchased During Period | $ 373 | $ 314 | $ 714 | $ 1,452 | |||
Common stock, par value | $ 100 | $ 100 | |||||
Excess Capital | $ 139 | $ 139 | $ 161 | ||||
Mandatorily Redeemable Capital Stock, Redemption Period | 5 years | ||||||
Mandatorily redeemable capital stock | 0 | [1] | 1 | [1] | $ 0 | 5 | |
Repurchase/redemption of mandatorily redeemable capital stock | $ (12) | $ (81) | $ (14) | $ (139) | |||
[1] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments |
Capital (Concentration) (Detail
Capital (Concentration) (Details) - USD ($) $ in Millions | 9 Months Ended | 12 Months Ended |
Sep. 30, 2021 | Dec. 31, 2020 | |
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 2,257 | $ 2,286 |
Total Capital Stock, 10% or more | Total Members | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 100.00% | 100.00% |
Other Borrowers | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 2,018 | $ 1,932 |
Other Borrowers | Other Borrowers | Other Borrowers | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 89.00% | 84.00% |
First Republic Bank [Member] | ||
Concentration Risk [Line Items] | ||
Capital Stock Outstanding | $ 239 | $ 354 |
First Republic Bank [Member] | Total Capital Stock, 10% or more | First Republic Bank [Member] | ||
Concentration Risk [Line Items] | ||
Percentage of Total Capital Stock Outstanding | 11.00% | 16.00% |
Segment Information (Details)
Segment Information (Details) $ in Millions | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||||||
Sep. 30, 2021USD ($) | Jun. 30, 2021USD ($) | Mar. 31, 2021USD ($) | Sep. 30, 2020USD ($) | Jun. 30, 2021USD ($) | Sep. 30, 2021USD ($)segment | Sep. 30, 2020USD ($) | Dec. 31, 2020USD ($) | ||||
Segment Reporting Information [Line Items] | |||||||||||
Number of Operating Segments | segment | 2 | ||||||||||
Adjusted Net Interest Income(1) | $ 104 | $ 116 | $ 343 | $ 338 | |||||||
Amortization of Basis Adjustments and Gain/Loss on Fair Value Hedges | 0 | 0 | (7) | 77 | |||||||
Income/(Expense) on Economic Hedges | (16) | [1] | (34) | [1] | (61) | (52) | |||||
Interest Expense on Mandatorily Redeemable Capital Stock | 0 | [2] | 1 | [2] | 0 | 5 | |||||
Net Interest Income After Provision for/(Reversal of) Credit Losses | 120 | 149 | 411 | 308 | |||||||
Other Income/ (Loss) | (3) | 70 | (50) | 79 | |||||||
Other Expense | 38 | 40 | 116 | 119 | |||||||
OTTI PLRMBS, Total accretion or amortization recognized in interest income | 19 | 17 | 52 | 54 | |||||||
Provision for Loan, Lease, and Other Losses | 0 | (2) | (8) | 30 | |||||||
Assets | 54,459 | $ 54,244 | $ 57,908 | $ 54,244 | 54,459 | $ 68,634 | |||||
Income/(Loss) Before Assessment | 79 | $ 62 | $ 104 | 179 | $ 166 | 245 | 268 | 373 | |||
Previously Reported Adjusted Net Income Due To Errors | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Adjusted Net Interest Income(1) | 103 | 322 | |||||||||
Advances- Related Business | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Adjusted Net Interest Income(1) | [3] | 42 | 63 | 143 | 198 | ||||||
Assets | 39,798 | 39,798 | 50,876 | ||||||||
Mortgage- Related Business | |||||||||||
Segment Reporting Information [Line Items] | |||||||||||
Adjusted Net Interest Income(1) | [3] | 62 | $ 53 | 200 | $ 140 | ||||||
Assets | $ 14,661 | $ 14,661 | $ 17,758 | ||||||||
[1] | The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives.” | ||||||||||
[2] | The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments | ||||||||||
[3] | The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaled $19 and $17 for the three months ended September 30, 2021 and 2020; and totaled $52 and $54 for the nine months ended September 30, 2021 and 2020, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses of a de minimis amount and $(2) for the three months ended September 30, 2021 and 2020, respectively, and $(8) and $30 for the nine months ended September 30, 2021 and 2020, respectively. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | 9 Months Ended |
Sep. 30, 2021USD ($) | |
Derivative [Line Items] | |
Aggregate fair value of uncleared derivative instruments with credit risk-related contingent features in a net derivative liability position (before cash collateral and related accrued interest) | $ 17 |
Collateral Already Posted, Aggregate Fair Value | $ 16 |
Maximum | |
Derivative [Line Items] | |
Advances, Maturity Period, Fixed Rate | 30 years |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 | |
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | $ 75,565 | $ 78,645 | |
Derivative Assets | 223 | 92 | |
Netting adjustments and cash collateral | [1] | (212) | (89) |
Total Derivative Assets and Derivative Liabilities | 11 | 3 | |
Derivative Liabilities | 99 | 144 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (90) | (132) |
Derivative liabilities, net | 9 | 12 | |
Cash collateral posted, including accrued interest | 36 | 72 | |
Cash collateral received, including accrued interest | 158 | 30 | |
Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 36,138 | 35,060 | |
Derivative Assets | 222 | 88 | |
Derivative Liabilities | 83 | 128 | |
Designated as Hedging Instrument | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 36,138 | 35,060 | |
Derivative Assets | 222 | 88 | |
Derivative Liabilities | 83 | 128 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 38,877 | 42,804 | |
Derivative Assets | 1 | 4 | |
Derivative Liabilities | 16 | 16 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate caps and floors | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 550 | 780 | |
Derivative Assets | 0 | 0 | |
Derivative Liabilities | 0 | 0 | |
Not Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 39,427 | 43,585 | |
Derivative Assets | 1 | 4 | |
Derivative Liabilities | 16 | 16 | |
Mortgages | Not Designated as Hedging Instrument | Mortgage delivery commitments | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 0 | 1 | |
Derivative Assets | 0 | 0 | |
Derivative Liabilities | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $36 and $72 at September 30, 2021, and December 31, 2020, respectively. Cash collateral received, including accrued interest, was $158 and $30 at September 30, 2021, and December 31, 2020, respectively. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | ||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Advances | $ 47 | $ 88 | $ 167 | $ 509 | ||||
AFS Securities | 57 | 67 | 168 | 179 | ||||
Bonds | (13) | (47) | (49) | (405) | ||||
Net Gain/(Loss) on Derivatives | 15 | $ (8) | $ 18 | 5 | $ 10 | 25 | (156) | $ (152) |
Advances | Interest Income [Member] | Interest Rate Contract [Member] | ||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (2) | 22 | 97 | (715) | ||||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (41) | (111) | (260) | 488 | ||||
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | (43) | (89) | (163) | (227) | ||||
Amortization Accretion of Discontinued Fair Value Hedging Relationships | (7) | (1) | (15) | (2) | ||||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | (50) | (90) | (178) | (229) | ||||
Available-for-sale Securities | Interest Income [Member] | Interest Rate Contract [Member] | ||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 42 | 54 | 299 | (995) | ||||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (56) | (89) | (349) | 828 | ||||
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | (14) | (35) | (50) | (167) | ||||
Amortization Accretion of Discontinued Fair Value Hedging Relationships | (27) | (23) | (81) | (25) | ||||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | (41) | (58) | (131) | (192) | ||||
Consolidated Obligations, Bonds | Interest Expense [Member] | Interest Rate Contract [Member] | ||||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (1) | (1) | (17) | 27 | ||||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 20 | 8 | 60 | (9) | ||||
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | 19 | 7 | 43 | 18 | ||||
Amortization Accretion of Discontinued Fair Value Hedging Relationships | 0 | 0 | 0 | 0 | ||||
Gain (loss) on Fair Value Hedges Recognized in Net Interest Income | $ 19 | $ 7 | $ 43 | $ 18 |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Cumulative adjustments table (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | $ 19,850 | $ 23,605 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | 95 | 477 |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 220 | 509 |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | 8,966 | 11,557 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | (304) | 43 |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | 624 | 1,059 |
Consolidated Obligations, Bonds | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Liability, Fair Value Hedge | (11,797) | (3,645) |
Basis Adjustment for Active Fair Value Hedged Liability Cumulative Increase Decrease | 47 | (13) |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | 47 | (13) |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 125 | 32 |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 928 | 1,016 |
Consolidated Obligations, Bonds | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | $ 0 | $ 0 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | 9 Months Ended | 12 Months Ended | |||||
Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Sep. 30, 2021 | Sep. 30, 2020 | Dec. 31, 2020 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Net Gain/(Loss) on Derivatives | $ 15 | $ (8) | $ 18 | $ 5 | $ 10 | $ 25 | $ (156) | $ (152) | |
Net Income/(Loss) | 71 | 161 | 220 | 241 | |||||
Gain (Loss) on Derivative and Hedging Activities | |||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Net Gain/(Loss) on Derivatives | [1] | 15 | 5 | 25 | (156) | ||||
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | |||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 31 | 39 | 86 | (107) | |||||
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument, Economic Hedge [Member] | Net Settlements [Member] | |||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (16) | (34) | (61) | (52) | |||||
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument [Member] | Mortgage delivery commitments | Mortgages | |||||||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ 0 | $ 0 | $ 0 | $ 3 | |||||
[1] | The Bank made out-of-period adjustments in the third quarter of 2021 that resulted in an overstatement of net gain/(loss) on derivatives of $13 and an understatement of net gain/(loss) on derivatives of $1 for the three and nine months ended September 30, 2021, respectively. For more information on the adjustments, see Note 1 - Basis of Presentation. |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 | |
Derivative [Line Items] | |||
Total Derivative Assets and Derivative Liabilities | $ 11 | $ 3 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 295 | 382 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (90) | (132) |
Derivative Assets and Derivative Liabilities | 9 | 12 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 9 | 12 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 222 | 85 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (222) | (85) | |
Total Derivative Assets and Derivative Liabilities | 0 | 0 | |
Derivative Asset, Noncash collateral not offset that can be sold or repledged | 0 | 0 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 0 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 89 | 124 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (80) | (114) | |
Derivative Assets and Derivative Liabilities | 9 | 10 | |
Derivative Liability, Noncash collateral not offset that can be sold or repledged | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 9 | 10 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 1 | 7 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | 10 | (4) | |
Total Derivative Assets and Derivative Liabilities | 11 | 3 | |
Derivative Asset, Noncash collateral not offset that can be sold or repledged | (284) | (379) | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 295 | 382 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 10 | 20 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (10) | (18) | |
Derivative Assets and Derivative Liabilities | 0 | 2 | |
Derivative Liability, Noncash collateral not offset that can be sold or repledged | 0 | 0 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 0 | $ 2 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $36 and $72 at September 30, 2021, and December 31, 2020, respectively. Cash collateral received, including accrued interest, was $158 and $30 at September 30, 2021, and December 31, 2020, respectively. |
Fair Value (Carrying Value and
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | ||
Assets | ||||||||
Cash and due from banks | $ 55 | $ 174 | ||||||
Trading securities | 2,260 | 4,260 | ||||||
Fair Value of AFS Securities | [1] | 10,825 | 15,679 | |||||
HTM securities, Carrying Value | [2] | 3,521 | 5,081 | |||||
HTM Securities, Fair Value | 3,551 | 5,115 | ||||||
Accrued interest receivable | 61 | 82 | ||||||
Derivative assets, net | 11 | 3 | ||||||
Derivative Assets | 223 | 92 | ||||||
Derivative Asset, Netting adjustments | [3] | 212 | 89 | |||||
Liabilities | ||||||||
Mandatorily redeemable capital stock | 4 | $ 3 | 2 | $ 2 | $ 83 | $ 138 | ||
Accrued interest payable | 25 | 24 | ||||||
Derivative liabilities, net | 9 | 12 | ||||||
Derivative Liabilities | 99 | 144 | ||||||
Derivative Liability, Netting adjustments | [3] | (90) | (132) | |||||
Carrying Value(1) | ||||||||
Assets | ||||||||
Cash and due from banks | 55 | 174 | ||||||
Interest-bearing deposits | 1,125 | 1,078 | ||||||
Securities purchased under agreements to resell | 6,500 | 7,250 | ||||||
Federal funds sold | 6,133 | 1,880 | ||||||
Trading securities | 2,260 | 4,260 | ||||||
Fair Value of AFS Securities | 10,825 | 15,679 | ||||||
HTM securities, Carrying Value | 3,521 | 5,081 | ||||||
Advances | 22,613 | 30,976 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 1,134 | 1,935 | ||||||
Accrued interest receivable | 61 | 82 | ||||||
Derivative assets, net | [4] | 11 | 3 | |||||
Other assets | [5] | 24 | 22 | |||||
Liabilities | ||||||||
Deposits | 826 | 887 | ||||||
Total consolidated obligations | 46,839 | 60,621 | ||||||
Mandatorily redeemable capital stock | 4 | 2 | ||||||
Accrued interest payable | 25 | 24 | ||||||
Derivative liabilities, net | [4] | 9 | 12 | |||||
Estimated Fair Value | ||||||||
Assets | ||||||||
Cash and due from banks | 55 | 174 | ||||||
Interest-bearing deposits | 1,125 | 1,078 | ||||||
Securities purchased under agreements to resell | 6,500 | 7,250 | ||||||
Federal funds sold | 6,133 | 1,880 | ||||||
Trading securities | 2,260 | 4,260 | ||||||
Fair Value of AFS Securities | 10,825 | 15,679 | ||||||
HTM Securities, Fair Value | 3,551 | 5,115 | ||||||
Advances | 22,721 | 31,166 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 1,134 | 1,941 | ||||||
Accrued interest receivable | 61 | 82 | ||||||
Derivative assets, net | [4] | 11 | 3 | |||||
Other assets | [5] | 24 | 22 | |||||
Liabilities | ||||||||
Deposits | 826 | 887 | ||||||
Total consolidated obligations | 46,801 | 60,671 | ||||||
Mandatorily redeemable capital stock | 4 | 2 | ||||||
Accrued interest payable | 25 | 24 | ||||||
Derivative liabilities, net | [4] | 9 | 12 | |||||
Level 1 | ||||||||
Assets | ||||||||
Cash and due from banks | 55 | 174 | ||||||
Interest-bearing deposits | 1,125 | 1,078 | ||||||
Securities purchased under agreements to resell | 0 | 0 | ||||||
Federal funds sold | 0 | 0 | ||||||
Trading securities | 0 | 0 | ||||||
Fair Value of AFS Securities | 0 | 0 | ||||||
HTM Securities, Fair Value | 0 | 0 | ||||||
Advances | 0 | 0 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | ||||||
Accrued interest receivable | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | [4] | |||||
Other assets | [5] | 24 | 22 | |||||
Liabilities | ||||||||
Deposits | 0 | 0 | ||||||
Total consolidated obligations | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 4 | 2 | ||||||
Accrued interest payable | 0 | 0 | ||||||
Derivative Liabilities | 0 | 0 | [4] | |||||
Level 2 | ||||||||
Assets | ||||||||
Cash and due from banks | 0 | 0 | ||||||
Interest-bearing deposits | 0 | 0 | ||||||
Securities purchased under agreements to resell | 6,500 | 7,250 | ||||||
Federal funds sold | 6,133 | 1,880 | ||||||
Trading securities | 2,260 | 4,260 | ||||||
Fair Value of AFS Securities | 9,121 | 13,644 | ||||||
HTM Securities, Fair Value | 3,313 | 4,827 | ||||||
Advances | 22,721 | 31,166 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 1,134 | 1,941 | ||||||
Accrued interest receivable | 61 | 82 | ||||||
Derivative Assets | [4] | 223 | 92 | |||||
Derivative Asset, Netting adjustments | [4] | (212) | (89) | |||||
Other assets | [5] | 0 | 0 | |||||
Liabilities | ||||||||
Deposits | 826 | 887 | ||||||
Total consolidated obligations | 46,801 | 60,671 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Accrued interest payable | 25 | 24 | ||||||
Derivative Liabilities | [4] | 99 | 144 | |||||
Derivative Liability, Netting adjustments | [4] | (90) | (132) | |||||
Level 3 | ||||||||
Assets | ||||||||
Cash and due from banks | 0 | 0 | ||||||
Interest-bearing deposits | 0 | 0 | ||||||
Securities purchased under agreements to resell | 0 | 0 | ||||||
Federal funds sold | 0 | 0 | ||||||
Trading securities | 0 | 0 | ||||||
Fair Value of AFS Securities | 1,704 | 2,035 | ||||||
HTM Securities, Fair Value | 238 | 288 | ||||||
Advances | 0 | 0 | ||||||
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans | 0 | 0 | ||||||
Accrued interest receivable | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | [4] | |||||
Other assets | [5] | 0 | 0 | |||||
Liabilities | ||||||||
Deposits | 0 | 0 | ||||||
Total consolidated obligations | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Accrued interest payable | 0 | 0 | ||||||
Derivative Liabilities | 0 | 0 | [4] | |||||
Standby letters of credit | Carrying Value(1) | ||||||||
Other | ||||||||
Other commitments | 31 | 36 | ||||||
Standby letters of credit | Estimated Fair Value | ||||||||
Other | ||||||||
Other commitments | 31 | 36 | ||||||
Standby letters of credit | Level 1 | ||||||||
Other | ||||||||
Other commitments | 0 | 0 | ||||||
Standby letters of credit | Level 2 | ||||||||
Other | ||||||||
Other commitments | 31 | 36 | ||||||
Standby letters of credit | Level 3 | ||||||||
Other | ||||||||
Other commitments | 0 | 0 | ||||||
Discount notes | Carrying Value(1) | ||||||||
Liabilities | ||||||||
Discount notes | 24,814 | 16,213 | ||||||
Discount notes | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Discount notes | 24,815 | 16,214 | ||||||
Discount notes | Level 1 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Discount notes | Level 2 | ||||||||
Liabilities | ||||||||
Discount notes | 24,815 | 16,214 | ||||||
Discount notes | Level 3 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Bonds | ||||||||
Liabilities | ||||||||
Bonds | 521 | 111 | ||||||
Bonds | Carrying Value(1) | ||||||||
Liabilities | ||||||||
Bonds | 22,025 | 44,408 | ||||||
Bonds | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Bonds | 21,986 | 44,457 | ||||||
Bonds | Level 1 | ||||||||
Liabilities | ||||||||
Bonds | 0 | 0 | ||||||
Bonds | Level 2 | ||||||||
Liabilities | ||||||||
Bonds | 21,986 | 44,457 | ||||||
Bonds | Level 3 | ||||||||
Liabilities | ||||||||
Bonds | $ 0 | $ 0 | ||||||
[1] | At September 30, 2021, and December 31, 2020, $284 and $379, respectively, of these securities were pledged as collateral that may be repledged. | |||||||
[2] | At September 30, 2021, and December 31, 2020, none of these securities were pledged as collateral that may be repledged. | |||||||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $36 and $72 at September 30, 2021, and December 31, 2020, respectively. Cash collateral received, including accrued interest, was $158 and $30 at September 30, 2021, and December 31, 2020, respectively. | |||||||
[4] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty. | |||||||
[5] | Represents publicly traded mutual funds held in a grantor trust. |
Fair Value (Fair Value Measured
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Dec. 31, 2020 | ||
US Treasury Notes | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | $ 2,258 | $ 4,257 | ||
Fair Value of AFS Securities | 856 | 2,983 | ||
US Treasury Notes | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
US Treasury Notes | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,258 | 4,257 | ||
US Treasury Notes | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
US Treasury Notes | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,258 | 4,257 | ||
MBS – Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
MBS – Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2 | 3 | ||
MBS – Other U.S. obligations – Ginnie Mae | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
MBS – Other U.S. obligations – Ginnie Mae | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2 | 3 | ||
US Treasury Securities | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 4,983 | |||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 856 | 4,983 | ||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
US Treasury Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 856 | 4,983 | ||
MBS - GSEs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2 | 3 | ||
Trading securities | 2,260 | 4,260 | ||
Fair Value of AFS Securities | [1] | 10,825 | 15,679 | |
Fair Value of Advances Under the Fair Value Option | [2] | 1,952 | 2,147 | |
Derivative Asset, Netting adjustments | [3] | 212 | 89 | |
Derivative assets, net | 11 | 3 | ||
Derivative Liability, Netting adjustments | [3] | (90) | (132) | |
Derivative liabilities, net | 9 | 12 | ||
Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 0 | 0 | ||
Other assets | [4] | 24 | 22 | |
Mortgage loans held for portfolio | 0 | 0 | ||
Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,260 | 4,260 | ||
Fair Value of AFS Securities | 9,121 | 13,644 | ||
Derivative Asset, Netting adjustments | [5] | (212) | (89) | |
Other assets | [4] | 0 | 0 | |
Derivative Liability, Netting adjustments | [5] | (90) | (132) | |
Mortgage loans held for portfolio | 1,134 | 1,941 | ||
Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 1,704 | 2,035 | ||
Other assets | [4] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | ||
Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of Advances Under the Fair Value Option | [6] | 1,952 | 2,147 | |
Derivative Asset, Netting adjustments | [7] | (212) | (89) | |
Derivative Liability, Netting adjustments | [7] | (90) | (132) | |
Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 0 | 0 | ||
Fair Value of Advances Under the Fair Value Option | [6] | 0 | 0 | |
Other assets | 24 | 22 | ||
Total fair value measurements – Assets | 24 | 22 | ||
Total recurring fair value measurements – Liabilities | 0 | 0 | ||
Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,260 | 4,260 | ||
Fair Value of AFS Securities | 9,121 | 13,644 | ||
Fair Value of Advances Under the Fair Value Option | [6] | 1,952 | 2,147 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 13,556 | 20,143 | ||
Total recurring fair value measurements – Liabilities | 620 | 255 | ||
Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
Fair Value of AFS Securities | 1,704 | 2,035 | ||
Fair Value of Advances Under the Fair Value Option | [6] | 0 | 0 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 1,704 | 2,035 | ||
Total recurring fair value measurements – Liabilities | 0 | 0 | ||
Fair Value, Measurements, Nonrecurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [8] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | [8] | |
Fair Value, Measurements, Nonrecurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [8] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | [8] | |
Fair Value, Measurements, Nonrecurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [8] | 23 | 18 | |
Mortgage loans held for portfolio | [8] | 23 | 18 | |
Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 521 | 111 | ||
Consolidated obligation bonds | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 0 | 0 | ||
Consolidated obligation bonds | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 21,986 | 44,457 | ||
Consolidated obligation bonds | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 0 | 0 | ||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [9] | 521 | 111 | |
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [9] | 0 | 0 | |
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [9] | 521 | 111 | |
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [9] | 0 | 0 | |
Estimate of Fair Value Measurement | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,260 | 4,260 | ||
Fair Value of AFS Securities | 10,825 | 15,679 | ||
Derivative assets, net | [5] | 11 | 3 | |
Other assets | [4] | 24 | 22 | |
Derivative liabilities, net | [5] | 9 | 12 | |
Mortgage loans held for portfolio | 1,134 | 1,941 | ||
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 2,260 | 4,260 | ||
Fair Value of AFS Securities | 10,825 | 15,679 | ||
Other assets | 24 | 22 | ||
Total fair value measurements – Assets | 15,072 | 22,111 | ||
Total recurring fair value measurements – Liabilities | 530 | 123 | ||
Estimate of Fair Value Measurement | Fair Value, Measurements, Nonrecurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [8] | 23 | 18 | |
Mortgage loans held for portfolio | [8] | 23 | 18 | |
Estimate of Fair Value Measurement | Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 21,986 | 44,457 | ||
Interest rate swaps | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Asset, Netting adjustments | [7] | (212) | (89) | |
Derivative Liability, Netting adjustments | [7] | (90) | (132) | |
Interest rate swaps | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets, net | 0 | 0 | ||
Derivative liabilities, net | 0 | 0 | ||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets, net | 223 | 92 | ||
Derivative liabilities, net | 99 | 144 | ||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets, net | 0 | 0 | ||
Derivative liabilities, net | 0 | 0 | ||
Interest rate swaps | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets, net | 11 | 3 | ||
Derivative liabilities, net | 9 | 12 | ||
Multifamily [Member] | MBS - GSEs | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 8,265 | 8,661 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 1,704 | 2,035 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 1,704 | 2,035 | ||
Residential Mortgage Backed Securities | Subtotal PLRMBS | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 1,704 | 2,035 | ||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 8,265 | 8,661 | ||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 1,704 | 2,035 | ||
Residential Mortgage Backed Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 9,969 | 10,696 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 8,265 | 8,661 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 0 | 0 | ||
Residential Mortgage Backed Securities | Multifamily [Member] | MBS - GSEs | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | $ 8,265 | $ 8,661 | ||
[1] | At September 30, 2021, and December 31, 2020, $284 and $379, respectively, of these securities were pledged as collateral that may be repledged. | |||
[2] | At September 30, 2021, and December 31, 2020, none of these advances were 90 days or more past due or had been placed on nonaccrual status. | |||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $36 and $72 at September 30, 2021, and December 31, 2020, respectively. Cash collateral received, including accrued interest, was $158 and $30 at September 30, 2021, and December 31, 2020, respectively. | |||
[4] | Represents publicly traded mutual funds held in a grantor trust. | |||
[5] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty. | |||
[6] | Represents advances recorded under the fair value option at September 30, 2021, and December 31, 2020. | |||
[7] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents or counterparty | |||
[8] | The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2021, | |||
[9] | Represents consolidated obligation bonds recorded under the fair value option at September 30, 2021, and December 31, 2020 |
Fair Value (Level 3) (Details)
Fair Value (Level 3) (Details) - Subtotal PLRMBS - Fair Value, Measurements, Recurring - Level 3 - Available-for-sale Securities - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of the period | $ 1,827 | $ 2,225 | $ 2,035 | $ 2,597 |
Interest income | 18 | 17 | 52 | 53 |
Provision for Credit Losses | (1) | 4 | 5 | (26) |
Unrealized gain/(loss) included in AOCI | (6) | 29 | 23 | (111) |
Settlements | (134) | (139) | (411) | (378) |
Transfers of HTM to AFS | 0 | 0 | 0 | 1 |
Balance, end of the period | 1,704 | 2,136 | 1,704 | 2,136 |
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | (5) | 29 | 24 | (111) |
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period | $ 16 | $ 20 | $ 55 | $ 27 |
Fair Value (Fair Value Option)
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Balance, beginning of the period | [1] | $ 2,147 | |||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | $ (9) | $ (7) | (40) | $ 96 | |
Balance, end of the period | [1] | 1,952 | 1,952 | ||
Advances | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Balance, beginning of the period | 1,984 | 3,478 | 2,147 | 4,370 | |
New transactions elected for fair value option | 0 | 0 | 670 | 7,070 | |
Maturities and terminations | (21) | (367) | (821) | (8,432) | |
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | (11) | (8) | (43) | 97 | |
Change in accrued interest | (1) | (2) | |||
Balance, end of the period | 1,952 | 3,103 | 1,952 | 3,103 | |
Consolidated obligation bonds | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings | (2) | (1) | (3) | 1 | |
Balance, beginning of the period | 235 | 128 | 111 | 337 | |
New transactions elected for fair value option | 318 | 0 | 538 | 0 | |
Maturities and terminations | (30) | (15) | (125) | (225) | |
Change in accrued interest | 0 | (1) | |||
Balance, end of the period | $ 521 | $ 112 | $ 521 | $ 112 | |
[1] | At September 30, 2021, and December 31, 2020, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Fair Value (Fair Value Differen
Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions | Sep. 30, 2021 | Jun. 30, 2021 | Dec. 31, 2020 | Sep. 30, 2020 | Jun. 30, 2020 | Dec. 31, 2019 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value Option, Principal Balance, Advances | [1] | $ 1,866 | $ 2,017 | ||||
Fair Value of Advances Under the Fair Value Option | [1] | 1,952 | 2,147 | ||||
Fair Value Over/(Under) Principal Balance, Advances | [1] | 86 | 130 | ||||
Consolidated obligation bonds | |||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value Option, Principal Balance, CO Bonds | 523 | 110 | |||||
Fair Value of Bonds Under the Fair Value Option | 521 | 111 | |||||
Fair Value Over/(Under) Principal Balance, CO Bonds | (2) | 1 | |||||
Advances | |||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value of Advances Under the Fair Value Option | 1,952 | $ 1,984 | 2,147 | $ 3,103 | $ 3,478 | $ 4,370 | |
Consolidated obligation bonds | |||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||||
Fair Value of Bonds Under the Fair Value Option | $ 521 | $ 235 | $ 111 | $ 112 | $ 128 | $ 337 | |
[1] | At September 30, 2021, and December 31, 2020, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Commitments and Contingencies O
Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions | 9 Months Ended | |
Sep. 30, 2021 | Dec. 31, 2020 | |
Loss Contingencies [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 641,438 | $ 746,722 |
Standby Letters Of Credit, Final Expiration | 2036 | |
Other Liabilities | $ 260 | 774 |
Total consolidated obligations, par value | 46,891 | 60,606 |
Assets Pledged As Collateral | 320 | 451 |
Security Owned and Pledged as Collateral, Fair Value | 284 | 379 |
Derivative, Collateral, Right to Reclaim Cash | 36 | 72 |
Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 10,805 | 14,838 |
Expire After One Year | 4,718 | 4,551 |
Total | 15,523 | 19,389 |
Other Liabilities | 31 | 36 |
Commitments to issue consolidated obligation discount notes, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 2,136 | 0 |
Expire After One Year | 0 | 0 |
Total | 2,136 | 0 |
Commitments to issue consolidated obligation bonds, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 235 | 0 |
Expire After One Year | 0 | 0 |
Total | 235 | 0 |
Loan Origination Commitments [Member] | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 0 | 0 |
Expire After One Year | 0 | 0 |
Total | $ 0 | 0 |
Minimum | Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Guarantor Obligations, Term | 1 day | |
Maximum | Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Guarantor Obligations, Term | 15 years | |
Guarantee of Indebtedness of Others | ||
Loss Contingencies [Line Items] | ||
Total consolidated obligations, par value | $ 46,891 | 60,606 |
Mortgages | Commitments to purchase mortgage loans | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 0 | 1 |
Expire After One Year | 0 | 0 |
Total | $ 0 | $ 1 |
Transactions with Certain Mem_3
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions | 3 Months Ended | 9 Months Ended | |||||
Sep. 30, 2021 | Sep. 30, 2020 | Sep. 30, 2021 | Sep. 30, 2020 | Jun. 30, 2021 | Mar. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||||||
Payments to Extend Overnight Loans to Other FHLBanks | $ 0 | $ 925 | |||||
Proceeds from Other FHLBank Borrowings | 120 | 885 | |||||
Assets: | |||||||
Advances | $ 22,613 | 22,613 | $ 24,194 | $ 28,140 | $ 30,976 | ||
Mortgage loans held for portfolio | 1,134 | 1,134 | 1,935 | ||||
Accrued interest receivable | 61 | 61 | 82 | ||||
Liabilities: | |||||||
Deposits | 826 | 826 | 887 | ||||
Capital [Abstract] | |||||||
Capital Stock | 2,253 | 2,253 | 2,284 | ||||
Interest Income: | |||||||
Advances | 47 | $ 88 | 167 | 509 | |||
Mortgage loans held for portfolio | 7 | 7 | 34 | 22 | |||
MPF Service Fee Expense to FHLB Chicago | 0 | 1 | 1 | 2 | |||
FHLBanks [Member] | |||||||
Related Party Transaction [Line Items] | |||||||
Deposits with other FHLB | 1 | ||||||
Transaction with Member Officer or Director | |||||||
Assets: | |||||||
Advances | 3,078 | 3,078 | 2,650 | ||||
Accrued interest receivable | 2 | 2 | 3 | ||||
Liabilities: | |||||||
Deposits | 122 | 122 | 27 | ||||
Capital [Abstract] | |||||||
Capital Stock | 111 | 111 | $ 103 | ||||
Interest Income: | |||||||
Advances | $ 12 | $ 19 | $ 38 | $ 59 |