Document and Entity Information
Document and Entity Information Document - shares | 6 Months Ended | |
Jun. 30, 2024 | Jul. 30, 2024 | |
Entity Information | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Jun. 30, 2024 | |
Document Transition Report | false | |
Entity File Number | 000-51398 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF SAN FRANCISCO | |
Entity Incorporation, State or Country Code | X1 | |
Entity Central Index Key | 0001316944 | |
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 | |
Amendment Flag | false | |
Document Fiscal Year Focus | 2024 | |
Document Fiscal Period Focus | Q2 | |
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 Interactive Data Current | Yes | |
Entity Shell Company | false | |
Common Stock, Shares, Outstanding | 30,075,000 |
Statements of Condition
Statements of Condition - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Assets: | |||
Cash and due from banks | $ 6 | $ 5 | |
Interest-bearing deposits | 3,884 | 2,922 | |
Securities purchased under agreements to resell | 3,300 | 3,650 | |
Federal funds sold | 2,445 | 3,861 | |
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | [1] | 19,099 | 18,014 |
Held-to-maturity (HTM) securities (fair values of $1,630 and $1,818, respectively) | [2] | 1,655 | 1,847 |
Advances (includes $3,864 and $1,898 at fair value under the fair value option, respectively) | 54,735 | 61,335 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $1 and $1, respectively | 724 | 754 | |
Accrued interest receivable | 194 | 184 | |
Derivative assets, net | 58 | 16 | |
Other assets | 231 | 240 | |
Total Assets | 86,331 | 92,828 | |
Liabilities: | |||
Deposits | 754 | 962 | |
Consolidated obligations: | |||
Bonds (includes $543 and $604 at fair value under the fair value option, respectively) | 54,925 | 64,297 | |
Discount notes | 22,316 | 19,187 | |
Total consolidated obligations | 77,241 | 83,484 | |
Mandatorily redeemable capital stock | 565 | 706 | |
Accrued interest payable | 407 | 520 | |
Affordable Housing Program (AHP) payable | 142 | 133 | |
Derivative liabilities, net | 5 | 2 | |
Other liabilities | 316 | 353 | |
Total Liabilities | 79,430 | 86,160 | |
Commitments and Contingencies (Note 12) | |||
Capital: | |||
Capital stock-Class B-Putable ($100 par value) issued and outstanding: 33 shares and 21 shares, respectively | 2,449 | 2,450 | |
Unrestricted retained earnings | 3,581 | 3,475 | |
Restricted retained earnings | 815 | 815 | |
Total Retained Earnings | 4,396 | 4,290 | |
Accumulated other comprehensive income/(loss) (AOCI) | 56 | (72) | |
Total Capital | 6,901 | 6,668 | |
Total Liabilities and Capital | $ 86,331 | $ 92,828 | |
[1]At June 30, 2024, and December 31, 2023, $563 million and $771 million, respectively, of these securities were pledged as collateral that may be repledged.[2]Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million at June 30, 2024, and December 31, 2023. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 28 | $ 31 | |
Amortized cost of AFS | [1] | 19,059 | 18,105 |
HTM securities, fair value | 1,630 | 1,818 | |
Fair value of advances under the fair value option | [2] | 3,864 | 1,898 |
Allowance for credit losses on mortgage loans | $ 1 | 1 | |
Common stock, par value | $ 100 | ||
Available-for-sale securities pledged as collateral that may be repledged | $ 563 | 771 | |
Portion at Fair Value Measurement | |||
Fair value of advances under the fair value option | 3,864 | 1,898 | |
Fair value of bonds under the fair value option | $ 543 | $ 604 | |
Common Class B [Member] | |||
Common stock, par value | $ 100 | $ 100 | |
Common Stock, Shares, Outstanding | 24 | 25 | |
Common Stock, Shares, Issued | 24 | 25 | |
[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 |
Statements of Income
Statements of Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Interest Income: | ||||
Advances | $ 731 | $ 1,154 | $ 1,490 | $ 2,317 |
Interest-bearing deposits | 62 | 56 | 115 | 106 |
Securities purchased under agreements to resell | 14 | 110 | 39 | 202 |
Federal funds sold | 59 | 161 | 134 | 291 |
AFS securities | 292 | 209 | 575 | 399 |
HTM securities | 24 | 25 | 49 | 49 |
Mortgage loans held for portfolio | 5 | 5 | 11 | 12 |
Total Interest Income | 1,187 | 1,720 | 2,413 | 3,376 |
Interest Expense: | ||||
Bonds | 786 | 1,125 | 1,636 | 2,045 |
Discount notes | 218 | 397 | 411 | 832 |
Deposits | 19 | 16 | 36 | 29 |
Mandatorily redeemable capital stock | 28 | 2 | 44 | 2 |
Borrowings from other FHLBanks | 0 | 1 | 0 | 2 |
Total Interest Expense | 1,051 | 1,541 | 2,127 | 2,910 |
Net Interest Income | 136 | 179 | 286 | 466 |
Provision for/(reversal of) credit losses | 3 | 1 | (1) | 0 |
Net Interest Income After Provision for/(Reversal of) Credit Losses | 133 | 178 | 287 | 466 |
Other Income/(Loss): | ||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | 3 | (16) | (11) | (15) |
Net gain/(loss) on derivatives | 3 | 13 | 18 | (21) |
Standby letters of credit fees | 4 | 6 | 9 | 11 |
Termination of long-term funding arrangement | 0 | 0 | 30 | |
Other, net | 2 | 1 | 2 | 3 |
Total Other Income/(Loss) | 12 | 4 | 48 | (22) |
Other Expense: | ||||
Compensation and benefits | 27 | 25 | 56 | 52 |
Other operating expense | 15 | 17 | 29 | 31 |
Federal Housing Finance Agency | 2 | 3 | 4 | 5 |
Office of Finance | 2 | 1 | 3 | 3 |
Other, net | 1 | 2 | 5 | 2 |
Total Other Expense | 47 | 48 | 97 | 93 |
Income/(Loss) Before Assessment | 98 | 134 | 238 | 351 |
AHP assessment | 12 | 13 | 28 | 35 |
Net Income/(Loss) | $ 86 | $ 121 | $ 210 | $ 316 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Statement of Comprehensive Income [Abstract] | ||||
Net Income/(Loss) | $ 86 | $ 121 | $ 210 | $ 316 |
Other Comprehensive Income/(Loss): | ||||
Net unrealized gain/(loss) on AFS securities | 29 | 42 | 128 | 10 |
Total other comprehensive income/(loss) | 29 | 42 | 128 | 10 |
Total Comprehensive Income/(Loss) | $ 115 | $ 163 | $ 338 | $ 326 |
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 - Putable Common Stock |
Balance, Shares at Dec. 31, 2022 | 38 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 25 | |||||
Repurchase of capital stock, shares | (24) | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | (13) | |||||
Balance, Shares at Jun. 30, 2023 | 26 | |||||
Balance at Dec. 31, 2022 | $ 7,723 | $ 3,994 | $ 732 | $ 3,262 | $ (29) | $ 3,758 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 326 | 316 | 63 | 253 | 10 | |
Issuance of capital stock, value | 2,522 | 2,522 | ||||
Repurchase of capital stock, value | (2,429) | (2,429) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (1,251) | (1,251) | ||||
Cash dividends on capital stock | (128) | (128) | (128) | |||
Balance at Jun. 30, 2023 | 6,763 | 4,182 | 795 | 3,387 | (19) | $ 2,600 |
Balance, Shares at Mar. 31, 2023 | 40 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 3 | |||||
Repurchase of capital stock, shares | (6) | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | (11) | |||||
Balance, Shares at Jun. 30, 2023 | 26 | |||||
Balance at Mar. 31, 2023 | 8,072 | 4,126 | 770 | 3,356 | (61) | $ 4,007 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 163 | 121 | 25 | 96 | 42 | |
Issuance of capital stock, value | 317 | 317 | ||||
Repurchase of capital stock, value | (668) | (668) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (1,056) | (1,056) | ||||
Cash dividends on capital stock | (65) | (65) | (65) | |||
Balance at Jun. 30, 2023 | 6,763 | 4,182 | 795 | 3,387 | (19) | $ 2,600 |
Balance, Shares at Dec. 31, 2023 | 25 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 10 | |||||
Repurchase of capital stock, shares | (10) | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | (1) | |||||
Balance, Shares at Jun. 30, 2024 | 24 | |||||
Balance at Dec. 31, 2023 | 6,668 | 4,290 | 815 | 3,475 | (72) | $ 2,450 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 338 | 210 | 0 | 210 | 128 | |
Issuance of capital stock, value | 989 | 989 | ||||
Repurchase of capital stock, value | (954) | (954) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (36) | (36) | ||||
Cash dividends on capital stock | (104) | (104) | (104) | |||
Balance at Jun. 30, 2024 | 6,901 | 4,396 | 815 | 3,581 | 56 | $ 2,449 |
Balance, Shares at Mar. 31, 2024 | 24 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 5 | |||||
Repurchase of capital stock, shares | (5) | |||||
Balance, Shares at Jun. 30, 2024 | 24 | |||||
Balance at Mar. 31, 2024 | 6,780 | 4,361 | 815 | 3,546 | 27 | $ 2,392 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 115 | 86 | 0 | 86 | 29 | |
Issuance of capital stock, value | 507 | 507 | ||||
Repurchase of capital stock, value | (450) | (450) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | 0 | |||||
Cash dividends on capital stock | (51) | (51) | (51) | |||
Balance at Jun. 30, 2024 | $ 6,901 | $ 4,396 | $ 815 | $ 3,581 | $ 56 | $ 2,449 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Millions | 6 Months Ended | |
Jun. 30, 2024 | Jun. 30, 2023 | |
Cash Flows from Operating Activities: | ||
Net Income/(Loss) | $ 210 | $ 316 |
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: | ||
Depreciation and amortization/(accretion) | 2 | 63 |
Provision for/(reversal of) credit losses | (1) | 0 |
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | 11 | 15 |
Change in net derivatives and hedging activities | 298 | 109 |
Other adjustments, net | 3 | 3 |
Net change in: | ||
Accrued interest receivable | (17) | 148 |
Other assets | (1) | (39) |
Accrued interest payable | (113) | 285 |
Other liabilities | (5) | 48 |
Total adjustments | 177 | 632 |
Net cash provided by/(used in) operating activities | 387 | 948 |
Cash Flows from Investing Activities: | ||
Interest-bearing deposits | (963) | (311) |
Securities purchased under agreements to resell | 350 | (5,990) |
Federal funds sold | 1,416 | (4,866) |
AFS securities: | ||
Proceeds | 131 | 164 |
Purchases | (1,389) | (1,311) |
HTM securities: | ||
Proceeds | 192 | 195 |
Advances: | ||
Repaid | 450,006 | 989,860 |
Originated | (443,488) | (971,175) |
Mortgage loans held for portfolio: | ||
Principal collected | 28 | 28 |
Other investing activities, net | 0 | (1) |
Net cash provided by/(used in) investing activities | 6,283 | 6,593 |
Net Cash Provided by (Used in) Financing Activities | ||
Net change in deposits and other financing activities | (160) | (181) |
Net change in borrowings from other FHLBanks | 0 | 250 |
Net (payments)/proceeds on derivative contracts with financing elements | 11 | 8 |
Net proceeds from issuance of consolidated obligations: | ||
Bonds | 26,380 | 67,230 |
Discount notes | 40,037 | 71,132 |
Payments for matured and retired consolidated obligations: | ||
Bonds | (35,814) | (63,226) |
Discount notes | (36,877) | (82,303) |
Proceeds from issuance of capital stock | 989 | 2,522 |
Repurchase/redemption of mandatorily redeemable capital stock | (177) | (413) |
Payments for repurchase of capital stock | (954) | (2,429) |
Cash dividends paid | (104) | (128) |
Net cash provided by/(used in) financing activities | (6,669) | (7,538) |
Net increase/(decrease) in cash and due from banks | 1 | 3 |
Cash and due from banks beginning of period | 5 | 9 |
Cash and due from banks end of period | 6 | 12 |
Supplemental Disclosures: | ||
Interest paid | 2,193 | 2,762 |
AHP payments, net | 24 | 17 |
Transfers of HTM securities to AFS securities | 0 | 2 |
Transfers of capital stock to mandatorily redeemable capital stock | $ 36 | $ 1,251 |
Basis of Presentation and Signi
Basis of Presentation and Significant Accounting Policies (Notes) | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Note 1 — Basis of Presentation and Significant Accounting Policies 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, 2024. 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, 2023 (2023 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 2023 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 hedging activities; and • 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 Actual results could differ significantly from these estimates. Termination of Long-Term Funding Arrangement . The Bank recognized $30 million as income in the first six months of 2024 in connection with the termination of a long-term funding arrangement entered into with a member borrower in 2017. 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 2023 Form 10-K. Other changes to these policies as of June 30, 2024, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance. |
Recently Issued and Adopted Acc
Recently Issued and Adopted Accounting Guidance | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Issued Accounting Guidance | Note 2 — Recently Issued and Adopted Accounting Guidance The following table provides a summary of recently issued and adopted accounting standards that may have an effect on the Bank’s financial statements. Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures (ASU 2023-07) This guidance improves reportable segment disclosure requirements primarily through enhanced disclosures about significant segment expenses, including if an entity only has a single reportable segment. This guidance becomes effective for the Bank for the annual period ending December 31, 2024, and for interim and annual periods thereafter. While the adoption of this guidance will not have any effect on the Bank’s financial condition, results of operations, or cash flows, the Bank is in the process of evaluating the impact of this guidance and its effect on the Bank’s disclosures. |
Investments (Notes)
Investments (Notes) | 6 Months Ended |
Jun. 30, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Available-for-Sale Securities | Note 3 — 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. 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 June 30, 2024, and December 31, 2023, 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 June 30, 2024, and December 31, 2023. Carrying values of interest-bearing deposits and federal funds sold exclude accrued interest receivable of $18 million and $1 million, respectively, as of June 30, 2024, and $16 million and $2 million, respectively, as of December 31, 2023. 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 June 30, 2024, and December 31, 2023. The carrying value of securities purchased under agreements to resell excludes $2 million of accrued interest receivable as of June 30, 2024, and December 31, 2023. Debt Securities The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to private-label 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 the time of purchase. Available-for-Sale Securities. The amortized cost and fair value of AFS securities by major security type as of June 30, 2024, and December 31, 2023, were as follows: June 30, 2024 (In millions) Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. Treasury obligations $ 5,462 $ — $ 5 $ — $ 5,467 MBS: Government Sponsored Enterprises (GSEs) – multifamily 12,571 — 70 (7) 12,634 PLRMBS 1,026 (28) 29 (29) 998 Total mortgage-backed securities (MBS) 13,597 (28) 99 (36) 13,632 Total $ 19,059 $ (28) $ 104 $ (36) $ 19,099 December 31, 2023 (In millions) Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. Treasury obligations $ 4,530 $ — $ 4 $ — $ 4,534 MBS: GSEs – multifamily 12,500 — 4 (83) 12,421 PLRMBS 1,075 (31) 35 (20) 1,059 Total MBS 13,575 (31) 39 (103) 13,480 Total $ 18,105 $ (31) $ 43 $ (103) $ 18,014 (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 At June 30, 2024, the amortized cost of the Bank’s MBS classified as AFS included premiums of $55 million, discounts of $184 million, and previous credit losses related to the prior methodology of evaluating credit losses of $303 million for PLRMBS. At December 31, 2023, the amortized cost of the Bank’s MBS classified as AFS included premiums of $58 million, discounts of $191 million, and previous credit losses related to the prior methodology of evaluating credit losses of $312 million for PLRMBS. The following tables summarize the AFS securities with unrealized losses as of June 30, 2024, and December 31, 2023. 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. June 30, 2024 Less Than 12 Months 12 Months or More Total (In millions) Estimated Gross Unrealized Estimated Gross Unrealized Estimated Gross Unrealized U.S. obligations – Treasury notes $ 839 $ — $ — $ — $ 839 $ — MBS – GSEs – multifamily 748 1 1,501 6 2,249 7 PLRMBS 115 5 263 24 378 29 Total $ 1,702 $ 6 $ 1,764 $ 30 $ 3,466 $ 36 December 31, 2023 Less Than 12 Months 12 Months or More Total (In millions) Estimated Gross Estimated Gross Unrealized Estimated Gross Unrealized MBS – GSEs – multifamily $ 7,517 $ 45 $ 3,525 $ 38 $ 11,042 $ 83 PLRMBS 30 1 283 19 313 20 Total $ 7,547 $ 46 $ 3,808 $ 57 $ 11,355 $ 103 Redemption Terms – The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of June 30, 2024, and December 31, 2023, are shown below. Expected maturities of MBS classified as AFS 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. June 30, 2024 (In millions) Year of Contractual Maturity Amortized Estimated U.S. Treasury obligations: Due in 1 year or less $ 1,943 $ 1,945 Due after 1 year through 5 years 3,519 3,522 Total U.S. Treasury obligations 5,462 5,467 MBS 13,597 13,632 Total $ 19,059 $ 19,099 December 31, 2023 (In millions) Year of Contractual Maturity Amortized Estimated U.S. Treasury obligations: Due in 1 year or less $ 145 $ 145 Due after 1 year through 5 years 4,385 4,389 Total U.S. Treasury obligations 4,530 4,534 MBS 13,575 13,480 Total $ 18,105 $ 18,014 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: June 30, 2024 (In millions) Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family $ 39 $ — $ (1) $ 38 MBS – GSEs: MBS – GSEs – single-family 550 2 (16) 536 MBS – GSEs – multifamily 954 — (3) 951 Subtotal MBS – GSEs 1,504 2 (19) 1,487 PLRMBS 112 — (7) 105 Total $ 1,655 $ 2 $ (27) $ 1,630 December 31, 2023 (In millions) Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family $ 49 $ — $ (1) $ 48 MBS – GSEs: MBS – GSEs – single-family 605 1 (16) 590 MBS – GSEs – multifamily 1,069 — (5) 1,064 Subtotal MBS – GSEs 1,674 1 (21) 1,654 PLRMBS 124 — (8) 116 Total $ 1,847 $ 1 $ (30) $ 1,818 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million at June 30, 2024, and December 31, 2023. (2) Gross unrecognized holding 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 June 30, 2024, the amortized cost of the Bank’s MBS classified as HTM included premiums of $2 million and discounts of $2 million. At December 31, 2023, the amortized cost of the Bank’s MBS classified as HTM included premiums of $2 million and discounts of $3 million. Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on PLRMBS classified as AFS for the three and six months ended June 30, 2024 and 2023. The Bank recorded no allowance for credit losses associated with HTM securities during the three and six months ended June 30, 2024 and 2023. Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Balance, beginning of the period $ 26 $ 28 $ 31 $ 30 (Charge-offs)/recoveries (1) (1) (2) (2) Provision for/(reversal of) credit losses 3 1 (1) — Balance, end of the period $ 28 $ 28 $ 28 $ 28 To evaluate investment securities for expected credit loss at June 30, 2024, and December 31, 2023, 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 June 30, 2024, and December 31, 2023, substantially all of AFS securities and HTM securities, based on amortized cost, were rated A, or above, by a Nationally Recognized Statistical Rating Organization (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 June 30, 2024, and December 31, 2023, certain of the Bank’s AFS and HTM 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 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 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 U.S. Treasury, GSE, or other agency obligations, carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. As a result, no allowance for credit losses was recorded on these AFS or HTM securities at June 30, 2024, and December 31, 2023. 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. Many of these securities have subsequently experienced significant credit deterioration. As of June 30, 2024, and December 31, 2023, approximately 4% 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. 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 expected 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 reflect management’s expectations and include 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 PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), measurement of the credit loss amount for PLRMBS classified as Level 3 as of June 30, 2024, uses significant inputs and assumptions that include, based on unpaid principal balance, the weighted average percentage of prepayment rates of 10.0%; default rates of 7.3%; and loss severities of 51.1%. The weighted average percentage of the related current credit enhancement for these securities, based on unpaid principal balance, was 8.5% as of June 30, 2024. 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. 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. There were no transfers of PLRMBS from the Bank’s HTM portfolio to its AFS portfolio during the three and six months ended June 30, 2024. The Bank transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value of $2 million during the three and six months ended June 30, 2023. For the Bank’s PLRMBS, the Bank recorded a provision for credit losses of $3 million during the three months ended June 30, 2024, as a result of declines in the fair values of the underlying collateral on certain securities. The Bank recorded a reversal of credit losses of $1 million during the six months ended June 30, 2024, largely as a result of improvements in the fair values of the underlying collateral on certain securities. The Bank recorded a provision for credit losses of $1 million during the three months ended June 30, 2023, and a de minimis provision for credit losses for PLRMBS during the six months ended June 30, 2023, as charge-offs during the period were offset by improvements in the fair values of the underlying collateral on certain securities. |
Advances
Advances | 6 Months Ended |
Jun. 30, 2024 | |
Federal Home Loan Banks [Abstract] | |
Advances | Note 4 — 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 one day to 15 years, with the interest rates resetting periodically at a fixed spread to a specified index. Redemption Terms. The following table presents advances outstanding by redemption term and weighted-average interest rate at June 30, 2024, and December 31, 2023. (Dollars in millions) June 30, 2024 December 31, 2023 Redemption Term Amount Outstanding (1) Weighted Amount Outstanding (1) Weighted Overdrawn demand and overnight deposit accounts $ — 5.15 % $ 2 5.15 % Within 1 year (2) 34,303 4.62 35,241 4.87 After 1 year through 2 years 8,044 4.06 12,532 3.88 After 2 years through 3 years 5,906 3.59 6,437 3.23 After 3 years through 4 years 3,280 3.98 2,548 3.62 After 4 years through 5 years 1,623 4.32 3,660 4.07 After 5 years 2,038 3.75 1,290 3.71 Total par value 55,194 4.35 % 61,710 4.38 % Valuation adjustments for hedging activities (457) (371) Valuation adjustments under fair value option (2) (4) Total $ 54,735 $ 61,335 (1) Carrying amounts exclude accrued interest receivable of $86 million and $85 million at June 30, 2024, and December 31, 2023, respectively. (2) Advances outstanding with redemption terms within three months totaled $13.7 billion and $16.8 billion at June 30, 2024, and December 31, 2023, respectively. All of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is charged a prepayment fee intended to make the Bank financially indifferent to the borrower’s decision to repay the advance prior to its maturity date, which is required by the Finance Agency’s regulations. 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. In November 2018, the Bank discontinued offering advances with partial prepayment symmetry. The Bank had advances with full prepayment symmetry outstanding totaling $36.3 billion at June 30, 2024, and $39.8 billion at December 31, 2023. The Bank had advances with partial prepayment symmetry outstanding totaling $182 million at June 30, 2024, and $209 million at December 31, 2023. Some advances may be repaid on specified call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $1.0 billion at June 30, 2024, and $3.3 billion at December 31, 2023. The Bank had putable advances totaling $3.4 billion at June 30, 2024, and $1.4 billion at December 31, 2023. 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 June 30, 2024, and December 31, 2023, 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 (In millions) June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 Overdrawn demand and overnight deposit accounts $ — $ 2 $ — $ 2 Within 1 year 34,623 35,561 37,550 36,115 After 1 year through 2 years 8,044 12,542 7,432 13,000 After 2 years through 3 years 5,916 6,437 5,156 6,149 After 3 years through 4 years 3,280 2,558 2,983 2,551 After 4 years through 5 years 1,613 3,660 1,193 2,917 After 5 years 1,718 950 880 976 Total par value $ 55,194 $ 61,710 $ 55,194 $ 61,710 Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at June 30, 2024 and 2023. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three and six months ended June 30, 2024 and 2023. June 30, 2024 Three Months Ended Six Months Ended (Dollars in millions) Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of JPMorgan Chase, National Association (2) $ 17,717 32 % $ 203 35 % $ 441 37 % Western Alliance Bank 5,100 9 52 9 96 8 East West Bank 3,500 6 49 8 57 5 First Technology Federal Credit Union (3) 2,714 5 19 3 34 3 U.S. Bank, National Association (4) 2,050 4 12 2 23 2 SchoolsFirst Federal Credit Union 1,798 3 19 3 39 3 Bank of America California, National Association 1,450 3 20 3 40 3 First Foundation Bank 1,400 3 11 2 24 2 Kinecta Federal Credit Union 1,271 2 13 2 21 2 Wescom Central Credit Union 1,029 2 12 2 23 2 Subtotal 38,029 69 410 69 798 67 Others 17,165 31 172 31 384 33 Total par value $ 55,194 100 % $ 582 100 % $ 1,182 100 % June 30, 2023 Three Months Ended Six Months Ended (Dollars in millions) Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of JPMorgan Chase, National Association (2) $ 27,535 39 % $ 288 29 % $ 465 24 % City National Bank 8,000 11 107 11 222 11 Western Alliance Bank 4,900 7 105 10 132 7 First Technology Federal Credit Union (3) 4,050 6 37 4 75 4 U.S. Bank, National Association (4) 2,050 3 93 9 130 7 Luther Burbank Savings Bank (5)(6) 1,577 2 14 1 23 1 Bank of the West (7) 1,300 2 34 3 100 5 SchoolsFirst Federal Credit Union 1,023 1 9 1 17 1 Wells Fargo National Bank West 1,000 1 25 2 49 2 Logix Federal Credit Union (3) 930 1 12 1 23 1 Subtotal 52,365 73 724 71 1,236 63 Others 19,066 27 283 29 742 37 Total par value $ 71,431 100 % $ 1,007 100 % $ 1,978 100 % (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. (2) On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank. (3) An officer or director of the member was a Bank director during 2024 and 2023. (4) On December 1, 2022, U.S. Bancorp, a nonmember (the parent company of U.S. Bank, National Association), announced that it completed its acquisition of MUFG Union Bank, National Association. (5) On February 29, 2024, Washington Federal Bank, a nonmember, announced that it completed its acquisition of Luther Burbank Savings. On the same date, Washington Federal Bank assumed all of the assets and liabilities of Luther Burbank Savings, including $1.2 billion in advances outstanding from the Bank. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank. (6) An officer or director of the member was a Bank director during 2023. (7) On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West. Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances through an integrated approach that 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. In addition, the Bank lends to member financial institutions that have their principal place of business in Arizona, California, or Nevada, in accordance with federal law and the Finance Agency’s 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 MBS, 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. The Bank has advances outstanding to former members and member successors, which are subject to the security terms above. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At June 30, 2024, and December 31, 2023, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank’s custodial agent. All loan collateral pledged to the Bank is subject to a Uniform Commercial Code-1 financing statement. Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests. At June 30, 2024, and December 31, 2023, none of the Bank’s credit products were past due or on nonaccrual status. There were no modifications to credit products related to borrowers experiencing financial difficulty during the three and six months ended June 30, 2024 and 2023. 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 June 30, 2024, and December 31, 2023, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of June 30, 2024, and December 31, 2023. Interest Rate Payment Terms. Interest rate payment terms for advances at June 30, 2024, and December 31, 2023, are detailed below: (In millions) June 30, 2024 December 31, 2023 Par value of advances: Fixed rate: Due within 1 year $ 23,276 $ 23,866 Due after 1 year 19,886 26,467 Total fixed rate 43,162 50,333 Adjustable rate: Due within 1 year 11,027 11,377 Due after 1 year 1,005 — Total adjustable rate 12,032 11,377 Total par value $ 55,194 $ 61,710 |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 6 Months Ended |
Jun. 30, 2024 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 5 — Mortgage Loans Held for Portfolio Mortgage loans held for portfolio consist of single-family mortgage loans purchased from participating financial institutions under the Mortgage Partnership Finance ® (MPF ® ) Program (“Mortgage Partnership Finance” and “MPF” are registered trademarks of the FHLBank of Chicago). The following table presents information as of June 30, 2024, and December 31, 2023, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes. (In millions) June 30, 2024 December 31, 2023 Fixed rate medium-term mortgage loans (1) $ 11 $ 12 Fixed rate long-term mortgage loans (1) 677 704 Subtotal 688 716 Premiums 38 41 Discounts (1) (2) Mortgage loans held for portfolio (2) 725 755 Less: Allowance for credit losses (1) (1) Total mortgage loans held for portfolio, net $ 724 $ 754 (1) Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years. (2) Excludes accrued interest receivable of $5 million at June 30, 2024, and December 31, 2023. 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. A past due loan is one where the borrower has failed to make a scheduled full payment of principal and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following table presents the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at June 30, 2024, and December 31, 2023. (Dollars in millions) Payment Status, at Amortized Cost (1) June 30, 2024 December 31, 2023 30 – 59 days delinquent $ 3 $ 5 60 – 89 days delinquent 2 4 90 days or more delinquent 17 16 Total past due 22 25 Total current loans 703 730 Total mortgage loans held for portfolio $ 725 $ 755 In process of foreclosure, included above (2) $ 2 $ 2 Nonaccrual loans (3) $ 17 $ 16 Serious delinquencies as a percentage of total mortgage loans outstanding (4) 2.39 % 2.17 % (1) The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, amortized 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 June 30, 2024, and December 31, 2023, $5 million of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. (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. Allowance for Credit Losses on Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are evaluated on a loan-level basis for expected credit losses, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowance for credit losses on mortgage loans held for portfolio through analyses that include consideration of various loan portfolio and collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses 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 June 30, 2024, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 1.5% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. At December 31, 2023, the Bank’s reasonable and supportable forecast of housing prices expected, on average, for prices to appreciate 1.3% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses. Certain mortgage loans held for portfolio 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. At both June 30, 2024 and 2023, the allowance for credit losses on the mortgage loan portfolio was $1 million. The amount of charge-offs and recoveries related to the allowance for credit losses on the mortgage loan portfolio were de minimis for the three and six months ended June 30, 2024 and 2023. 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 2023 Form 10-K. |
Deposits
Deposits | 6 Months Ended |
Jun. 30, 2024 | |
Deposits [Abstract] | |
Deposits | Note 6 — 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 held for portfolio 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 outstanding as of June 30, 2024, and December 31, 2023, were as follows: June 30, 2024 December 31, 2023 Interest-bearing deposits (adjustable rate) $ 747 $ 957 Non-interest-bearing deposits 7 5 Total $ 754 $ 962 |
Consolidated Obligations
Consolidated Obligations | 6 Months Ended |
Jun. 30, 2024 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 7 — Consolidated Obligations Consolidated obligations, consisting of 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 15 – Commitments and Contingencies” in the Bank’s 2023 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 June 30, 2024, and December 31, 2023. (Dollars in millions) June 30, 2024 December 31, 2023 Contractual Maturity Amount Weighted Amount Weighted Within 1 year $ 37,497 4.78 % $ 42,821 4.84 % After 1 year through 2 years 10,068 3.64 13,105 4.70 After 2 years through 3 years 4,136 2.03 5,938 1.34 After 3 years through 4 years 1,546 3.36 1,345 1.75 After 4 years through 5 years 1,496 4.26 942 2.98 After 5 years 801 2.67 826 2.35 Total par value 55,544 4.29 % 64,977 4.37 % Unamortized discounts (2) (6) Valuation adjustments for hedging activities (592) (645) Fair value option valuation adjustments (25) (29) Total $ 54,925 $ 64,297 The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds. 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 option in a swap). 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 June 30, 2024, and December 31, 2023, was as follows: (In millions) June 30, 2024 December 31, 2023 Par value of consolidated obligation bonds: Non-callable $ 37,146 $ 38,945 Callable 18,398 26,032 Total par value $ 55,544 $ 64,977 The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at June 30, 2024, and December 31, 2023, by the earlier of the year of contractual maturity or next call date. (In millions) Earlier of Contractual June 30, 2024 December 31, 2023 Within 1 year $ 47,817 $ 55,291 After 1 year through 2 years 6,636 9,160 After 2 years through 3 years 943 378 After 3 years through 4 years 111 100 After 4 years through 5 years 1 12 After 5 years 36 36 Total par value $ 55,544 $ 64,977 The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows: June 30, 2024 December 31, 2023 (Dollars in millions) Amount Weighted Average Interest Rate (1) Amount Weighted Average Interest Rate (1) Par value $ 22,481 5.22 % $ 19,321 5.23 % Unamortized discounts (165) (134) Total $ 22,316 $ 19,187 (1) Represents yield to maturity excluding concession fees. Interest Rate Payment Terms. Interest rate payment terms for consolidated obligation bonds at June 30, 2024, and December 31, 2023, are detailed in the following table. For information on the general terms and types of consolidated obligation bonds outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 2023 Form 10-K. (In millions) June 30, 2024 December 31, 2023 Par value of consolidated obligation bonds: Fixed rate $ 25,186 $ 37,464 Adjustable rate 29,790 26,880 Step-up 568 633 Total consolidated obligation bonds, par value $ 55,544 $ 64,977 |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 6 Months Ended |
Jun. 30, 2024 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income/(Loss) | Note 8 — Accumulated Other Comprehensive Income/(Loss) The following table summarizes the changes in Accumulated Other Comprehensive Income/(Loss) (AOCI) for the three months ended June 30, 2024 and 2023: (In millions) Net Unrealized Gain/(Loss) on AFS Securities Pension and Postretirement Benefits Total Balance, March 31, 2023 $ (46) $ (15) $ (61) Other comprehensive income/(loss): Net change in fair value 42 42 Net current period other comprehensive income/(loss) 42 — 42 Balance, June 30, 2023 $ (4) $ (15) $ (19) Balance, March 31, 2024 $ 38 $ (11) $ 27 Other comprehensive income/(loss): Net change in fair value 29 29 Net current period other comprehensive income/(loss) 29 — 29 Balance, June 30, 2024 $ 67 $ (11) $ 56 |
Capital
Capital | 6 Months Ended |
Jun. 30, 2024 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Note 9 — Capital Capital Requirements. 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 regulatory capital, leverage capital, and risk-based capital. As of June 30, 2024, and December 31, 2023, the Bank complied with these capital rules and requirements as shown in the following table. June 30, 2024 December 31, 2023 (Dollars in millions) Required Actual Required Actual Risk-based capital $ 1,120 $ 7,410 $ 1,210 $ 7,446 Total regulatory capital $ 3,453 $ 7,410 $ 3,713 $ 7,446 Total regulatory capital ratio 4.00 % 8.58 % 4.00 % 8.02 % Leverage capital $ 4,317 $ 11,115 $ 4,641 $ 11,169 Leverage ratio 5.00 % 12.88 % 5.00 % 12.03 % The Bank’s capital plan requires each shareholder to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors (Board) and the Finance Agency. Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $565 million outstanding to seven institutions at June 30, 2024, and $706 million outstanding to six institutions at December 31, 2023. These amounts have been classified as a liability on the Bank’s Statements of Condition. The changes in mandatorily redeemable capital stock for the three and six months ended June 30, 2024 and 2023 were as follows: Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Balance at the beginning of the period $ 666 $ 95 $ 706 $ 5 Reclassified from/(to) capital during the period — 1,056 36 1,251 Repurchase/redemption of mandatorily redeemable capital stock (101) (308) (177) (413) Balance at the end of the period $ 565 $ 843 $ 565 $ 843 The following table presents mandatorily redeemable capital stock amounts by contractual year of redemption at June 30, 2024, and December 31, 2023. (In millions) Contractual Year of Redemption June 30, 2024 December 31, 2023 Year 2 $ 1 $ — Year 3 3 1 Year 4 536 2 Year 5 24 702 Past contractual redemption date because of remaining activity (1) 1 1 Total $ 565 $ 706 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. If activity-based stock becomes excess stock as a result of an activity no longer remaining outstanding, the Bank may repurchase those shares, at its sole discretion, subject to the statutory and regulatory restrictions on excess stock redemption. Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (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. The methodology may be revised from time to time, and the required level of retained earnings under the methodology may change due to updating data and assumptions used in the methodology. In January 2024, the required level of retained earnings was decreased from $2.6 billion to $1.6 billion attributable to lower non-MBS investments and projected advance balances. The Bank’s retained earnings requirement may be changed at any time. The Board periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate. 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. In accordance with the JCE Agreement, each FHLBank is required to reclassify an amount equal to 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. The JCE Agreement also provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum may be released from restricted retained earnings. 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. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend rate that is equal to or greater than the current market rate for highly rated investments and that is sustainable under current and projected earnings while maintaining appropriate levels of capital. The decision to declare any dividend and the dividend rate is at the discretion of the Board, which may choose to follow or not follow the dividend philosophy as guidance in the dividend declaration. The Board may also revise or eliminate the dividend philosophy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations. In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess stock exceeds 1% of its total assets. Excess 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 stock totaled $98 million, or 0.11% of total assets as of June 30, 2024. Excess stock totaled $118 million, or 0.13% of total assets as of December 31, 2023. 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. The Bank pays dividends in cash. On July 25, 2024, the Board declared a quarterly cash dividend on the capital stock outstanding during the second quarter of 2024 at an annualized rate of 8.75%, totaling $65 million. The Bank recorded the dividend on July 25, 2024, and expects to pay the dividend on August 13, 2024. Excess Stock – The Bank’s capital plan provides that the Bank may repurchase some or all of a shareholder’s excess stock at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank may also repurchase all of a member’s excess stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. 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 six months ended June 30, 2024 and 2023, 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. For more information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, mandatorily redeemable capital stock, excess stock repurchase, retained earnings, and dividend framework, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2023 Form 10-K. 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 June 30, 2024, or December 31, 2023: June 30, 2024 December 31, 2023 (Dollars in millions) Capital Stock Outstanding Percentage of Total Capital Stock Outstanding Capital Stock Outstanding Percentage of Total Capital Stock Outstanding JPMorgan Chase, National Association/First Republic Bank (1) $ 478 16 % $ 643 20 % (1) On May 1, 2023, the California DFPI closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including the advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank transferred $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassified that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 6 Months Ended |
Jun. 30, 2024 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Note 10 — 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). The Bank transacts most of its derivatives with large banks and major broker-dealers. When the Bank issues consolidated obligation discount notes, it may also simultaneously enter into an interest rate exchange agreement to convert the fixed rate discount note to an adjustable rate discount note. The Bank began treating certain of these hedging relationships as fair value hedges in the first quarter of 2024. The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of June 30, 2024, and December 31, 2023. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2024 December 31, 2023 (In millions) Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments: Interest rate swaps $ 90,629 $ 783 $ 618 $ 90,088 $ 795 $ 705 Derivatives not designated as hedging instruments: Interest rate swaps 13,541 34 74 27,349 36 87 Total derivatives before netting and collateral adjustments $ 104,170 817 692 $ 117,437 831 792 Netting adjustments and cash collateral (1) (759) (687) (815) (790) Total derivative assets and total derivative liabilities $ 58 $ 5 $ 16 $ 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 $354 million and $353 million at June 30, 2024, and December 31, 2023, respectively. Cash collateral received, including accrued interest, was $426 million and $378 million at June 30, 2024, and December 31, 2023, 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 six months ended June 30, 2024 and 2023. Three Months Ended June 30, 2024 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes (2) Total interest income/(expense) presented in the Statements of Income $ 731 $ 292 $ (786) $ (218) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 93 $ 134 $ (59) $ (2) Hedged items 55 (32) (75) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ 148 $ 102 $ (134) $ (2) Three Months Ended June 30, 2023 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 1,154 $ 209 $ (1,125) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 548 $ 356 $ (288) Hedged items (404) (284) 141 Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ 144 $ 72 $ (147) Six Months Ended June 30, 2024 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes (2) Total interest income/(expense) presented in the Statements of Income $ 1,490 $ 575 $ (1,636) $ (411) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 404 $ 532 $ (220) $ (2) Hedged items (98) (326) (53) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income 306 206 (273) (2) Six Months Ended June 30, 2023 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 2,317 $ 399 $ (2,045) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 247 $ 207 $ (204) Hedged items (223) (77) (73) Net gain/(loss) on derivatives and hedging activities recorded in net interest income 24 130 (277) (1) Includes net interest settlements. (2) There were no fair value hedging relationships on consolidated obligation discount notes during the three and six months ended June 30, 2023. 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 June 30, 2024, and December 31, 2023. June 30, 2024 (In millions) Advances AFS Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes (2) Amortized cost of hedged asset/(liability) (1) $ 33,393 $ 18,034 $ (23,806) $ (15,607) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ (500) $ (1,323) $ 592 $ — Discontinued hedging relationships included in amortized cost 43 568 — — Total amount of fair value hedging basis adjustments $ (457) $ (755) $ 592 $ — December 31, 2023 (In millions) Advances AFS Securities Consolidated Obligation Bonds Amortized cost of hedged asset/(liability) (1) $ 38,338 $ 17,029 $ (34,121) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ (427) $ (1,053) $ 645 Discontinued hedging relationships included in amortized cost 56 621 — Total amount of fair value hedging basis adjustments $ (371) $ (432) $ 645 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. (2) There were no fair value hedging relationships on consolidated obligation discount notes at December 31, 2023. The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three and six months ended June 30, 2024 and 2023. Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Derivatives not designated as hedging instruments Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Economic hedges: Interest rate swaps $ (4) $ 10 $ 7 $ (18) Net interest settlements 8 4 13 (1) Total net gain/(loss) related to derivatives not designated as hedging instruments 4 14 20 (19) Price alignment amount (1) (1) (1) (2) (2) Net gain/(loss) on derivatives $ 3 $ 13 $ 18 $ (21) (1) This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract. 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 the Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives. For cleared derivatives, the clearing house is the Bank’s counterparty. The requirement that the Bank post initial margin and settle variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if its futures commission merchant, or clearing agent, fails to meet its obligations. The use of a clearing house, 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 futures commission merchant default credit events. Variation margin is settled for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. Additional information related to the enforceability of offsetting rights applicable to the Bank’s cleared derivative transactions is included in “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2023 Form 10-K. 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 June 30, 2024, was $329 million, for which the Bank posted cash collateral of $327 million in the ordinary course of business. Additional information related to uncleared margin rules for uncleared derivative transactions is included in “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2023 Form 10-K. The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty on a net basis when the netting requirements have been met. The following table presents 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 June 30, 2024, and December 31, 2023. June 30, 2024 December 31, 2023 (In millions) Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements Gross recognized amount Uncleared $ 786 $ 688 $ 826 $ 778 Cleared 31 4 5 14 Total gross recognized amount 817 692 831 792 Gross amount of netting adjustments and cash collateral Uncleared (780) (683) (814) (776) Cleared 21 (4) (1) (14) Total gross amounts of netting adjustments and cash collateral (759) (687) (815) (790) Total derivative assets and total derivative liabilities $ 58 $ 5 $ 16 $ 2 Net amount (1) Uncleared $ 6 $ 5 $ 12 $ 2 Cleared 52 — 4 — Total net amount $ 58 $ 5 $ 16 $ 2 (1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At June 30, 2024, and December 31, 2023, the Bank had additional net credit exposure of $563 million and $771 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. |
Fair Value
Fair Value | 6 Months Ended |
Jun. 30, 2024 | |
Fair Value Disclosures [Abstract] | |
Fair Value | Note 11 — 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 June 30, 2024, and December 31, 2023. 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 June 30, 2024, and December 31, 2023. 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. June 30, 2024 (In millions) Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 6 $ 6 $ 6 $ — $ — $ — Interest-bearing deposits 3,884 3,884 3,884 — — — Securities purchased under agreements to resell 3,300 3,300 — 3,300 — — Federal funds sold 2,445 2,445 — 2,445 — — AFS securities 19,099 19,099 — 18,101 998 — HTM securities 1,655 1,630 — 1,525 105 — Advances 54,735 54,643 — 54,643 — — Mortgage loans held for portfolio 724 601 — 601 — — Accrued interest receivable 194 194 — 194 — — Derivative assets, net (2) 58 58 — 817 — (759) Other assets (3) 18 18 18 — — — Liabilities Deposits 754 754 — 754 — — Consolidated obligations: Bonds 54,925 54,692 — 54,692 — — Discount notes 22,316 22,310 — 22,310 — — Total consolidated obligations 77,241 77,002 — 77,002 — — Mandatorily redeemable capital stock 565 565 565 — — — Accrued interest payable 407 407 — 407 — — Derivative liabilities, net (2) 5 5 — 692 — (687) December 31, 2023 Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 5 $ 5 $ 5 $ — $ — $ — Interest-bearing deposits 2,922 2,922 2,922 — — — Securities purchased under agreements to resell 3,650 3,650 — 3,650 — — Federal funds sold 3,861 3,861 — 3,861 — — AFS securities 18,014 18,014 — 16,955 1,059 — HTM securities 1,847 1,818 — 1,702 116 — Advances 61,335 61,216 — 61,216 — — Mortgage loans held for portfolio 754 634 — 634 — — Accrued interest receivable 184 184 — 184 — — Derivative assets, net (2) 16 16 — 831 — (815) Other assets (3) 17 17 17 — — — Liabilities Deposits 962 962 — 962 — — Consolidated obligations: Bonds 64,297 64,037 — 64,037 — — Discount notes 19,187 19,182 — 19,182 — — Total consolidated obligations 83,484 83,219 — 83,219 — — Mandatorily redeemable capital stock 706 706 706 — — — Accrued interest payable 520 520 — 520 — — Derivative liabilities, net (2) 2 2 — 792 — (790) (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 June 30, 2024: • 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 more 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 14 – Fair Value” in the Bank’s 2023 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the three and six months ended June 30, 2024. 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 may 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 June 30, 2024, and December 31, 2023, by level within the fair value hierarchy. June 30, 2024 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) (In millions) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: AFS securities: U.S. Treasury obligations $ — $ 5,467 $ — $ — $ 5,467 MBS: GSEs – multifamily — 12,634 — — 12,634 PLRMBS — — 998 — 998 Subtotal AFS MBS — 12,634 998 — 13,632 Total AFS securities — 18,101 998 — 19,099 Advances (2) — 3,864 — — 3,864 Derivative assets, net: interest rate-related — 817 — (759) 58 Other assets 18 — — — 18 Total recurring fair value measurements – Assets $ 18 $ 22,782 $ 998 $ (759) $ 23,039 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 543 $ — $ — $ 543 Derivative liabilities, net: interest rate-related — 692 — (687) 5 Total recurring fair value measurements – Liabilities $ — $ 1,235 $ — $ (687) $ 548 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 1 $ — $ 1 Total nonrecurring fair value measurements – Assets $ — $ — $ 1 $ — $ 1 December 31, 2023 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) (In millions) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: AFS securities: U.S. Treasury obligations $ — $ 4,534 $ — $ — $ 4,534 MBS: GSEs – multifamily — 12,421 — — 12,421 PLRMBS — — 1,059 — 1,059 Subtotal AFS MBS — 12,421 1,059 — 13,480 Total AFS securities — 16,955 1,059 — 18,014 Advances (2) — 1,898 — — 1,898 Derivative assets, net: interest rate-related — 831 — (815) 16 Other assets 17 — — — 17 Total recurring fair value measurements – Assets $ 17 $ 19,684 $ 1,059 $ (815) $ 19,945 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 604 $ — $ — $ 604 Derivative liabilities, net: interest rate-related — 792 — (790) 2 Total recurring fair value measurements – Liabilities $ — $ 1,396 $ — $ (790) $ 606 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 22 $ — $ 22 Total nonrecurring fair value measurements – Assets $ — $ — $ 22 $ — $ 22 (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 June 30, 2024, and December 31, 2023. (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2024, and December 31, 2023. (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2024, and the year ended December 31, 2023. The following table presents 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 six months ended June 30, 2024 and 2023. Three Months Ended (In millions) June 30, 2024 June 30, 2023 Balance, beginning of the period $ 1,028 $ 1,150 Total gain/(loss) realized and unrealized included in: Interest income 5 9 (Provision for)/reversal of credit losses (3) (1) Unrealized gain/(loss) included in AOCI (10) — Settlements (22) (41) Transfers of HTM securities to AFS securities — 2 Balance, end of the period $ 998 $ 1,119 Total amount of unrealized gain/(loss) for the period included in AOCI relating to instruments held at the end of the period $ (10) $ — Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period $ 2 $ 6 Six Months Ended (In millions) June 30, 2024 June 30, 2023 Balance, beginning of the period $ 1,059 $ 1,182 Total gain/(loss) realized and unrealized included in: Interest income 3 19 (Provision for)/reversal of credit losses 1 — Unrealized gain/(loss) included in AOCI (13) (11) Settlements (52) (73) Transfers of HTM securities to AFS securities — 2 Balance, end of the period $ 998 $ 1,119 Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period $ (13) $ (11) 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 $ 4 $ 18 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 obligation bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any consolidated obligation bond underwriting fees or concessions will be immediately recognized in other income/(loss) or other expense. For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Fair Value” in the Bank’s 2023 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 table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under fair value option for the three and six months ended June 30, 2024 and 2023: Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Advances $ 6 $ (19) $ (6) $ (1) Consolidated obligation bonds (3) 3 (5) (14) Total $ 3 $ (16) $ (11) $ (15) 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 six months ended June 30, 2024 and 2023. 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 June 30, 2024, and December 31, 2023: June 30, 2024 December 31, 2023 (In millions) Principal Balance Fair Value Fair Value Principal Balance Fair Value Fair Value Advances (1) $ 3,866 $ 3,864 $ (2) $ 1,902 $ 1,898 $ (4) Consolidated obligation bonds 568 543 (25) 633 604 (29) (1) At June 30, 2024, and December 31, 2023, none of these advances were 90 days or more past due or had been placed on nonaccrual status. |
Commitments and Contingencies
Commitments and Contingencies | 6 Months Ended |
Jun. 30, 2024 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 12 — 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 June 30, 2024, 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 $1.2 trillion at June 30, 2024, and December 31, 2023. The par value of the Bank’s participation in consolidated obligations was $78.0 billion at June 30, 2024, and $84.3 billion at December 31, 2023. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Commitments and Contingencies” in the Bank’s 2023 Form 10-K. Off-balance sheet commitments as of June 30, 2024, and December 31, 2023, were as follows: June 30, 2024 December 31, 2023 (In millions) Expire Within Expire After Total Total Standby letters of credit outstanding $ 10,002 $ 9,373 $ 19,375 $ 19,418 Commitments to issue consolidated obligation discount notes, par 2 — 2 — Commitments to issue consolidated obligation bonds, par 50 — 50 — 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. 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 $55 million and $57 million at June 30, 2024, and December 31, 2023, 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 June 30, 2024, and December 31, 2023. The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 10 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit risk-related contingent features. As of June 30, 2024, the Bank had pledged total collateral of $917 million, including securities with a carrying value of $563 million, all of which may be repledged, and cash collateral, including accrued interest, of $354 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. As of December 31, 2023, the Bank had pledged total collateral of $1.1 billion, including securities with a carrying value of $771 million, all of which may be repledged, and cash collateral, including accrued interest, of $353 million to counterparties and the clearing house 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 | 6 Months Ended |
Jun. 30, 2024 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | Note 13 — 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 and nonmember borrowers that have an officer or director serving on the Board. (In millions) June 30, 2024 December 31, 2023 Assets: Advances $ 5,467 $ 5,762 Mortgage loans held for portfolio 72 74 Accrued interest receivable 6 5 Liabilities: Deposits $ 31 $ 34 Capital: Capital Stock $ 170 $ 191 Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Interest Income: Advances $ 47 $ 75 $ 96 $ 144 Mortgage loans held for portfolio — 1 1 1 All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of June 30, 2024, and December 31, 2023, 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 16 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2023 Form 10-K. Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below. 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 six months ended June 30, 2024 and 2023, the Bank extended overnight loans to other FHLBanks for $10 million and $1.3 billion, respectively. During the six months ended June 30, 2024 and 2023, the Bank borrowed $40 million and $4.8 billion, respectively, from other FHLBanks. |
Insider Trading Arrangements
Insider Trading Arrangements | 3 Months Ended |
Jun. 30, 2024 | |
Trading Arrangements, by Individual | |
Rule 10b5-1 Arrangement Adopted | false |
Non-Rule 10b5-1 Arrangement Adopted | false |
Rule 10b5-1 Arrangement Terminated | false |
Non-Rule 10b5-1 Arrangement Terminated | false |
Basis of Presentation and Sig_2
Basis of Presentation and Significant Accounting Policies (Policies) | 6 Months Ended |
Jun. 30, 2024 | |
Accounting Policies [Abstract] | |
Use of Estimates | 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 hedging activities; and • 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 Actual results could differ significantly from these estimates. Termination of Long-Term Funding Arrangement . The Bank recognized $30 million as income in the first six months of 2024 in connection with the termination of a long-term funding arrangement entered into with a member borrower in 2017. |
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 option in a swap). |
Derivatives, Methods of Accounting, Hedging Derivatives | 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). The Bank transacts most of its derivatives with large banks and major broker-dealers. When the Bank issues consolidated obligation discount notes, it may also simultaneously enter into an interest rate exchange agreement to convert the fixed rate discount note to an adjustable rate discount note. The Bank began treating certain of these hedging relationships as fair value hedges in the first quarter of 2024. |
Derivatives, Policy | 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 the Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives. For cleared derivatives, the clearing house is the Bank’s counterparty. The requirement that the Bank post initial margin and settle variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if its futures commission merchant, or clearing agent, fails to meet its obligations. The use of a clearing house, 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 futures commission merchant default credit events. Variation margin is settled for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. Additional information related to the enforceability of offsetting rights applicable to the Bank’s cleared derivative transactions is included in “Item 8. Financial Statements and Supplementary Data – Note 13 – Derivatives and Hedging Activities” in the Bank’s 2023 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 June 30, 2024: • 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 14 – Fair Value” in the Bank’s 2023 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. |
Stockholders' Equity, Policy | Capital Requirements. |
New Accounting Pronouncements | Accounting Standards Update (ASU) Description Effective Date Effect on the Financial Statements or Other Significant Matters Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures (ASU 2023-07) This guidance improves reportable segment disclosure requirements primarily through enhanced disclosures about significant segment expenses, including if an entity only has a single reportable segment. This guidance becomes effective for the Bank for the annual period ending December 31, 2024, and for interim and annual periods thereafter. While the adoption of this guidance will not have any effect on the Bank’s financial condition, results of operations, or cash flows, the Bank is in the process of evaluating the impact of this guidance and its effect on the Bank’s disclosures. |
Investments (Tables)
Investments (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Debt Instrument [Line Items] | |
Available-for-sale Securities | AFS securities by major security type as of June 30, 2024, and December 31, 2023, were as follows: June 30, 2024 (In millions) Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. Treasury obligations $ 5,462 $ — $ 5 $ — $ 5,467 MBS: Government Sponsored Enterprises (GSEs) – multifamily 12,571 — 70 (7) 12,634 PLRMBS 1,026 (28) 29 (29) 998 Total mortgage-backed securities (MBS) 13,597 (28) 99 (36) 13,632 Total $ 19,059 $ (28) $ 104 $ (36) $ 19,099 December 31, 2023 (In millions) Amortized Cost (1) Allowance for Credit Losses Gross Gross Estimated Fair Value U.S. Treasury obligations $ 4,530 $ — $ 4 $ — $ 4,534 MBS: GSEs – multifamily 12,500 — 4 (83) 12,421 PLRMBS 1,075 (31) 35 (20) 1,059 Total MBS 13,575 (31) 39 (103) 13,480 Total $ 18,105 $ (31) $ 43 $ (103) $ 18,014 (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 |
Held-to-maturity Securities | 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: June 30, 2024 (In millions) Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family $ 39 $ — $ (1) $ 38 MBS – GSEs: MBS – GSEs – single-family 550 2 (16) 536 MBS – GSEs – multifamily 954 — (3) 951 Subtotal MBS – GSEs 1,504 2 (19) 1,487 PLRMBS 112 — (7) 105 Total $ 1,655 $ 2 $ (27) $ 1,630 December 31, 2023 (In millions) Amortized Cost (1) Gross Unrecognized Holding Gains (2) Gross Unrecognized Holding Losses (2) Estimated MBS – Other U.S. obligations – single-family $ 49 $ — $ (1) $ 48 MBS – GSEs: MBS – GSEs – single-family 605 1 (16) 590 MBS – GSEs – multifamily 1,069 — (5) 1,064 Subtotal MBS – GSEs 1,674 1 (21) 1,654 PLRMBS 124 — (8) 116 Total $ 1,847 $ 1 $ (30) $ 1,818 (1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million at June 30, 2024, and December 31, 2023. (2) Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value. |
Debt Securities, Available-for-sale, Allowance for Credit Loss | Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on PLRMBS classified as AFS for the three and six months ended June 30, 2024 and 2023. The Bank recorded no allowance for credit losses associated with HTM securities during the three and six months ended June 30, 2024 and 2023. Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Balance, beginning of the period $ 26 $ 28 $ 31 $ 30 (Charge-offs)/recoveries (1) (1) (2) (2) Provision for/(reversal of) credit losses 3 1 (1) — Balance, end of the period $ 28 $ 28 $ 28 $ 28 |
Available-for-sale Securities | |
Debt Instrument [Line Items] | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | June 30, 2024 Less Than 12 Months 12 Months or More Total (In millions) Estimated Gross Unrealized Estimated Gross Unrealized Estimated Gross Unrealized U.S. obligations – Treasury notes $ 839 $ — $ — $ — $ 839 $ — MBS – GSEs – multifamily 748 1 1,501 6 2,249 7 PLRMBS 115 5 263 24 378 29 Total $ 1,702 $ 6 $ 1,764 $ 30 $ 3,466 $ 36 December 31, 2023 Less Than 12 Months 12 Months or More Total (In millions) Estimated Gross Estimated Gross Unrealized Estimated Gross Unrealized MBS – GSEs – multifamily $ 7,517 $ 45 $ 3,525 $ 38 $ 11,042 $ 83 PLRMBS 30 1 283 19 313 20 Total $ 7,547 $ 46 $ 3,808 $ 57 $ 11,355 $ 103 |
Investments Classified by Contractual Maturity Date and Prepayment Fees | The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of June 30, 2024, and December 31, 2023, are shown below. Expected maturities of MBS classified as AFS 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. June 30, 2024 (In millions) Year of Contractual Maturity Amortized Estimated U.S. Treasury obligations: Due in 1 year or less $ 1,943 $ 1,945 Due after 1 year through 5 years 3,519 3,522 Total U.S. Treasury obligations 5,462 5,467 MBS 13,597 13,632 Total $ 19,059 $ 19,099 December 31, 2023 (In millions) Year of Contractual Maturity Amortized Estimated U.S. Treasury obligations: Due in 1 year or less $ 145 $ 145 Due after 1 year through 5 years 4,385 4,389 Total U.S. Treasury obligations 4,530 4,534 MBS 13,575 13,480 Total $ 18,105 $ 18,014 |
Advances (Tables)
Advances (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances | Redemption Terms. The following table presents advances outstanding by redemption term and weighted-average interest rate at June 30, 2024, and December 31, 2023. (Dollars in millions) June 30, 2024 December 31, 2023 Redemption Term Amount Outstanding (1) Weighted Amount Outstanding (1) Weighted Overdrawn demand and overnight deposit accounts $ — 5.15 % $ 2 5.15 % Within 1 year (2) 34,303 4.62 35,241 4.87 After 1 year through 2 years 8,044 4.06 12,532 3.88 After 2 years through 3 years 5,906 3.59 6,437 3.23 After 3 years through 4 years 3,280 3.98 2,548 3.62 After 4 years through 5 years 1,623 4.32 3,660 4.07 After 5 years 2,038 3.75 1,290 3.71 Total par value 55,194 4.35 % 61,710 4.38 % Valuation adjustments for hedging activities (457) (371) Valuation adjustments under fair value option (2) (4) Total $ 54,735 $ 61,335 (1) Carrying amounts exclude accrued interest receivable of $86 million and $85 million at June 30, 2024, and December 31, 2023, respectively. (2) Advances outstanding with redemption terms within three months totaled $13.7 billion and $16.8 billion at June 30, 2024, and December 31, 2023, respectively. The following table summarizes advances at June 30, 2024, and December 31, 2023, 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 (In millions) June 30, 2024 December 31, 2023 June 30, 2024 December 31, 2023 Overdrawn demand and overnight deposit accounts $ — $ 2 $ — $ 2 Within 1 year 34,623 35,561 37,550 36,115 After 1 year through 2 years 8,044 12,542 7,432 13,000 After 2 years through 3 years 5,916 6,437 5,156 6,149 After 3 years through 4 years 3,280 2,558 2,983 2,551 After 4 years through 5 years 1,613 3,660 1,193 2,917 After 5 years 1,718 950 880 976 Total par value $ 55,194 $ 61,710 $ 55,194 $ 61,710 Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at June 30, 2024 and 2023. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three and six months ended June 30, 2024 and 2023. June 30, 2024 Three Months Ended Six Months Ended (Dollars in millions) Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of JPMorgan Chase, National Association (2) $ 17,717 32 % $ 203 35 % $ 441 37 % Western Alliance Bank 5,100 9 52 9 96 8 East West Bank 3,500 6 49 8 57 5 First Technology Federal Credit Union (3) 2,714 5 19 3 34 3 U.S. Bank, National Association (4) 2,050 4 12 2 23 2 SchoolsFirst Federal Credit Union 1,798 3 19 3 39 3 Bank of America California, National Association 1,450 3 20 3 40 3 First Foundation Bank 1,400 3 11 2 24 2 Kinecta Federal Credit Union 1,271 2 13 2 21 2 Wescom Central Credit Union 1,029 2 12 2 23 2 Subtotal 38,029 69 410 69 798 67 Others 17,165 31 172 31 384 33 Total par value $ 55,194 100 % $ 582 100 % $ 1,182 100 % June 30, 2023 Three Months Ended Six Months Ended (Dollars in millions) Name of Borrower Advances Percentage of Interest (1) Percentage of Interest (1) Percentage of JPMorgan Chase, National Association (2) $ 27,535 39 % $ 288 29 % $ 465 24 % City National Bank 8,000 11 107 11 222 11 Western Alliance Bank 4,900 7 105 10 132 7 First Technology Federal Credit Union (3) 4,050 6 37 4 75 4 U.S. Bank, National Association (4) 2,050 3 93 9 130 7 Luther Burbank Savings Bank (5)(6) 1,577 2 14 1 23 1 Bank of the West (7) 1,300 2 34 3 100 5 SchoolsFirst Federal Credit Union 1,023 1 9 1 17 1 Wells Fargo National Bank West 1,000 1 25 2 49 2 Logix Federal Credit Union (3) 930 1 12 1 23 1 Subtotal 52,365 73 724 71 1,236 63 Others 19,066 27 283 29 742 37 Total par value $ 71,431 100 % $ 1,007 100 % $ 1,978 100 % (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. (2) On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank. (3) An officer or director of the member was a Bank director during 2024 and 2023. (4) On December 1, 2022, U.S. Bancorp, a nonmember (the parent company of U.S. Bank, National Association), announced that it completed its acquisition of MUFG Union Bank, National Association. (5) On February 29, 2024, Washington Federal Bank, a nonmember, announced that it completed its acquisition of Luther Burbank Savings. On the same date, Washington Federal Bank assumed all of the assets and liabilities of Luther Burbank Savings, including $1.2 billion in advances outstanding from the Bank. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank. (6) An officer or director of the member was a Bank director during 2023. (7) On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West. Interest Rate Payment Terms. Interest rate payment terms for advances at June 30, 2024, and December 31, 2023, are detailed below: (In millions) June 30, 2024 December 31, 2023 Par value of advances: Fixed rate: Due within 1 year $ 23,276 $ 23,866 Due after 1 year 19,886 26,467 Total fixed rate 43,162 50,333 Adjustable rate: Due within 1 year 11,027 11,377 Due after 1 year 1,005 — Total adjustable rate 12,032 11,377 Total par value $ 55,194 $ 61,710 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Receivables [Abstract] | |
Schedule of Accounts, Notes, Loans and Financing Receivable | The following table presents information as of June 30, 2024, and December 31, 2023, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes. (In millions) June 30, 2024 December 31, 2023 Fixed rate medium-term mortgage loans (1) $ 11 $ 12 Fixed rate long-term mortgage loans (1) 677 704 Subtotal 688 716 Premiums 38 41 Discounts (1) (2) Mortgage loans held for portfolio (2) 725 755 Less: Allowance for credit losses (1) (1) Total mortgage loans held for portfolio, net $ 724 $ 754 |
Financing Receivable Credit Quality Indicators | The following table presents the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at June 30, 2024, and December 31, 2023. (Dollars in millions) Payment Status, at Amortized Cost (1) June 30, 2024 December 31, 2023 30 – 59 days delinquent $ 3 $ 5 60 – 89 days delinquent 2 4 90 days or more delinquent 17 16 Total past due 22 25 Total current loans 703 730 Total mortgage loans held for portfolio $ 725 $ 755 In process of foreclosure, included above (2) $ 2 $ 2 Nonaccrual loans (3) $ 17 $ 16 Serious delinquencies as a percentage of total mortgage loans outstanding (4) 2.39 % 2.17 % (1) The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, amortized 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 June 30, 2024, and December 31, 2023, $5 million of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. (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. |
Financing Receivable, Allowance for Credit Loss | The amount of charge-offs and recoveries related to the allowance for credit losses on the mortgage loan portfolio were de minimis for the three and six months ended June 30, 2024 and 2023. |
Deposits (Tables)
Deposits (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Deposits [Abstract] | |
Schedule of Deposit Liabilities by Component | Deposits outstanding as of June 30, 2024, and December 31, 2023, were as follows: June 30, 2024 December 31, 2023 Interest-bearing deposits (adjustable rate) $ 747 $ 957 Non-interest-bearing deposits 7 5 Total $ 754 $ 962 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024, and December 31, 2023. (Dollars in millions) June 30, 2024 December 31, 2023 Contractual Maturity Amount Weighted Amount Weighted Within 1 year $ 37,497 4.78 % $ 42,821 4.84 % After 1 year through 2 years 10,068 3.64 13,105 4.70 After 2 years through 3 years 4,136 2.03 5,938 1.34 After 3 years through 4 years 1,546 3.36 1,345 1.75 After 4 years through 5 years 1,496 4.26 942 2.98 After 5 years 801 2.67 826 2.35 Total par value 55,544 4.29 % 64,977 4.37 % Unamortized discounts (2) (6) Valuation adjustments for hedging activities (592) (645) Fair value option valuation adjustments (25) (29) Total $ 54,925 $ 64,297 |
Schedule of Long-term Debt by Call Feature | The Bank’s participation in consolidated obligation bonds at June 30, 2024, and December 31, 2023, was as follows: (In millions) June 30, 2024 December 31, 2023 Par value of consolidated obligation bonds: Non-callable $ 37,146 $ 38,945 Callable 18,398 26,032 Total par value $ 55,544 $ 64,977 |
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 June 30, 2024, and December 31, 2023, by the earlier of the year of contractual maturity or next call date. (In millions) Earlier of Contractual June 30, 2024 December 31, 2023 Within 1 year $ 47,817 $ 55,291 After 1 year through 2 years 6,636 9,160 After 2 years through 3 years 943 378 After 3 years through 4 years 111 100 After 4 years through 5 years 1 12 After 5 years 36 36 Total par value $ 55,544 $ 64,977 |
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: June 30, 2024 December 31, 2023 (Dollars in millions) Amount Weighted Average Interest Rate (1) Amount Weighted Average Interest Rate (1) Par value $ 22,481 5.22 % $ 19,321 5.23 % Unamortized discounts (165) (134) Total $ 22,316 $ 19,187 |
Schedule of Interest Rate Payment Terms for Debt | Interest rate payment terms for consolidated obligation bonds at June 30, 2024, and December 31, 2023, are detailed in the following table. For information on the general terms and types of consolidated obligation bonds outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 2023 Form 10-K. (In millions) June 30, 2024 December 31, 2023 Par value of consolidated obligation bonds: Fixed rate $ 25,186 $ 37,464 Adjustable rate 29,790 26,880 Step-up 568 633 Total consolidated obligation bonds, par value $ 55,544 $ 64,977 |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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/(Loss) (AOCI) for the three months ended June 30, 2024 and 2023: (In millions) Net Unrealized Gain/(Loss) on AFS Securities Pension and Postretirement Benefits Total Balance, March 31, 2023 $ (46) $ (15) $ (61) Other comprehensive income/(loss): Net change in fair value 42 42 Net current period other comprehensive income/(loss) 42 — 42 Balance, June 30, 2023 $ (4) $ (15) $ (19) Balance, March 31, 2024 $ 38 $ (11) $ 27 Other comprehensive income/(loss): Net change in fair value 29 29 Net current period other comprehensive income/(loss) 29 — 29 Balance, June 30, 2024 $ 67 $ (11) $ 56 |
Capital (Tables)
Capital (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As of June 30, 2024, and December 31, 2023, the Bank complied with these capital rules and requirements as shown in the following table. June 30, 2024 December 31, 2023 (Dollars in millions) Required Actual Required Actual Risk-based capital $ 1,120 $ 7,410 $ 1,210 $ 7,446 Total regulatory capital $ 3,453 $ 7,410 $ 3,713 $ 7,446 Total regulatory capital ratio 4.00 % 8.58 % 4.00 % 8.02 % Leverage capital $ 4,317 $ 11,115 $ 4,641 $ 11,169 Leverage ratio 5.00 % 12.88 % 5.00 % 12.03 % The Bank’s capital plan requires each shareholder to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors (Board) and the Finance Agency. |
Schedule of Mandatorily Redeemable Capital Stock | The changes in mandatorily redeemable capital stock for the three and six months ended June 30, 2024 and 2023 were as follows: Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Balance at the beginning of the period $ 666 $ 95 $ 706 $ 5 Reclassified from/(to) capital during the period — 1,056 36 1,251 Repurchase/redemption of mandatorily redeemable capital stock (101) (308) (177) (413) Balance at the end of the period $ 565 $ 843 $ 565 $ 843 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | The following table presents mandatorily redeemable capital stock amounts by contractual year of redemption at June 30, 2024, and December 31, 2023. (In millions) Contractual Year of Redemption June 30, 2024 December 31, 2023 Year 2 $ 1 $ — Year 3 3 1 Year 4 536 2 Year 5 24 702 Past contractual redemption date because of remaining activity (1) 1 1 Total $ 565 $ 706 (1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024, and December 31, 2023. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest. June 30, 2024 December 31, 2023 (In millions) Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments: Interest rate swaps $ 90,629 $ 783 $ 618 $ 90,088 $ 795 $ 705 Derivatives not designated as hedging instruments: Interest rate swaps 13,541 34 74 27,349 36 87 Total derivatives before netting and collateral adjustments $ 104,170 817 692 $ 117,437 831 792 Netting adjustments and cash collateral (1) (759) (687) (815) (790) Total derivative assets and total derivative liabilities $ 58 $ 5 $ 16 $ 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 $354 million and $353 million at June 30, 2024, and December 31, 2023, respectively. Cash collateral received, including accrued interest, was $426 million and $378 million at June 30, 2024, and December 31, 2023, 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 six months ended June 30, 2024 and 2023. Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Derivatives not designated as hedging instruments Gain/(Loss) Gain/(Loss) Gain/(Loss) Gain/(Loss) Economic hedges: Interest rate swaps $ (4) $ 10 $ 7 $ (18) Net interest settlements 8 4 13 (1) Total net gain/(loss) related to derivatives not designated as hedging instruments 4 14 20 (19) Price alignment amount (1) (1) (1) (2) (2) Net gain/(loss) on derivatives $ 3 $ 13 $ 18 $ (21) |
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 six months ended June 30, 2024 and 2023. Three Months Ended June 30, 2024 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes (2) Total interest income/(expense) presented in the Statements of Income $ 731 $ 292 $ (786) $ (218) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 93 $ 134 $ (59) $ (2) Hedged items 55 (32) (75) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ 148 $ 102 $ (134) $ (2) Three Months Ended June 30, 2023 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 1,154 $ 209 $ (1,125) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 548 $ 356 $ (288) Hedged items (404) (284) 141 Net gain/(loss) on derivatives and hedging activities recorded in net interest income $ 144 $ 72 $ (147) Six Months Ended June 30, 2024 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes (2) Total interest income/(expense) presented in the Statements of Income $ 1,490 $ 575 $ (1,636) $ (411) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 404 $ 532 $ (220) $ (2) Hedged items (98) (326) (53) — Net gain/(loss) on derivatives and hedging activities recorded in net interest income 306 206 (273) (2) Six Months Ended June 30, 2023 Interest Income/(Expense) (In millions) Advances AFS Securities Consolidated Obligation Bonds Total interest income/(expense) presented in the Statements of Income $ 2,317 $ 399 $ (2,045) Gain/(loss) on fair value hedging relationships Derivatives (1) $ 247 $ 207 $ (204) Hedged items (223) (77) (73) Net gain/(loss) on derivatives and hedging activities recorded in net interest income 24 130 (277) |
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 June 30, 2024, and December 31, 2023. June 30, 2024 (In millions) Advances AFS Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes (2) Amortized cost of hedged asset/(liability) (1) $ 33,393 $ 18,034 $ (23,806) $ (15,607) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ (500) $ (1,323) $ 592 $ — Discontinued hedging relationships included in amortized cost 43 568 — — Total amount of fair value hedging basis adjustments $ (457) $ (755) $ 592 $ — December 31, 2023 (In millions) Advances AFS Securities Consolidated Obligation Bonds Amortized cost of hedged asset/(liability) (1) $ 38,338 $ 17,029 $ (34,121) Fair value hedging basis adjustments: Active hedging relationships included in amortized cost $ (427) $ (1,053) $ 645 Discontinued hedging relationships included in amortized cost 56 621 — Total amount of fair value hedging basis adjustments $ (371) $ (432) $ 645 (1) Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. (2) There were no fair value hedging relationships on consolidated obligation discount notes at December 31, 2023. |
Schedule of Derivative Instruments, Offsetting Derivative Assets | The following table presents 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 June 30, 2024, and December 31, 2023. June 30, 2024 December 31, 2023 (In millions) Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements Gross recognized amount Uncleared $ 786 $ 688 $ 826 $ 778 Cleared 31 4 5 14 Total gross recognized amount 817 692 831 792 Gross amount of netting adjustments and cash collateral Uncleared (780) (683) (814) (776) Cleared 21 (4) (1) (14) Total gross amounts of netting adjustments and cash collateral (759) (687) (815) (790) Total derivative assets and total derivative liabilities $ 58 $ 5 $ 16 $ 2 Net amount (1) Uncleared $ 6 $ 5 $ 12 $ 2 Cleared 52 — 4 — Total net amount $ 58 $ 5 $ 16 $ 2 (1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At June 30, 2024, and December 31, 2023, the Bank had additional net credit exposure of $563 million and $771 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. |
Schedule of Derivative Instruments, Offsetting Derivative Liabilities | The following table presents 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 June 30, 2024, and December 31, 2023. June 30, 2024 December 31, 2023 (In millions) Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements Gross recognized amount Uncleared $ 786 $ 688 $ 826 $ 778 Cleared 31 4 5 14 Total gross recognized amount 817 692 831 792 Gross amount of netting adjustments and cash collateral Uncleared (780) (683) (814) (776) Cleared 21 (4) (1) (14) Total gross amounts of netting adjustments and cash collateral (759) (687) (815) (790) Total derivative assets and total derivative liabilities $ 58 $ 5 $ 16 $ 2 Net amount (1) Uncleared $ 6 $ 5 $ 12 $ 2 Cleared 52 — 4 — Total net amount $ 58 $ 5 $ 16 $ 2 (1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At June 30, 2024, and December 31, 2023, the Bank had additional net credit exposure of $563 million and $771 million, respectively, due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. |
Fair Value (Tables)
Fair Value (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
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 June 30, 2024, and December 31, 2023. 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. June 30, 2024 (In millions) Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 6 $ 6 $ 6 $ — $ — $ — Interest-bearing deposits 3,884 3,884 3,884 — — — Securities purchased under agreements to resell 3,300 3,300 — 3,300 — — Federal funds sold 2,445 2,445 — 2,445 — — AFS securities 19,099 19,099 — 18,101 998 — HTM securities 1,655 1,630 — 1,525 105 — Advances 54,735 54,643 — 54,643 — — Mortgage loans held for portfolio 724 601 — 601 — — Accrued interest receivable 194 194 — 194 — — Derivative assets, net (2) 58 58 — 817 — (759) Other assets (3) 18 18 18 — — — Liabilities Deposits 754 754 — 754 — — Consolidated obligations: Bonds 54,925 54,692 — 54,692 — — Discount notes 22,316 22,310 — 22,310 — — Total consolidated obligations 77,241 77,002 — 77,002 — — Mandatorily redeemable capital stock 565 565 565 — — — Accrued interest payable 407 407 — 407 — — Derivative liabilities, net (2) 5 5 — 692 — (687) December 31, 2023 Carrying Value (1) Estimated Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Assets Cash and due from banks $ 5 $ 5 $ 5 $ — $ — $ — Interest-bearing deposits 2,922 2,922 2,922 — — — Securities purchased under agreements to resell 3,650 3,650 — 3,650 — — Federal funds sold 3,861 3,861 — 3,861 — — AFS securities 18,014 18,014 — 16,955 1,059 — HTM securities 1,847 1,818 — 1,702 116 — Advances 61,335 61,216 — 61,216 — — Mortgage loans held for portfolio 754 634 — 634 — — Accrued interest receivable 184 184 — 184 — — Derivative assets, net (2) 16 16 — 831 — (815) Other assets (3) 17 17 17 — — — Liabilities Deposits 962 962 — 962 — — Consolidated obligations: Bonds 64,297 64,037 — 64,037 — — Discount notes 19,187 19,182 — 19,182 — — Total consolidated obligations 83,484 83,219 — 83,219 — — Mandatorily redeemable capital stock 706 706 706 — — — Accrued interest payable 520 520 — 520 — — Derivative liabilities, net (2) 2 2 — 792 — (790) (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 June 30, 2024, and December 31, 2023, by level within the fair value hierarchy. June 30, 2024 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) (In millions) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: AFS securities: U.S. Treasury obligations $ — $ 5,467 $ — $ — $ 5,467 MBS: GSEs – multifamily — 12,634 — — 12,634 PLRMBS — — 998 — 998 Subtotal AFS MBS — 12,634 998 — 13,632 Total AFS securities — 18,101 998 — 19,099 Advances (2) — 3,864 — — 3,864 Derivative assets, net: interest rate-related — 817 — (759) 58 Other assets 18 — — — 18 Total recurring fair value measurements – Assets $ 18 $ 22,782 $ 998 $ (759) $ 23,039 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 543 $ — $ — $ 543 Derivative liabilities, net: interest rate-related — 692 — (687) 5 Total recurring fair value measurements – Liabilities $ — $ 1,235 $ — $ (687) $ 548 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 1 $ — $ 1 Total nonrecurring fair value measurements – Assets $ — $ — $ 1 $ — $ 1 December 31, 2023 Fair Value Measurement Using: Netting Adjustments and Cash Collateral (1) (In millions) Level 1 Level 2 Level 3 Total Recurring fair value measurements – Assets: AFS securities: U.S. Treasury obligations $ — $ 4,534 $ — $ — $ 4,534 MBS: GSEs – multifamily — 12,421 — — 12,421 PLRMBS — — 1,059 — 1,059 Subtotal AFS MBS — 12,421 1,059 — 13,480 Total AFS securities — 16,955 1,059 — 18,014 Advances (2) — 1,898 — — 1,898 Derivative assets, net: interest rate-related — 831 — (815) 16 Other assets 17 — — — 17 Total recurring fair value measurements – Assets $ 17 $ 19,684 $ 1,059 $ (815) $ 19,945 Recurring fair value measurements – Liabilities: Consolidated obligation bonds (3) $ — $ 604 $ — $ — $ 604 Derivative liabilities, net: interest rate-related — 792 — (790) 2 Total recurring fair value measurements – Liabilities $ — $ 1,396 $ — $ (790) $ 606 Nonrecurring fair value measurements – Assets: (4) Impaired mortgage loans held for portfolio $ — $ — $ 22 $ — $ 22 Total nonrecurring fair value measurements – Assets $ — $ — $ 22 $ — $ 22 (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 June 30, 2024, and December 31, 2023. (3) Represents consolidated obligation bonds recorded under the fair value option at June 30, 2024, and December 31, 2023. (4) The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2024, and the year ended December 31, 2023. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation | The following table presents 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 six months ended June 30, 2024 and 2023. Three Months Ended (In millions) June 30, 2024 June 30, 2023 Balance, beginning of the period $ 1,028 $ 1,150 Total gain/(loss) realized and unrealized included in: Interest income 5 9 (Provision for)/reversal of credit losses (3) (1) Unrealized gain/(loss) included in AOCI (10) — Settlements (22) (41) Transfers of HTM securities to AFS securities — 2 Balance, end of the period $ 998 $ 1,119 Total amount of unrealized gain/(loss) for the period included in AOCI relating to instruments held at the end of the period $ (10) $ — Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period $ 2 $ 6 Six Months Ended (In millions) June 30, 2024 June 30, 2023 Balance, beginning of the period $ 1,059 $ 1,182 Total gain/(loss) realized and unrealized included in: Interest income 3 19 (Provision for)/reversal of credit losses 1 — Unrealized gain/(loss) included in AOCI (13) (11) Settlements (52) (73) Transfers of HTM securities to AFS securities — 2 Balance, end of the period $ 998 $ 1,119 Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period $ (13) $ (11) 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 $ 4 $ 18 |
Fair Value, Option, Quantitative Disclosures | The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under fair value option for the three and six months ended June 30, 2024 and 2023: Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Advances $ 6 $ (19) $ (6) $ (1) Consolidated obligation bonds (3) 3 (5) (14) Total $ 3 $ (16) $ (11) $ (15) 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 June 30, 2024, and December 31, 2023: June 30, 2024 December 31, 2023 (In millions) Principal Balance Fair Value Fair Value Principal Balance Fair Value Fair Value Advances (1) $ 3,866 $ 3,864 $ (2) $ 1,902 $ 1,898 $ (4) Consolidated obligation bonds 568 543 (25) 633 604 (29) (1) At June 30, 2024, and December 31, 2023, 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) | 6 Months Ended |
Jun. 30, 2024 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | Off-balance sheet commitments as of June 30, 2024, and December 31, 2023, were as follows: June 30, 2024 December 31, 2023 (In millions) Expire Within Expire After Total Total Standby letters of credit outstanding $ 10,002 $ 9,373 $ 19,375 $ 19,418 Commitments to issue consolidated obligation discount notes, par 2 — 2 — Commitments to issue consolidated obligation bonds, par 50 — 50 — |
Transactions with Certain Mem_2
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) | 6 Months Ended |
Jun. 30, 2024 | |
Related Party Transactions [Abstract] | |
Transactions with Certain Members and Nonmembers | (In millions) June 30, 2024 December 31, 2023 Assets: Advances $ 5,467 $ 5,762 Mortgage loans held for portfolio 72 74 Accrued interest receivable 6 5 Liabilities: Deposits $ 31 $ 34 Capital: Capital Stock $ 170 $ 191 Three Months Ended Six Months Ended (In millions) June 30, 2024 June 30, 2023 June 30, 2024 June 30, 2023 Interest Income: Advances $ 47 $ 75 $ 96 $ 144 Mortgage loans held for portfolio — 1 1 1 All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of June 30, 2024, and December 31, 2023, 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 16 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2023 Form 10-K. |
Basis of Presentation and Sig_3
Basis of Presentation and Significant Accounting Policies (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | |
Accounting Policies [Abstract] | |||
Termination of long-term funding arrangement | $ 0 | $ 0 | $ 30 |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Investments [Line Items] | ||||||||
Available-for-sale Securities, Premiums | $ 55 | $ 55 | $ 58 | |||||
Available for sale Securities Discounts | (184) | (184) | (191) | |||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 28 | $ 28 | $ 28 | $ 28 | $ 26 | 31 | $ 28 | $ 30 |
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated Single-A Or Above | 4% | 4% | ||||||
Provision for/(reversal of) credit losses | $ 3 | 1 | $ (1) | 0 | ||||
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology | 5 | $ 8 | 3 | 19 | ||||
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities | $ 2 | |||||||
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities | 0 | |||||||
Interest-bearing deposits | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Accrued Interest, after Allowance for Credit Loss | 18 | 18 | 16 | |||||
Fed Funds Sold | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Accrued Interest, after Allowance for Credit Loss | 1 | 1 | 2 | |||||
Securities borrowed or purchased under agreements to resell | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Accrued Interest, after Allowance for Credit Loss | 2 | 2 | ||||||
Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Held-to-maturity Securities, Premiums | 2 | 2 | 2 | |||||
Held-to-maturity Securities, Discounts | (2) | (2) | (3) | |||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | 28 | 28 | 31 | |||||
Available-for-sale Securities | Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Credit-related OTTI | 303 | 303 | 312 | |||||
Available-for-sale Securities | Other Than Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 0 | $ 0 | $ 0 |
Investments AFS Securities by M
Investments AFS Securities by Major Type (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Debt Securities, Available-for-sale [Line Items] | |||||||
Amortized cost of AFS | [1] | $ 19,059 | $ 18,105 | ||||
Allowance for Credit Losses | (28) | $ (26) | (31) | $ (28) | $ (28) | $ (30) | |
Gross Unrealized Gains | 104 | 43 | |||||
Gross Unrealized Losses | (36) | (103) | |||||
Fair Value of AFS Securities | [2] | 19,099 | 18,014 | ||||
Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | $ 76 | 68 | |||||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Interest Receivable | ||||||
US Treasury Notes | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Amortized cost of AFS | $ 5,462 | 4,530 | |||||
Allowance for Credit Losses | 0 | 0 | |||||
Gross Unrealized Gains | 5 | 4 | |||||
Gross Unrealized Losses | 0 | 0 | |||||
Fair Value of AFS Securities | 5,467 | 4,534 | |||||
PLRMBS | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Amortized cost of AFS | 1,026 | 1,075 | |||||
Allowance for Credit Losses | (28) | (31) | |||||
Gross Unrealized Gains | 29 | 35 | |||||
Gross Unrealized Losses | (29) | (20) | |||||
Fair Value of AFS Securities | 998 | 1,059 | |||||
Mortgage Backed Securities | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Amortized cost of AFS | [1] | 13,597 | 13,575 | ||||
Allowance for Credit Losses | (28) | (31) | |||||
Gross Unrealized Gains | 99 | 39 | |||||
Gross Unrealized Losses | (36) | (103) | |||||
Fair Value of AFS Securities | 13,632 | 13,480 | |||||
Multifamily | MBS - GSEs | |||||||
Debt Securities, Available-for-sale [Line Items] | |||||||
Amortized cost of AFS | 12,571 | 12,500 | |||||
Allowance for Credit Losses | 0 | 0 | |||||
Gross Unrealized Gains | 70 | 4 | |||||
Gross Unrealized Losses | (7) | (83) | |||||
Fair Value of AFS Securities | $ 12,634 | $ 12,421 | |||||
[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 |
Investments Summary of AFS Secu
Investments Summary of AFS Securities with Unrealized Losses (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 1,702 | $ 7,547 |
Less Than 12 Months: Unrealized Losses | 6 | 46 |
12 Months or More: Estimated Fair Value | 1,764 | 3,808 |
12 Months or More: Unrealized Losses | 30 | 57 |
Unrealized Loss Position, Total Fair Value | 3,466 | 11,355 |
Unrealized Loss Position, Total Accumulated Loss | 36 | 103 |
US Treasury Notes | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 839 | |
Less Than 12 Months: Unrealized Losses | 0 | |
12 Months or More: Estimated Fair Value | 0 | |
12 Months or More: Unrealized Losses | 0 | |
Unrealized Loss Position, Total Fair Value | 839 | |
Unrealized Loss Position, Total Accumulated Loss | 0 | |
Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 115 | 30 |
Less Than 12 Months: Unrealized Losses | 5 | 1 |
12 Months or More: Estimated Fair Value | 263 | 283 |
12 Months or More: Unrealized Losses | 24 | 19 |
Unrealized Loss Position, Total Fair Value | 378 | 313 |
Unrealized Loss Position, Total Accumulated Loss | 29 | 20 |
Multifamily | MBS - GSEs | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 748 | |
Less Than 12 Months: Unrealized Losses | 1 | |
12 Months or More: Estimated Fair Value | 1,501 | |
12 Months or More: Unrealized Losses | 6 | |
Unrealized Loss Position, Total Fair Value | 2,249 | |
Unrealized Loss Position, Total Accumulated Loss | $ 7 | |
Multifamily | MBS - GSEs | Fannie Mae | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 7,517 | |
Less Than 12 Months: Unrealized Losses | 45 | |
12 Months or More: Estimated Fair Value | 3,525 | |
12 Months or More: Unrealized Losses | 38 | |
Unrealized Loss Position, Total Fair Value | 11,042 | |
Unrealized Loss Position, Total Accumulated Loss | $ 83 |
Investments AFS by Contractual
Investments AFS by Contractual Maturity and Prepayment Fees (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost of AFS | [1] | $ 19,059 | $ 18,105 |
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | [2] | 19,099 | 18,014 |
Other Than Mortgage Backed Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in 1 year or less - Amortized cost | 1,943 | 145 | |
Due in 1 year or less - Fair value | 1,945 | 145 | |
Due after 1 year through 5 years - Amortized cost | 3,519 | 4,385 | |
Due after 1 year through 5 years - Fair value | 3,522 | 4,389 | |
Amortized cost of AFS | 5,462 | 4,530 | |
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | 5,467 | 4,534 | |
Mortgage Backed Securities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized cost of AFS | [1] | 13,597 | 13,575 |
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | $ 13,632 | $ 13,480 | |
[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 |
Investments Classification of H
Investments Classification of Held-to-Maturity Securities (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity (HTM) securities (fair values of $1,630 and $1,818, respectively) | [1] | $ 1,655 | $ 1,847 |
Gross Unrecognized Holding Gain | [2] | 2 | 1 |
Gross Unrecognized Holding Loss | [2] | (27) | (30) |
Fair value of held-to-maturity securities | 1,630 | 1,818 | |
HTM accrued interest, after allowance for credit loss | 6 | ||
Other US Obligations | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity (HTM) securities (fair values of $1,630 and $1,818, respectively) | 39 | 49 | |
Gross Unrecognized Holding Gain | 0 | 0 | |
Gross Unrecognized Holding Loss | (1) | (1) | |
Fair value of held-to-maturity securities | 38 | 48 | |
MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity (HTM) securities (fair values of $1,630 and $1,818, respectively) | [1] | 1,504 | 1,674 |
Gross Unrecognized Holding Gain | [2] | 2 | 1 |
Gross Unrecognized Holding Loss | [2] | (19) | (21) |
Fair value of held-to-maturity securities | 1,487 | 1,654 | |
PLRMBS | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity (HTM) securities (fair values of $1,630 and $1,818, respectively) | [1] | 112 | 124 |
Gross Unrecognized Holding Gain | [2] | 0 | 0 |
Gross Unrecognized Holding Loss | [2] | (7) | (8) |
Fair value of held-to-maturity securities | 105 | 116 | |
Single Family [Member] | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity (HTM) securities (fair values of $1,630 and $1,818, respectively) | [1] | 550 | 605 |
Gross Unrecognized Holding Gain | [2] | 2 | 1 |
Gross Unrecognized Holding Loss | [2] | (16) | (16) |
Fair value of held-to-maturity securities | 536 | 590 | |
Multifamily | MBS - GSEs | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity (HTM) securities (fair values of $1,630 and $1,818, respectively) | [1] | 954 | 1,069 |
Gross Unrecognized Holding Gain | [2] | 0 | 0 |
Gross Unrecognized Holding Loss | [2] | (3) | (5) |
Fair value of held-to-maturity securities | $ 951 | $ 1,064 | |
[1]Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million at June 30, 2024, and December 31, 2023.[2]Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value |
Investments Allowance for Credi
Investments Allowance for Credit Losses (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Allowance for Credit Loss [Abstract] | ||||||||
(Charge-offs)/recoveries | $ (1) | $ (1) | $ (2) | $ (2) | ||||
Provision for/(reversal of) credit losses | 3 | 1 | (1) | 0 | ||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 28 | $ 28 | $ 28 | $ 28 | $ 26 | $ 31 | $ 28 | $ 30 |
Investments Significant Inputs
Investments Significant Inputs on PLRMBS (Details) | 6 Months Ended |
Jun. 30, 2024 | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 10% |
Default Rate Weighted Average | 7.30% |
Loss Severity Weighted Average | 51.10% |
Credit Enhancements Weighted Average | 8.50% |
Investments with previous credi
Investments with previous credit losses rollforward (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Investments, Debt and Equity Securities [Abstract] | ||||
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology | $ 5 | $ 8 | $ 3 | $ 19 |
Transfers from HTM to AFS (Deta
Transfers from HTM to AFS (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended |
Jun. 30, 2024 | Jun. 30, 2023 | |
Investments, Debt and Equity Securities [Abstract] | ||
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities | $ 0 | |
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities | $ 2 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Feb. 29, 2024 | Dec. 31, 2023 | May 01, 2023 |
Advances [Line Items] | ||||
Advances with Full prepayment Symmetry Outstanding | $ 36,300 | $ 39,800 | ||
Advances With Partial Prepayment Symmetry Outstanding | 182 | 209 | ||
Advances, Par Value | 55,194 | 61,710 | ||
Advances | 54,735 | 61,335 | ||
First Republic Bank | JPMorgan Chase | ||||
Advances [Line Items] | ||||
Advances | $ 28,100 | |||
Luther Burbank Savings | Washington Federal Bank | ||||
Advances [Line Items] | ||||
Advances | $ 1,200 | |||
Federal Home Loan Bank Advances | ||||
Advances [Line Items] | ||||
Accrued Interest Receivable | 86 | 85 | ||
Advances, Callable Option | ||||
Advances [Line Items] | ||||
Advances, Par Value | 1,000 | 3,300 | ||
Advances, Putable Option | ||||
Advances [Line Items] | ||||
Advances, Par Value | $ 3,400 | $ 1,400 |
Advances (Redemption Terms) (De
Advances (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Federal Home Loan Bank, Advances [Line Items] | |||
Advances (includes $3,864 and $1,898 at fair value under the fair value option, respectively) | $ 54,735 | $ 61,335 | |
Federal Home Loan Bank Advances, Maturities [Abstract] | |||
Overdrawn demand and overnight deposit accounts | 0 | 2 | |
Within 1 year(2) | 34,303 | 35,241 | |
After 1 year through 2 years | 8,044 | 12,532 | |
After 2 years through 3 years | 5,906 | 6,437 | |
After 3 years through 4 years | 3,280 | 2,548 | |
After 4 years through 5 years | 1,623 | 3,660 | |
After 5 years | 2,038 | 1,290 | |
Total par value | 55,194 | 61,710 | |
Valuation adjustments for hedging activities | (457) | (371) | |
Valuation adjustments under fair value option | [1] | (2) | (4) |
Total | $ 54,735 | $ 61,335 | |
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | |||
Overdrawn Demand Deposit | 5.15% | 5.15% | |
Within 1 year | 4.62% | 4.87% | |
After 1 year through 2 years | 4.06% | 3.88% | |
After 2 years through 3 years | 3.59% | 3.23% | |
After 3 years through 4 years | 3.98% | 3.62% | |
After 4 years through 5 years | 4.32% | 4.07% | |
After 5 years | 3.75% | 3.71% | |
Total par value | 4.35% | 4.38% | |
Advances | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Advances Outstanding, Redemption Terms Within Three Months | $ 13,700 | $ 16,800 | |
Federal Home Loan Bank Advances | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Accrued Interest Receivable | $ 86 | $ 85 | |
[1]At June 30, 2024, and December 31, 2023, 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 | Jun. 30, 2024 | Dec. 31, 2023 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 0 | $ 2 |
Within 1 year | 34,623 | 35,561 |
After 1 year through 2 years | 8,044 | 12,542 |
After 2 years through 3 years | 5,916 | 6,437 |
After 3 years through 4 years | 3,280 | 2,558 |
After 4 years through 5 years | 1,613 | 3,660 |
After 5 years | 1,718 | 950 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Within 1 year | 37,550 | 36,115 |
After 1 year through 2 years | 7,432 | 13,000 |
After 2 years through 3 years | 5,156 | 6,149 |
After 3 years through 4 years | 2,983 | 2,551 |
After 4 years through 5 years | 1,193 | 2,917 |
After 5 years | 880 | 976 |
Total par value | $ 55,194 | $ 61,710 |
Advances (Credit and Concentrat
Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Advances [Line Items] | |||||
Advances Outstanding | $ 55,194 | $ 55,194 | $ 61,710 | ||
JPMorgan Chase | |||||
Advances [Line Items] | |||||
Interest Income from Advances | $ 288 | ||||
Western Alliance Bank | |||||
Advances [Line Items] | |||||
Interest Income from Advances | 105 | ||||
First Technology Federal Credit Union | |||||
Advances [Line Items] | |||||
Interest Income from Advances | 37 | ||||
U.S. Bank, National Association | |||||
Advances [Line Items] | |||||
Interest Income from Advances | 93 | ||||
City National Bank | |||||
Advances [Line Items] | |||||
Interest Income from Advances | 107 | ||||
Total Members | |||||
Advances [Line Items] | |||||
Advances Outstanding | 55,194 | 71,431 | 55,194 | $ 71,431 | |
Interest Income from Advances | $ 582 | $ 1,007 | $ 1,182 | $ 1,978 | |
Total Members | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 100% | 100% | |||
Total Members | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 100% | 100% | 100% | 100% | |
Top ten borrowers | JPMorgan Chase | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 17,717 | $ 27,535 | $ 17,717 | $ 27,535 | |
Interest Income from Advances | $ 203 | $ 441 | $ 465 | ||
Top ten borrowers | JPMorgan Chase | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 32% | 39% | |||
Top ten borrowers | JPMorgan Chase | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 35% | 29% | 37% | 24% | |
Top ten borrowers | Western Alliance Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 5,100 | $ 4,900 | $ 5,100 | $ 4,900 | |
Interest Income from Advances | $ 52 | $ 96 | $ 132 | ||
Top ten borrowers | Western Alliance Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 9% | 7% | |||
Top ten borrowers | Western Alliance Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 9% | 10% | 8% | 7% | |
Top ten borrowers | East West Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 3,500 | $ 3,500 | |||
Interest Income from Advances | $ 49 | $ 57 | |||
Top ten borrowers | East West Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 6% | ||||
Top ten borrowers | East West Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 8% | 5% | |||
Top ten borrowers | First Technology Federal Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 2,714 | $ 4,050 | $ 2,714 | $ 4,050 | |
Interest Income from Advances | $ 19 | $ 34 | $ 75 | ||
Top ten borrowers | First Technology Federal Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 5% | 6% | |||
Top ten borrowers | First Technology Federal Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3% | 4% | 3% | 4% | |
Top ten borrowers | U.S. Bank, National Association | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 2,050 | $ 2,050 | $ 2,050 | $ 2,050 | |
Interest Income from Advances | $ 12 | $ 23 | $ 130 | ||
Top ten borrowers | U.S. Bank, National Association | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 4% | 3% | |||
Top ten borrowers | U.S. Bank, National Association | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | 9% | 2% | 7% | |
Top ten borrowers | SchoolsFirst Federal Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,798 | $ 1,798 | 1,023 | ||
Interest Income from Advances | $ 19 | $ 9 | $ 39 | $ 17 | |
Top ten borrowers | SchoolsFirst Federal Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3% | 1% | |||
Top ten borrowers | SchoolsFirst Federal Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3% | 1% | 3% | 1% | |
Top ten borrowers | Bank of America California, National Association | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,450 | $ 1,450 | |||
Interest Income from Advances | $ 20 | $ 40 | |||
Top ten borrowers | Bank of America California, National Association | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3% | ||||
Top ten borrowers | Bank of America California, National Association | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3% | 3% | |||
Top ten borrowers | First Foundation Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,400 | $ 1,400 | |||
Interest Income from Advances | $ 11 | $ 24 | |||
Top ten borrowers | First Foundation Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3% | ||||
Top ten borrowers | First Foundation Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | 2% | |||
Top ten borrowers | Kinecta Federal Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,271 | $ 1,271 | |||
Interest Income from Advances | $ 13 | $ 21 | |||
Top ten borrowers | Kinecta Federal Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | ||||
Top ten borrowers | Kinecta Federal Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | 2% | |||
Top ten borrowers | Wescom Central Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,029 | $ 1,029 | |||
Interest Income from Advances | $ 12 | $ 23 | |||
Top ten borrowers | Wescom Central Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | ||||
Top ten borrowers | Wescom Central Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | 2% | |||
Top ten borrowers | City National Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 8,000 | $ 8,000 | |||
Interest Income from Advances | $ 222 | ||||
Top ten borrowers | City National Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 11% | ||||
Top ten borrowers | City National Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 11% | 11% | |||
Top ten borrowers | Luther Burbank Savings | |||||
Advances [Line Items] | |||||
Advances Outstanding | 1,577 | ||||
Interest Income from Advances | $ 14 | $ 23 | |||
Top ten borrowers | Luther Burbank Savings | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | ||||
Top ten borrowers | Luther Burbank Savings | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 1% | 1% | |||
Top ten borrowers | Bank of the West | |||||
Advances [Line Items] | |||||
Advances Outstanding | 1,300 | ||||
Interest Income from Advances | $ 34 | $ 100 | |||
Top ten borrowers | Bank of the West | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | ||||
Top ten borrowers | Bank of the West | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3% | 5% | |||
Top ten borrowers | Wells Fargo National Bank West | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,000 | $ 1,000 | |||
Interest Income from Advances | $ 25 | $ 49 | |||
Top ten borrowers | Wells Fargo National Bank West | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 1% | ||||
Top ten borrowers | Wells Fargo National Bank West | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2% | 2% | |||
Top ten borrowers | Logix Federal Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 930 | ||||
Interest Income from Advances | $ 12 | $ 23 | |||
Top ten borrowers | Logix Federal Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 1% | ||||
Top ten borrowers | Logix Federal Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 1% | 1% | |||
Top ten borrowers | Subtotal Members | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 38,029 | $ 52,365 | $ 38,029 | $ 52,365 | |
Interest Income from Advances | $ 410 | $ 724 | $ 798 | $ 1,236 | |
Top ten borrowers | Subtotal Members | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 69% | 73% | |||
Top ten borrowers | Subtotal Members | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 69% | 71% | 67% | 63% | |
Other Borrowers | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 17,165 | $ 19,066 | $ 17,165 | $ 19,066 | |
Interest Income from Advances | $ 172 | $ 283 | $ 384 | $ 742 | |
Other Borrowers | Other Borrowers | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 31% | 27% | |||
Other Borrowers | Other Borrowers | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 31% | 29% | 33% | 37% |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed Rate, due within 1 year | $ 23,276 | $ 23,866 |
Fixed Rate, due after 1 year | 19,886 | 26,467 |
Advances, Total Fixed Rate | 43,162 | 50,333 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Adjustable Rate, due within 1 year | 11,027 | 11,377 |
Adjustable Rate, due after 1 year | 1,005 | 0 |
Advances, Total Fixed Rate | 12,032 | 11,377 |
Total par value | $ 55,194 | $ 61,710 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Fixed rate medium-term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | $ 11 | $ 12 |
Fixed Rate Long Term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | 677 | 704 |
Residential Portfolio Segment | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | 688 | 716 |
Unamortized premiums | 38 | 41 |
Unamortized discounts | (1) | (2) |
Mortgage Loans Held For Portfolio | 725 | 755 |
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | 1 | 1 |
Total mortgage loans held for portfolio, net | 724 | 754 |
Accrued Interest Receivable | 5 | $ 5 |
Conventional Mortgage Loan | Residential Portfolio Segment | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 1 |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio Delinquency Statistics (Details) - Conventional Mortgage Loan - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | $ 725 | $ 755 |
In process of foreclosure, included above | 2 | 2 |
Financing Receivable, Nonaccrual | $ 17 | $ 16 |
Serious delinquencies as a percentage of total mortgage loans outstanding | 2.39% | 2.17% |
Mortgage loans on nonaccrual status, with no allowance | $ 5 | |
30 to 59 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | 3 | $ 5 |
60 to 89 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | 2 | 4 |
Equal to or Greater than 90 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | 17 | 16 |
Financial Asset, Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | 22 | 25 |
Financial Asset, Not Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Total Amortized Cost | $ 703 | $ 730 |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio Allowance (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Loans and Leases Receivable Disclosure [Line Items] | ||
Housing price forecast appreciation over one year horizon | 1.50% | 1.30% |
Housing price forecast appreciation over five-years plus horizon | 4% | 4% |
Residential Portfolio Segment | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 1 | $ 1 |
Residential Portfolio Segment | Conventional Mortgage Loan | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 1 |
Deposits (Details)
Deposits (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Deposits [Line Items] | ||
Noninterest-bearing Deposits | $ 7 | $ 5 |
Deposits | 754 | 962 |
Interest-bearing deposits | Adjustable rate | ||
Deposits [Line Items] | ||
Interest-bearing Deposits | $ 747 | $ 957 |
Consolidated Obligations (Redem
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Debt Instrument [Line Items] | ||
Total par value | $ 55,544 | $ 64,977 |
Total CO Bonds | $ 54,925 | $ 64,297 |
Weighted Average Interest Rate [Abstract] | ||
Within 1 year | 4.78% | 4.84% |
After 1 year through 2 years | 3.64% | 4.70% |
After 2 years through 3 years | 2.03% | 1.34% |
After 3 years through 4 years | 3.36% | 1.75% |
After 4 years through 5 years | 4.26% | 2.98% |
After 5 years | 2.67% | 2.35% |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Within 1 year | $ 37,497 | $ 42,821 |
After 1 year through 2 years | 10,068 | 13,105 |
After 2 years through 3 years | 4,136 | 5,938 |
After 3 years through 4 years | 1,546 | 1,345 |
After 4 years through 5 years | 1,496 | 942 |
After 5 years | 801 | 826 |
Unamortized discounts | (2) | (6) |
Valuation adjustments for hedging activities | (592) | (645) |
Fair value option valuation adjustments | $ (25) | $ (29) |
Weighted Average Interest Rate [Abstract] | ||
Total par amount | 4.29% | 4.37% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 55,544 | $ 64,977 |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 55,544 | 64,977 |
Consolidated obligation bonds | Non-callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 37,146 | 38,945 |
Consolidated obligation bonds | Callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 18,398 | $ 26,032 |
Consolidated Obligations (Con_2
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 55,544 | $ 64,977 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Within 1 year | 47,817 | 55,291 |
After 1 year through 2 years | 6,636 | 9,160 |
After 2 years through 3 years | 943 | 378 |
After 3 years through 4 years | 111 | 100 |
After 4 years through 5 years | 1 | 12 |
After 5 years | $ 36 | $ 36 |
Consolidated Obligations (Con_3
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Short-term Debt [Line Items] | |||
Discount notes, par value | $ 22,481 | $ 19,321 | |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 5.22% | 5.23% |
Total | $ 22,316 | $ 19,187 | |
Discount notes | |||
Short-term Debt [Line Items] | |||
Unamortized discounts | $ (165) | $ (134) | |
[1] Represents yield to maturity excluding concession fees. |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 55,544 | $ 64,977 |
Discount notes, par value | 22,481 | 19,321 |
Fixed Interest Rate | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 25,186 | 37,464 |
Adjustable Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 29,790 | 26,880 |
Step-up Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 568 | $ 633 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | $ 6,901 | $ 6,763 | $ 6,901 | $ 6,763 | $ 6,780 | $ 6,668 | $ 8,072 | $ 7,723 |
Accumulated Defined Benefit Plans Adjustment | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (11) | (15) | (11) | (15) | (11) | (11) | (15) | (15) |
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 0 | 0 | 0 | 0 | ||||
Accumulated Other Comprehensive Income/(Loss) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 56 | (19) | 56 | (19) | 27 | (72) | (61) | (29) |
Net change in fair value | 29 | 42 | 128 | 10 | ||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | 29 | 42 | 128 | 10 | ||||
Available-for-sale Securities | AOCI Unrealized gain/loss, Available-for-sale | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | 67 | (4) | 67 | (4) | $ 38 | $ (61) | $ (46) | $ (14) |
AFS Unrealized Gain/(Loss) on AFS Securities | 29 | 42 | 128 | 10 | ||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | $ 29 | $ 42 | $ 128 | $ 10 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Banking Regulation, Total Capital [Abstract] | ||
Risk-Based Capital, Required | $ 1,120 | $ 1,210 |
Risk-Based Capital, Actual | 7,410 | 7,446 |
Regulatory Capital, Required | 3,453 | 3,713 |
Regulatory Capital, Actual | $ 7,410 | $ 7,446 |
Regulatory Capital Ratio, Required | 4% | 4% |
Regulatory Capital Ratio, Actual | 8.58% | 8.02% |
Leverage Capital, Required | $ 4,317 | $ 4,641 |
Leverage Capital, Actual | $ 11,115 | $ 11,169 |
Leverage ratio - Required | 5% | 5% |
Leverage Ratio, Actual | 12.88% | 12.03% |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 USD ($) Institutions | Jun. 30, 2023 USD ($) | Jun. 30, 2024 USD ($) Institutions | Jun. 30, 2023 USD ($) | Dec. 31, 2023 Institutions | |
Capital [Line Items] | |||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 7 | 7 | 6 | ||
Interest Expense on Mandatorily Redeemable Capital Stock | $ 28 | $ 2 | $ 44 | $ 2 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | |||||
Balance at the beginning of the period | 666 | 95 | 706 | 5 | |
Reclassified from/(to) capital during the period | 0 | 1,056 | 36 | 1,251 | |
Repurchase/redemption of mandatorily redeemable capital stock | (101) | (308) | (177) | (413) | |
Balance at the end of the period | $ 565 | $ 843 | $ 565 | $ 843 |
Capital (By Redemption Period)
Capital (By Redemption Period) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||||
Year 2 | $ 1 | $ 0 | ||||
Year 3 | 3 | 1 | ||||
Year 4 | 536 | 2 | ||||
Year 5 | 24 | 702 | ||||
Past contractual redemption date because of remaining activity | 1 | 1 | ||||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount, Total | $ 565 | $ 666 | $ 706 | $ 843 | $ 95 | $ 5 |
Capital (Retained Earnings and
Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||||||||||
Aug. 13, 2024 | Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Jul. 25, 2024 | Mar. 31, 2024 | Jan. 31, 2024 | Dec. 31, 2023 | Jul. 31, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | |
Capital [Line Items] | ||||||||||||
Retained Earnings, Set by the Board inc JCEA | $ 1,600 | $ 2,600 | ||||||||||
JCE Agreement Amounts in excess of 150% of Restricted Retained Earnings Minimum May Be Releasted | 150% | 150% | ||||||||||
Excess Capital | $ 98 | $ 98 | $ 118 | |||||||||
Excess Capital to Assets | 0.11% | 0.11% | 0.13% | |||||||||
Dividends [Abstract] | ||||||||||||
Interest Expense on Mandatorily Redeemable Capital Stock | $ 28 | $ 2 | $ 44 | $ 2 | ||||||||
Retained Earnings [Abstract] | ||||||||||||
Total Capital | 6,901 | 6,763 | 6,901 | 6,763 | $ 6,780 | $ 6,668 | $ 8,072 | $ 7,723 | ||||
Subsequent Events [Abstract] | ||||||||||||
Dividends, Common Stock, Cash | $ 51 | 65 | $ 104 | 128 | ||||||||
Subsequent Event | ||||||||||||
Subsequent Events [Abstract] | ||||||||||||
Dividends, Cash Declared, Annualized Rate | 8.75% | |||||||||||
Interest and Dividends Payable, Current | $ 65 | |||||||||||
Dividends Payable, Date to be Paid | Aug. 13, 2024 | |||||||||||
Minimum | ||||||||||||
Capital [Line Items] | ||||||||||||
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent | 1% | 1% | ||||||||||
Unrestricted Retained Earnings | ||||||||||||
Retained Earnings [Abstract] | ||||||||||||
Total Capital | $ 3,581 | 3,387 | $ 3,581 | 3,387 | 3,546 | 3,475 | 3,356 | 3,262 | ||||
Subsequent Events [Abstract] | ||||||||||||
Dividends, Common Stock, Cash | 51 | 65 | 104 | 128 | ||||||||
Total Restricted Retained Earnings | ||||||||||||
Retained Earnings [Abstract] | ||||||||||||
Total Capital | $ 815 | $ 795 | $ 815 | $ 795 | $ 815 | $ 815 | $ 770 | $ 732 |
Capital (Excess Capital Stock)
Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Banking Regulation, Total Capital [Abstract] | ||
Common stock, par value | $ 100 | |
Excess Capital | $ 98 | $ 118 |
Capital (Concentration) (Detail
Capital (Concentration) (Details) - USD ($) $ in Millions | 6 Months Ended | 12 Months Ended | |
Jun. 30, 2024 | Dec. 31, 2023 | May 01, 2023 | |
JPMorgan Chase | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 478 | $ 643 | |
First Republic Bank | JPMorgan Chase | |||
Concentration Risk [Line Items] | |||
Capital Stock Outstanding | $ 759 | ||
Total Capital Stock, 10% or more | JPMorgan Chase | JPMorgan Chase | |||
Concentration Risk [Line Items] | |||
Percentage of Total Capital Stock Outstanding | 16% | 20% |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Jun. 30, 2024 USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
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) | $ 329 |
Collateral Already Posted, Aggregate Fair Value | 327 |
Derivatives, Additional Net Credit Exposure | $ 563 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | $ 104,170 | $ 117,437 | |
Derivative Assets | 817 | 831 | |
Netting adjustments and cash collateral | [1] | (759) | (815) |
Total Derivative Assets and Derivative Liabilities | 58 | 16 | |
Derivative Liabilities | 692 | 792 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (687) | (790) |
Derivative liabilities, net | 5 | 2 | |
Cash collateral posted, including accrued interest | 354 | 353 | |
Cash collateral received, including accrued interest | 426 | 378 | |
Designated as Hedging Instrument | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 90,629 | 90,088 | |
Derivative Assets | 783 | 795 | |
Derivative Liabilities | 618 | 705 | |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Derivatives, Notional Amount | 13,541 | 27,349 | |
Derivative Assets | 34 | 36 | |
Derivative Liabilities | $ 74 | $ 87 | |
[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 $354 million and $353 million at June 30, 2024, and December 31, 2023, respectively. Cash collateral received, including accrued interest, was $426 million and $378 million at June 30, 2024, and December 31, 2023, respectively. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Advances | $ 731 | $ 1,154 | $ 1,490 | $ 2,317 |
AFS securities | 292 | 209 | 575 | 399 |
Bonds | (786) | (1,125) | (1,636) | (2,045) |
Discount notes | (218) | (397) | (411) | (832) |
Net gain/(loss) on derivatives | 3 | 13 | 18 | (21) |
Advances | Interest Income | Interest Rate Contract | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 93 | 548 | 404 | 247 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 55 | (404) | (98) | (223) |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | 148 | 144 | 306 | 24 |
Available-for-sale Securities | Interest Income | Interest Rate Contract | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 134 | 356 | 532 | 207 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (32) | (284) | (326) | (77) |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | 102 | 72 | 206 | 130 |
Consolidated Obligations, Bonds | Interest Expense | Interest Rate Contract | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (59) | (288) | (220) | (204) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (75) | 141 | (53) | (73) |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | (134) | $ (147) | (273) | $ (277) |
Discount notes | Interest Expense | Interest Rate Contract | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (2) | (2) | ||
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 0 | 0 | ||
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | $ (2) | $ (2) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Cumulative adjustments table (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Hedged Liability, Statement of Financial Position [Extensible Enumeration] | Bonds (includes $543 and $604 at fair value under the fair value option, respectively) | Bonds (includes $543 and $604 at fair value under the fair value option, respectively) |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Hedged Asset, Statement of Financial Position [Extensible Enumeration] | Advances (includes $3,864 and $1,898 at fair value under the fair value option, respectively) | Advances (includes $3,864 and $1,898 at fair value under the fair value option, respectively) |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Hedged Asset, Statement of Financial Position [Extensible Enumeration] | Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | $ 33,393 | $ 38,338 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | (500) | (427) |
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 43 | 56 |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (457) | (371) |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | 18,034 | 17,029 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | (1,323) | (1,053) |
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 568 | 621 |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (755) | (432) |
Consolidated Obligations, Bonds | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Liability, Fair Value Hedge | (23,806) | (34,121) |
Basis Adjustment for Active Fair Value Hedged Liability Cumulative Increase Decrease | 592 | 645 |
Basis Adjustment for Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 0 | 0 |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | 592 | $ 645 |
Discount notes | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Liability, Fair Value Hedge | (15,607) | |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | 0 | |
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 0 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | $ 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 | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain/(loss) on derivatives | $ 3 | $ 13 | $ 18 | $ (21) |
Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (4) | 10 | ||
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 8 | 4 | ||
Total net gain/(loss) related to derivatives not designated as hedging instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 4 | 14 | 20 | (19) |
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 7 | (18) | ||
Not Designated as Hedging Instrument, Economic Hedge | Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 13 | (1) | ||
Not Designated as Hedging Instrument | Price Alignment Amount | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Price Alignment Amount | $ (2) | $ (2) | ||
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Price Alignment Amount | $ (1) | $ (1) |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | |
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | $ 817 | $ 831 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (759) | (815) | |
Total Derivative Assets and Derivative Liabilities | 58 | 16 | |
Derivative Liability, Fair Value, Gross Recognized Amount | 692 | 792 | |
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (687) | (790) |
Derivative Assets and Derivative Liabilities | 5 | 2 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 58 | 16 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 5 | 2 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 786 | 826 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (780) | (814) | |
Derivative Liability, Fair Value, Gross Recognized Amount | 688 | 778 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (683) | (776) | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 6 | 12 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | 5 | 2 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Derivative Asset, Fair Value, Gross Recognized Amount | 31 | 5 | |
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | 21 | (1) | |
Derivative Liability, Fair Value, Gross Recognized Amount | 4 | 14 | |
Netting Adjustments and Cash Collateral-Derivative Liability | (4) | (14) | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 52 | 4 | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 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 $354 million and $353 million at June 30, 2024, and December 31, 2023, respectively. Cash collateral received, including accrued interest, was $426 million and $378 million at June 30, 2024, and December 31, 2023, respectively. |
Fair Value (Carrying Value and
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Mar. 31, 2024 | Dec. 31, 2023 | Jun. 30, 2023 | Mar. 31, 2023 | Dec. 31, 2022 | ||
Assets | ||||||||
Cash and due from banks | $ 6 | $ 5 | ||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | [1] | 19,099 | 18,014 | |||||
HTM Securities, Fair Value | [2] | 1,655 | 1,847 | |||||
HTM securities, fair value | 1,630 | 1,818 | ||||||
Interest Receivable | 194 | 184 | ||||||
Derivative assets, net | 58 | 16 | ||||||
Derivative Assets | 817 | 831 | ||||||
Derivative Asset, Netting adjustments | [3] | 759 | 815 | |||||
Liabilities | ||||||||
Mandatorily redeemable capital stock | 565 | $ 666 | 706 | $ 843 | $ 95 | $ 5 | ||
Accrued interest payable | 407 | 520 | ||||||
Derivative liabilities, net | 5 | 2 | ||||||
Derivative Liabilities | 692 | 792 | ||||||
Derivative Liability, Netting adjustments | [3] | (687) | (790) | |||||
Carrying Value(1) | ||||||||
Assets | ||||||||
Cash and due from banks | 6 | 5 | ||||||
Interest-bearing deposits | 3,884 | 2,922 | ||||||
Securities purchased under agreements to resell | 3,300 | 3,650 | ||||||
Federal funds sold | 2,445 | 3,861 | ||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | 19,099 | 18,014 | ||||||
HTM securities, Carrying Value | (1,655) | |||||||
HTM Securities, Fair Value | 1,847 | |||||||
Advances | 54,735 | 61,335 | ||||||
Mortgage loans held for portfolio | 724 | 754 | ||||||
Interest Receivable | 194 | 184 | ||||||
Derivative assets, net | [4] | 58 | 16 | |||||
Other assets | [5] | 18 | 17 | |||||
Liabilities | ||||||||
Deposits | 754 | 962 | ||||||
Total consolidated obligations | 77,241 | 83,484 | ||||||
Mandatorily redeemable capital stock | 565 | 706 | ||||||
Accrued interest payable | 407 | 520 | ||||||
Derivative liabilities, net | [4] | 5 | 2 | |||||
Estimated Fair Value | ||||||||
Assets | ||||||||
Cash and due from banks | 6 | 5 | ||||||
Interest-bearing deposits | 3,884 | 2,922 | ||||||
Securities purchased under agreements to resell | 3,300 | 3,650 | ||||||
Federal funds sold | 2,445 | 3,861 | ||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | 19,099 | 18,014 | ||||||
HTM securities, fair value | 1,630 | 1,818 | ||||||
Advances | 54,643 | 61,216 | ||||||
Mortgage loans held for portfolio | 601 | 634 | ||||||
Interest Receivable | 194 | 184 | ||||||
Derivative assets, net | [4] | 58 | 16 | |||||
Other assets | [5] | 18 | 17 | |||||
Liabilities | ||||||||
Deposits | 754 | 962 | ||||||
Total consolidated obligations | 77,002 | 83,219 | ||||||
Mandatorily redeemable capital stock | 565 | 706 | ||||||
Accrued interest payable | 407 | 520 | ||||||
Derivative liabilities, net | [4] | 5 | 2 | |||||
Level 1 | ||||||||
Assets | ||||||||
Cash and due from banks | 6 | 5 | ||||||
Interest-bearing deposits | 3,884 | 2,922 | ||||||
Securities purchased under agreements to resell | 0 | 0 | ||||||
Federal funds sold | 0 | 0 | ||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | 0 | 0 | ||||||
HTM securities, fair value | 0 | 0 | ||||||
Advances | 0 | 0 | ||||||
Mortgage loans held for portfolio | 0 | 0 | ||||||
Interest Receivable | 0 | 0 | ||||||
Derivative Assets | 0 | 0 | [4] | |||||
Other assets | [5] | 18 | 17 | |||||
Liabilities | ||||||||
Deposits | 0 | 0 | ||||||
Total consolidated obligations | 0 | 0 | ||||||
Mandatorily redeemable capital stock | 565 | 706 | ||||||
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 | 3,300 | 3,650 | ||||||
Federal funds sold | 2,445 | 3,861 | ||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | 18,101 | 16,955 | ||||||
HTM securities, fair value | 1,525 | 1,702 | ||||||
Advances | 54,643 | 61,216 | ||||||
Mortgage loans held for portfolio | 601 | 634 | ||||||
Interest Receivable | 194 | 184 | ||||||
Derivative Assets | [4] | 817 | 831 | |||||
Derivative Asset, Netting adjustments | [4] | (759) | (815) | |||||
Other assets | [5] | 0 | 0 | |||||
Liabilities | ||||||||
Deposits | 754 | 962 | ||||||
Total consolidated obligations | 77,002 | 83,219 | ||||||
Mandatorily redeemable capital stock | 0 | 0 | ||||||
Accrued interest payable | 407 | 520 | ||||||
Derivative Liabilities | [4] | 692 | 792 | |||||
Derivative Liability, Netting adjustments | [4] | (687) | (790) | |||||
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 | ||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $28 and $31, respectively (amortized cost of $19,059 and $18,105, respectively)(a) | 998 | 1,059 | ||||||
HTM securities, fair value | 105 | 116 | ||||||
Advances | 0 | 0 | ||||||
Mortgage loans held for portfolio | 0 | 0 | ||||||
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] | |||||
Discount notes | Carrying Value(1) | ||||||||
Liabilities | ||||||||
Discount notes | 22,316 | 19,187 | ||||||
Discount notes | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Discount notes | 22,310 | 19,182 | ||||||
Discount notes | Level 1 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Discount notes | Level 2 | ||||||||
Liabilities | ||||||||
Discount notes | 22,310 | 19,182 | ||||||
Discount notes | Level 3 | ||||||||
Liabilities | ||||||||
Discount notes | 0 | 0 | ||||||
Bonds | ||||||||
Liabilities | ||||||||
Bonds | 543 | 604 | ||||||
Bonds | Carrying Value(1) | ||||||||
Liabilities | ||||||||
Bonds | 54,925 | 64,297 | ||||||
Bonds | Estimated Fair Value | ||||||||
Liabilities | ||||||||
Bonds | 54,692 | 64,037 | ||||||
Bonds | Level 1 | ||||||||
Liabilities | ||||||||
Bonds | 0 | 0 | ||||||
Bonds | Level 2 | ||||||||
Liabilities | ||||||||
Bonds | 54,692 | 64,037 | ||||||
Bonds | Level 3 | ||||||||
Liabilities | ||||||||
Bonds | $ 0 | $ 0 | ||||||
[1]At June 30, 2024, and December 31, 2023, $563 million and $771 million, respectively, of these securities were pledged as collateral that may be repledged.[2]Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million at June 30, 2024, and December 31, 2023.[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 $354 million and $353 million at June 30, 2024, and December 31, 2023, respectively. Cash collateral received, including accrued interest, was $426 million and $378 million at June 30, 2024, and December 31, 2023, respectively.[4]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.[5]Represents publicly traded mutual funds held in a grantor trust. |
Fair Value (Fair Value Measured
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions | Jun. 30, 2024 | Dec. 31, 2023 | ||
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 | 5,467 | 4,534 | ||
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 | 5,467 | 4,534 | ||
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 | 12,634 | 12,421 | ||
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 | 998 | 1,059 | ||
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 | 13,632 | 13,480 | ||
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 | ||
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 | ||
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 | 998 | 1,059 | ||
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 | 998 | 1,059 | ||
Fair value of advances under the fair value option | [1] | 3,864 | 1,898 | |
Derivative Asset, Netting adjustments | [2] | 759 | 815 | |
Derivative assets, net | 58 | 16 | ||
Derivative Liability, Netting adjustments | [2] | (687) | (790) | |
Derivative liabilities, net | 5 | 2 | ||
Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other assets | [3] | 18 | 17 | |
Mortgage loans held for portfolio | 0 | 0 | ||
Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Asset, Netting adjustments | [4] | (759) | (815) | |
Other assets | [3] | 0 | 0 | |
Derivative Liability, Netting adjustments | [4] | (687) | (790) | |
Mortgage loans held for portfolio | 601 | 634 | ||
Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Other assets | [3] | 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 | [5] | 3,864 | 1,898 | |
Derivative Asset, Netting adjustments | [6] | (759) | (815) | |
Derivative Liability, Netting adjustments | [6] | (687) | (790) | |
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 | ||
Fair value of advances under the fair value option | [5] | 0 | 0 | |
Other assets | 18 | 17 | ||
Total fair value measurements – Assets | 18 | 17 | ||
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] | ||||
Fair Value of AFS Securities | 18,101 | 16,955 | ||
Fair value of advances under the fair value option | [5] | 3,864 | 1,898 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 22,782 | 19,684 | ||
Total recurring fair value measurements – Liabilities | 1,235 | 1,396 | ||
Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Fair Value of AFS Securities | 998 | 1,059 | ||
Fair value of advances under the fair value option | [5] | 0 | 0 | |
Other assets | 0 | 0 | ||
Total fair value measurements – Assets | 998 | 1,059 | ||
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 | [7] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | [7] | |
Fair Value, Measurements, Nonrecurring | Level 2 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [7] | 0 | 0 | |
Mortgage loans held for portfolio | 0 | 0 | [7] | |
Fair Value, Measurements, Nonrecurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total fair value measurements – Assets | [7] | 1 | 22 | |
Mortgage loans held for portfolio | [7] | 1 | 22 | |
Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 543 | 604 | ||
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 | 54,692 | 64,037 | ||
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 | [8] | 543 | 604 | |
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 1 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [8] | 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 | [8] | 543 | 604 | |
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 3 | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | [8] | 0 | 0 | |
Estimate of Fair Value Measurement | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets, net | [4] | 58 | 16 | |
Other assets | [3] | 18 | 17 | |
Derivative liabilities, net | [4] | 5 | 2 | |
Mortgage loans held for portfolio | 601 | 634 | ||
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 | 19,099 | 18,014 | ||
Other assets | 18 | 17 | ||
Total fair value measurements – Assets | 23,039 | 19,945 | ||
Total recurring fair value measurements – Liabilities | 548 | 606 | ||
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 | [7] | 1 | 22 | |
Mortgage loans held for portfolio | [7] | 1 | 22 | |
Estimate of Fair Value Measurement | Consolidated obligation bonds | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Bonds | 54,692 | 64,037 | ||
Interest rate swaps | Fair Value, Measurements, Recurring | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative Asset, Netting adjustments | [6] | (759) | (815) | |
Derivative Liability, Netting adjustments | [6] | (687) | (790) | |
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 | 817 | 831 | ||
Derivative liabilities, net | 692 | 792 | ||
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 | 58 | 16 | ||
Derivative liabilities, net | 5 | 2 | ||
Multifamily | 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 | ||
Multifamily | 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 | 12,634 | 12,421 | ||
Multifamily | 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 | ||
Multifamily | 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 | $ 12,634 | $ 12,421 | ||
[1]At June 30, 2024, and December 31, 2023, none of these advances were 90 days or more past due or had been placed on nonaccrual status.[2]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 $354 million and $353 million at June 30, 2024, and December 31, 2023, respectively. Cash collateral received, including accrued interest, was $426 million and $378 million at June 30, 2024, and December 31, 2023, respectively.[3]Represents publicly traded mutual funds held in a grantor trust.[4]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents or counterparty.[5] Represents advances recorded under the fair value option at June 30, 2024, and December 31, 2023. |
Fair Value (Level 3) (Details)
Fair Value (Level 3) (Details) - Subtotal PLRMBS - Fair Value, Measurements, Recurring - Level 3 - Available-for-sale Securities - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | ||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of the period | $ 1,028 | $ 1,150 | $ 1,059 | $ 1,182 |
Interest income | 5 | 9 | 3 | 19 |
(Provision for)/reversal of credit losses | (3) | (1) | 1 | 0 |
Unrealized gain/(loss) included in AOCI | (10) | 0 | (13) | (11) |
Settlements | (22) | (41) | (52) | (73) |
Transfers of HTM securities to AFS securities | 0 | 2 | 0 | 2 |
Balance, end of the period | 998 | 1,119 | 998 | 1,119 |
Total amount of unrealized gain/(loss) for the period included in AOCI relating to instruments held at the end of the period | (10) | 0 | (13) | (11) |
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period | $ 2 | $ 6 | $ 4 | $ 18 |
Fair Value (Fair Value Option)
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Balance, beginning of the period | [1] | $ 1,898 | |||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $ 3 | $ (16) | (11) | $ (15) | |
Balance, end of the period | [1] | 3,864 | 3,864 | ||
Advances | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | 6 | (19) | (6) | (1) | |
Consolidated obligation bonds | |||||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $ (3) | $ 3 | $ (5) | $ (14) | |
[1]At June 30, 2024, and December 31, 2023, 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 | Jun. 30, 2024 | Dec. 31, 2023 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value Option, Principal Balance, Advances | [1] | $ 3,866 | $ 1,902 |
Fair Value of advances under the fair value option | [1] | 3,864 | 1,898 |
Fair Value Over/(Under) Principal Balance, Advances | [1] | (2) | (4) |
Consolidated obligation bonds | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Fair Value Option, Principal Balance, CO Bonds | 568 | 633 | |
Fair value of bonds under the fair value option | 543 | 604 | |
Fair Value Over/(Under) Principal Balance, CO Bonds | $ (25) | $ (29) | |
[1]At June 30, 2024, and December 31, 2023, 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 | Jun. 30, 2024 | Dec. 31, 2023 |
Loss Contingencies [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 1,200,000 | $ 1,200,000 |
Other Liabilities | 316 | 353 |
Assets Pledged As Collateral | 917 | 1,100 |
Available-for-sale securities pledged as collateral that may be repledged | 563 | 771 |
Derivative, Collateral, Right to Reclaim Cash | 354 | 353 |
Standby letters of credit outstanding | Carrying Value(1) | ||
Loss Contingencies [Line Items] | ||
Other commitments | 55 | |
Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 10,002 | |
Expire After One Year | 9,373 | |
Total | 19,375 | 19,418 |
Other Liabilities | 57 | |
Commitments to issue consolidated obligation discount notes, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 2 | |
Expire After One Year | 0 | |
Total | 2 | 0 |
Commitments to issue consolidated obligation bonds, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 50 | |
Expire After One Year | 0 | |
Total | 50 | 0 |
Guarantee of Indebtedness of Others | ||
Loss Contingencies [Line Items] | ||
Total consolidated obligations, par value | $ 78,000 | $ 84,300 |
Transactions with Certain Mem_3
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions | 3 Months Ended | 6 Months Ended | |||
Jun. 30, 2024 | Jun. 30, 2023 | Jun. 30, 2024 | Jun. 30, 2023 | Dec. 31, 2023 | |
Related Party Transaction [Line Items] | |||||
Payments to Extend Overnight Loans to Other FHLBanks | $ 10 | $ 1,300 | |||
Proceeds from Other FHLBank Borrowings | 40 | 4,800 | |||
Assets: | |||||
Advances | $ 54,735 | 54,735 | $ 61,335 | ||
Mortgage loans held for portfolio | 724 | 724 | 754 | ||
Accrued interest receivable | 194 | 194 | 184 | ||
Liabilities: | |||||
Deposits | 754 | 754 | 962 | ||
Capital [Abstract] | |||||
Capital Stock | 2,449 | 2,449 | 2,450 | ||
Interest Income: | |||||
Advances | 731 | $ 1,154 | 1,490 | 2,317 | |
Mortgage loans held for portfolio | 5 | 5 | 11 | 12 | |
Transaction with Member Officer or Director | |||||
Assets: | |||||
Advances | 5,467 | 5,467 | 5,762 | ||
Mortgage loans held for portfolio | 72 | 72 | 74 | ||
Accrued interest receivable | 6 | 6 | 5 | ||
Liabilities: | |||||
Deposits | 31 | 31 | 34 | ||
Capital [Abstract] | |||||
Capital Stock | 170 | 170 | $ 191 | ||
Interest Income: | |||||
Advances | 47 | 75 | 96 | 144 | |
Mortgage loans held for portfolio | $ 0 | $ 1 | $ 1 | $ 1 |