| Fair Value Disclosures [Text Block] | Fair Value Disclosures The fair value amounts recorded on the Statements of Condition and presented in the related note disclosures have been determined by the FHLB using available market information and the FHLB's best judgment of appropriate valuation methods. 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). The fair values reflect the FHLB's judgment of how a market participant would estimate the fair values. Fair Value Hierarchy . GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. The inputs are evaluated and an overall level for the measurement is determined. This overall level is an indication of how market observable the fair value measurement is. An entity must disclose the level within the fair value hierarchy in which the measurements are classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - 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 - 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 Inputs - Unobservable inputs for the asset or liability. The FHLB 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 financial assets or liabilities. Such reclassifications would be reported as transfers in/out at fair value as of the beginning of the quarter in which the changes occur. The FHLB did not have any transfers of assets or liabilities between fair value levels during the years ended December 31, 2019 or 2018 . Table 19.1 presents the carrying value, fair value, and fair value hierarchy of financial assets and liabilities of the FHLB. The FHLB records trading securities, available-for-sale securities, derivative assets, derivative liabilities, certain Advances and certain Consolidated Obligations at fair value on a recurring basis, and on occasion, certain mortgage loans held for portfolio on a nonrecurring basis. The FHLB records all other financial assets and liabilities at amortized cost. Refer to Table 19.2 for further details about the financial assets and liabilities held at fair value on either a recurring or nonrecurring basis. Table 19.1 - Fair Value Summary (in thousands) December 31, 2019 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 20,608 $ 20,608 $ 20,608 $ — $ — $ — Interest-bearing deposits 550,160 550,160 — 550,160 — — Securities purchased under agreements to resell 2,348,584 2,348,607 — 2,348,607 — — Federal funds sold 4,833,000 4,833,000 — 4,833,000 — — Trading securities 11,615,693 11,615,693 — 11,615,693 — — Available-for-sale securities 1,542,185 1,542,185 — 1,542,185 — — Held-to-maturity securities 13,499,319 13,501,207 — 13,501,207 — — Advances (2) 47,369,573 47,458,028 — 47,458,028 — — Mortgage loans held for portfolio, net 11,235,353 11,437,180 — 11,424,857 12,323 — Accrued interest receivable 182,252 182,252 — 182,252 — — Derivative assets 267,165 267,165 — 32,195 — 234,970 Liabilities: Deposits 951,296 951,343 — 951,343 — — Consolidated Obligations: Discount Notes (3) 49,084,219 49,086,723 — 49,086,723 — — Bonds (4) 38,439,724 38,832,230 — 38,832,230 — — Mandatorily redeemable capital stock 21,669 21,669 21,669 — — — Accrued interest payable 126,091 126,091 — 126,091 — — Derivative liabilities 1,310 1,310 — 54,850 — (53,540 ) Other: Standby bond purchase agreements — 407 — 407 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $5,238 of Advances recorded under the fair value option at December 31, 2019 . (3) Includes (in thousands) $12,386,974 of Consolidated Obligation Discount Notes recorded under the fair value option at December 31, 2019 . (4) Includes (in thousands) $4,757,177 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2019 . December 31, 2018 Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Assets: Cash and due from banks $ 10,037 $ 10,037 $ 10,037 $ — $ — $ — Interest-bearing deposits 122 122 — 122 — — Securities purchased under agreements to resell 4,402,208 4,402,237 — 4,402,237 — — Federal funds sold 10,793,000 10,793,000 — 10,793,000 — — Trading securities 223,980 223,980 — 223,980 — — Available-for-sale securities 2,402,897 2,402,897 — 2,402,897 — — Held-to-maturity securities 15,791,222 15,575,368 — 15,575,368 — — Advances (2) 54,822,252 54,736,645 — 54,736,645 — — Mortgage loans held for portfolio, net 10,500,917 10,329,982 — 10,317,010 12,972 — Accrued interest receivable 169,982 169,982 — 169,982 — — Derivative assets 65,765 65,765 — 23,341 — 42,424 Liabilities: Deposits 669,016 668,947 — 668,947 — — Consolidated Obligations: Discount Notes 46,943,632 46,944,523 — 46,944,523 — — Bonds (3) 45,659,138 45,385,615 — 45,385,615 — — Mandatorily redeemable capital stock 23,184 23,184 23,184 — — — Accrued interest payable 147,337 147,337 — 147,337 — — Derivative liabilities 4,586 4,586 — 21,379 — (16,793 ) Other: Standby bond purchase agreements — 443 — 443 — — (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) Includes (in thousands) $10,008 of Advances recorded under the fair value option at December 31, 2018 . (3) Includes (in thousands) $3,906,610 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2018 . Summary of Valuation Methodologies and Primary Inputs . 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 Statement of Condition are listed below. The fair values and level within the fair value hierarchy of these assets and liabilities are reported in Table 19.2. Investment securities – MBS: To value MBS holdings, the FHLB incorporates prices from multiple designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. As many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the FHLB. The FHLB has conducted reviews of multiple pricing vendors to confirm and further augment its understanding of the vendors' pricing processes, methodologies and control procedures for specific instruments. The FHLB's valuation technique for estimating the fair values of MBS first requires the establishment of a “median” price for each security. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, non-binding dealer estimates, and/or use of an internal model that is deemed most appropriate) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. Alternatively, if the analysis confirms that an outlier is in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. Multiple prices were received for substantially all of the FHLB's MBS holdings and the final prices for those securities were computed by averaging the prices received. Based on the FHLB's review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices, the FHLB believes its final prices result in reasonable estimates of fair value and further that the fair value measurements are classified appropriately in the fair value hierarchy. Investment securities – Non-MBS: To determine the estimated fair values of non-MBS investment securities, the FHLB can use either (a) an income approach based on a market-observable interest rate curve that may be adjusted for a spread, or (b) prices received from third-party pricing vendors. For its U.S. Treasury obligations, the FHLB determines the fair value using the income approach. The income approach uses indicative fair values derived from a discounted cash flow methodology. The FHLB uses the Treasury curve as the market-observable interest rate curve. For GSE obligations and certificates of deposit, the fair value is determined using prices received from third-party pricing vendors. For GSE obligations, the FHLB uses prices from multiple third-party pricing vendors. The pricing vendors' methodology and the FHLB's validation process is consistent with the MBS process described above. For certificates of deposit, the fair value is determined based on each security’s indicative fair value obtained from a third-party vendor. The FHLB performs several validation steps in order to verify the accuracy and reasonableness of the fair values obtained for certificates of deposit. These steps may include, but are not limited to, a detailed review of instruments with significant periodic price changes and a derived fair value from an option-adjusted discounted cash flow methodology using market-observed inputs for the interest rate environment and similar instruments. Advances recorded under the fair value option: The FHLB determines the fair values of Advances recorded under the fair value option by calculating the present value of expected future cash flows from these Advances. The discount rates used in these calculations are the replacement rates for Advances with similar terms, as approximated either by adding an estimated current spread to the LIBOR Swap Curve or by using current indicative market yields, as indicated by the FHLB's pricing methodologies for Advances with similar current terms. Advance pricing is determined based on the FHLB's rates on Consolidated Obligations. To determine the estimated fair value for Advances with optionality, market-based expectations of future interest rate volatility implied from current prices for similar options are also used. In accordance with Finance Agency regulations, Advances with a maturity and repricing period greater than six months require a prepayment fee sufficient to make the FHLB financially indifferent to the borrower's decision to prepay the Advances. Therefore, the fair value of Advances does not assume prepayment risk. Impaired mortgage loans held for portfolio: The estimated fair values of impaired mortgage loans held for portfolio on a non-recurring basis are based on property values obtained from a third-party pricing vendor. Derivative assets/liabilities: The FHLB's derivative assets/liabilities generally consist of interest rate swaps, interest rate swaptions, TBA MBS (forward rate agreements), and mortgage delivery commitments. The FHLB's interest rate related derivatives (swaps and swaptions) are traded in the over-the-counter market. Therefore, the FHLB determines the fair value of each individual instrument using market value models that use readily observable market inputs as their basis (inputs that are actively quoted and can be validated to external sources). The FHLB uses a mid-market pricing convention as a practical expedient for fair value measurements within a bid-ask spread. These models reflect the contractual terms, including the period to maturity, as well as the significant inputs noted below. The fair value determination uses the standard valuation technique of discounted cash flow analysis. The FHLB performs several validation steps to verify the reasonableness of the fair value output generated by the primary market value model. In addition to an annual model validation, the FHLB prepares a monthly reconciliation of the model's fair values to estimates of fair values provided by the derivative counterparties. The FHLB believes these processes provide a reasonable basis for it to place continued reliance on the derivative fair values generated by the model. The fair value of TBA MBS is based on independent indicative and/or quoted prices generated by market transactions involving comparable instruments. The FHLB determines the fair value of mortgage delivery commitments using market prices from the TBA/mortgage-backed security market or TBA/Ginnie Mae market and adjustments noted below. The FHLB's discounted cash flow analysis uses market-observable inputs. Inputs, by class of derivative, are as follows: Interest rate swaps and interest rate swaptions: ▪ Discount rate assumption. OIS or SOFR Swap Curve; ▪ Forward interest rate assumption. OIS, SOFR, or LIBOR Swap Curve; and ▪ Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. TBA MBS: ▪ Market-based prices by coupon class and expected term until settlement. Mortgage delivery commitments: ▪ TBA securities prices. Market-based prices by coupon class and expected term until settlement, adjusted to reflect the contractual terms of the mortgage delivery commitments. The adjustments to the market prices are market observable, or can be corroborated with observable market data. The FHLB is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in these contracts to mitigate the risk. The FHLB has evaluated the potential for the fair value of the instruments to be impacted by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements. The fair values of the FHLB's derivatives include accrued interest receivable/payable and related cash collateral. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. Derivatives are presented on a net basis by counterparty when it has met the netting requirements. If these netted amounts are positive, they are classified as an asset and if negative, they are classified as a liability. Consolidated Obligations recorded under the fair value option: The FHLB determines the fair values of non-option-based Consolidated Obligation Bonds and all Consolidated Obligation Discount Notes recorded under the fair value option by calculating the present value of scheduled future cash flows. Inputs used to determine the fair value of these Consolidated Obligation Bonds and Discount Notes are the discount rates, which are estimated current market yields. For non-option-based Bonds and all Discount Notes, the market yields are either indicated by the Office of Finance for Consolidated Obligations with similar current terms or by a constructed SOFR swap curve for SOFR indexed Consolidated Obligations. The FHLB determines the fair values of option-based Consolidated Obligation Bonds recorded under the fair value option based on pricing received from designated third-party pricing vendors. The pricing vendors used apply various proprietary models to price these Consolidated Obligation Bonds. The inputs to those models are derived from various sources including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. Since many Consolidated Obligation Bonds do not trade on a daily basis, the pricing vendors use available information, as applicable, such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual Consolidated Obligation Bonds. Each pricing vendor has an established challenge process in place for all valuations, which facilitates resolution of potentially erroneous prices identified by the FHLB. When pricing vendors are used, the FHLB's valuation technique first requires the establishment of a “median” price for each Consolidated Obligation Bond. All prices that are outside the threshold (“outliers”) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, non-binding dealer estimates, and/or use of an internal model that is deemed most appropriate) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. Alternatively, if the analysis confirms that an outlier is in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a Consolidated Obligation Bond are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. Multiple vendor prices were received for the FHLB's Consolidated Obligation Bonds and the final prices for those bonds were computed by averaging the prices received. Based on the FHLB's review of the pricing methods and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices, the FHLB believes its final prices result in reasonable estimates of fair value and that the fair value measurements are classified appropriately in the fair value hierarchy. The FHLB has conducted reviews of its pricing vendors to confirm and further augment its understanding of the vendors' pricing processes, methodologies and control procedures for Consolidated Obligation Bonds. Adjustments may be necessary to reflect the 11 FHLBanks' credit quality when valuing Consolidated Obligation Bonds recorded under the fair value option. Due to the joint and several liability for Consolidated Obligations, the FHLB monitors its own creditworthiness and the creditworthiness of the other FHLBanks to determine whether any credit adjustments are necessary in its fair value measurement of Consolidated Obligation Bonds. No adjustments were considered necessary at December 31, 2019 or 2018. Subjectivity of estimates . Estimates of the fair values of financial assets and liabilities using the methods described above and other methods are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speeds, interest rate volatility, distributions of future interest rates used to value options, and discount rates that appropriately reflect market and credit risks. The judgments also include the parameters, methods, and assumptions used in models to value the options. The use of different assumptions could have a material effect on the fair value estimates. Since these estimates are made as of a specific point in time, they are susceptible to material near term changes. Fair Value Measurements . Table 19.2 presents the fair value of financial assets and liabilities that are recorded on a recurring or nonrecurring basis at December 31, 2019 and 2018, by level within the fair value hierarchy. The FHLB records nonrecurring fair value adjustments to reflect partial write-downs on certain mortgage loans. Table 19.2 - Fair Value Measurements (in thousands) Fair Value Measurements at December 31, 2019 Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: U.S. Treasury obligations $ 9,626,964 $ — $ 9,626,964 $ — $ — GSE obligations 1,988,259 — 1,988,259 — — U.S. obligation single-family MBS 470 — 470 — — Total trading securities 11,615,693 — 11,615,693 — — Available-for-sale securities: Certificates of deposit 1,410,111 — 1,410,111 — — GSE obligations 132,074 — 132,074 — — Total available-for-sale securities 1,542,185 — 1,542,185 — — Advances 5,238 — 5,238 — — Derivative assets: Interest rate related 264,346 — 29,376 — 234,970 Forward rate agreements 21 — 21 — — Mortgage delivery commitments 2,798 — 2,798 — — Total derivative assets 267,165 — 32,195 — 234,970 Total assets at fair value $ 13,430,281 $ — $ 13,195,311 $ — $ 234,970 Recurring fair value measurements - Liabilities Consolidated Obligations: Discount Notes $ 12,386,974 $ — $ 12,386,974 $ — $ — Bonds 4,757,177 — 4,757,177 — — Total Consolidated Obligations 17,144,151 — 17,144,151 — — Derivative liabilities: Interest rate related 464 — 54,004 — (53,540 ) Forward rate agreements 782 — 782 — — Mortgage delivery commitments 64 — 64 — — Total derivative liabilities 1,310 — 54,850 — (53,540 ) Total liabilities at fair value $ 17,145,461 $ — $ 17,199,001 $ — $ (53,540 ) (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. Fair Value Measurements at December 31, 2018 Total Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Recurring fair value measurements - Assets Trading securities: GSE obligations $ 223,368 $ — $ 223,368 $ — $ — U.S. obligation single-family MBS 612 — 612 — — Total trading securities 223,980 — 223,980 — — Available-for-sale securities: Certificates of deposit 2,350,002 — 2,350,002 — — GSE obligations 52,895 — 52,895 — — Total available-for-sale securities 2,402,897 — 2,402,897 — — Advances 10,008 — 10,008 — — Derivative assets: Interest rate related 64,039 — 21,615 — 42,424 Mortgage delivery commitments 1,726 — 1,726 — — Total derivative assets 65,765 — 23,341 — 42,424 Total assets at fair value $ 2,702,650 $ — $ 2,660,226 $ — $ 42,424 Recurring fair value measurements - Liabilities Consolidated Obligation Bonds $ 3,906,610 $ — $ 3,906,610 $ — $ — Derivative liabilities: Interest rate related 1,921 — 18,714 — (16,793 ) Forward rate agreements 2,664 — 2,664 — — Mortgage delivery commitments 1 — 1 — — Total derivative liabilities 4,586 — 21,379 — (16,793 ) Total liabilities at fair value $ 3,911,196 $ — $ 3,927,989 $ — $ (16,793 ) Nonrecurring fair value measurements - Assets (2) Mortgage loans held for portfolio $ 311 $ — $ — $ 311 (1) Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty. (2) The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2018 . Fair Value Option . The fair value option provides 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 a company to display the fair value of those assets and liabilities for which it 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. If elected, interest income and interest expense on Advances and Consolidated Obligations carried at fair value are recognized based solely on the contractual amount of interest due or unpaid. Any transaction fees or costs are immediately recognized into other non-interest income or other non-interest expense. The FHLB has elected the fair value option for certain financial instruments that either do not qualify for hedge accounting or may be at risk for not meeting hedge effectiveness requirements. These fair value elections were made primarily in an effort to mitigate the potential income statement 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. Table 19.3 presents net gains (losses) recognized in earnings related to financial assets and liabilities in which the fair value option was elected during the years ended December 31, 2019 , 2018 and 2017. Table 19.3 – Fair Value Option - Financial Assets and Liabilities (in thousands) For the Years Ended December 31, Net Gains (Losses) from Changes in Fair Value Recognized in Earnings 2019 2018 2017 Advances $ 238 $ (4 ) $ (81 ) Consolidated Discount Notes (1,060 ) — — Consolidated Bonds (53,030 ) (14,180 ) 10,490 Total net gains (losses) $ (53,852 ) $ (14,184 ) $ 10,409 For instruments recorded under the fair value option, 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 in which the fair value option has been elected are recorded as “Net gains (losses) on financial instruments held under fair value option” in the Statements of Income, except for changes in fair value related to instrument specific credit risk, which are recorded in accumulated other comprehensive income in the Statement of Condition. The FHLB has determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the years ended December 31, 2019 or 2018 . In determining that there has been no change in instrument-specific credit risk period to period, the FHLB primarily considered the following factors: ▪ The FHLB is a federally chartered GSE, and as a result of this status, the FHLB’s 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 FHLB is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all Consolidated Obligations of each of the other FHLBanks. The following table reflects the difference between the aggregate unpaid principal balance outstanding and the aggregate fair value for Advances and Consolidated Obligations for which the fair value option has been elected. Table 19.4 – Aggregate Unpaid Balance and Aggregate Fair Value (in thousands) December 31, 2019 December 31, 2018 Aggregate Unpaid Principal Balance Aggregate Fair Value Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance Aggregate Unpaid Principal Balance Aggregate Fair Value Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance Advances (1) $ 5,000 $ 5,238 $ 238 $ 10,000 $ 10,008 $ 8 Consolidated Discount Notes 12,400,865 12,386,974 (13,891 ) — — — Consolidated Bonds 4,739,000 4,757,177 18,177 3,941,000 3,906,610 (34,390 ) (1) At December 31, 2019 and 2018 , none of the Advances were 90 days or more past due or had been placed on non-accrual status. |
