Cover Page
Cover Page - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Feb. 28, 2023 | Jun. 30, 2022 | |
Entity Information [Line Items] | |||
Entity Tax Identification Number | 25-6001324 | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF PITTSBURGH | ||
Entity Central Index Key | 0001330399 | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2022 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Shell Company | false | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 2,085.4 | ||
Entity Common Stock, Shares Outstanding | 35,244,966 | ||
Entity Address, Address Line One | 601 Grant Street | ||
Entity Address, City or Town | Pittsburgh, | ||
Entity Address, State or Province | PA | ||
Entity Address, Postal Zip Code | 15219 | ||
Entity File Number | 000-51395 | ||
City Area Code | 412 | ||
Local Phone Number | 288-3400 | ||
Entity Interactive Data Current | Yes | ||
ICFR Auditor Attestation Flag | true | ||
Document Transition Report | false | ||
Entity Incorporation, State or Country Code | X1 | ||
Document Annual Report | true |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2022 | |
Audit Information [Abstract] | |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | Pittsburgh, Pennsylvania |
Auditor Firm ID | 238 |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest income: | |||
Advances | $ 992,336 | $ 139,905 | $ 625,473 |
Interest-bearing deposits | 47,166 | 1,038 | 6,474 |
Securities purchased under agreements to resell | 53,294 | 587 | 8,220 |
Federal funds sold | 81,947 | 2,706 | 28,331 |
Trading securities | 7,426 | 14,182 | 48,208 |
Available-for-sale (AFS) securities | 264,785 | 96,438 | 166,842 |
Held-to-maturity (HTM) securities | 27,965 | 32,967 | 54,976 |
Mortgage loans held for portfolio | 135,086 | 126,360 | 155,271 |
Total interest income | 1,610,005 | 414,183 | 1,093,795 |
Interest expense: | |||
Consolidated obligations - discount notes | 464,352 | 6,701 | 179,597 |
Consolidated obligations - bonds | 775,104 | 222,781 | 530,962 |
Deposits | 11,000 | 311 | 1,851 |
Mandatorily redeemable capital stock and other borrowings | 2,056 | 3,732 | 16,602 |
Total interest expense | 1,252,512 | 233,525 | 729,012 |
Net interest income | 357,493 | 180,658 | 364,783 |
Provision (reversal) for credit losses | 5,796 | (2,146) | 4,383 |
Net interest income after provision (reversal) for credit losses | 351,697 | 182,804 | 360,400 |
Noninterest income (loss): | |||
Net gains (losses) on investment securities (Note 4) | (28,993) | (21,440) | 47,327 |
Net gains (losses) on derivatives (Note 7) | 14,244 | 5,893 | (90,910) |
Standby letters of credit fees | 24,722 | 23,632 | 22,077 |
Other, net | 1,322 | 4,280 | 2,300 |
Total noninterest income (loss) | 11,295 | 12,365 | (19,206) |
Other expense: | |||
Compensation and benefits | 51,569 | 48,787 | 52,252 |
Other operating | 47,947 | 39,528 | 40,814 |
Finance Agency | 5,218 | 6,124 | 7,304 |
Office of Finance | 5,780 | 4,715 | 5,149 |
Total other expense | 110,514 | 99,154 | 105,519 |
Income before assessments | 252,478 | 96,015 | 235,675 |
Affordable Housing Program (AHP) assessment (Note 10) | 25,410 | 9,974 | 25,227 |
Net income | $ 227,068 | $ 86,041 | $ 210,448 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Net income | $ 227,068 | $ 86,041 | $ 210,448 |
Other comprehensive income (loss) : | |||
Net unrealized gains (losses) on AFS securities | (180,423) | (28,577) | 46,733 |
Reclassification of net (gains) included in net income relating to hedging activities | 0 | 0 | (149) |
Realized (gains) losses on AFS securities included in net income | (509) | 0 | 0 |
Pension and post-retirement benefits | 4,214 | 1,442 | (1,084) |
Total other comprehensive income (loss) | (176,718) | (27,135) | 45,500 |
Comprehensive income | $ 50,350 | $ 58,906 | $ 255,948 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Assets | |||
Cash and due from banks (Note 3) | $ 13,242 | $ 428,190 | |
Interest-bearing deposits (Note 4) | 2,471,135 | 528,476 | |
Securities purchased under agreements to resell (Note 4) | 3,200,000 | 1,670,000 | |
Federal Funds Sold ( Note 4 ) | 3,050,000 | 1,975,000 | |
Investment securities: (Note 4) | |||
Trading securities | 214,008 | 243,262 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,190,560 | 12,467,293 | |
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | |
Total investment securities | 13,361,039 | 13,924,427 | |
Advances (Note 5) | [1] | 68,856,236 | 14,124,375 |
Mortgage loans held for portfolio, net (Note 6) | 4,590,888 | 4,676,183 | |
Banking on Business (BOB) loans, net | 22,998 | 22,501 | |
Accrued interest receivable | 310,081 | 74,660 | |
Derivative assets (Note 7) | 228,996 | 182,853 | |
Other assets | 36,552 | 44,609 | |
Total assets | 96,141,167 | 37,651,274 | |
Liabilities | |||
Deposits (Note 8) | 553,279 | 1,087,507 | |
Consolidated obligations (Note 9) | |||
Discount notes | 33,745,478 | 10,493,617 | |
Bonds | 56,471,455 | 23,105,738 | |
Total consolidated obligations | 90,216,933 | 33,599,355 | |
Mandatorily redeemable capital stock (Note 11) | 27,763 | 22,457 | |
Accrued interest payable | 287,539 | 59,123 | |
AHP payable (Note 10) | 75,828 | 81,152 | |
Derivative liabilities (Note 7) | 13,438 | 5,845 | |
Other Liabilities | 68,272 | 60,183 | |
Total liabilities | 91,243,052 | 34,915,622 | |
Commitments and contingencies (Note 15) | |||
Capital (Note 11) | |||
Capital stock - putable ($100 par value) issued and outstanding shares 34,284 and 12,270 | 3,428,405 | 1,227,050 | |
Retained earnings: | |||
Unrestricted | 1,037,182 | 941,033 | |
Restricted | 499,055 | 457,378 | |
Total retained earnings | 1,536,237 | 1,398,411 | |
Accumulated Other Comprehensive Income (Loss) (AOCI) | (66,527) | 110,191 | |
Total capital | 4,898,115 | 2,735,652 | |
Total liabilities and capital | $ 96,141,167 | $ 37,651,274 | |
[1]Amounts exclude accrued interest receivable |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | ||
Assets | ||||
Available-for-sale, Amortized Cost | [1] | $ 12,265,009 | $ 12,354,656 | |
HTM Securities | $ 874,282 | [2] | $ 1,248,363 | |
Capital | ||||
Capital stock, par value | $ 100 | $ 100 | ||
Capital stock, shares outstanding | 34,284,000 | 12,270,000 | ||
[1]Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
OPERATING ACTIVITIES | |||
Net income | $ 227,068 | $ 86,041 | $ 210,448 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Depreciation and amortization (accretion) | 152,040 | 10,329 | (35,881) |
Net change in derivative and hedging activities | 825,987 | 288,817 | (159,506) |
Net realized (gains) from sales of AFS securities | (509) | 0 | 0 |
Net change in fair value adjustments on trading securities | 29,502 | 21,440 | (47,327) |
Other adjustments, net | 7,548 | (237) | 6,399 |
Net change in: | |||
Trading securities | 0 | 0 | 2,475,647 |
Accrued interest receivable | (239,133) | 16,033 | 102,814 |
Other assets | 1,855 | (677) | (2,178) |
Accrued interest payable | 228,423 | (5,827) | (140,178) |
Other liabilities | 3,309 | (29,237) | (9,035) |
Net cash provided by (used in) operating activities | 1,236,090 | 386,682 | 2,448,530 |
Net change in: | |||
Interest-bearing deposits (including $290, $447 and $(683) (to)/from other FHLBanks) | (2,856,713) | 317,376 | 520,307 |
Securities purchased under agreements to resell | (1,530,000) | (1,070,000) | 1,600,000 |
Federal funds sold | (1,075,000) | (125,000) | 1,920,000 |
Trading securities | |||
Proceeds | 15,000 | 1,285,605 | 0 |
Purchases | (14,944) | (399,875) | 0 |
AFS securities: | |||
Proceeds (includes $577,197 from sales of AFS securities in 2022) | 2,205,312 | 2,297,968 | 2,413,475 |
Purchases | (2,622,328) | (5,434,624) | (659,400) |
HTM Securities | |||
Proceeds | 355,881 | 1,763,964 | 1,637,219 |
Purchases | (101,553) | (500,000) | (1,728,986) |
Advances | |||
Repaid | 308,278,196 | 29,551,622 | 335,084,344 |
Originated | (363,428,429) | (18,907,336) | (294,368,775) |
Mortgage loans held for portfolio: | |||
Proceeds | 614,770 | 1,503,302 | 1,568,005 |
Purchases | (546,455) | (1,325,564) | (1,366,335) |
Other investing activities, net | 822 | (1,751) | (220) |
Net cash provided by (used in) investing activities | (60,705,441) | 8,955,687 | 46,619,634 |
FINANCING ACTIVITIES | |||
Net change in deposits | (532,652) | 163,300 | 342,926 |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 353,808,520 | 172,798,211 | 259,821,983 |
Bonds | 47,131,803 | 23,090,138 | 42,113,093 |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (330,717,062) | (171,813,150) | (273,411,300) |
Bonds | (12,753,625) | (33,703,615) | (75,032,150) |
Proceeds from Issuance of capital stock | 5,326,056 | 846,208 | 2,902,031 |
Payments for repurchase/redemption of capital stock | (3,118,892) | (1,145,930) | (4,389,729) |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (503) | (121,419) | (240,225) |
Cash dividends paid | (89,242) | (64,381) | (168,365) |
Partial Recovery Of Prior Capital Distribution To Financing Corporation | 0 | 0 | 8,541 |
Net cash provided by (used in) financing activities | 59,054,403 | (9,950,638) | (48,053,195) |
Cash and Cash Equivalents, Period Increase (Decrease) | (414,948) | (608,269) | 1,014,969 |
Cash and due from banks at beginning of the period | 428,190 | 1,036,459 | 21,490 |
Cash and due from banks at end of the period | 13,242 | 428,190 | 1,036,459 |
Supplemental disclosures: | |||
Interest paid | 874,226 | 280,039 | 897,787 |
AHP payments, net | 30,734 | 31,008 | 35,330 |
Capital stock reclassified to mandatorily redeemable capital stock | $ 5,809 | $ 1,069 | $ 39,457 |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Cash Flows [Abstract] | |||
Increase (Decrease) in Deposits with Other Federal Home Loan Banks | $ 290 | $ 447 | $ (683) |
Proceeds from Sale of Debt Securities, Available-for-Sale | $ 577,197 | $ 0 | $ 0 |
Statements of Changes in Capita
Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | $ 2,735,652 | $ 3,041,918 | $ 4,472,836 |
Comprehensive income | 50,350 | 58,906 | 255,948 |
Issuance of Capital Stock | 5,326,056 | 846,208 | 2,902,031 |
Repurchase/redemption of capital stock | (3,118,892) | (1,145,930) | (4,389,729) |
Shares reclassified to mandatorily redeemable capital stock | (5,809) | (1,069) | (39,457) |
Partial Recovery Of Prior Capital Distribution To Financing Corporation | 0 | 0 | 8,541 |
Cash dividends | (89,242) | (64,381) | (168,365) |
Total capital, ending balance | $ 4,898,115 | 2,735,652 | 3,041,918 |
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | $ 100 | ||
Total capital, ending balance | $ 100 | ||
Capital Stock [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Balance Shares, Beginning Balance | 12,270 | 15,278 | 30,550 |
Total capital, beginning balance | $ 1,227,050 | $ 1,527,841 | $ 3,054,996 |
Issuance of Capital Stock, Shares | 53,261 | 8,462 | 29,020 |
Issuance of Capital Stock | $ 5,326,056 | $ 846,208 | $ 2,902,031 |
Repurchase/redemption of capital stock, shares | (31,189) | (11,459) | (43,898) |
Repurchase/redemption of capital stock | $ (3,118,892) | $ (1,145,930) | $ (4,389,729) |
Net Shares Reclassified to Mandatorily Redeemable Capital Stock, Shares | (58) | (11) | (394) |
Shares reclassified to mandatorily redeemable capital stock | $ (5,809) | $ (1,069) | $ (39,457) |
Balance Shares, Ending Balance | 34,284 | 12,270 | 15,278 |
Total capital, ending balance | $ 3,428,405 | $ 1,227,050 | $ 1,527,841 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 941,033 | 919,373 | 910,726 |
Comprehensive income | 185,391 | 86,041 | 168,358 |
Cash dividends | (89,242) | (64,381) | (168,365) |
Total capital, ending balance | 1,037,182 | 941,033 | 919,373 |
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 457,378 | 457,378 | 415,288 |
Comprehensive income | 41,677 | 0 | 42,090 |
Total capital, ending balance | 499,055 | 457,378 | 457,378 |
Retained Earnings, Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 1,398,411 | 1,376,751 | 1,326,014 |
Comprehensive income | 227,068 | 86,041 | 210,448 |
Cash dividends | (89,242) | (64,381) | (168,365) |
Total capital, ending balance | 1,536,237 | 1,398,411 | 1,376,751 |
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 110,191 | 137,326 | 91,826 |
Comprehensive income | (176,718) | (27,135) | 45,500 |
Total capital, ending balance | $ (66,527) | $ 110,191 | $ 137,326 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2022 | |
Nature of Operations [Abstract] | |
Background Information | Background Information The Bank, a federally chartered corporation, is one of 11 district Federal Home Loan Banks (FHLBanks). Each FHLBank operates as a separate entity with its own management, employees and board of directors. The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, do not hold capital stock. All members must purchase capital stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 13 - Transactions with Related Parties for additional information. The Federal Housing Finance Agency (Finance Agency), an independent agency in the executive branch of the U.S. government, supervises and regulates the FHLBanks, Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae). The Finance Agency’s stated mission is to ensure the housing GSEs fulfill their mission by operating in a safe and sound manner to serve as a reliable source for liquidity and funding for the housing finance market throughout the economic cycle. As provided by the Federal Home Loan Bank Act (FHLBank Act) and applicable regulations, consolidated obligations are joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF ® Program and purchase certain investments. See Note 9 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all the FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement with the Federal Reserve. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation These financial statements are prepared in accordance with generally accepted accounting principles in the United States of America (GAAP). Variable Interest Entities (VIEs). The Bank is not the primary beneficiary of any VIEs for which consolidation would be required. Significant Accounting Policies Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include those used in conjunction with fair value estimates and derivatives and hedging activities. Actual results could differ from these estimates significantly. Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would have been realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. See Note 14 - Estimated Fair Values for more information. Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 7 - Derivatives and Hedging Activities for additional information regarding these agreements. 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. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statement of Condition. Interest-bearing deposits can include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans generally transacted with counterparties that are considered by the Bank to be of investment quality. The Bank treats securities purchased under agreements to resell as short-term collateralized loans that are classified as assets in the Statement of Condition. ACL: These investments are evaluated quarterly for expected credit losses. If applicable, an ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. See Note 4 - Investments for details on the allowance methodologies relating to these investments. Investment Securities. The Bank classifies investment securities as trading, AFS or HTM at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on investment securities.” Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. The Bank records changes in the fair value of these securities in AOCI. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income within the “AFS securities” section together with the related change in the fair value of the derivative and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gains (losses) on AFS securities.” AFS ACL: AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. If a shortfall is projected to occur, the Bank recognizes an ACL. The ACL is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain position, the ACL is zero. The ACL excludes uncollectible accrued interest receivable, which is measured separately. See Note 4 - Investments for details on the allowance methodologies relating to AFS securities. If the Bank intends to sell an AFS security in an unrealized loss position, or more likely than not will be required to sell the security, any ACL is written off and the amortized cost basis is written down to the security’s fair value with any incremental impairment reported in earnings as net gains (losses) on investment securities. For AFS securities with OTTI recognized prior to January 1, 2020, the accretable yield continues to be used prospectively. Based on the quarterly assessment of expected credit losses, if there is an improvement, the Bank will first recognize a benefit for credit losses up to the amount of the ACL. If the ACL is zero and the increase in cash flows is significant, the Bank will adjust the accretable yield prospectively. Held-to-Maturity (HTM). Securities that the Bank has both the intent and ability to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired net of periodic principal repayments, amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statement of Condition. Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) The sale occurs near enough to its maturity date (for example, within three months of maturity), or call date if exercise of the call is probable that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) The sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. HTM ACL: HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The ACL excludes uncollectible accrued interest receivable, which is measured separately. There was no ACL recorded on the Bank’s HTM securities at December 31, 2022 or December 31, 2021. See Note 4 - Investments for details on the allowance methodologies relating to HTM securities. Premiums and Discounts. The Bank amortizes purchased premiums and accretes purchased discounts on investment securities using the contractual level-yield method (contractual method). The contractual method recognizes the income effects of premiums and discounts over the contractual life of the securities based on the actual behavior of the underlying assets, including adjustments for actual prepayment activities, and reflects the contractual terms of the securities without regard to changes in estimated prepayments based on assumptions about future borrower behavior. Gains and Losses on Sales. The Bank computes gains and losses on sales of its investment securities using the specific identification method and includes these gains and losses in “Noninterest income (loss)”. Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost, which is cost, net of premiums and discounts (including discounts related to AHP) and hedging adjustments. Accrued interest receivable is recorded separately on the Statement of Condition. The Bank amortizes/accretes premiums, discounts and hedging adjustments to interest income using the contractual method. The Bank records interest on advances to interest income as earned. Advances ACL: Advances are evaluated quarterly for expected credit losses. If deemed necessary, an ACL is recorded with a corresponding adjustment to the provision for credit losses. See Note 5 - Advances for details on the allowance methodology relating to advances. Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit. Advance Modifications. In cases in which the Bank funds a new advance concurrently with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of cash flows on the new advance to the present value of cash flows remaining on the existing advance. If there is at least a 10% difference in the present value of cash flows or if, based on a qualitative assessment of the modifications made to the original contractual terms, the Bank will conclude that the modifications are more than minor, and the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. Prepayment Fees. The Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. In the event that a new advance is issued in connection with a prepayment of an outstanding advance, but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Advances” in the interest income section of the Statement of Income. If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using the contractual method. Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation. The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are recorded at amortized cost, which is cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging adjustments, and charge-offs. Accrued interest receivable is recorded separately on the Statement of Condition. MPF ACL: The Bank performs a quarterly assessment of its mortgage loans to estimate expected credit losses. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the ACL, the Bank measures the estimated loss over the life of a mortgage loan and incorporates the credit enhancements of the MPF Program. If a mortgage loan is purchased at a discount, the discount does not offset the ACL. The Bank includes estimates of expected recoveries within the ACL when expected lifetime credit losses are less than the amounts previously charged-off. The allowance excludes uncollectible accrued interest receivable, as the Bank writes-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 6 - Mortgage Loans Held for Portfolio for details on the allowance methodologies relating to mortgage loans. Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method. CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses. Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated expiration. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount; they represent purchase price adjustments to the related loans acquired and are recorded as a part of the carrying value of the loans. Nonaccrual Loans . The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection. Troubled Debt Restructuring (TDR). The Bank considers a troubled debt restructuring to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance. Collateral-Dependent Loans. A loan is considered collateral-dependent when the borrower is experiencing financial difficulty and repayment is expected to be provided substantially through the sale of the underlying collateral. Loans that are considered collateral-dependent are measured for credit loss based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as a charge-off. Charge-off Policy . The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets. BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses, including a specific allotment of funds for minority and women owned small businesses. The program’s objective is to assist in the growth and development of small business, including both their start-up and expansion. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is to help facilitate community economic development; however, repayment provisions require that the BOB program be accounted for as an unsecured loan. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged-off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid. BOB Loans ACL: The Bank performs a quarterly assessment of its BOB loan portfolio to estimate expected credit losses, which is based on a loan’s probability of default and loss given default. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets. Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses and/or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses, and carrying costs are included in Noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition. Derivatives and Hedging Activities. All derivatives are recognized on the Statement of Condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial margin, and accrued interest received from or pledged to clearing agents and/or counterparties. Variation margin payments are characterized as daily settlement payments, rather than collateral. The fair value of derivatives is netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statement of Cash Flows, as the Bank does not have any derivatives that met the criteria of a financing derivative. Derivative Designations. Each derivative is designated as either: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or • a non-qualifying hedge (an economic hedge) for asset and liability management purposes. Accounting for Fair Value Hedges . If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship, and are expected to be highly effective, they qualify for fair value hedge accounting. Two approaches to hedge accounting include: • Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been highly effective in offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to remain highly effective in future periods. For hedge relationships that meet certain requirements, this assessment may be completed qualitatively. • Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the hedged risk, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be highly effective at achieving offsetting changes in fair values of the hedged asset or liability. The Bank documents fallback language at hedge inception, including the quantitative method it would use to assess hedge effectiveness and measure hedge results if the short-cut method were to no longer be appropriate during the life of the hedging relationship. Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date. Net interest settlements, as well as changes in the fair value of a derivative and the related hedged item for designated fair value hedges, are recorded in net interest income in the same line as the hedged item. Accounting for Economic Hedges. An economic hedge is defined as a derivative, hedging specific or non-specific underlying assets, liabilities or firm commitments, that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank’s risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank’s income, but that are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. As a result, the Bank recognizes the net interest settlements and the change in fair value of these derivatives in noninterest income as “Net gains (losses) on derivatives” with no offsetting fair value adjustments for the assets, liabilities, or firm commitments. Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedging relationships are recognized as adjustments to the income or expense of the designated hedged item. Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: • it determines that the derivative is no longer highly effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments); • the derivative and/or the hedged item expires or is sold, terminated, or exercised; • a hedged firm commitment no longer meets the definition of a firm commitment; or • management determines that designating the derivative as a hedging instrument is no longer appropriate. When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statement of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the contractual method. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the debt, advance or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank determines that certain criteria are met. The Bank had no embedded derivatives requiring separation from the host contract at December 31, 2022 or 2021. Premises, Software and Equipment. The Bank records premises, software and equipment at cost less accumulated depreciation and amortization and computes depreciation using the straight-line method over the estimated useful lives of the assets, which range from 1 year to 10 years. The Bank amortizes leasehold improvements using the straight-line method over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. Premises, software and equipment are included in “Other assets” on the Statement of Condition. The Bank includes gains and losses on the disposal of premises, software and equipment in Noninterest income (loss). At December 31, 2022 and 2021, premises, software, and equipment, net of accumulated depreciation and amortization were $4.3 million and $7.9 million, respectively. For the years ended December 31, 2022, 2021, and 2020, the related depreciation and amortization expense was $3.8 million, $3.3 million, and $2.9 million, respectively. Hosting arrangements, also known as Software as a Service (SaaS), are assessed for whether they should be accounted for as software or a service contract. SaaS accounted for as a service contract is expensed as incurred, which could result in the SaaS being recognized as a prepaid asset and recorded in Other assets on the Statement of Condition, if appropriate. Implementation costs related to SaaS are recorded as software. At December 31, 2022 and 2021, SaaS accounted for as a service contract was immaterial. Leases. The Bank leases office space and other facilities, as well as office equipment to run its business operations. The Bank recognizes its lease right-of-use assets in Other assets and the related lease liabilities in Other liabilities in its Statement of Condition. The Bank has elected to account for the lease and non-lease components of its real estate, including leasehold improvement, asset class as a single lease component. The Bank has also elected not to recognize leases with a term of 12 months on the Statement of Condition. At December 31, 2022 and 2021, lease right-of-use assets lease liabilities Consolidated Obligations. Consolidated obligations are recorded at amortized cost. Discounts and Premiums. The Bank amortizes premiums and accretes discounts as well as hedging basis adjustments on consolidated obligations to interest expense using the contractual method. Concessions . The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. Concessions paid on consolidated obligations are recorded as a direct deduction from the carrying amount of the debt and amortized using the contractual method. The amortization of such concessions is included in consolidated obligation interest expense. Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. Commitments to purchase MPF Loans are derivatives and therefore do not require an assessment of expected credit losses. Mandatorily Redeemable Capital Stock. The Bank reclassifies stock subject to redemption from capital stock to a liability after a member |
Accounting Adjustments, Changes
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Adjustments, Changes In Accounting Principle And Recently Issued Accounting Standards And Interpretations [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles | Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations The Bank adopted the following new accounting standards during the year ended December 31, 2022. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters ASU 2022-06: Reference Rate Reform: Deferral of the Sunset Date of Topic 848 This ASU defers the sunset date of ASU 2020-04: Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended , from December 31, 2022 to December 31, 2024. ASU 2020-04 provides temporary optional expedients and exceptions to GAAP to ease the potential burden in accounting for reference rate reform to contracts, hedging relationships, and other transactions if certain criteria are met. This ASU became effective for the Bank immediately upon issuance. The adoption of this ASU did not impact the Bank’s financial condition or results of operations. The Bank continues to evaluate other optional expedients and the effect on its financial statements has not yet been determined. The following table provides a brief description of recently issued accounting standards which may have an impact on the Bank. Standard Description Effective Date Effect on the Financial Statements or Other Significant Matters ASU 2022-01: Fair Value Hedging – Portfolio Layer Method This ASU expands the current last-of-layer method to apply fair value hedging by allowing multiple hedged layers of a single closed portfolio under the method. To reflect that expansion, the last-of-layer method is renamed the portfolio layer method. Additionally, among other things, this ASU: This ASU is effective for the Bank beginning on January 1, 2023. The adoption of this ASU did not have an impact on the Bank’s financial statements. The Bank will continue to assess opportunities enabled by the new guidance to expand its risk management strategies. ASU 2022-02: Troubled Debt Restructurings and Vintage Disclosures This ASU eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current-period gross write-offs by year of origination for financing receivables. This ASU is effective for the Bank beginning on January 1, 2023. The adoption of this ASU is not expected to have a material impact on the Bank’s financial statements, including the Bank’s MPF portfolio. |
Cash and Due from Banks
Cash and Due from Banks | 12 Months Ended |
Dec. 31, 2022 | |
Cash and Due from Banks [Abstract] | |
Cash and Due from Banks | Cash and Due from Banks Cash and due from banks on the Statement of Condition includes cash on hand, cash items in the process of collection, compensating balances, and amounts due from correspondent banks and the Federal Reserve Bank (FRB). The Bank maintains compensating and collected cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions on the withdrawal of funds. |
Investments, Debt and Equity Se
Investments, Debt and Equity Securities | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Investments The Bank has short-term investments and may make other investments in debt securities, which are classified as trading, AFS, or HTM as further described below. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide short-term liquidity. These investments are generally transacted with counterparties that have received a credit rating of BBB or greater (investment grade) by an NRSRO. Interest-bearing deposits and Federal funds sold are unsecured investments. Federal funds sold are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At December 31, 2022 and December 31, 2021, all investments in interest-bearing deposits and Federal funds sold were repaid according to the contractual terms; no ACL was recorded for these assets at December 31, 2022 and December 31, 2021. Carrying values of interest-bearing deposits and Federal funds exclude accrued interest receivable which was immaterial for all periods presented. At December 31, 2022 and December 31, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. Securities purchased under agreements to resell are secured investments. Securities purchased under agreements to resell are generally transacted on an overnight term and have standard market practices that include collateral maintenance provisions. As such, they are evaluated regularly to determine that the securities purchased under agreements to resell are fully collateralized. The counterparty is required to deliver additional collateral if the securities purchased under agreements to resell become under-collateralized, generally by the next business day. At December 31, 2022 and December 31, 2021, all investments in securities purchased under agreements to resell were repaid according to the contractual terms; no ACL was recorded for these assets at December 31, 2022 and December 31, 2021. Carrying value of securities purchased under agreements to resell exclude accrued interest receivable which was immaterial for all periods presented. At December 31, 2022 and December 31, 2021, none of these investments were with counterparties rated below BBB or with unrated counterparties. These may differ from any internal ratings of the investments by the Bank, if applicable. 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 MBS that are supported by underlying mortgage or asset-backed loans. In 2007, the Bank discontinued the purchase of private label MBS. 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, other than certain investments targeted at low-income persons or communities. Trading Securities. The following table presents the fair value of trading securities by major security type at December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 GSE obligations $ 214,008 $ 243,262 Total $ 214,008 $ 243,262 The following table presents net gains (losses) on trading securities for the years ended December 31, 2022, 2021 and 2020. Year ended December 31, (in thousands) 2022 2021 2020 Net unrealized gains (losses) on trading securities held at year-end $ (29,502) $ (13,423) $ 22,099 Net gains (losses) on trading securities sold/matured during the year — (8,017) 25,228 Net gains (losses) on trading securities $ (29,502) $ (21,440) $ 47,327 AFS Securities. The following tables presents AFS securities by major security type at December 31, 2022 and December 31, 2021. December 31, 2022 (in thousands) Amortized Cost (1) Allowance for Credit Losses Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: U.S. Treasury obligations $ 5,246,937 $ — $ 3,963 $ (18,407) $ 5,232,493 GSE and TVA obligations 1,111,674 — 16,879 (2,810) 1,125,743 State or local agency obligations 184,310 — 21 (14,068) 170,263 Total non-MBS $ 6,542,921 $ — $ 20,863 $ (35,285) $ 6,528,499 MBS: U.S. obligations single-family $ 490,952 $ — $ 1,999 $ (9,969) $ 482,982 GSE single-family 1,925,950 — 5,852 (50,765) 1,881,037 GSE multifamily 3,164,964 — 1,364 (10,557) 3,155,771 Private label 140,222 (8,532) 12,443 (1,862) 142,271 Total MBS $ 5,722,088 $ (8,532) $ 21,658 $ (73,153) $ 5,662,061 Total AFS securities $ 12,265,009 $ (8,532) $ 42,521 $ (108,438) $ 12,190,560 December 31, 2021 (in thousands) Amortized Cost (1) Allowance for Credit Losses Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: U.S. Treasury obligations $ 5,069,716 $ — $ 6,213 $ (697) $ 5,075,232 GSE and TVA obligations 1,449,717 — 43,935 — 1,493,652 State or local agency obligations 198,775 — 8,422 — 207,197 Total non-MBS $ 6,718,208 $ — $ 58,570 $ (697) $ 6,776,081 MBS: U.S. obligations single-family $ 394,985 $ — $ 3,876 $ (54) $ 398,807 GSE single-family 2,075,683 — 18,377 (991) 2,093,069 GSE multifamily 3,001,730 — 4,526 (1,345) 3,004,911 Private label 164,050 (2,378) 32,826 (73) 194,425 Total MBS $ 5,636,448 $ (2,378) $ 59,605 $ (2,463) $ 5,691,212 Total AFS securities $ 12,354,656 $ (2,378) $ 118,175 $ (3,160) $ 12,467,293 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable The following tables summarize the AFS securities with gross unrealized losses as of December 31, 2022 and December 31, 2021. The gross unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2022 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Non-MBS: U.S. Treasury obligations $ 2,460,913 $ (8,532) $ 388,509 $ (9,875) $ 2,849,422 $ (18,407) GSE and TVA obligations 39,276 (2,810) — — 39,276 (2,810) State or local agency obligations 160,372 (14,068) — — 160,372 (14,068) Total non-MBS $ 2,660,561 $ (25,410) $ 388,509 $ (9,875) $ 3,049,070 $ (35,285) MBS: U.S. obligations single-family $ 315,111 $ (9,511) $ 15,293 $ (458) $ 330,404 $ (9,969) GSE single-family 1,406,666 (33,614) 146,908 (17,151) 1,553,574 (50,765) GSE multifamily 2,310,965 (6,738) 548,201 (3,819) 2,859,166 (10,557) Private label 34,918 (1,682) 2,357 (180) 37,275 (1,862) Total MBS $ 4,067,660 $ (51,545) $ 712,759 $ (21,608) $ 4,780,419 $ (73,153) Total $ 6,728,221 $ (76,955) $ 1,101,268 $ (31,483) $ 7,829,489 $ (108,438) December 31, 2021 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Non-MBS: U.S. Treasury obligations $ 586,346 $ (697) $ — $ — $ 586,346 $ (697) MBS: U.S. obligations single-family $ 20,188 $ (54) $ — $ — $ 20,188 $ (54) GSE single-family 188,235 (991) — — 188,235 (991) GSE multifamily 634,032 (517) 524,002 (828) 1,158,034 (1,345) Private label — — 2,476 (73) 2,476 (73) Total MBS $ 842,455 $ (1,562) $ 526,478 $ (901) $ 1,368,933 $ (2,463) Total $ 1,428,801 $ (2,259) $ 526,478 $ (901) $ 1,955,279 $ (3,160) Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2022 and December 31, 2021 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. MBS are not presented by contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2022 December 31, 2021 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ 1,566,430 $ 1,560,311 $ 554,080 $ 555,481 Due after one year through five years 2,629,759 2,632,374 3,281,393 3,289,730 Due after five years through ten years 2,204,799 2,206,358 2,685,727 2,723,861 Due after ten years 141,933 129,456 197,008 207,009 Total non-MBS 6,542,921 6,528,499 6,718,208 6,776,081 MBS 5,722,088 5,662,061 5,636,448 5,691,212 Total AFS securities $ 12,265,009 $ 12,190,560 $ 12,354,656 $ 12,467,293 Interest Rate Payment Terms. The following table details interest payment terms at December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 Amortized cost of AFS non-MBS: Fixed-rate $ 6,542,921 $ 6,718,208 Variable-rate — — Total non-MBS $ 6,542,921 $ 6,718,208 Amortized cost of AFS MBS: Fixed-rate $ 1,069,749 $ 765,556 Variable-rate 4,652,339 4,870,892 Total MBS $ 5,722,088 $ 5,636,448 Total amortized cost of AFS securities $ 12,265,009 $ 12,354,656 Realized Gains (Losses) on AFS Securities. The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for 2022, 2021, and 2020. Year Ended December 31, (in thousands) 2022 2021 2020 Proceeds from sale of AFS securities $ 577,197 $ — $ — Gross gains on AFS securities 509 — — Gross losses on AFS securities — — — HTM Securities. The following tables presents HTM securities by major security type at December 31, 2022 and December 31, 2021. December 31, 2022 (in thousands) Amortized Cost (1) Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value MBS: U.S. obligations single-family $ 162,366 $ 155 $ (5,352) $ 157,169 GSE single-family 435,129 74 (63,200) 372,003 GSE multifamily 305,306 — (10,248) 295,058 Private label 53,670 — (3,618) 50,052 Total MBS $ 956,471 $ 229 $ (82,418) $ 874,282 Total HTM securities (2) $ 956,471 $ 229 $ (82,418) $ 874,282 December 31, 2021 (in thousands) Amortized Cost (1) Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value MBS: U.S. obligations single-family 83,154 1,029 — 84,183 GSE single-family 566,032 7,597 (7,978) 565,651 GSE multifamily 494,472 33,651 — 528,123 Private label 70,214 710 (518) 70,406 Total MBS $ 1,213,872 $ 42,987 $ (8,496) $ 1,248,363 Total HTM securities (2) $ 1,213,872 $ 42,987 $ (8,496) $ 1,248,363 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable (2) No ACL was recorded for these securities as of December 31, 2022 and December 31, 2021. Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2022 and December 31, 2021 are presented below. MBS are not presented by contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. December 31, 2022 December 31, 2021 (in thousands) Amortized Cost Fair Value Amortized Cost Fair Value MBS 956,471 874,282 1,213,872 1,248,363 Total HTM securities $ 956,471 $ 874,282 $ 1,213,872 $ 1,248,363 Interest Rate Payment Terms. The following table details interest rate payment terms at December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 Amortized cost of HTM MBS: Fixed-rate $ 824,791 $ 1,042,367 Variable-rate 131,680 171,505 Total MBS $ 956,471 $ 1,213,872 Total HTM securities $ 956,471 $ 1,213,872 Debt Securities ACL. For HTM securities, there was no ACL at December 31, 2022 and December 31, 2021. For AFS securities, the Bank recorded an ACL only on its private label MBS at December 31, 2022 and December 31, 2021. AFS Debt Securities - Rollforward of ACL. The following table presents a rollforward of the ACL on AFS securities for the years ended December 31, 2022 and December 31, 2021. Private label MBS (in thousands) December 31, 2022 December 31, 2021 Balance, beginning of period $ 2,378 $ 2,417 Increases (decreases) for securities in which a previous ACL or OTTI was recorded 6,154 (36) Reductions for securities sold or matured during the period — (3) Balance, end of period $ 8,532 $ 2,378 Debt Securities ACL Methodology. To evaluate investment securities for credit losses at December 31, 2022, the Bank employs the following methodologies by major security type. GSE and Other U.S. Obligations. The Bank invests in GSE and other U.S. obligations, which includes Tennessee Valley Authority obligations, single-family MBS, and GSE single-family and multifamily MBS. These securities are issued by Federal Agencies or U.S. government corporations and include MBS issued by these same entities that are directly supported by underlying mortgage loans. All of these securities are highly-rated. In the case of U.S. obligations, they carry an explicit government guarantee. In the case of GSE securities, they are purchased under an assumption that the issuers’ obligation to pay principal and interest on those securities will be honored. As a result, no ACL was recorded on GSE and other U.S. obligations at December 31, 2022 and December 31, 2021. The Bank only purchases GSE and other U.S. obligations considered investment quality. At December 31, 2022, all of these GSE and other U.S. obligations, based on amortized cost, were rated BBB or above by a 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. State or Local Agency Obligations. The Bank invests in state or local agency obligations, such as municipal securities. These securities are subject to credit risk related to a portfolio of state and local agency obligations (i.e., Housing Finance Agency bonds). The Bank has not experienced any payment defaults on these instruments. The Bank only purchases state or local agency obligations considered investment quality. At December 31, 2022, all of these state or local agency obligations, based on amortized cost, were rated BBB or above by a 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. The Bank evaluates AFS state or local agency obligations for an ACL based on a credit assessment of the issuer, or guarantor. If the Bank determines that an ACL should be recognized, it is limited to the unrealized loss of the state or local agency obligation, including zero if it is in an unrealized gain position. At December 31, 2022 and December 31, 2021, the Bank expected to receive all cash flows contractually due, and no ACL was recorded on AFS state or local agency obligations. Private Label MBS. The Bank also holds investments in private label MBS. The Bank has not purchased any private label MBS since 2007. However, many of these securities have subsequently experienced significant credit deterioration. As of December 31, 2022, 18.6% of private label MBS (AFS and HTM combined, based on amortized cost) were rated BBB or above by a NRSRO and the remaining securities were either rated less than BBB or were unrated. To determine whether an ACL is necessary on these securities, the Bank uses cash flow analyses. The Bank's evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of available information, including the structure of the applicable security and certain assumptions such as: • the remaining payment terms for the security; • prepayment speeds based on underlying loan-level borrower and loan characteristics; • expected default rates based on underlying borrower and loan characteristics; • expected loss severity based on underlying borrower and loan characteristics; • expected housing price changes; and • expected interest-rate assumptions. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2022 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances | Advances General Terms. The Bank offers a wide-range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from overnight to 30 years. Variable-rate advances generally have maturities ranging up to 10 years, and the interest rates reset periodically at a fixed spread to LIBOR or SOFR. The following table details the Bank’s advances portfolio by year of redemption and weighted-average interest rate at December 31, 2022 and December 31, 2021. (dollars in thousands) December 31, 2022 December 31, 2021 Year of Redemption Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 28,672,440 4.28 % $ 8,539,301 1.60 % Due after 1 year through 2 years 21,421,482 4.17 2,076,494 1.59 Due after 2 years through 3 years 13,136,090 4.30 2,031,671 1.36 Due after 3 years through 4 years 4,966,948 4.38 1,031,294 1.97 Due after 4 years through 5 years 865,373 3.37 222,058 1.43 Thereafter 166,538 2.84 178,399 2.60 Total par value $ 69,228,871 4.24 % $ 14,079,217 1.60 % Deferred prepayment fees (940) (1,405) Hedging adjustments (371,695) 46,563 Total book value (1) $ 68,856,236 $ 14,124,375 Notes : (1) Amounts exclude accrued interest receivable The Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). The Bank no longer offers a convertible advance product and had none outstanding at December 31, 2022. At December 31, 2022 and December 31, 2021, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative. The following table summarizes advances by the earlier of year of redemption or next call date as of December 31, 2022 and December 31, 2021. Year of Redemption or (in thousands) December 31, 2022 December 31, 2021 Due in 1 year or less $ 28,962,440 $ 8,579,301 Due after 1 year through 2 years 21,131,482 2,076,494 Due after 2 years through 3 years 13,136,090 1,991,671 Due after 3 years through 4 years 4,966,948 1,031,294 Due after 4 years through 5 years 865,373 222,058 Thereafter 166,538 178,399 Total par value $ 69,228,871 $ 14,079,217 Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 Fixed-rate – overnight $ 1,792,810 $ 64,000 Fixed-rate – term: Due in 1 year or less 21,547,006 8,325,202 Thereafter 7,429,914 5,446,816 Total fixed-rate $ 30,769,730 $ 13,836,018 Variable-rate: Due in 1 year or less 5,332,624 150,099 Thereafter 33,126,517 93,100 Total variable-rate $ 38,459,141 $ 243,199 Total par value $ 69,228,871 $ 14,079,217 Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is primarily concentrated in commercial banks. As of December 31, 2022, the Bank had advances of $54.3 billion outstanding to the five largest borrowers, which represented 78.5% of the total principal amount of advances outstanding. Of these five, three had outstanding advance balances that were in excess of 10% of the total portfolio at December 31, 2022. As of December 31, 2021, the Bank had advances of $9.0 billion outstanding to the five largest borrowers, which represented 64.0% of the total principal amount of advances outstanding. Of these five, one had outstanding advance balances that were in excess of 10% of the total portfolio at December 31, 2021. Advances ACL. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally requires a credit limit to be established for each borrower and an ongoing review of each borrower’s financial condition in conjunction with the Bank's collateral and lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. Eligible collateral and collateral requirements can vary based on the type of member: commercial banks, insurance companies, credit unions, de novo banks and CDFIs. In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank primarily accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member's financial condition, the Bank always takes possession or control of securities used as collateral. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party, except for claims or rights of a third party that would be otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At December 31, 2022 and December 31, 2021, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At December 31, 2022 and December 31, 2021, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be TDRs. The Bank evaluates its advances for an ACL on a collective, or pooled basis unless an individual assessment is deemed necessary because the instruments do not possess similar risk characteristics. The Bank pools advances by member type, as noted above. Based on the collateral held as security, the Bank's credit extension and collateral policies and repayment history on advances, including that the Bank has not incurred any credit losses since inception, the Bank has not recorded any ACL at December 31, 2022 or December 31, 2021. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 13 for further information regarding transactions with related parties. The following table presents balances as of December 31, 2022 and December 31, 2021 for mortgage loans held for portfolio. (in thousands) December 31, 2022 December 31, 2021 Fixed-rate long-term single-family mortgages (1) $ 4,388,461 $ 4,417,532 Fixed-rate medium-term single-family mortgages (1) 140,270 173,195 Total par value 4,528,731 4,590,727 Premiums 73,703 84,155 Discounts (10,224) (1,769) Hedging adjustments 1,918 6,482 Total mortgage loans held for portfolio (2) 4,594,128 4,679,595 Allowance for credit losses on mortgage loans (3,240) (3,412) Mortgage loans held for portfolio, net $ 4,590,888 $ 4,676,183 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. (2) Amounts exclude accrued interest receivable The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 Conventional loans $ 4,415,876 $ 4,460,732 Government-guaranteed/insured loans 112,855 129,995 Total par value $ 4,528,731 $ 4,590,727 Conventional MPF Loans - Credit Enhancements (CE). The conventional MPF loans held for portfolio are required to be credit enhanced as determined through the use of a validated model so the risk of loss is limited to the losses within the Bank's risk tolerance. The Bank and its participating financial institution (PFI) share the risk of credit losses on conventional MPF loan products held for portfolio, by structuring potential losses into layers with respect to each master commitment. After considering the borrower’s equity and any Primary Mortgage Insurance (PMI), credit losses on mortgage loans in a master commitment are then absorbed by the Bank’s First Loss Account (FLA). If applicable to the MPF product, the Bank will withhold a PFI’s scheduled performance CE fee in order to reimburse the Bank for any losses allocated to the FLA (recaptured CE Fees). If the FLA is exhausted, the credit losses are then absorbed by the PFI up to an agreed upon CE amount. The CE amount could be covered by supplemental mortgage insurance (SMI) obtained by the PFI. Thereafter, any remaining credit losses are absorbed by the Bank. Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at December 31, 2022 and December 31, 2021. December 31, 2022 (in thousands) Origination Year Payment Status, at amortized cost (1) Prior to 2018 2018 to 2022 Total Past due 30-59 days $ 13,369 $ 19,806 $ 33,175 Past due 60-89 days 4,100 6,321 10,421 Past due 90 days or more 8,216 9,856 18,072 Total past due loans $ 25,685 $ 35,983 $ 61,668 Current loans 1,109,321 3,307,745 4,417,066 Total conventional loans $ 1,135,006 $ 3,343,728 $ 4,478,734 December 31, 2021 Origination Year Payment Status, at amortized cost (1) Prior to 2017 2017 to 2021 Total Past due 30-59 days $ 11,473 $ 16,502 $ 27,975 Past due 60-89 days 2,785 4,517 7,302 Past due 90 days or more 9,311 16,455 25,766 Total past due loans $ 23,569 $ 37,474 $ 61,043 Current loans 1,115,681 3,369,710 4,485,391 Total conventional loans $ 1,139,250 $ 3,407,184 $ 4,546,434 Note: (1) The amortized cost at December 31, 2022 and December 31, 2021 excludes accrued interest receivable. Other Delinquency Statistics. The following table presents the delinquency statistics for the Bank’s mortgage loans at December 31, 2022 and December 31, 2021. December 31, 2022 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 7,873 $ 1,352 $ 9,225 Serious delinquency rate (2) 0.4 % 2.9 % 0.5 % Past due 90 days or more still accruing interest $ — $ 3,182 $ 3,182 Loans on nonaccrual status $ 20,950 $ — $ 20,950 December 31, 2021 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 2,906 $ 1,007 $ 3,913 Serious delinquency rate (2) 0.6 % 2.4 % 0.6 % Past due 90 days or more still accruing interest $ — $ 3,129 $ 3,129 Loans on nonaccrual status $ 29,890 $ — $ 29,890 Note: (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. Mortgage Loans Held for Portfolio ACL. Conventional MPF - Expected Losses. Conventional loans are evaluated collectively when similar risk characteristics exist. Conventional loans that do not share risk characteristics with other pools are evaluated for expected credit losses on an individual basis. The Bank determines its allowances for credit losses on conventional loans through analyses that include consideration of various loan portfolio and collateral-related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses a third-party model to estimate expected credit losses over the life of the loans. The estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The model relies on a number of inputs, such as housing price forecasts and interest rates as well as historical borrower behavior experience. The Bank’s reasonable and supportable forecast for housing prices is two years. The Bank then reverts to historic averages over a three year period. The Bank may incorporate a qualitative adjustment to the model results, if deemed appropriate, based on current market conditions or results. The estimated credit loss on collateral dependent loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. A mortgage loan is considered collateral dependent when the borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. The expected credit loss of a collateral dependent mortgage loan to determine the charge-off 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 estimate of the expected credit losses includes coverage of certain losses by PMI, if applicable. The estimated fair value of the collateral is determined based on a value provided by a third-party’s retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. Expected recoveries of prior charge-offs, as determined by a third-party model, if any, are included in the allowance for credit losses. Conventional MPF - Expected Recoveries. The Bank recognizes a recovery through the provision for credit losses when expected lifetime credit losses are less than the amounts previously charged-off. This includes potentially recording a negative ACL for certain of the Bank's MPF products. The reduction to the ACL for expected recoveries is partially offset by a reversal of expected CE, resulting in a net impact to the Bank's Statements of Condition. Conventional MPF - Application of CE. The Bank also incorporates associated CE, if any, to determine its estimate of expected credit losses. The Bank records an ACL for expected credit losses that exceed the amount the Bank expects to receive from available CE. Potential recoveries from CE for conventional loans are evaluated at the individual master commitment level to determine the CE available to recover losses on loans under each individual master commitment. Conventional MPF - Rollforward of ACL (in thousands) 2022 2021 2020 Balance, beginning of period $ 3,412 $ 4,972 $ 7,832 Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13 (1) — — (3,875) (Charge-offs) Recoveries, net (2) 288 1,009 (727) Provision (reversal) for credit losses (460) (2,569) 1,742 Balance, December 31 $ 3,240 $ 3,412 $ 4,972 Note: (1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million. (2) Net charge-offs that the Bank does not expect to recover through CE receivable. Government-Guaranteed or -Insured Mortgage Loans. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed or insured mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). The servicer provides and maintains insurance or a guarantee from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guarantee or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses on these loans that are not recovered from the issuer or the guarantor are absorbed by the servicer. Therefore, the Bank only has credit risk for these loans if the servicer fails to pay for losses not covered by the guarantee or insurance, but in such instance, the Bank would have recourse against the servicer for such failure. Based on the Bank's assessment of its servicers and the collateral backing the loans, the risk of loss was immaterial. Consequently, the Bank has not recorded an ACL for government-guaranteed or -insured mortgage loans at December 31, 2022 or December 31, 2021. Furthermore, none of these mortgage loans has been placed on non-accrual status because of the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met. Real Estate Owned (REO) . The Bank had $0.3 million and $0.4 million of REO reported in Other assets on the Statement of Condition at December 31, 2022 and December 31, 2021, respectively. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and interest-bearing liabilities that finance these assets. The goal of the Bank’s interest rate risk management strategy is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures that include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets, and interest-bearing liabilities. Consistent with Finance Agency requirements, the Bank enters into derivatives to manage the interest rate risk exposures inherent in otherwise unhedged assets and funding positions and to achieve the Bank’s risk management objectives. Finance Agency regulation and the Bank’s Risk Governance Policy prohibit trading in or the speculative use of derivative instruments and limit credit risk arising from these instruments. Derivatives are an integral part of the Bank’s financial management strategy. The Bank may use derivatives to: • reduce interest rate sensitivity and repricing gaps of assets and liabilities; • preserve a favorable interest rate spread between the yield of an asset (e.g., an advance) and the cost of the related liability (e.g., the consolidated obligation); • mitigate the adverse earnings effects of the shortening or extension of certain assets (e.g., advances or mortgage assets) and liabilities; • manage embedded options in assets and liabilities; • reduce funding costs by combining a derivative with a consolidated obligation as the cost of a combined funding structure can be lower than the cost of a comparable consolidated obligation bond; and • protect the value of existing asset or liability positions or firm commitments Types of Derivatives. The Bank’s Risk Governance Policy establishes guidelines for its use of derivatives. The Bank can use instruments such as the following to reduce funding costs and to manage exposure to interest rate risks inherent in the normal course of business: • interest rate swaps • interest rate swaptions • interest rate caps or floors; and • futures and forward contracts Interest Rate Swaps. An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be exchanged and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional amount at a predetermined fixed rate for a given period of time. In return for this promise, this party receives cash flows equivalent to the interest on the same notional amount at a variable-rate index for the same period of time. The variable rate indexes received or paid by the Bank on derivatives are LIBOR, SOFR or Overnight Index Swap (OIS). Swaptions. A swaption is an option that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. When used as a hedge, a swaption can protect the Bank when it is planning to lend or borrow funds in the future against future interest rate changes. The Bank may enter into both payer swaptions and receiver swaptions. A payer swaption is the option to make fixed interest payments at a later date and a receiver swaption is the option to receive fixed interest payments at a later date. Interest Rate Cap and Floor Agreements. In an interest rate cap agreement, a cash flow is generated if the price or rate of an underlying variable rises above a certain threshold (or cap) price. In an interest rate floor agreement, a cash flow is generated if the price or rate of an underlying variable falls below a certain threshold (or floor) price. Caps and floors are designed as protection against the interest rate on a variable-rate asset or liability falling below or rising above a certain level. Futures and Forwards Contracts . Futures and forwards contracts give the buyer the right to buy or sell a specific type of asset at a specific time at a given price. For example, certain mortgage purchase commitments entered into by the Bank are considered derivatives. The Bank may hedge these commitments by selling to-be-announced (TBA) mortgage-backed securities for forward settlement. A TBA represents a forward contract for the sale of MBS at a future agreed upon date for an established price. Application of Derivatives. The Bank documents at inception all relationships between derivatives designated as hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing hedge effectiveness for all derivatives designated in an accounting hedge relationship. This process includes linking all derivatives that are designated as fair value hedges to (1) assets and liabilities on the Statement of Condition, or (2) firm commitments. Derivative financial instruments are designated by the Bank as follows: • a qualifying fair value hedge of an associated financial instrument or firm commitment; or • a non-qualifying economic hedge to manage certain defined risks on the Statement of Condition. These hedges are primarily used to: (1) manage mismatches between the coupon features of assets and liabilities, (2) offset prepayment risks in certain assets, (3) mitigate the income statement volatility that occurs when financial instruments are recorded at fair value and hedge accounting is not permitted, or (4) to reduce exposure to reset risk. There are two approaches to fair value hedge accounting - long-haul hedge accounting and short-cut hedge accounting. Refer to Note 1 - Summary of Significant Accounting Policies for more details. Derivative transactions may be executed either with a counterparty (referred to as uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Derivatives Clearing Organization (referred to as cleared derivatives). The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. The Bank transacts uncleared derivatives with counterparties that are large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Types of Hedged Items. The Bank has the following types of hedged items: Investments. The Bank primarily invests in certificates of deposit, U.S. Treasuries, U.S. agency obligations, MBS, and the taxable portion of state or local housing finance agency obligations, which may be classified as HTM, AFS or trading securities. The interest rate and prepayment risks associated with these investment securities are managed through a combination of debt issuance and derivatives. The Bank may manage the prepayment and interest rate risk by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with caps or floors, callable swaps or swaptions. The Bank may manage duration risk by funding investment securities with consolidated obligations that contain call features. The Bank may also manage the risk arising from changing market prices and volatility of investment securities by entering into economic derivatives that generally offset the changes in fair value of the securities. Derivatives hedging trading securities (carried at fair value) or HTM securities (carried at amortized cost) are designated as economic hedges. Derivatives hedging AFS securities may be designated as either fair value or economic hedges. Advances. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics, and optionality. The Bank may use derivatives to manage the repricing and/or options characteristics of advances to match more closely the characteristics of the funding liabilities. In general, whenever a member executes a fixed-rate advance or a variable-rate advance with embedded options, the Bank may simultaneously execute a derivative that offsets the terms and embedded options, if any, in the advance. For example, the Bank may hedge a fixed-rate advance with an interest rate swap where the Bank pays a fixed-rate and receives a variable-rate, effectively converting the fixed-rate advance to a variable-rate advance. This type of hedge is typically treated as a fair value hedge. In addition, the Bank may hedge a callable, prepayable or convertible advance by entering into a cancellable interest-rate swap. Mortgage Loans. The Bank invests in fixed-rate mortgage loans. The prepayment options embedded in these mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate and prepayment risks associated with mortgage loans through a combination of debt issuance and, at times, derivatives, such as interest rate caps and floors, swaptions and callable swaps. Although these derivatives are valid economic hedges against the prepayment risk of the loans, they are not specifically linked to individual loans and, therefore, do not receive hedge accounting. Consolidated Obligations. The Bank may enter into derivatives to hedge the interest rate risk associated with its specific debt issuances. The Bank manages the risk arising from changing market prices and volatility of a consolidated obligation by matching the cash inflow on the derivative with the cash outflow on the consolidated obligation. For instance, in a typical transaction, fixed-rate consolidated obligations are issued by the Bank, and the Bank simultaneously enters into a matching derivative in which the counterparty pays fixed cash flows designed to mirror, in timing and amount, the cash outflows the Bank pays on the consolidated obligation. The Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate advances. The fixed-rate obligation and matching derivative are treated as fair value hedge relationships. This strategy of issuing consolidated obligations while simultaneously entering into derivatives enables the Bank to offer a wider range of attractively-priced advances to its members and may allow the Bank to reduce its funding costs. The continued attractiveness of this strategy depends on yield relationships between the Bank’s consolidated obligations and derivative markets. If conditions change, the Bank may alter the types or terms of the consolidated obligations that it issues. Firm Commitments. The Bank’s mortgage loan purchase commitments are considered derivatives and are recorded at fair value. When the mortgage loan purchase commitment derivative settles, the current market value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Because the market in which the purchase of MPF loans differs from the principal market, the transaction price may not equal fair value on the date of the inception of the commitment and may result in a gain or loss for the Bank. The Bank may also hedge a firm commitment for a forward starting advance through the use of an interest rate swap. In this case, the interest-rate swap functions as the hedging instrument for both the firm commitment and the subsequent advance and is treated as a fair value hedge. Because the firm commitment ends at the same exact time that the advance is settled, the fair value change associated with the firm commitment is effectively rolled into the basis of the advance. Financial Statement Effect and Additional Financial Information. Derivative Notional Amounts . The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives reflects the Banks' involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Additionally, notional values are not meaningful measures of the risks associated with derivatives. The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. December 31, 2022 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 69,039,626 $ 53,340 $ 985,134 Derivatives not designated as hedging instruments: Interest rate swaps $ 2,176,879 $ 2,112 $ 24,457 Interest rate caps or floors 975,000 5,164 — Mortgage delivery commitments 10,287 10 41 Total derivatives not designated as hedging instruments: $ 3,162,166 $ 7,286 $ 24,498 Total derivatives before netting and collateral adjustments $ 72,201,792 $ 60,626 $ 1,009,632 Netting adjustments and cash collateral (1) 168,370 (996,194) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 228,996 $ 13,438 December 31, 2021 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 25,597,234 $ 1,061 $ 70,643 Derivatives not designated as hedging instruments: Interest rate swaps $ 1,084,988 $ 27 $ 3,046 Interest rate caps or floors 1,005,000 1,357 — Mortgage delivery commitments 24,822 2 131 Total derivatives not designated as hedging instruments $ 2,114,810 $ 1,386 $ 3,177 Total derivatives before netting and collateral adjustments $ 27,712,044 $ 2,447 $ 73,820 Netting adjustments and cash collateral (1) 180,406 (67,975) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 182,853 $ 5,845 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $1,166.4 million for December 31, 2022 and $248.7 million for December 31, 2021. Cash collateral received was $1.9 million for December 31, 2022 and $0.3 million for December 31, 2021. The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedge relationships and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships. (in thousands) Gains/(Losses) on Derivative Gains/ (Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2022 Hedged item type: Advances $ 418,403 $ (418,262) $ (7,674) $ (7,533) $ 992,336 AFS securities 528,989 (525,632) 30,422 33,779 264,785 Mortgage loans held for portfolio — (1,378) — (1,378) 135,086 Consolidated obligations - discount notes (6,625) 7,057 5,717 6,149 (464,352) Consolidated obligations – bonds (991,964) 991,737 (69,233) (69,460) (775,104) Total $ (51,197) $ 53,522 $ (40,768) $ (38,443) (in thousands) Gains/(Losses) on Derivative Gains/ (Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2021 Hedged item type: Advances $ 203,228 $ (203,344) $ (140,979) $ (141,095) $ 139,905 AFS securities 121,467 (119,855) (46,758) (45,146) 96,438 Mortgage loans held for portfolio — (3,468) — (3,468) 126,360 Consolidated obligations – bonds (105,498) 105,526 51,805 51,833 (222,781) Total $ 219,197 $ (221,141) $ (135,932) $ (137,876) (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2020 Hedged item type: Advances $ (77,223) $ 77,129 $ (185,860) $ (185,954) $ 625,473 AFS securities (84,465) 82,308 (21,131) (23,288) 166,842 Mortgage loans held for portfolio — (3,219) — (3,219) 155,271 Consolidated obligations – bonds (7,336) 8,061 66,820 67,545 (530,962) Total $ (169,024) $ 164,279 $ (140,171) $ (144,916) The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items. (in thousands) December 31, 2022 Hedged item type Carrying Amount of Hedged Assets/Liabilities (1) Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities Fair Value Hedging Adjustments for Discontinued Hedging Relationships Total Amount of Fair Value Hedging Adjustments Advances $ 9,516,520 $ (370,776) $ (918) $ (371,694) AFS securities 6,265,480 (513,825) 873 (512,952) Consolidated obligations - discount notes 17,481,373 (7,057) — (7,057) Consolidated obligations – bonds 33,603,677 (1,072,289) 10 (1,072,279) (in thousands) December 31, 2021 Hedged item type Carrying Amount of Hedged Assets/Liabilities (1) Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities Fair Value Hedging Adjustments for Discontinued Hedging Relationships Total Amount of Fair Value Hedging Adjustments Advances $ 8,952,529 $ 46,583 $ (20) $ 46,563 AFS securities 5,968,405 11,667 1,012 12,679 Consolidated obligations – bonds 10,633,898 (80,686) 146 (80,540) Note: (1) Includes carrying value of hedged items in current fair value hedging relationships. The following table presents net gains (losses) related to derivatives not designated as hedging instruments in noninterest income. Year ended December 31, (in thousands) 2022 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 20,942 $ 15,449 $ (85,298) Interest rate caps or floors 2,663 184 758 Net interest settlements (5,864) (5,440) (11,467) To Be Announced (TBA) 74 — 38 Mortgage delivery commitments (2,917) (4,311) 4,724 Other 1 — 148 Total net gains (losses) related to derivatives not designated as hedging instruments $ 14,899 $ 5,882 $ (91,097) Other - price alignment amount on cleared derivatives (1) (655) 11 187 Net gains (losses) on derivatives $ 14,244 $ 5,893 $ (90,910) Notes: (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract. The Bank had no active cash flow hedging relationships during 2022, 2021 or 2020. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Uncleared derivative transactions executed on or after September 1, 2022 are subject to two-way initial margin requirements, as mandated by regulatory requirements issued in response to the Wall Street Reform and Consumer Protection Act, if the Bank’s average aggregate uncleared derivative notional amount, and the initial margin requirement to an individual counterparty exceed specified thresholds. The initial margin is required to be certain investment securities that are held at a third-party custodian and do not change ownership, except upon the occurrence of certain events, including an event of default due to bankruptcy, insolvency, or similar proceeding. As of December 31, 2022, the Bank did not exceed initial margin thresholds and was not required to post two-way initial margin. Generally, the Bank’s ISDA agreements for uncleared derivatives have collateral delivery thresholds set to zero (subject to minimum transfer amounts). The Bank has a small number of legacy trades that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank’s credit rating and the net liability position exceeds the relevant threshold. As of December 31, 2022, the net liability position of these trades, collateral posted and potential additional credit contingent collateral amounts are all immaterial. Cleared Derivatives . For cleared derivatives, Derivative Clearing Organizations (Clearing Houses) are the Bank's counterparties. The Clearing Houses notify the clearing agent of the required initial and variation margin. The requirement that the Bank post initial margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses either CME Clearing or LCH Ltd as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as settled to market, rather than collateral. Initial margin is considered collateralized to market. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 14 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. For cleared derivatives, the Clearing House determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. The Bank was not required by its clearing agents to post additional initial margin at December 31, 2022. Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure. Initial margin posted to the clearing house is presented as a derivative asset. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties. December 31, 2022 Derivative Instruments Meeting Netting Requirements (in thousands) Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Net amounts after netting adjustments and cash collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets Uncleared $ 43,901 (41,679) $ 2,222 10 $ 2,232 Cleared 16,715 210,049 226,764 — 226,764 Total $ 60,616 $ 168,370 $ 228,986 $ 10 $ 228,996 Derivative Liabilities Uncleared $ 1,003,917 (992,167) $ 11,750 41 $ 11,791 Cleared 5,674 (4,027) 1,647 — 1,647 Total $ 1,009,591 $ (996,194) $ 13,397 $ 41 $ 13,438 December 31, 2021 Derivative Instruments Meeting Netting Requirements (in thousands) Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Net amounts after netting adjustments and cash collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets Uncleared $ 1,972 (1,700) $ 272 2 $ 274 Cleared 473 182,106 $ 182,579 — 182,579 Total Derivative Assets $ 2,445 $ 180,406 $ 182,851 $ 2 $ 182,853 Derivative Liabilities Uncleared $ 71,083 (67,502) $ 3,581 131 $ 3,712 Cleared 2,606 (473) 2,133 — 2,133 Total Derivative Liabilities $ 73,689 $ (67,975) $ 5,714 $ 131 5,845 Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments). |
Deposits
Deposits | 12 Months Ended |
Dec. 31, 2022 | |
Deposits [Abstract] | |
Deposits | Deposits The Bank offers demand and overnight deposits to both members and to qualifying nonmembers and term deposits to members. Noninterest-bearing demand and overnight deposits are generally comprised of funds collected by members pending disbursement to the mortgage loan holders, as well as member funds deposited at the FRB. The following table details interest-bearing and noninterest-bearing deposits as of December 31, 2022 and 2021. December 31, (in thousands) 2022 2021 Interest-bearing: Demand and overnight $ 525,549 $ 918,706 Noninterest-bearing: Demand and overnight 27,730 168,801 Total deposits $ 553,279 $ 1,087,507 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations consist of bonds and discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants to have issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. The Finance Agency and the U.S. Secretary of the Treasury oversee the issuance of FHLBank debt through the OF. Bonds may be issued to raise short-, intermediate-, and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on their maturity. Discount notes are issued primarily to raise short-term funds and have original maturities of up to one year. These notes generally sell at less than their face amount and are redeemed at par value when they mature. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank. Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required to make such payments, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs, including interest, to be determined by the Finance Agency. If the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. However, t he Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations were $1,181.7 billion at December 31, 2022 and $652.9 billion at December 31, 2021. Regulations require the Bank to maintain unpledged qualifying assets equal to its participation of the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; obligations of or fully guaranteed by the United States; obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations or other securities which are or ever have been sold by Freddie Mac; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the Bank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they are free from lien or pledge for purposes of compliance with these regulations. General Terms. Consolidated obligations are issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that are indexed to specified indices, such as SOFR. To meet the specific needs of certain investors in consolidated obligations, both fixed-rate bonds and variable-rate bonds may contain features which may result in complex coupon payment terms and call options. When such consolidated obligations are issued, the Bank may enter into derivatives containing offsetting features that effectively convert the terms of the bond to those of a simple variable-rate bond or a fixed-rate bond. The Bank has no outstanding consolidated obligations denominated in currencies other than U.S. dollars. Interest Rate Payment Terms. With respect to interest payments, consolidated obligation bonds may also have the following terms: Step-up Bonds generally pay interest at increasing fixed rates at specified intervals over the life of the bond. These bonds generally contain provisions enabling the Bank to call bonds at its option on the step-up dates; and The following table details interest rate payment terms for the Bank’s consolidated obligation bonds at December 31, 2022 and December 31, 2021 . (in thousands) December 31, 2022 December 31, 2021 Par value of consolidated bonds: Fixed-rate $ 39,983,295 $ 20,650,400 Step-up 3,124,000 1,560,000 Floating-rate 14,408,000 925,000 Total par value 57,515,295 23,135,400 Bond premiums 47,515 62,536 Bond discounts (14,069) (7,469) Concession fees (5,008) (4,188) Hedging adjustments (1,072,278) (80,541) Total book value $ 56,471,455 $ 23,105,738 Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity and weighted-average interest rate at December 31, 2022 and December 31, 2021 . December 31, 2022 December 31, 2021 (dollars in thousands) Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 30,747,975 3.72 % $ 5,748,625 1.17 % Due after 1 year through 2 years 11,491,385 3.09 2,243,000 1.74 Due after 2 years through 3 years 3,263,725 2.16 3,520,275 1.32 Due after 3 years through 4 years 6,557,800 1.25 1,683,725 1.27 Due after 4 years through 5 years 1,850,300 3.09 6,300,800 1.10 Thereafter 3,604,110 2.37 3,638,975 1.90 Total par value $ 57,515,295 3.12 % $ 23,135,400 1.35 % The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2022 and December 31, 2021 . (in thousands) December 31, 2022 December 31, 2021 Noncallable $ 35,816,795 $ 11,476,400 Callable 21,698,500 11,659,000 Total par value $ 57,515,295 $ 23,135,400 The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2022 and December 31, 2021 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2022 2021 Due in 1 year or less $ 47,036,975 $ 17,067,625 Due after 1 year through 2 years 6,573,385 2,025,000 Due after 2 years through 3 years 1,049,725 1,151,275 Due after 3 years through 4 years 1,035,800 848,725 Due after 4 years through 5 years 392,300 596,800 Thereafter 1,427,110 1,445,975 Total par value $ 57,515,295 $ 23,135,400 Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of December 31, 2022 and December 31, 2021 . December 31, (dollars in thousands) 2022 2021 Book value $ 33,745,478 $ 10,493,617 Par value 34,007,058 10,494,933 Weighted average interest rate (1) 4.25 % 0.04 % Note: (1) Represents yield to maturity excluding concession fees and hedging adjustments. |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 12 Months Ended |
Dec. 31, 2022 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program (AHP) | Affordable Housing Program (AHP) In support of the goal of providing funding for affordable housing and economic development, the Bank administers a number of programs, some mandated and some optional set-asides, which make funds available through member financial institutions. In all of these programs, Bank funds flow through member financial institutions into areas of need that are served by our members. AHP, mandated by the Act, is the largest and primary public policy program of the FHLBanks. The Act requires the Bank to contribute 10% of its current year net income (as defined by a Finance Agency advisory bulletin as GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP) to AHP and make these funds available for use in the subsequent year. Each year, the Bank’s Board adopts an implementation plan that defines the structure of the program pursuant to the AHP regulations. Each FHLBank provides subsidies in the form of direct grants or below-market interest rates on advances to members who provide the funds to assist in the purchase, construction or rehabilitation of housing for very low and low-or moderate-income households. Annually, the FHLBanks must collectively recognize AHP assessment expense equal to the greater of 10% of its annual income subject to assessment, or the prorated sum required to ensure the aggregate contribution by the FHLBanks is no less than $100 million for each year . The Bank accrues this expense monthly based on its net income. The Bank reduces the AHP liability as members use subsidies. If the Bank experienc ed a net loss during a quarter, but still had net earnings for the year, t he Bank’s obligation to the AHP would be calculated based on the Bank’s year-to-date net income. If the Bank had net income in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the Bank would have no obligation to the AHP for the year since each FHLBank’s required annual AHP contribution is limited to its annual net income. If the aggregate 10% calculation described above was less than $100 million for all the FHLBanks, each FHLBank would be required to contribute a prorated sum to ensure that the aggregate contributions by the FHLBanks equal $100 million . The proration would be made on the basis of an FHLBank’s income in relation to the income of all FHLBanks for the previous year. There was no shortfall in assessments below the $100 million minimum amount for the years ended 2022, 2021 or 2020. If an FHLBank finds that its required contributions are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions under the Act. The Bank did not make any such application in 2022, 2021 or 2020. The Bank awards commitments that are disbursed over 24 to 36 months. The Bank has outstanding AHP commitments of $48.5 million, $68.6 million and $72.0 million as of December 31, 2022, 2021 and 2020, respectively. The following table presents a rollforward of the AHP payable for 2022, 2021, and 2020. (in thousands) 2022 2021 2020 Balance, beginning of the year $ 81,152 $ 102,186 $ 112,289 Assessments 25,410 9,974 25,227 Payments and subsidy usage, net (30,734) (31,008) (35,330) Balance, end of the year $ 75,828 $ 81,152 $ 102,186 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2022 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Capital The Bank is subject to three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. • Risk-based capital (RBC) . Under this capital requirement, the Bank must maintain at all times permanent capital, defined as the amounts paid-in for Class B stock and retained earnings, in an amount at least equal to the sum of its credit risk, market risk, and operational risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require the Bank to maintain a greater amount of minimum capital levels than is required based on the Finance Agency rules and regulations. • Total regulatory capital. Under this capital requirement, the Bank is required to maintain at all times a total capital-to-assets ratio of at least 4.0%. Total regulatory capital is the sum of permanent capital, Class A stock, any general loss allowance, if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses; and • Leverage capital . Under this third capital requirement, the Bank is required to maintain at all times a leverage capital-to-assets ratio of at least 5.0%. Leverage capital is defined as the sum of (i) permanent capital weighted 1.5 times and (ii) all other components of total capital. At December 31, 2022, the Bank was in compliance with all regulatory capital requirements. The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. The Bank had $309.0 million in B1 membership stock and $3,119.4 million in B2 activity stock at December 31, 2022. The Bank had $352.1 million in B1 membership stock and $874.9 million in B2 activity stock at December 31, 2021. The following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2022 and December 31, 2021. December 31, 2022 December 31, 2021 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 441,078 $ 4,992,405 $ 406,676 $ 2,647,918 Total capital-to-asset ratio 4.0 % 5.2 % 4.0 % 7.0 % Total regulatory capital 3,845,647 4,992,405 1,506,051 2,647,918 Leverage ratio 5.0 % 7.8 % 5.0 % 10.6 % Leverage capital 4,807,058 7,488,607 1,882,564 3,971,878 The Finance Agency has established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On December 15, 2022, the Bank received final notification from the Finance Agency that it was considered “adequately capitalized” for the quarter ended September 30, 2022. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended December 31, 2022. Mandatorily Redeemable Capital Stock. The Bank is a cooperative whose member financial institutions and former members own all of the relevant Bank’s issued and outstanding capital stock. Shares cannot be purchased or sold except between the Bank and its members at the shares’ par value of $100, as mandated by the Bank’s Capital Plan. At December 31, 2022 and December 31, 2021, the Bank had $27.8 million and $22.5 million, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. The estimated dividends on mandatorily redeemable capital stock recorded as interest expense were $1.6 million, $3.7 million, and $16.6 million during 2022, 2021 and 2020. The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2022, 2021, and 2020. December 31, (in thousands) 2022 2021 2020 Balance, beginning of the period $ 22,457 $ 142,807 $ 343,575 Capital stock subject to mandatory redemption reclassified from capital 5,809 1,069 39,457 Redemption/repurchase of mandatorily redeemable stock (503) (121,419) (240,225) Balance, end of the period $ 27,763 $ 22,457 $ 142,807 As of December 31, 2022, the total mandatorily redeemable capital stock reflected the balance for six institutions. Three institutions were merged out of district and are considered to be non-members and one relocated and became a member of another FHLBank at which time the membership with the Bank terminated. Two other institutions have notified the Bank of their intention to voluntarily redeem their capital stock and withdraw from membership. These institutions will continue to be members of the Bank until the withdrawal period is completed. The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2022 and December 31, 2021. December 31, (in thousands) 2022 2021 Due in 1 year or less $ 20,000 $ — Due after 1 year through 2 years — 20,000 Due after 2 years through 3 years 34 — Due after 3 years through 4 years 527 26 Due after 4 years through 5 years 5,571 459 Past contractual redemption date due to remaining activity 1,631 1,972 Total $ 27,763 $ 22,457 Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding. Dividends and Retained Earnings. In accordance with the Joint Capital Enhancement Agreement (JCEA), entered into by the Bank, as amended, the Bank allocates on a quarterly basis 20% of its net income to a separate restricted retained earnings account (RRE) until the account balance equals at least 1% of the Bank's average balance of outstanding consolidated obligations for the current quarter. These RRE are not available to pay dividends and are presented separately from other retained earnings on the Statement of Condition. Additionally, the Capital Agreement provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum (i.e., one percent of the average balance of outstanding consolidated obligations calculated as of the last day of each calendar quarter) may be released from restricted retained earnings. As a result of increased consolidated obligations, an allocation of net income was made to RRE during the second, third, and fourth quarters of 2022. At December 31, 2022, retained earnings were $1,536.2 million, including $1,037.2 million of unrestricted retained earnings and $499.0 million of RRE. Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. These dividends are based on stockholders' average balances for the previous quarter. Dividends paid in 2022, 2021 and 2020 are presented in the table below. Dividend - Annual Yield 2022 2021 2020 Membership Activity Membership Activity Membership Activity February 1.25% 5.25% 2.50% 5.75% 4.50% 7.75% April 1.25% 5.25% 2.50% 5.75% 3.00% 6.25% July 2.25% 6.25% 1.25% 5.25% 3.00% 6.25% October 3.25% 7.25% 1.25% 5.25% 3.00% 6.25% In February 2023, the Bank paid a quarterly dividend equal to an annual yield of 4.00% on membership stock and 7.95% on activity stock. The following table summarizes the changes in AOCI for 2022, 2021 and 2020. (in thousands) Net Unrealized Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on AFS Net Unrealized Gains (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2019 $ 45,155 $ 51,704 $ 149 $ (5,182) $ 91,826 Other comprehensive income (loss) before Adoption of ASU -2016-13 51,704 (51,704) — — Net unrealized gains (losses) 46,733 — — — 46,733 Amortization on hedging activities — — (149) — (149) Pension and post-retirement — — — (1,084) (1,084) December 31, 2020 $ 143,592 $ — $ — $ (6,266) $ 137,326 December 31, 2020 $ 143,592 $ — $ — $ (6,266) $ 137,326 Other comprehensive income (loss) before Net unrealized gains (losses) (28,577) — — — (28,577) Pension and post-retirement — — — 1,442 1,442 December 31, 2021 $ 115,015 $ — $ — $ (4,824) $ 110,191 December 31, 2021 $ 115,015 $ — $ — $ (4,824) $ 110,191 Other comprehensive income (loss) before Net unrealized gains (losses) (180,423) — — — (180,423) Reclassifications from OCI to net income: Reclassification adjustment for net (gains) losses included in net income (509) — — — (509) Pension and post-retirement — — — 4,214 4,214 December 31, 2022 $ (65,917) $ — $ — $ (610) $ (66,527) |
Employee Retirement Plans
Employee Retirement Plans | 12 Months Ended |
Dec. 31, 2022 | |
Retirement Benefits [Abstract] | |
Employee Retirement Plans | Employee Retirement Plans Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers officers and employees of the Bank that meet certain eligibility requirements and were hired prior to January 1, 2019. The Defined Benefit Plan operates on a fiscal year from July 1 through June 30. The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number 13-5645888, and the three-digit plan number is 333. There are no collective bargaining agreements in place at the Bank. The Defined Benefit Plan’s annual valuation process includes calculating the plan’s funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30 that the plan’s participants may choose to make. The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2021. The Bank’s contributions to the Defined Benefit Plan during 2022 and 2021 were less than 5% of the total plan contributions during each of the plan years ended June 30, 2021 and 2020. (dollars in thousands) 2022 2021 2020 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 2,642 $ 3,370 $ 3,572 Defined Benefit Plan funded status as of July 1 118.9 % (a) 130.6 % (b) 108.5 % Bank’s funded status as of July 1 155.0 % 170.8 % 141.1 % (a) The Defined Benefit Plan’s funded status as of July 1, 2022 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2022 through March 15, 2023. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2023). (b) The funded status disclosed is preliminary as the Form 5500 had not been filed when disclosed. Included in the net pension costs above are discretionary contributions of $2.0 million , $2.7 million and $3.0 million in 2022, 2021 and 2020, respectively. As the Defined Benefit Plan's year-end is June 30, the Bank's discretionary contributions, which occur during the Bank's calendar year, may be allocated to multiple Defined Benefit Plan years. Qualified Defined Contribution Plan. The Bank also maintains a defined contribution plan for its employees . The Bank’s contributions consist of a matching contribution equal to a percentage of voluntary employee contributions, subj ect to certain limitations. F or those employees that meet certain eligibility requirements and were hired on or after January 1, 2019, the Bank will make an additional contribution to the plan equal to a percentage of the eligible employee’s plan salary. T he Bank recognized $1.7 million , $1.6 million and $1.6 million in expense related to plan contributions during 2022, 2021 and 2020, respectively. Nonqualified Supplemental Deferred Compensation Plans. In addition, the Bank maintains nonqualified deferred compensation plans, available to select employees and directors, which are, in substance, unfunded supplemental defined contribution retirement plans. The plans’ liabilities consist of the accumulated compensation deferrals and accrued earnings (losses) on the deferrals. The Bank’s obligation from these plans wa s $17.7 million and $18.4 million at December 31, 2022 and December 31, 2021, respectively, and the Bank recognized operating expenses of $(1.5) million , $2.1 million, and $1.1 million for 2022 , 2021 and 2020, respectively. Although the nonqualified compensation plans are unfunded, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants and to partially offset the earnings (losses) of certain deferred compensation agreements. The fair value of the mutual funds was $13.9 million and $14.2 million at December 31, 2022 and December 31, 2021, respectively. Post-retirement Health Benefit Plan. The Bank sponsors an unfunded retiree benefits program that includes health care and life insurance benefits for eligible retirees. Employees who retired prior to January 1, 1992 receive health care benefits at the Bank’s expense after age 65. Employees retiring after January 1, 1992 participate in a health reimbursement account (HRA). At the discretion of the Bank, the amount can be modified. A limited life insurance benefit is provided at the Bank’s expense for retirees who retired prior to January 1, 2009. Employees who retired after January 1, 1992 but prior to January 1, 2009 were required to meet specific eligibility requirements of age 65 or age 60 with a minimum of 10 years of service at the time of retirement to be eligible for retiree health and life insurance benefits. The Accumulated Post-retirement Benefit Obligation (APBO) was $2.1 million and $2.5 million at December 31, 2022 and December 31, 2021, respectively. Supplemental Executive Retirement Plan (SERP). The Bank also maintains an unfunded SERP, a nonqualified defined benefit retirement plan, for executives hired prior to January 1, 2019. The SERP is intended to ensure, among other things, that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit pension plan in the absence of limits on benefits levels imposed by the Internal Revenue Service. The accumulated benefit obligation for the SERP was $9.5 million and $10.4 million at December 31, 2022 and December 31, 2021, respectively. As noted above, all nonqualified plans maintained by the Bank are unfunded; however, the Bank is the beneficiary of certain mutual funds held in a Rabbi trust which assets help secure the Bank’s obligation to participants. The fair value of the mutual funds was $2.1 million at both December 31, 2022 and December 31, 2021 . The Post-retirement Health Benefit Plan and SERP are not material to the Bank. However, the following table sets forth their benefit obligations recorded in Other liabilities on the Statements of Condition and amounts recognized in AOCI. In addition, the Bank recognized $1.8 million, $3.3 million, and $2.5 million in expense related to these two plans during 2022, 2021 and 2020, respectively, of which the service cost component was recognized in Compensation and benefits expense and all other costs were recognized in Other operating expense on the Statements of Income. SERP Post-retirement Health Benefit Plan Total (in thousands) 2022 2021 2022 2021 2022 2021 Benefit obligations $ 11,741 $ 13,885 $ 2,060 $ 2,511 $ 13,801 $ 16,396 Unrealized actuarial gains (losses) in AOCI $ (1,255) $ (4,924) $ 644 $ 100 $ (611) $ (4,824) |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Transactions with Related Parties The Bank is a cooperative whose member institutions own the capital stock of the Bank and may receive dividends on their investments. In addition, certain former members that still have outstanding transactions are also required to maintain their investment in Bank capital stock until the transactions mature or are paid off. All loans, including BOB loans and letters of credit, are issued to members and all mortgage loans held for portfolio are purchased from members. The Bank also maintains demand deposit accounts for members primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. These transactions with members are entered into in the normal course of business and represent member activity. In the ordinary course of business, the Bank may utilize products and services, provided at normal market rates and terms, from its members to support its operations. In instances where the member also has an officer or a director who is a Director of the Bank, those transactions are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as all other transactions. Related parties are defined as those parties meeting any one of the following criteria: (1) other FHLBanks in the System; (2) members with capital stock outstanding in excess of 10% of total capital stock outstanding; or (3) members and nonmember borrowers that have an officer or director who is a Director of the Bank. The following table includes significant outstanding related party member activity balances. December 31, (in thousands) 2022 2021 Advances $ 42,401,975 $ 6,948,649 Letters of credit (1) 16,928,206 15,717,397 MPF loans 263,795 145,193 Deposits 32,335 44,415 Capital stock 1,891,978 510,256 Note: (1) Letters of credit are off-balance sheet commitments. The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented. Year ended December 31, (in thousands) 2022 2021 2020 Interest income on advances (1) $ 644,622 $ 152,444 $ 434,423 Interest income on MPF loans 10,897 50,200 24,875 Letters of credit fees 10,003 18,574 2,984 Note: (1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included. The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Year ended December 31, (in thousands) 2022 2021 2020 Servicing fee expense $ 3,562 $ 3,669 $ 3,909 December 31, (in thousands) 2022 2021 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,119 $ 5,409 From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. The amount loaned by the bank to other FHLBanks and repaid was $1.8 billion in 2022, none in 2021, and $5.0 million in 2020. The amount borrowed from and repaid to other FHLBanks was $2.0 billion in 2022, $5.0 million in 2021 and $30.0 million in 2020. |
Estimated Fair Values
Estimated Fair Values | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Estimated Fair Values Fair value amounts have been determined by the Bank using available market information and 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). These estimates are based on recent market data and other pertinent information available to the Bank at December 31, 2022 and December 31, 2021. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2022 and December 31, 2021 are presented in the table below. Fair Value Summary Table December 31, 2022 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Assets: Cash and due from banks $ 13,242 $ 13,242 $ — $ — $ — $ 13,242 Interest-bearing deposits 2,471,135 2,471,135 — — — 2,471,135 Securities purchased under agreement to resell (2) 3,200,000 — 3,200,137 — — 3,200,137 Federal funds sold 3,050,000 — 3,050,141 — — 3,050,141 Trading securities 214,008 — 214,008 — — 214,008 AFS securities 12,190,560 — 12,048,289 142,271 — 12,190,560 HTM securities 956,471 — 824,230 50,052 — 874,282 Advances 68,856,236 — 68,548,367 — — 68,548,367 Mortgage loans held for portfolio, net 4,590,888 — 4,039,588 — — 4,039,588 BOB loans, net 22,998 — — 22,998 — 22,998 Accrued interest receivable 310,081 — 310,081 — — 310,081 Derivative assets 228,996 — 60,626 — 168,370 228,996 Liabilities: Deposits $ 553,279 $ — $ 553,279 $ — $ — $ 553,279 Discount notes 33,745,478 — 33,739,166 — — 33,739,166 Bonds 56,471,455 — 55,694,094 — — 55,694,094 Mandatorily redeemable capital stock (3) 27,763 28,321 — — — 28,321 Accrued interest payable (3) 287,539 — 286,981 — — 286,981 Derivative liabilities 13,438 — 1,009,632 — (996,194) 13,438 December 31, 2021 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Assets: Cash and due from banks $ 428,190 $ 428,190 $ — $ — $ — $ 428,190 Interest-bearing deposits 528,476 528,476 — — — 528,476 Securities purchased under agreement to resell (2) 1,670,000 — 1,670,004 — — 1,670,004 Federal funds sold 1,975,000 — 1,975,008 — — 1,975,008 Trading securities 243,262 — 243,262 — — 243,262 AFS securities 12,467,293 — 12,272,868 194,425 — 12,467,293 HTM securities 1,213,872 — 1,177,957 70,406 — 1,248,363 Advances 14,124,375 — 14,169,479 — — 14,169,479 Mortgage loans held for portfolio, net 4,676,183 — 4,719,966 — — 4,719,966 BOB loans, net 22,501 — — 22,501 — 22,501 Accrued interest receivable 74,660 — 74,660 — — 74,660 Derivative assets 182,853 — 2,447 — 180,406 182,853 Liabilities: Deposits $ 1,087,507 $ — $ 1,087,507 $ — $ — $ 1,087,507 Discount notes 10,493,617 — 10,492,517 — — 10,492,517 Bonds 23,105,738 — 23,205,896 — — 23,205,896 Mandatorily redeemable capital stock (3) 22,457 22,752 — — — 22,752 Accrued interest payable (3) 59,123 — 58,829 — — 58,829 Derivative liabilities 5,845 — 73,820 — (67,975) 5,845 Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. (2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2022 and December 31, 2021. These instruments’ maturity term is overnight. (3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. 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 or in which little information is released publicly; (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 - Valuations derived from techniques in which one or more significant inputs are not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques. The Bank reviews its 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. 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. Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities. For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows: • U.S. Treasury curve: certificates of deposit • CO curve: GSE and other U.S. obligations The Bank uses a market approach for its state and local agency bonds and U.S. Treasury obligations. For state and local agency bonds, the Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple 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. Since 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, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. During the year, the Bank conducts reviews of its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. 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, and/or non-binding dealer estimates) 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 price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) 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. As of December 31, 2022, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. Based on the Bank’s reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, the Bank classified private label MBS as Level 3. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • Discount rate assumption. SOFR curve for cleared derivatives and SOFR uncleared derivatives. Overnight Index Swap (OIS) curve for all other uncleared derivatives. • Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: • TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank’s credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, either CME clearing or LCH Ltd. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability. Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at December 31, 2022 and December 31, 2021. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. December 31, 2022 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: GSE obligations — 214,008 — — 214,008 Total trading securities $ — $ 214,008 $ — $ — $ 214,008 AFS securities: Non-MBS: U.S. Treasury obligations $ — $ 5,232,493 $ — $ — $ 5,232,493 GSE and TVA obligations — 1,125,743 — — 1,125,743 State or local agency obligations — 170,263 — — 170,263 MBS: U.S. obligations single-family — 482,982 — — 482,982 GSE single-family — 1,881,037 — — 1,881,037 GSE multifamily — 3,155,771 — — 3,155,771 Private label — — 142,271 — 142,271 Total AFS securities $ — $ 12,048,289 $ 142,271 $ — $ 12,190,560 Derivative assets: Interest rate related $ — $ 60,616 $ — $ 168,370 $ 228,986 Mortgage delivery commitments — 10 — — 10 Total derivative assets $ — $ 60,626 $ — $ 168,370 $ 228,996 Total recurring assets at fair value $ — $ 12,322,923 $ 142,271 $ 168,370 $ 12,633,564 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 1,009,591 $ — $ (996,194) $ 13,397 Mortgage delivery commitments — 41 — — 41 Total recurring liabilities at fair value $ — $ 1,009,632 $ — $ (996,194) $ 13,438 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 5,240 $ — $ 5,240 REO — — 403 — 403 Total non-recurring assets at fair value $ — $ — $ 5,643 $ — $ 5,643 December 31, 2021 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: GSE and TVA obligations — 243,262 — — 243,262 Total trading securities $ — $ 243,262 $ — $ — $ 243,262 AFS securities: Non MBS: U.S. Treasury obligations $ — $ 5,075,232 $ — $ — $ 5,075,232 GSE and TVA obligations — 1,493,652 — — $ 1,493,652 State or local agency obligations — 207,197 — — 207,197 MBS: U.S. obligations single-family — 398,807 — — 398,807 GSE single-family — 2,093,069 — — 2,093,069 GSE multifamily — 3,004,911 — — 3,004,911 Private label — — 194,425 — 194,425 Total AFS securities $ — $ 12,272,868 $ 194,425 $ — $ 12,467,293 Derivative assets: Interest rate related $ — $ 2,445 $ — $ 180,406 $ 182,851 Mortgage delivery commitments — 2 — — 2 Total derivative assets $ — $ 2,447 $ — $ 180,406 $ 182,853 Total recurring assets at fair value $ — $ 12,518,577 $ 194,425 $ 180,406 $ 12,893,408 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 73,689 $ — $ (67,975) $ 5,714 Mortgage delivery commitments — 131 — — 131 Total recurring liabilities at fair value $ — $ 73,820 $ — $ (67,975) $ 5,845 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 10,570 $ — $ 10,570 REO — — 478 — 478 Total non-recurring assets at fair value $ — $ — $ 11,048 $ — $ 11,048 Notes: (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 agent and/or counterparties. Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the years ended December 31, 2022, 2021 or 2020. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during 2022, 2021 or 2020. AFS Private Label MBS Year Ended December 31, 2022 AFS Private Label MBS Year Ended December 31, 2021 AFS Private Label MBS Year Ended December 31, 2020 Balance, beginning of period $ 194,425 $ 252,600 $ 326,146 Total gains (losses) (realized/unrealized) included in: (Provision) reversal for credit losses (6,154) 39 (2,417) Accretion of credit losses in interest income 9,271 9,651 11,635 Net unrealized gains (losses) on AFS in OCI (22,172) (4,239) (14,530) Purchases, issuances, sales, and settlements: Settlements (33,099) (63,626) (68,234) Balance at December 31 $ 142,271 $ 194,425 $ 252,600 Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or (losses) relating to assets and liabilities still held at December 31 $ 2,798 $ 9,467 $ 9,218 Change in unrealized gains (losses) for the period included in other comprehensive income for assets held December 31 $ (22,172) $ (4,239) $ (14,530) |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and contingencies (Note 15) | Commitments and Contingencies The following table presents the Bank’s various off-balance sheet commitments which are described in detail below. (in thousands) December 31, 2022 December 31, 2021 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 22,126,676 $ — $ 22,126,676 $ 19,419,734 Commitments to fund additional advances and BOB loans 373 — 373 12,206 Commitments to purchase mortgage loans 10,287 — 10,287 24,822 Unsettled consolidated obligation discount notes, at par 15,370 — 15,370 — Unsettled consolidated obligation bonds, at par 1,080,000 — 1,080,000 82,000 Notes : (1) Excludes approved requests to issue future standby letters of credit of $0.0 million at December 31, 2022 and $357.5 million at December 31, 2021. (2) Letters of credit in the amount of $2.2 billion at December 31, 2022 and $4.3 billion at December 31, 2021, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years. Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized overnight advance. Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $4.2 million at December 31, 2022 and $4.3 million at December 31, 2021. The Bank manages the credit risk of each member on the basis of the member's TCE to the Bank which includes its standby letters of credit. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit as described in Note 5 - Advances. Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on advance commitments and standby letters of credit, which are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in Other liabilities on the Statement of Condition. The Bank does not have any legally binding or unconditional unused lines of credit for advances at December 31, 2022 or December 31, 2021. However, within the Bank’s Rollover (weekly/monthly) advance product, there were conditional lines of credit outstanding of $9.6 billion at December 31, 2022 and $11.9 billion at December 31, 2021. Commitments to Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF Program. These delivery commitments are generally for periods not to exceed 60 days. Such commitments are recorded as derivatives. Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 7 - Derivatives and Hedging Activities in this Form 10-K for additional information about the Bank's pledged collateral and other credit-risk-related contingent features. Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank’s financial condition, results of operations, or cash flows. Notes 1, 5, 7, 9, 10, 11 and 13 also discuss other commitments and contingencies. |
Significant Accounting Polici_2
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include those used in conjunction with fair value estimates and derivatives and hedging activities. Actual results could differ from these estimates significantly. |
Fair Value Hierarchy | Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values may not be indicative of the amounts that would have been realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. See Note 14 - Estimated Fair Values for more information. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value by maximizing the use of observable inputs. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. 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 or in which little information is released publicly; (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 - Valuations derived from techniques in which one or more significant inputs are not observable in the market. Valuation techniques include pricing models, discounted cash flow methodologies or similar techniques. |
Financial Instruments Meeting Netting Requirements | Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 7 - Derivatives and Hedging Activities for additional information regarding these agreements. |
Investment, Policy | 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. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is recorded separately on the Statement of Condition. Interest-bearing deposits can include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans generally transacted with counterparties that are considered by the Bank to be of investment quality. The Bank treats securities purchased under agreements to resell as short-term collateralized loans that are classified as assets in the Statement of Condition. ACL: These investments are evaluated quarterly for expected credit losses. If applicable, an ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank uses the collateral maintenance provision practical expedient for securities purchased under agreements to resell. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. See Note 4 - Investments for details on the allowance methodologies relating to these investments. Investment Securities. The Bank classifies investment securities as trading, AFS or HTM at the date of acquisition. Purchases and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on investment securities.” Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. The Bank records changes in the fair value of these securities in AOCI. For AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in the fair value of the investment related to the risk being hedged in interest income within the “AFS securities” section together with the related change in the fair value of the derivative and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gains (losses) on AFS securities.” AFS ACL: AFS securities are evaluated quarterly for expected credit losses on an individual security basis. In assessing whether a credit loss exists, the Bank considers whether there would be a shortfall in receiving all cash flows contractually due. If a shortfall is projected to occur, the Bank recognizes an ACL. The ACL is limited to the amount of the AFS security’s unrealized loss, if any. If the AFS security is in an unrealized gain position, the ACL is zero. The ACL excludes uncollectible accrued interest receivable, which is measured separately. See Note 4 - Investments for details on the allowance methodologies relating to AFS securities. If the Bank intends to sell an AFS security in an unrealized loss position, or more likely than not will be required to sell the security, any ACL is written off and the amortized cost basis is written down to the security’s fair value with any incremental impairment reported in earnings as net gains (losses) on investment securities. For AFS securities with OTTI recognized prior to January 1, 2020, the accretable yield continues to be used prospectively. Based on the quarterly assessment of expected credit losses, if there is an improvement, the Bank will first recognize a benefit for credit losses up to the amount of the ACL. If the ACL is zero and the increase in cash flows is significant, the Bank will adjust the accretable yield prospectively. Held-to-Maturity (HTM). Securities that the Bank has both the intent and ability to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired net of periodic principal repayments, amortization of premiums and accretion of discounts. Accrued interest receivable is recorded separately on the Statement of Condition. Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) The sale occurs near enough to its maturity date (for example, within three months of maturity), or call date if exercise of the call is probable that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) The sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. HTM ACL: HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The ACL excludes uncollectible accrued interest receivable, which is measured separately. There was no ACL recorded on the Bank’s HTM securities at December 31, 2022 or December 31, 2021. See Note 4 - Investments for details on the allowance methodologies relating to HTM securities. Premiums and Discounts. The Bank amortizes purchased premiums and accretes purchased discounts on investment securities using the contractual level-yield method (contractual method). The contractual method recognizes the income effects of premiums and discounts over the contractual life of the securities based on the actual behavior of the underlying assets, including adjustments for actual prepayment activities, and reflects the contractual terms of the securities without regard to changes in estimated prepayments based on assumptions about future borrower behavior. Gains and Losses on Sales. The Bank computes gains and losses on sales of its investment securities using the specific identification method and includes these gains and losses in “Noninterest income (loss)”. |
Advances | Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost, which is cost, net of premiums and discounts (including discounts related to AHP) and hedging adjustments. Accrued interest receivable is recorded separately on the Statement of Condition. The Bank amortizes/accretes premiums, discounts and hedging adjustments to interest income using the contractual method. The Bank records interest on advances to interest income as earned. Advances ACL: Advances are evaluated quarterly for expected credit losses. If deemed necessary, an ACL is recorded with a corresponding adjustment to the provision for credit losses. See Note 5 - Advances for details on the allowance methodology relating to advances. Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit. Advance Modifications. In cases in which the Bank funds a new advance concurrently with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of cash flows on the new advance to the present value of cash flows remaining on the existing advance. If there is at least a 10% difference in the present value of cash flows or if, based on a qualitative assessment of the modifications made to the original contractual terms, the Bank will conclude that the modifications are more than minor, and the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation. The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are recorded at amortized cost, which is cost, net of periodic principal repayments and amortization of premiums and accretion of discounts, hedging adjustments, and charge-offs. Accrued interest receivable is recorded separately on the Statement of Condition. MPF ACL: The Bank performs a quarterly assessment of its mortgage loans to estimate expected credit losses. An ACL is recorded with a corresponding adjustment to the provision for credit losses. The Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. When developing the ACL, the Bank measures the estimated loss over the life of a mortgage loan and incorporates the credit enhancements of the MPF Program. If a mortgage loan is purchased at a discount, the discount does not offset the ACL. The Bank includes estimates of expected recoveries within the ACL when expected lifetime credit losses are less than the amounts previously charged-off. The allowance excludes uncollectible accrued interest receivable, as the Bank writes-off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank does not purchase mortgage loans with credit deterioration present at the time of purchase. See Note 6 - Mortgage Loans Held for Portfolio for details on the allowance methodologies relating to mortgage loans. |
Premiums and Discounts | Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method. CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses. Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated expiration. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount; they represent purchase price adjustments to the related loans acquired and are recorded as a part of the carrying value of the loans. |
Nonaccrual Loans | Nonaccrual Loans . The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection. |
Troubled Debt Restructuring [Policy Text Block] | Troubled Debt Restructuring (TDR). The Bank considers a troubled debt restructuring to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance. |
Impaired Financing Receivable, Policy [Policy Text Block] | Collateral-Dependent Loans. A loan is considered collateral-dependent when the borrower is experiencing financial difficulty and repayment is expected to be provided substantially through the sale of the underlying collateral. Loans that are considered collateral-dependent are measured for credit loss based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as a charge-off. Charge-off Policy . The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets. |
BOB Loans Policy | BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses, including a specific allotment of funds for minority and women owned small businesses. The program’s objective is to assist in the growth and development of small business, including both their start-up and expansion. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is to help facilitate community economic development; however, repayment provisions require that the BOB program be accounted for as an unsecured loan. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged-off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid. BOB Loans ACL: The Bank performs a quarterly assessment of its BOB loan portfolio to estimate expected credit losses, which is based on a loan’s probability of default and loss given default. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets. |
Real Estate Owned (REO) | Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses and/or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses, and carrying costs are included in Noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition. |
Derivatives | Derivatives and Hedging Activities. All derivatives are recognized on the Statement of Condition at fair value and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial margin, and accrued interest received from or pledged to clearing agents and/or counterparties. Variation margin payments are characterized as daily settlement payments, rather than collateral. The fair value of derivatives is netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statement of Cash Flows, as the Bank does not have any derivatives that met the criteria of a financing derivative. Derivative Designations. Each derivative is designated as either: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or • a non-qualifying hedge (an economic hedge) for asset and liability management purposes. Accounting for Fair Value Hedges . If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship, and are expected to be highly effective, they qualify for fair value hedge accounting. Two approaches to hedge accounting include: • Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been highly effective in offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to remain highly effective in future periods. For hedge relationships that meet certain requirements, this assessment may be completed qualitatively. • Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the hedged risk, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be highly effective at achieving offsetting changes in fair values of the hedged asset or liability. The Bank documents fallback language at hedge inception, including the quantitative method it would use to assess hedge effectiveness and measure hedge results if the short-cut method were to no longer be appropriate during the life of the hedging relationship. Derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date. Net interest settlements, as well as changes in the fair value of a derivative and the related hedged item for designated fair value hedges, are recorded in net interest income in the same line as the hedged item. Accounting for Economic Hedges. An economic hedge is defined as a derivative, hedging specific or non-specific underlying assets, liabilities or firm commitments, that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank’s risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank’s income, but that are not offset by corresponding changes in the value of the economically hedged assets, liabilities, or firm commitments. As a result, the Bank recognizes the net interest settlements and the change in fair value of these derivatives in noninterest income as “Net gains (losses) on derivatives” with no offsetting fair value adjustments for the assets, liabilities, or firm commitments. Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedging relationships are recognized as adjustments to the income or expense of the designated hedged item. Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: • it determines that the derivative is no longer highly effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments); • the derivative and/or the hedged item expires or is sold, terminated, or exercised; • a hedged firm commitment no longer meets the definition of a firm commitment; or • management determines that designating the derivative as a hedging instrument is no longer appropriate. When hedge accounting is discontinued, the Bank either terminates the derivative or continues to carry the derivative on the Statement of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using the contractual method. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the debt, advance or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank determines that certain criteria are met. The Bank had no embedded derivatives requiring separation from the host contract at December 31, 2022 or 2021. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. Uncleared derivative transactions executed on or after September 1, 2022 are subject to two-way initial margin requirements, as mandated by regulatory requirements issued in response to the Wall Street Reform and Consumer Protection Act, if the Bank’s average aggregate uncleared derivative notional amount, and the initial margin requirement to an individual counterparty exceed specified thresholds. The initial margin is required to be certain investment securities that are held at a third-party custodian and do not change ownership, except upon the occurrence of certain events, including an event of default due to bankruptcy, insolvency, or similar proceeding. As of December 31, 2022, the Bank did not exceed initial margin thresholds and was not required to post two-way initial margin. Generally, the Bank’s ISDA agreements for uncleared derivatives have collateral delivery thresholds set to zero (subject to minimum transfer amounts). The Bank has a small number of legacy trades that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank’s credit rating and the net liability position exceeds the relevant threshold. As of December 31, 2022, the net liability position of these trades, collateral posted and potential additional credit contingent collateral amounts are all immaterial. Cleared Derivatives . For cleared derivatives, Derivative Clearing Organizations (Clearing Houses) are the Bank's counterparties. The Clearing Houses notify the clearing agent of the required initial and variation margin. The requirement that the Bank post initial margin and exchange variation margin settlement payments through the clearing agent, which notifies the Bank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. The use of cleared derivatives is intended to mitigate credit risk exposure through the use of a central counterparty instead of individual counterparties. Collateral postings and variation margin settlement payments are made daily, through a clearing agent, for changes in the value of cleared derivatives. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is paid daily to settle the exposure arising from changes in the market value of the position. The Bank uses either CME Clearing or LCH Ltd as the Clearing House for all cleared derivative transactions. Variation margin payments are characterized as settled to market, rather than collateral. Initial margin is considered collateralized to market. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 14 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. |
Premises, Software and Equipment | Premises, Software and Equipment. The Bank records premises, software and equipment at cost less accumulated depreciation and amortization and computes depreciation using the straight-line method over the estimated useful lives of the assets, which range from 1 year to 10 years. The Bank amortizes leasehold improvements using the straight-line method over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. Premises, software and equipment are included in “Other assets” on the Statement of Condition. The Bank includes gains and losses on the disposal of premises, software and equipment in Noninterest income (loss). At December 31, 2022 and 2021, premises, software, and equipment, net of accumulated depreciation and amortization were $4.3 million and $7.9 million, respectively. For the years ended December 31, 2022, 2021, and 2020, the related depreciation and amortization expense was $3.8 million, $3.3 million, and $2.9 million, respectively. Hosting arrangements, also known as Software as a Service (SaaS), are assessed for whether they should be accounted for as software or a service contract. SaaS accounted for as a service contract is expensed as incurred, which could result in the SaaS being recognized as a prepaid asset and recorded in Other assets on the Statement of Condition, if appropriate. Implementation costs related to SaaS are recorded as software. At December 31, 2022 and 2021, SaaS accounted for as a service contract was immaterial. |
Lessee, Leases [Policy Text Block] | Leases. The Bank leases office space and other facilities, as well as office equipment to run its business operations. The Bank recognizes its lease right-of-use assets in Other assets and the related lease liabilities in Other liabilities in its Statement of Condition. The Bank has elected to account for the lease and non-lease components of its real estate, including leasehold improvement, asset class as a single lease component. The Bank has also elected not to recognize leases with a term of 12 months on the Statement of Condition. right-of-use assets lease liabilities |
Consolidated Obligations | Consolidated Obligations. Consolidated obligations are recorded at amortized cost. Discounts and Premiums. The Bank amortizes premiums and accretes discounts as well as hedging basis adjustments on consolidated obligations to interest expense using the contractual method. Concessions . The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. Concessions paid on consolidated obligations are recorded as a direct deduction from the carrying amount of the debt and amortized using the contractual method. The amortization of such concessions is included in consolidated obligation interest expense. |
Off Balance Sheet Exposure | Off-Balance Sheet Credit Exposures. The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, an allowance for expected credit losses is recorded in other liabilities with a corresponding adjustment to the provision for credit losses. Commitments to purchase MPF Loans are derivatives and therefore do not require an assessment of expected credit losses. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock. The Bank reclassifies stock subject to redemption from capital stock to a liability after a member provides written notice of redemption, gives notice of intention to withdraw from membership, or attains non-member status by merger or acquisition, relocation, charter termination, voluntary termination or other involuntary termination from membership, because the member’s shares will then meet the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value, which is par plus estimated dividends. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statement of Income. The repurchase or redemption of mandatorily redeemable capital stock is reflected as a financing cash outflow in the Statement of Cash Flows. If a member cancels its written notice of redemption or notice of withdrawal, the Bank will reclassify mandatorily redeemable capital stock from liabilities to capital. After the reclassification, dividends on the capital stock will no longer be classified as interest expense. |
Restricted Retained Earnings (RRE) | Restricted Retained Earnings (RRE). In accordance with the Joint Capital Enhancement Agreement (JCEA) entered into by the Bank, as amended, the Bank allocates on a quarterly basis 20% of its net income to a separate restricted retained earnings account until the account balance equals at least 1% of the Bank’s average balance of outstanding consolidated obligations for the current quarter. Additionally, the Capital Agreement provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum (i.e., one percent of the average balance of outstanding consolidated obligations calculated as of the last day of each calendar quarter) may be released from restricted retained earnings. These restricted retained earnings are not available to pay dividends and are presented separately on the Statement of Condition. See Note 11 - Capital for more information. |
Finance Agency Expenses | Finance Agency Expenses. The portion of the Finance Agency’s expenses and working capital fund paid by the FHLBanks are allocated among the FHLBanks based on the pro-rata share of the annual assessments (which are based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of every FHLBank). |
Office of Finance Expenses | Office of Finance Expenses. The Bank’s proportionate share of the OF operating and capital expenditures is calculated using a formula based upon the following components: (1) two-thirds based upon its share of total consolidated obligations outstanding and (2) one-third based upon an equal pro-rata allocation. |
AHP Assesment | AHP. The FHLBank Act requires each FHLBank to establish and fund an AHP, providing subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low- and low- or moderate-income households. The Bank charges the required funding for AHP to earnings and establishes a liability. As allowed per AHP regulations, the Bank can elect to allot fundings based on future periods’ required AHP contributions (referred to as Accelerated AHP). The Accelerated AHP allows the Bank to commit and disburse AHP funds to meet the Bank’s mission when it would otherwise be unable to do so based on its normal funding mechanism. The Bank primarily makes the AHP subsidy available to members as a grant. Alternatively, the Bank could provide the member with an interest rate below a normal advance rate. This will create a discount which will be the present value of the difference between the cash flow generated using an AHP advance rate and the Bank’s cost of funds. If the Bank provides a discounted interest rate, this discount is accreted to interest income using the contractual method over the life of the advance. See Note 10 - AHP for more information. |
Fair Value of Financial Instruments | 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. Investment Securities – non-MBS. The Bank uses either the income or market approach to determine the estimated fair value of non-MBS investment securities. For instruments that use the income approach, the significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves and the related instrument types are as follows: • U.S. Treasury curve: certificates of deposit • CO curve: GSE and other U.S. obligations The Bank uses a market approach for its state and local agency bonds and U.S. Treasury obligations. For state and local agency bonds, the Bank obtains prices from multiple designated third-party vendors when available, and the default price is the average of the prices obtained. Otherwise, the approach is generally consistent with the approach outlined below for Investment Securities - MBS. For U.S. Treasury obligations, prices are obtained from a third-party vendor based on daily trade activity or dealer quotes. For certain short-term U.S. Treasury obligations, market prices are not available, and the Bank uses an income approach. Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from multiple 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. Since 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, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. During the year, the Bank conducts reviews of its pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. 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, and/or non-binding dealer estimates) 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 price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) 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. As of December 31, 2022, for substantially all of its MBS, the Bank received a price from all of its vendors and the default price was the final price. Based on the Bank’s reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack of significant market activity for private label MBS; therefore, the Bank classified private label MBS as Level 3. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. In addition, the fair value estimates for these instruments include accrued interest receivable/payable which approximate their carrying values due to their short-term nature. The discounted cash flow analysis used to determine the net present value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • Discount rate assumption. SOFR curve for cleared derivatives and SOFR uncleared derivatives. Overnight Index Swap (OIS) curve for all other uncleared derivatives. • Forward interest rate assumption (rates projected in order to calculate cash flows through the designated term of the hedge relationship). LIBOR Swap curve, OIS curve or SOFR curve. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: • TBA securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement and a pricing adjustment reflective of the secondary mortgage market. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements and security agreements that provide for delivery of collateral at specified levels. As a result, uncleared derivatives are recognized as collateralized-to-market and the fair value of uncleared derivatives excludes netting adjustments and collateral. The Bank has evaluated the potential for fair value adjustment due to uncleared counterparty credit risk and has concluded that no adjustments are necessary. The Bank’s credit risk exposure on cleared derivatives is mitigated through the delivery of initial margin to offset future changes in value and daily delivery of variation margin to offset changes in market value. This is executed through the use of a central counterparty, either CME clearing or LCH Ltd. Variation margin payments are daily settlement payments rather than collateral. Initial margin continues to be treated as collateral and accounted for separately. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset and, if negative, as a liability. Impaired Mortgage Loans Held for Portfolio and REO. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. |
Fair Value Transfer | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. |
Investments, Debt and Equity _2
Investments, Debt and Equity Securities (Tables) | 12 Months Ended | |
Dec. 31, 2022 | ||
Investments, Debt and Equity Securities [Abstract] | ||
Schedule of Trading Securities | The following table presents the fair value of trading securities by major security type at December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 GSE obligations $ 214,008 $ 243,262 Total $ 214,008 $ 243,262 | |
Net Gains (Losses) on Trading Securities | The following table presents net gains (losses) on trading securities for the years ended December 31, 2022, 2021 and 2020. Year ended December 31, (in thousands) 2022 2021 2020 Net unrealized gains (losses) on trading securities held at year-end $ (29,502) $ (13,423) $ 22,099 Net gains (losses) on trading securities sold/matured during the year — (8,017) 25,228 Net gains (losses) on trading securities $ (29,502) $ (21,440) $ 47,327 | |
Schedule of Available-for-sale Securities Reconciliation | The following tables presents AFS securities by major security type at December 31, 2022 and December 31, 2021. December 31, 2022 (in thousands) Amortized Cost (1) Allowance for Credit Losses Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: U.S. Treasury obligations $ 5,246,937 $ — $ 3,963 $ (18,407) $ 5,232,493 GSE and TVA obligations 1,111,674 — 16,879 (2,810) 1,125,743 State or local agency obligations 184,310 — 21 (14,068) 170,263 Total non-MBS $ 6,542,921 $ — $ 20,863 $ (35,285) $ 6,528,499 MBS: U.S. obligations single-family $ 490,952 $ — $ 1,999 $ (9,969) $ 482,982 GSE single-family 1,925,950 — 5,852 (50,765) 1,881,037 GSE multifamily 3,164,964 — 1,364 (10,557) 3,155,771 Private label 140,222 (8,532) 12,443 (1,862) 142,271 Total MBS $ 5,722,088 $ (8,532) $ 21,658 $ (73,153) $ 5,662,061 Total AFS securities $ 12,265,009 $ (8,532) $ 42,521 $ (108,438) $ 12,190,560 December 31, 2021 (in thousands) Amortized Cost (1) Allowance for Credit Losses Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: U.S. Treasury obligations $ 5,069,716 $ — $ 6,213 $ (697) $ 5,075,232 GSE and TVA obligations 1,449,717 — 43,935 — 1,493,652 State or local agency obligations 198,775 — 8,422 — 207,197 Total non-MBS $ 6,718,208 $ — $ 58,570 $ (697) $ 6,776,081 MBS: U.S. obligations single-family $ 394,985 $ — $ 3,876 $ (54) $ 398,807 GSE single-family 2,075,683 — 18,377 (991) 2,093,069 GSE multifamily 3,001,730 — 4,526 (1,345) 3,004,911 Private label 164,050 (2,378) 32,826 (73) 194,425 Total MBS $ 5,636,448 $ (2,378) $ 59,605 $ (2,463) $ 5,691,212 Total AFS securities $ 12,354,656 $ (2,378) $ 118,175 $ (3,160) $ 12,467,293 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable | [1] |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value | The following tables summarize the AFS securities with gross unrealized losses as of December 31, 2022 and December 31, 2021. The gross unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2022 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Non-MBS: U.S. Treasury obligations $ 2,460,913 $ (8,532) $ 388,509 $ (9,875) $ 2,849,422 $ (18,407) GSE and TVA obligations 39,276 (2,810) — — 39,276 (2,810) State or local agency obligations 160,372 (14,068) — — 160,372 (14,068) Total non-MBS $ 2,660,561 $ (25,410) $ 388,509 $ (9,875) $ 3,049,070 $ (35,285) MBS: U.S. obligations single-family $ 315,111 $ (9,511) $ 15,293 $ (458) $ 330,404 $ (9,969) GSE single-family 1,406,666 (33,614) 146,908 (17,151) 1,553,574 (50,765) GSE multifamily 2,310,965 (6,738) 548,201 (3,819) 2,859,166 (10,557) Private label 34,918 (1,682) 2,357 (180) 37,275 (1,862) Total MBS $ 4,067,660 $ (51,545) $ 712,759 $ (21,608) $ 4,780,419 $ (73,153) Total $ 6,728,221 $ (76,955) $ 1,101,268 $ (31,483) $ 7,829,489 $ (108,438) December 31, 2021 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Fair Value Gross Unrealized Losses Non-MBS: U.S. Treasury obligations $ 586,346 $ (697) $ — $ — $ 586,346 $ (697) MBS: U.S. obligations single-family $ 20,188 $ (54) $ — $ — $ 20,188 $ (54) GSE single-family 188,235 (991) — — 188,235 (991) GSE multifamily 634,032 (517) 524,002 (828) 1,158,034 (1,345) Private label — — 2,476 (73) 2,476 (73) Total MBS $ 842,455 $ (1,562) $ 526,478 $ (901) $ 1,368,933 $ (2,463) Total $ 1,428,801 $ (2,259) $ 526,478 $ (901) $ 1,955,279 $ (3,160) | |
AFS Investments Classified by Contractual Maturity Date | The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2022 and December 31, 2021 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. MBS are not presented by contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2022 December 31, 2021 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ 1,566,430 $ 1,560,311 $ 554,080 $ 555,481 Due after one year through five years 2,629,759 2,632,374 3,281,393 3,289,730 Due after five years through ten years 2,204,799 2,206,358 2,685,727 2,723,861 Due after ten years 141,933 129,456 197,008 207,009 Total non-MBS 6,542,921 6,528,499 6,718,208 6,776,081 MBS 5,722,088 5,662,061 5,636,448 5,691,212 Total AFS securities $ 12,265,009 $ 12,190,560 $ 12,354,656 $ 12,467,293 December 31, 2022 December 31, 2021 (in thousands) Amortized Cost Fair Value Amortized Cost Fair Value MBS 956,471 874,282 1,213,872 1,248,363 Total HTM securities $ 956,471 $ 874,282 $ 1,213,872 $ 1,248,363 | |
AFS - Schedule of Interest Rate Payment Terms For Investments | The following table details interest payment terms at December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 Amortized cost of AFS non-MBS: Fixed-rate $ 6,542,921 $ 6,718,208 Variable-rate — — Total non-MBS $ 6,542,921 $ 6,718,208 Amortized cost of AFS MBS: Fixed-rate $ 1,069,749 $ 765,556 Variable-rate 4,652,339 4,870,892 Total MBS $ 5,722,088 $ 5,636,448 Total amortized cost of AFS securities $ 12,265,009 $ 12,354,656 (in thousands) December 31, 2022 December 31, 2021 Amortized cost of HTM MBS: Fixed-rate $ 824,791 $ 1,042,367 Variable-rate 131,680 171,505 Total MBS $ 956,471 $ 1,213,872 Total HTM securities $ 956,471 $ 1,213,872 | |
HTM Securities by Major Security Type | The following tables presents HTM securities by major security type at December 31, 2022 and December 31, 2021. December 31, 2022 (in thousands) Amortized Cost (1) Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value MBS: U.S. obligations single-family $ 162,366 $ 155 $ (5,352) $ 157,169 GSE single-family 435,129 74 (63,200) 372,003 GSE multifamily 305,306 — (10,248) 295,058 Private label 53,670 — (3,618) 50,052 Total MBS $ 956,471 $ 229 $ (82,418) $ 874,282 Total HTM securities (2) $ 956,471 $ 229 $ (82,418) $ 874,282 December 31, 2021 (in thousands) Amortized Cost (1) Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value MBS: U.S. obligations single-family 83,154 1,029 — 84,183 GSE single-family 566,032 7,597 (7,978) 565,651 GSE multifamily 494,472 33,651 — 528,123 Private label 70,214 710 (518) 70,406 Total MBS $ 1,213,872 $ 42,987 $ (8,496) $ 1,248,363 Total HTM securities (2) $ 1,213,872 $ 42,987 $ (8,496) $ 1,248,363 Notes : (1) Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable (2) No ACL was recorded for these securities as of December 31, 2022 and December 31, 2021. | [2],[3] |
Rollforward, Available-for-sale, Allowance for Credit Loss | The following table presents a rollforward of the ACL on AFS securities for the years ended December 31, 2022 and December 31, 2021. Private label MBS (in thousands) December 31, 2022 December 31, 2021 Balance, beginning of period $ 2,378 $ 2,417 Increases (decreases) for securities in which a previous ACL or OTTI was recorded 6,154 (36) Reductions for securities sold or matured during the period — (3) Balance, end of period $ 8,532 $ 2,378 | |
Schedule of Realized Gain (Loss) | The following table provides a summary of proceeds, gross gains and losses on sales of AFS securities for 2022, 2021, and 2020. Year Ended December 31, (in thousands) 2022 2021 2020 Proceeds from sale of AFS securities $ 577,197 $ — $ — Gross gains on AFS securities 509 — — Gross losses on AFS securities — — — | |
[1][2]Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Advances [Abstract] | |
Advances Tables | The following table details the Bank’s advances portfolio by year of redemption and weighted-average interest rate at December 31, 2022 and December 31, 2021. (dollars in thousands) December 31, 2022 December 31, 2021 Year of Redemption Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 28,672,440 4.28 % $ 8,539,301 1.60 % Due after 1 year through 2 years 21,421,482 4.17 2,076,494 1.59 Due after 2 years through 3 years 13,136,090 4.30 2,031,671 1.36 Due after 3 years through 4 years 4,966,948 4.38 1,031,294 1.97 Due after 4 years through 5 years 865,373 3.37 222,058 1.43 Thereafter 166,538 2.84 178,399 2.60 Total par value $ 69,228,871 4.24 % $ 14,079,217 1.60 % Deferred prepayment fees (940) (1,405) Hedging adjustments (371,695) 46,563 Total book value (1) $ 68,856,236 $ 14,124,375 The following table summarizes advances by the earlier of year of redemption or next call date as of December 31, 2022 and December 31, 2021. Year of Redemption or (in thousands) December 31, 2022 December 31, 2021 Due in 1 year or less $ 28,962,440 $ 8,579,301 Due after 1 year through 2 years 21,131,482 2,076,494 Due after 2 years through 3 years 13,136,090 1,991,671 Due after 3 years through 4 years 4,966,948 1,031,294 Due after 4 years through 5 years 865,373 222,058 Thereafter 166,538 178,399 Total par value $ 69,228,871 $ 14,079,217 Interest Rate Payment Terms. The following table details interest rate payment terms by year of redemption for advances as of December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 Fixed-rate – overnight $ 1,792,810 $ 64,000 Fixed-rate – term: Due in 1 year or less 21,547,006 8,325,202 Thereafter 7,429,914 5,446,816 Total fixed-rate $ 30,769,730 $ 13,836,018 Variable-rate: Due in 1 year or less 5,332,624 150,099 Thereafter 33,126,517 93,100 Total variable-rate $ 38,459,141 $ 243,199 Total par value $ 69,228,871 $ 14,079,217 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Schedule of Mortgage Loans Held for Portfolio | The following table presents balances as of December 31, 2022 and December 31, 2021 for mortgage loans held for portfolio. (in thousands) December 31, 2022 December 31, 2021 Fixed-rate long-term single-family mortgages (1) $ 4,388,461 $ 4,417,532 Fixed-rate medium-term single-family mortgages (1) 140,270 173,195 Total par value 4,528,731 4,590,727 Premiums 73,703 84,155 Discounts (10,224) (1,769) Hedging adjustments 1,918 6,482 Total mortgage loans held for portfolio (2) 4,594,128 4,679,595 Allowance for credit losses on mortgage loans (3,240) (3,412) Mortgage loans held for portfolio, net $ 4,590,888 $ 4,676,183 The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2022 and December 31, 2021. (in thousands) December 31, 2022 December 31, 2021 Conventional loans $ 4,415,876 $ 4,460,732 Government-guaranteed/insured loans 112,855 129,995 Total par value $ 4,528,731 $ 4,590,727 |
Financing Receivable Credit Quality Indicators | Credit Quality Indicator for Conventional Mortgage Loans. The following table presents the payment status for conventional mortgage loans at December 31, 2022 and December 31, 2021. December 31, 2022 (in thousands) Origination Year Payment Status, at amortized cost (1) Prior to 2018 2018 to 2022 Total Past due 30-59 days $ 13,369 $ 19,806 $ 33,175 Past due 60-89 days 4,100 6,321 10,421 Past due 90 days or more 8,216 9,856 18,072 Total past due loans $ 25,685 $ 35,983 $ 61,668 Current loans 1,109,321 3,307,745 4,417,066 Total conventional loans $ 1,135,006 $ 3,343,728 $ 4,478,734 December 31, 2021 Origination Year Payment Status, at amortized cost (1) Prior to 2017 2017 to 2021 Total Past due 30-59 days $ 11,473 $ 16,502 $ 27,975 Past due 60-89 days 2,785 4,517 7,302 Past due 90 days or more 9,311 16,455 25,766 Total past due loans $ 23,569 $ 37,474 $ 61,043 Current loans 1,115,681 3,369,710 4,485,391 Total conventional loans $ 1,139,250 $ 3,407,184 $ 4,546,434 Note: (1) The amortized cost at December 31, 2022 and December 31, 2021 excludes accrued interest receivable. |
Past Due Financing Receivables | The following table presents the delinquency statistics for the Bank’s mortgage loans at December 31, 2022 and December 31, 2021. December 31, 2022 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 7,873 $ 1,352 $ 9,225 Serious delinquency rate (2) 0.4 % 2.9 % 0.5 % Past due 90 days or more still accruing interest $ — $ 3,182 $ 3,182 Loans on nonaccrual status $ 20,950 $ — $ 20,950 December 31, 2021 (dollars in thousands) Conventional MPF Loans Government-Guaranteed or Insured Loans (2) Total In process of foreclosures, included above (1) $ 2,906 $ 1,007 $ 3,913 Serious delinquency rate (2) 0.6 % 2.4 % 0.6 % Past due 90 days or more still accruing interest $ — $ 3,129 $ 3,129 Loans on nonaccrual status $ 29,890 $ — $ 29,890 Note: (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | Conventional MPF - Rollforward of ACL (in thousands) 2022 2021 2020 Balance, beginning of period $ 3,412 $ 4,972 $ 7,832 Adjustment for cumulative effect of accounting change - adoption of ASU 2016-13 (1) — — (3,875) (Charge-offs) Recoveries, net (2) 288 1,009 (727) Provision (reversal) for credit losses (460) (2,569) 1,742 Balance, December 31 $ 3,240 $ 3,412 $ 4,972 Note: (1) As a result of adopting ASU 2016-13, the reduction to the Bank's ACL of $3.9 million was largely offset by a reversal of CE receivable of $3.8 million, resulting in a net impact of adoption of $0.1 million. (2) Net charge-offs that the Bank does not expect to recover through CE receivable. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following tables summarize the notional amount and fair value of derivative instruments and total derivatives assets and liabilities. Total derivative assets and liabilities include the effect of netting adjustments and cash collateral. For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. December 31, 2022 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 69,039,626 $ 53,340 $ 985,134 Derivatives not designated as hedging instruments: Interest rate swaps $ 2,176,879 $ 2,112 $ 24,457 Interest rate caps or floors 975,000 5,164 — Mortgage delivery commitments 10,287 10 41 Total derivatives not designated as hedging instruments: $ 3,162,166 $ 7,286 $ 24,498 Total derivatives before netting and collateral adjustments $ 72,201,792 $ 60,626 $ 1,009,632 Netting adjustments and cash collateral (1) 168,370 (996,194) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 228,996 $ 13,438 December 31, 2021 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 25,597,234 $ 1,061 $ 70,643 Derivatives not designated as hedging instruments: Interest rate swaps $ 1,084,988 $ 27 $ 3,046 Interest rate caps or floors 1,005,000 1,357 — Mortgage delivery commitments 24,822 2 131 Total derivatives not designated as hedging instruments $ 2,114,810 $ 1,386 $ 3,177 Total derivatives before netting and collateral adjustments $ 27,712,044 $ 2,447 $ 73,820 Netting adjustments and cash collateral (1) 180,406 (67,975) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 182,853 $ 5,845 Note: |
Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships, which also includes amortization of basis adjustments related to hedged items in discontinued fair value hedge relationships and the impact of those derivatives on the Bank’s net interest income. Also included is the amortization of basis adjustments related to mortgage delivery commitments, which are characterized as derivatives, but are not designated in fair value hedge relationships. (in thousands) Gains/(Losses) on Derivative Gains/ (Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2022 Hedged item type: Advances $ 418,403 $ (418,262) $ (7,674) $ (7,533) $ 992,336 AFS securities 528,989 (525,632) 30,422 33,779 264,785 Mortgage loans held for portfolio — (1,378) — (1,378) 135,086 Consolidated obligations - discount notes (6,625) 7,057 5,717 6,149 (464,352) Consolidated obligations – bonds (991,964) 991,737 (69,233) (69,460) (775,104) Total $ (51,197) $ 53,522 $ (40,768) $ (38,443) (in thousands) Gains/(Losses) on Derivative Gains/ (Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2021 Hedged item type: Advances $ 203,228 $ (203,344) $ (140,979) $ (141,095) $ 139,905 AFS securities 121,467 (119,855) (46,758) (45,146) 96,438 Mortgage loans held for portfolio — (3,468) — (3,468) 126,360 Consolidated obligations – bonds (105,498) 105,526 51,805 51,833 (222,781) Total $ 219,197 $ (221,141) $ (135,932) $ (137,876) (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Interest Settlements Effect of Derivatives on Net Interest Income Total Interest Income/ (Expense) Recorded in the Statement of Income 2020 Hedged item type: Advances $ (77,223) $ 77,129 $ (185,860) $ (185,954) $ 625,473 AFS securities (84,465) 82,308 (21,131) (23,288) 166,842 Mortgage loans held for portfolio — (3,219) — (3,219) 155,271 Consolidated obligations – bonds (7,336) 8,061 66,820 67,545 (530,962) Total $ (169,024) $ 164,279 $ (140,171) $ (144,916) The following table presents net gains (losses) related to derivatives not designated as hedging instruments in noninterest income. Year ended December 31, (in thousands) 2022 2021 2020 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ 20,942 $ 15,449 $ (85,298) Interest rate caps or floors 2,663 184 758 Net interest settlements (5,864) (5,440) (11,467) To Be Announced (TBA) 74 — 38 Mortgage delivery commitments (2,917) (4,311) 4,724 Other 1 — 148 Total net gains (losses) related to derivatives not designated as hedging instruments $ 14,899 $ 5,882 $ (91,097) Other - price alignment amount on cleared derivatives (1) (655) 11 187 Net gains (losses) on derivatives $ 14,244 $ 5,893 $ (90,910) Notes: (1) This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
Schedule of Fair Value Hedging Instruments, Statements of Financial Performance and Financial Position, Location [Table Text Block] | The following table presents the cumulative amount of fair value hedging adjustments and the related carrying amount of the hedged items. (in thousands) December 31, 2022 Hedged item type Carrying Amount of Hedged Assets/Liabilities (1) Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities Fair Value Hedging Adjustments for Discontinued Hedging Relationships Total Amount of Fair Value Hedging Adjustments Advances $ 9,516,520 $ (370,776) $ (918) $ (371,694) AFS securities 6,265,480 (513,825) 873 (512,952) Consolidated obligations - discount notes 17,481,373 (7,057) — (7,057) Consolidated obligations – bonds 33,603,677 (1,072,289) 10 (1,072,279) (in thousands) December 31, 2021 Hedged item type Carrying Amount of Hedged Assets/Liabilities (1) Cumulative Amount of Fair Value Hedging Adjustments Included in the Carrying Amount of the Hedged Assets/Liabilities Fair Value Hedging Adjustments for Discontinued Hedging Relationships Total Amount of Fair Value Hedging Adjustments Advances $ 8,952,529 $ 46,583 $ (20) $ 46,563 AFS securities 5,968,405 11,667 1,012 12,679 Consolidated obligations – bonds 10,633,898 (80,686) 146 (80,540) Note: (1) Includes carrying value of hedged items in current fair value hedging relationships. |
Offsetting Assets | When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure. Initial margin posted to the clearing house is presented as a derivative asset. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements. Gross recognized amounts do not include the related collateral received from or pledged to counterparties. Net amounts reflect the adjustments of collateral received from or pledged to counterparties. December 31, 2022 Derivative Instruments Meeting Netting Requirements (in thousands) Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Net amounts after netting adjustments and cash collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets Uncleared $ 43,901 (41,679) $ 2,222 10 $ 2,232 Cleared 16,715 210,049 226,764 — 226,764 Total $ 60,616 $ 168,370 $ 228,986 $ 10 $ 228,996 Derivative Liabilities Uncleared $ 1,003,917 (992,167) $ 11,750 41 $ 11,791 Cleared 5,674 (4,027) 1,647 — 1,647 Total $ 1,009,591 $ (996,194) $ 13,397 $ 41 $ 13,438 December 31, 2021 Derivative Instruments Meeting Netting Requirements (in thousands) Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Net amounts after netting adjustments and cash collateral Derivative Instruments Not Meeting Netting Requirements (1) Total Derivative Assets and Total Derivative Liabilities Derivative Assets Uncleared $ 1,972 (1,700) $ 272 2 $ 274 Cleared 473 182,106 $ 182,579 — 182,579 Total Derivative Assets $ 2,445 $ 180,406 $ 182,851 $ 2 $ 182,853 Derivative Liabilities Uncleared $ 71,083 (67,502) $ 3,581 131 $ 3,712 Cleared 2,606 (473) 2,133 — 2,133 Total Derivative Liabilities $ 73,689 $ (67,975) $ 5,714 $ 131 5,845 |
Offsetting Liabilities | When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank nets derivative fair values on all of its transactions through a particular clearing agent with a particular Clearing House (including settled variation margin) into one net asset or net liability exposure. Initial margin posted to the clearing house is presented as a derivative asset. |
Deposits (Tables)
Deposits (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Deposits [Abstract] | |
Schedule of Deposits | The following table details interest-bearing and noninterest-bearing deposits as of December 31, 2022 and 2021. December 31, (in thousands) 2022 2021 Interest-bearing: Demand and overnight $ 525,549 $ 918,706 Noninterest-bearing: Demand and overnight 27,730 168,801 Total deposits $ 553,279 $ 1,087,507 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Consolidated Bonds Interest Rate Payment Type | The following table details interest rate payment terms for the Bank’s consolidated obligation bonds at December 31, 2022 and December 31, 2021 . (in thousands) December 31, 2022 December 31, 2021 Par value of consolidated bonds: Fixed-rate $ 39,983,295 $ 20,650,400 Step-up 3,124,000 1,560,000 Floating-rate 14,408,000 925,000 Total par value 57,515,295 23,135,400 Bond premiums 47,515 62,536 Bond discounts (14,069) (7,469) Concession fees (5,008) (4,188) Hedging adjustments (1,072,278) (80,541) Total book value $ 56,471,455 $ 23,105,738 |
Schedule of Consolidated Bonds by Contractual Maturity | The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity and weighted-average interest rate at December 31, 2022 and December 31, 2021 . December 31, 2022 December 31, 2021 (dollars in thousands) Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 30,747,975 3.72 % $ 5,748,625 1.17 % Due after 1 year through 2 years 11,491,385 3.09 2,243,000 1.74 Due after 2 years through 3 years 3,263,725 2.16 3,520,275 1.32 Due after 3 years through 4 years 6,557,800 1.25 1,683,725 1.27 Due after 4 years through 5 years 1,850,300 3.09 6,300,800 1.10 Thereafter 3,604,110 2.37 3,638,975 1.90 Total par value $ 57,515,295 3.12 % $ 23,135,400 1.35 % The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2022 and December 31, 2021 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2022 2021 Due in 1 year or less $ 47,036,975 $ 17,067,625 Due after 1 year through 2 years 6,573,385 2,025,000 Due after 2 years through 3 years 1,049,725 1,151,275 Due after 3 years through 4 years 1,035,800 848,725 Due after 4 years through 5 years 392,300 596,800 Thereafter 1,427,110 1,445,975 Total par value $ 57,515,295 $ 23,135,400 |
Schedule of Consolidated Bonds by Call Features | The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2022 and December 31, 2021 . (in thousands) December 31, 2022 December 31, 2021 Noncallable $ 35,816,795 $ 11,476,400 Callable 21,698,500 11,659,000 Total par value $ 57,515,295 $ 23,135,400 |
Schedule of Consolidated Discount Notes Outstanding | The following table details the Bank’s consolidated obligation discount notes as of December 31, 2022 and December 31, 2021 . December 31, (dollars in thousands) 2022 2021 Book value $ 33,745,478 $ 10,493,617 Par value 34,007,058 10,494,933 Weighted average interest rate (1) 4.25 % 0.04 % Note: (1) Represents yield to maturity excluding concession fees and hedging adjustments. |
Affordable Housing Program (A_2
Affordable Housing Program (AHP) (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Affordable Housing Program [Abstract] | |
Analysis of AHP Liability | The following table presents a rollforward of the AHP payable for 2022, 2021, and 2020. (in thousands) 2022 2021 2020 Balance, beginning of the year $ 81,152 $ 102,186 $ 112,289 Assessments 25,410 9,974 25,227 Payments and subsidy usage, net (30,734) (31,008) (35,330) Balance, end of the year $ 75,828 $ 81,152 $ 102,186 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | The following table demonstrates the Bank’s compliance with the regulatory capital requirements at December 31, 2022 and December 31, 2021. December 31, 2022 December 31, 2021 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 441,078 $ 4,992,405 $ 406,676 $ 2,647,918 Total capital-to-asset ratio 4.0 % 5.2 % 4.0 % 7.0 % Total regulatory capital 3,845,647 4,992,405 1,506,051 2,647,918 Leverage ratio 5.0 % 7.8 % 5.0 % 10.6 % Leverage capital 4,807,058 7,488,607 1,882,564 3,971,878 |
Mandatorily Redeemable Capital Stock Rollforward | The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2022, 2021, and 2020. December 31, (in thousands) 2022 2021 2020 Balance, beginning of the period $ 22,457 $ 142,807 $ 343,575 Capital stock subject to mandatory redemption reclassified from capital 5,809 1,069 39,457 Redemption/repurchase of mandatorily redeemable stock (503) (121,419) (240,225) Balance, end of the period $ 27,763 $ 22,457 $ 142,807 The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2022 and December 31, 2021. December 31, (in thousands) 2022 2021 Due in 1 year or less $ 20,000 $ — Due after 1 year through 2 years — 20,000 Due after 2 years through 3 years 34 — Due after 3 years through 4 years 527 26 Due after 4 years through 5 years 5,571 459 Past contractual redemption date due to remaining activity 1,631 1,972 Total $ 27,763 $ 22,457 |
Schedule of Dividends Paid | Dividend - Annual Yield 2022 2021 2020 Membership Activity Membership Activity Membership Activity February 1.25% 5.25% 2.50% 5.75% 4.50% 7.75% April 1.25% 5.25% 2.50% 5.75% 3.00% 6.25% July 2.25% 6.25% 1.25% 5.25% 3.00% 6.25% October 3.25% 7.25% 1.25% 5.25% 3.00% 6.25% |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in AOCI for 2022, 2021 and 2020. (in thousands) Net Unrealized Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on AFS Net Unrealized Gains (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2019 $ 45,155 $ 51,704 $ 149 $ (5,182) $ 91,826 Other comprehensive income (loss) before Adoption of ASU -2016-13 51,704 (51,704) — — Net unrealized gains (losses) 46,733 — — — 46,733 Amortization on hedging activities — — (149) — (149) Pension and post-retirement — — — (1,084) (1,084) December 31, 2020 $ 143,592 $ — $ — $ (6,266) $ 137,326 December 31, 2020 $ 143,592 $ — $ — $ (6,266) $ 137,326 Other comprehensive income (loss) before Net unrealized gains (losses) (28,577) — — — (28,577) Pension and post-retirement — — — 1,442 1,442 December 31, 2021 $ 115,015 $ — $ — $ (4,824) $ 110,191 December 31, 2021 $ 115,015 $ — $ — $ (4,824) $ 110,191 Other comprehensive income (loss) before Net unrealized gains (losses) (180,423) — — — (180,423) Reclassifications from OCI to net income: Reclassification adjustment for net (gains) losses included in net income (509) — — — (509) Pension and post-retirement — — — 4,214 4,214 December 31, 2022 $ (65,917) $ — $ — $ (610) $ (66,527) |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Retirement Benefits [Abstract] | |
Pentegra DB Plan Net Pension Cost and Funded Status | (dollars in thousands) 2022 2021 2020 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 2,642 $ 3,370 $ 3,572 Defined Benefit Plan funded status as of July 1 118.9 % (a) 130.6 % (b) 108.5 % Bank’s funded status as of July 1 155.0 % 170.8 % 141.1 % (a) The Defined Benefit Plan’s funded status as of July 1, 2022 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2022 through March 15, 2023. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2023). |
Schedule of Amounts Recognized in Balance Sheet | the following table sets forth their benefit obligations recorded in Other liabilities on the Statements of Condition and amounts recognized in AOCI. In addition, the Bank recognized $1.8 million, $3.3 million, and $2.5 million in expense related to these two plans during 2022, 2021 and 2020, respectively, of which the service cost component was recognized in Compensation and benefits expense and all other costs were recognized in Other operating expense on the Statements of Income. SERP Post-retirement Health Benefit Plan Total (in thousands) 2022 2021 2022 2021 2022 2021 Benefit obligations $ 11,741 $ 13,885 $ 2,060 $ 2,511 $ 13,801 $ 16,396 Unrealized actuarial gains (losses) in AOCI $ (1,255) $ (4,924) $ 644 $ 100 $ (611) $ (4,824) |
Transactions with Related Par_2
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transaction [Line Items] | |
Related Party Transactions, by Balance Sheet Grouping | The following table includes significant outstanding related party member activity balances. December 31, (in thousands) 2022 2021 Advances $ 42,401,975 $ 6,948,649 Letters of credit (1) 16,928,206 15,717,397 MPF loans 263,795 145,193 Deposits 32,335 44,415 Capital stock 1,891,978 510,256 Note: (1) Letters of credit are off-balance sheet commitments. |
Related Party Transactions, Income Statement | The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest expense on deposits were immaterial for the periods presented. Year ended December 31, (in thousands) 2022 2021 2020 Interest income on advances (1) $ 644,622 $ 152,444 $ 434,423 Interest income on MPF loans 10,897 50,200 24,875 Letters of credit fees 10,003 18,574 2,984 Note: (1) Interest income on advances includes contractual interest income and prepayment fees. The effect of derivative activities is not included. |
FHLBank of Chicago [Member] | |
Related Party Transaction [Line Items] | |
Schedule of Related Party Transactions, Mortgage Loans | The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Year ended December 31, (in thousands) 2022 2021 2020 Servicing fee expense $ 3,562 $ 3,669 $ 3,909 December 31, (in thousands) 2022 2021 Interest-bearing deposits maintained with FHLBank of Chicago $ 5,119 $ 5,409 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Summary | The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2022 and December 31, 2021 are presented in the table below. Fair Value Summary Table December 31, 2022 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Assets: Cash and due from banks $ 13,242 $ 13,242 $ — $ — $ — $ 13,242 Interest-bearing deposits 2,471,135 2,471,135 — — — 2,471,135 Securities purchased under agreement to resell (2) 3,200,000 — 3,200,137 — — 3,200,137 Federal funds sold 3,050,000 — 3,050,141 — — 3,050,141 Trading securities 214,008 — 214,008 — — 214,008 AFS securities 12,190,560 — 12,048,289 142,271 — 12,190,560 HTM securities 956,471 — 824,230 50,052 — 874,282 Advances 68,856,236 — 68,548,367 — — 68,548,367 Mortgage loans held for portfolio, net 4,590,888 — 4,039,588 — — 4,039,588 BOB loans, net 22,998 — — 22,998 — 22,998 Accrued interest receivable 310,081 — 310,081 — — 310,081 Derivative assets 228,996 — 60,626 — 168,370 228,996 Liabilities: Deposits $ 553,279 $ — $ 553,279 $ — $ — $ 553,279 Discount notes 33,745,478 — 33,739,166 — — 33,739,166 Bonds 56,471,455 — 55,694,094 — — 55,694,094 Mandatorily redeemable capital stock (3) 27,763 28,321 — — — 28,321 Accrued interest payable (3) 287,539 — 286,981 — — 286,981 Derivative liabilities 13,438 — 1,009,632 — (996,194) 13,438 December 31, 2021 (in thousands) Carrying Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Estimated Assets: Cash and due from banks $ 428,190 $ 428,190 $ — $ — $ — $ 428,190 Interest-bearing deposits 528,476 528,476 — — — 528,476 Securities purchased under agreement to resell (2) 1,670,000 — 1,670,004 — — 1,670,004 Federal funds sold 1,975,000 — 1,975,008 — — 1,975,008 Trading securities 243,262 — 243,262 — — 243,262 AFS securities 12,467,293 — 12,272,868 194,425 — 12,467,293 HTM securities 1,213,872 — 1,177,957 70,406 — 1,248,363 Advances 14,124,375 — 14,169,479 — — 14,169,479 Mortgage loans held for portfolio, net 4,676,183 — 4,719,966 — — 4,719,966 BOB loans, net 22,501 — — 22,501 — 22,501 Accrued interest receivable 74,660 — 74,660 — — 74,660 Derivative assets 182,853 — 2,447 — 180,406 182,853 Liabilities: Deposits $ 1,087,507 $ — $ 1,087,507 $ — $ — $ 1,087,507 Discount notes 10,493,617 — 10,492,517 — — 10,492,517 Bonds 23,105,738 — 23,205,896 — — 23,205,896 Mandatorily redeemable capital stock (3) 22,457 22,752 — — — 22,752 Accrued interest payable (3) 59,123 — 58,829 — — 58,829 Derivative liabilities 5,845 — 73,820 — (67,975) 5,845 Notes: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties. (2) Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2022 and December 31, 2021. These instruments’ maturity term is overnight. (3) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. |
Fair Value Measurements | Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statement of Condition at December 31, 2022 and December 31, 2021. The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized and subsequently when the fair value of collateral less costs to sell is lower than the carrying amount. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. December 31, 2022 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: GSE obligations — 214,008 — — 214,008 Total trading securities $ — $ 214,008 $ — $ — $ 214,008 AFS securities: Non-MBS: U.S. Treasury obligations $ — $ 5,232,493 $ — $ — $ 5,232,493 GSE and TVA obligations — 1,125,743 — — 1,125,743 State or local agency obligations — 170,263 — — 170,263 MBS: U.S. obligations single-family — 482,982 — — 482,982 GSE single-family — 1,881,037 — — 1,881,037 GSE multifamily — 3,155,771 — — 3,155,771 Private label — — 142,271 — 142,271 Total AFS securities $ — $ 12,048,289 $ 142,271 $ — $ 12,190,560 Derivative assets: Interest rate related $ — $ 60,616 $ — $ 168,370 $ 228,986 Mortgage delivery commitments — 10 — — 10 Total derivative assets $ — $ 60,626 $ — $ 168,370 $ 228,996 Total recurring assets at fair value $ — $ 12,322,923 $ 142,271 $ 168,370 $ 12,633,564 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 1,009,591 $ — $ (996,194) $ 13,397 Mortgage delivery commitments — 41 — — 41 Total recurring liabilities at fair value $ — $ 1,009,632 $ — $ (996,194) $ 13,438 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 5,240 $ — $ 5,240 REO — — 403 — 403 Total non-recurring assets at fair value $ — $ — $ 5,643 $ — $ 5,643 December 31, 2021 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment and Cash Collateral (1) Total Recurring fair value measurements - Assets: Trading securities: Non MBS: GSE and TVA obligations — 243,262 — — 243,262 Total trading securities $ — $ 243,262 $ — $ — $ 243,262 AFS securities: Non MBS: U.S. Treasury obligations $ — $ 5,075,232 $ — $ — $ 5,075,232 GSE and TVA obligations — 1,493,652 — — $ 1,493,652 State or local agency obligations — 207,197 — — 207,197 MBS: U.S. obligations single-family — 398,807 — — 398,807 GSE single-family — 2,093,069 — — 2,093,069 GSE multifamily — 3,004,911 — — 3,004,911 Private label — — 194,425 — 194,425 Total AFS securities $ — $ 12,272,868 $ 194,425 $ — $ 12,467,293 Derivative assets: Interest rate related $ — $ 2,445 $ — $ 180,406 $ 182,851 Mortgage delivery commitments — 2 — — 2 Total derivative assets $ — $ 2,447 $ — $ 180,406 $ 182,853 Total recurring assets at fair value $ — $ 12,518,577 $ 194,425 $ 180,406 $ 12,893,408 Recurring fair value measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 73,689 $ — $ (67,975) $ 5,714 Mortgage delivery commitments — 131 — — 131 Total recurring liabilities at fair value $ — $ 73,820 $ — $ (67,975) $ 5,845 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio $ — $ — $ 10,570 $ — $ 10,570 REO — — 478 — 478 Total non-recurring assets at fair value $ — $ — $ 11,048 $ — $ 11,048 Notes: |
Reconciliation of Level 3 Assets and Liabilities | The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the years ended December 31, 2022, 2021 or 2020. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications each quarter. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. There were no Level 3 transfers during 2022, 2021 or 2020. AFS Private Label MBS Year Ended December 31, 2022 AFS Private Label MBS Year Ended December 31, 2021 AFS Private Label MBS Year Ended December 31, 2020 Balance, beginning of period $ 194,425 $ 252,600 $ 326,146 Total gains (losses) (realized/unrealized) included in: (Provision) reversal for credit losses (6,154) 39 (2,417) Accretion of credit losses in interest income 9,271 9,651 11,635 Net unrealized gains (losses) on AFS in OCI (22,172) (4,239) (14,530) Purchases, issuances, sales, and settlements: Settlements (33,099) (63,626) (68,234) Balance at December 31 $ 142,271 $ 194,425 $ 252,600 Total amount of gains for the periods presented included in earnings attributable to the change in unrealized gains or (losses) relating to assets and liabilities still held at December 31 $ 2,798 $ 9,467 $ 9,218 Change in unrealized gains (losses) for the period included in other comprehensive income for assets held December 31 $ (22,172) $ (4,239) $ (14,530) |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents the Bank’s various off-balance sheet commitments which are described in detail below. (in thousands) December 31, 2022 December 31, 2021 Notional amount Expiration Date Within One Year Expiration Date After One Year Total Total Standby letters of credit outstanding (1) (2) $ 22,126,676 $ — $ 22,126,676 $ 19,419,734 Commitments to fund additional advances and BOB loans 373 — 373 12,206 Commitments to purchase mortgage loans 10,287 — 10,287 24,822 Unsettled consolidated obligation discount notes, at par 15,370 — 15,370 — Unsettled consolidated obligation bonds, at par 1,080,000 — 1,080,000 82,000 Notes : (1) Excludes approved requests to issue future standby letters of credit of $0.0 million at December 31, 2022 and $357.5 million at December 31, 2021. (2) Letters of credit in the amount of $2.2 billion at December 31, 2022 and $4.3 billion at December 31, 2021, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years. |
Background Information (Details
Background Information (Details) | Dec. 31, 2022 Banks |
Nature of Operations [Line Items] | |
Number of FHLBanks | 11 |
Minimum [Member] | |
Nature of Operations [Line Items] | |
Related Party Transaction, Definition, Capital Stock, Percent | 10% |
Significant Accounting Polici_3
Significant Accounting Policies Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Net | $ 4,300 | $ 7,900 | |
Depreciation, Depletion and Amortization | $ 3,800 | $ 3,300 | $ 2,900 |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible List] | Other assets | Other assets | |
Operating Lease, Liability, Statement of Financial Position [Extensible List] | Other Liabilities | Other Liabilities | |
Operating Lease, Right-of-Use Asset | $ 3,900 | $ 5,700 | |
Operating Lease, Liability | 4,100 | 5,900 | |
Operating Lease, Expense | $ 1,700 | $ 1,900 | $ 2,000 |
Minimum [Member] | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 1 year | ||
Maximum [Member] | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 10 years |
Cash and Due from Banks (Detail
Cash and Due from Banks (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Cash and Cash Equivalents [Line Items] | ||
Average Collected Cash Balances | $ 180.6 | $ 350 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 214,008 | $ 243,262 | |
Net unrealized gains (losses) on trading securities held at year-end | (29,502) | (13,423) | $ 22,099 |
Net realized gains (losses) on securities sold/matured during the year | 0 | (8,017) | 25,228 |
Net gains (losses) on trading securities | (29,502) | (21,440) | $ 47,327 |
GSE and TVA obligations [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Debt Securities, Trading, and Equity Securities, FV-NI | $ 214,008 | $ 243,262 |
Available-for-Sale (AFS) Securi
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | $ 12,265,009 | $ 12,354,656 | ||
Allowance for Credit Losses | (8,532) | (2,378) | $ (2,417) | ||
Gross Unrealized Gains | 42,521 | 118,175 | |||
Gross Unrealized Losses | (108,438) | (3,160) | |||
Fair Value | $ 12,190,560 | $ 12,467,293 | |||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Available-for-sale (AFS) securities | Available-for-sale (AFS) securities | |||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | $ 37,400 | $ 22,800 | |||
GSE and TVA obligations [Member] | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 1,111,674 | 1,449,717 | ||
Allowance for Credit Losses | 0 | ||||
Gross Unrealized Gains | 16,879 | 43,935 | |||
Gross Unrealized Losses | (2,810) | 0 | |||
Fair Value | 1,125,743 | 1,493,652 | |||
State or local agency obligation [Member] | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 184,310 | 198,775 | ||
Allowance for Credit Losses | 0 | ||||
Gross Unrealized Gains | 21 | 8,422 | |||
Gross Unrealized Losses | (14,068) | 0 | |||
Fair Value | 170,263 | 207,197 | |||
Non-MBS [Member] | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 6,542,921 | 6,718,208 | ||
Allowance for Credit Losses | 0 | ||||
Gross Unrealized Gains | 20,863 | 58,570 | |||
Gross Unrealized Losses | (35,285) | (697) | |||
Fair Value | 6,528,499 | 6,776,081 | |||
U.S. obligations single-family MBS [Me | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 490,952 | 394,985 | ||
Allowance for Credit Losses | 0 | 0 | |||
Gross Unrealized Gains | 1,999 | 3,876 | |||
Gross Unrealized Losses | (9,969) | (54) | |||
Fair Value | 482,982 | 398,807 | |||
Private label MBS | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 140,222 | 164,050 | ||
Allowance for Credit Losses | (8,532) | [2] | (2,378) | ||
Gross Unrealized Gains | 12,443 | 32,826 | |||
Gross Unrealized Losses | (1,862) | (73) | |||
Fair Value | 142,271 | 194,425 | |||
MBS [Member] | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 5,722,088 | 5,636,448 | ||
Allowance for Credit Losses | (8,532) | (2,378) | |||
Gross Unrealized Gains | 21,658 | 59,605 | |||
Gross Unrealized Losses | (73,153) | (2,463) | |||
Fair Value | 5,662,061 | 5,691,212 | |||
US Treasury Securities [Member] | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | 5,246,937 | 5,069,716 | |||
Allowance for Credit Losses | 0 | 0 | |||
Gross Unrealized Gains | 3,963 | 6,213 | |||
Gross Unrealized Losses | (18,407) | (697) | |||
Fair Value | 5,232,493 | 5,075,232 | |||
Single Family [Member] | GSE MBS [Member] | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 1,925,950 | 2,075,683 | ||
Allowance for Credit Losses | 0 | 0 | |||
Gross Unrealized Gains | 5,852 | 18,377 | |||
Gross Unrealized Losses | (50,765) | (991) | |||
Fair Value | 1,881,037 | 2,093,069 | |||
Multifamily [Member] | GSE MBS [Member] | |||||
Debt Securities, Available-for-sale [Line Items] | |||||
Available-for-sale, Amortized Cost | [1] | 3,164,964 | 3,001,730 | ||
Allowance for Credit Losses | 0 | ||||
Gross Unrealized Gains | 1,364 | 4,526 | |||
Gross Unrealized Losses | (10,557) | (1,345) | |||
Fair Value | $ 3,155,771 | $ 3,004,911 | |||
[1]Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable |
Available-for-Sale (AFS) Secu_2
Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | |||
Fair Value | $ 12,190,560 | $ 12,467,293 | |
Amortized Cost | [1] | 12,265,009 | 12,354,656 |
Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in one year or less, Amortized Cost | 1,566,430 | 554,080 | |
Due after one year through five years, Amortized Cost | 2,629,759 | 3,281,393 | |
Due after five years through ten years, Amortized Cost | 2,204,799 | 2,685,727 | |
Due in more than ten years, Amortized Cost | 141,933 | 197,008 | |
Due in one year or less, Fair Value | 1,560,311 | 555,481 | |
Due after one year through five years, Fair Value | 2,632,374 | 3,289,730 | |
Due after five years through ten years, Fair Value | 2,206,358 | 2,723,861 | |
Due in more than ten years, Fair Value | 129,456 | 207,009 | |
Fair Value | 6,528,499 | 6,776,081 | |
Amortized Cost | [1] | 6,542,921 | 6,718,208 |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Fair Value | 5,662,061 | 5,691,212 | |
Amortized Cost | [1] | $ 5,722,088 | $ 5,636,448 |
[1]Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable |
Available-for-Sale (AFS) Secu_3
Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | $ 6,728,221 | $ 1,428,801 |
Unrealized Losses - Less than 12 Months | (76,955) | (2,259) |
Fair Value - 12 Months or longer | 1,101,268 | 526,478 |
Unrealized Losses - 12 months or longer | (31,483) | (901) |
Fair Value - Total in continuous loss | 7,829,489 | 1,955,279 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (108,438) | (3,160) |
Debt Securities, Available-for-Sale, Allowance for Credit Loss, Not to Sell before Recovery, Credit Loss, Previously Recorded, Expense (Reversal) | (6,154) | 36 |
GSE and TVA obligations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 39,276 | |
Unrealized Losses - Less than 12 Months | (2,810) | |
Fair Value - 12 Months or longer | 0 | |
Unrealized Losses - 12 months or longer | 0 | |
Fair Value - Total in continuous loss | 39,276 | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (2,810) | |
State or local agency obligation [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 160,372 | |
Unrealized Losses - Less than 12 Months | (14,068) | |
Fair Value - 12 Months or longer | 0 | |
Unrealized Losses - 12 months or longer | 0 | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (14,068) | |
Non-MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 2,660,561 | |
Unrealized Losses - Less than 12 Months | (25,410) | |
Fair Value - 12 Months or longer | 388,509 | |
Unrealized Losses - 12 months or longer | (9,875) | |
Fair Value - Total in continuous loss | 3,049,070 | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (35,285) | |
U.S. obligations single-family MBS [Me | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 315,111 | 20,188 |
Unrealized Losses - Less than 12 Months | (9,511) | (54) |
Fair Value - 12 Months or longer | 15,293 | 0 |
Unrealized Losses - 12 months or longer | (458) | 0 |
Fair Value - Total in continuous loss | 330,404 | 20,188 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (9,969) | (54) |
Private label MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 34,918 | 0 |
Unrealized Losses - Less than 12 Months | (1,682) | 0 |
Fair Value - 12 Months or longer | 2,357 | 2,476 |
Unrealized Losses - 12 months or longer | (180) | (73) |
Fair Value - Total in continuous loss | 37,275 | 2,476 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (1,862) | (73) |
MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 4,067,660 | 842,455 |
Unrealized Losses - Less than 12 Months | (51,545) | (1,562) |
Fair Value - 12 Months or longer | 712,759 | 526,478 |
Unrealized Losses - 12 months or longer | (21,608) | (901) |
Fair Value - Total in continuous loss | 4,780,419 | 1,368,933 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (73,153) | (2,463) |
US Treasury Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 2,460,913 | 586,346 |
Unrealized Losses - Less than 12 Months | (8,532) | (697) |
Fair Value - 12 Months or longer | 388,509 | 0 |
Unrealized Losses - 12 months or longer | (9,875) | 0 |
Fair Value - Total in continuous loss | 2,849,422 | 586,346 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (18,407) | (697) |
Single Family [Member] | GSE MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 1,406,666 | 188,235 |
Unrealized Losses - Less than 12 Months | (33,614) | (991) |
Fair Value - 12 Months or longer | 146,908 | 0 |
Unrealized Losses - 12 months or longer | (17,151) | 0 |
Fair Value - Total in continuous loss | 1,553,574 | 188,235 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | (50,765) | (991) |
Multifamily [Member] | GSE MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Fair Value - Less than 12 Months | 2,310,965 | 634,032 |
Unrealized Losses - Less than 12 Months | (6,738) | (517) |
Fair Value - 12 Months or longer | 548,201 | 524,002 |
Unrealized Losses - 12 months or longer | (3,819) | (828) |
Fair Value - Total in continuous loss | 2,859,166 | 1,158,034 |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | $ (10,557) | $ (1,345) |
Available-for-Sale (AFS) Secu_4
Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 12,265,009 | $ 12,354,656 |
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | |
Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 6,542,921 | 6,718,208 |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 5,722,088 | 5,636,448 |
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | |
Fixed-rate | Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 6,542,921 | 6,718,208 | |
Fixed-rate | MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 1,069,749 | 765,556 | |
HTM securities; fair value of $874,282 and $1,248,363 | 824,791 | 1,042,367 | |
Floating-rate | Non-MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 0 | 0 | |
Floating-rate | MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 4,652,339 | 4,870,892 | |
HTM securities; fair value of $874,282 and $1,248,363 | $ 131,680 | $ 171,505 | |
[1]Includes adjustments made to the cost basis of an investment for accretion, amortization and/or fair value hedge accounting adjustments, and excludes accrued interest receivable |
Held-to-Maturity (HTM) Securiti
Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | $ 956,471 | [2] | $ 1,213,872 | |
Gross Unrealized Holding Gains | 229 | [2] | 42,987 | ||
Gross Unrealized Holding Losses | (82,418) | [2] | (8,496) | ||
HTM Securities, Fair Value | 874,282 | [2] | 1,248,363 | ||
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | |||
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss | [1] | 2,400 | 2,700 | ||
Proceeds from Sale of Debt Securities, Available-for-Sale | 577,197 | 0 | $ 0 | ||
Debt Securities, Available-for-Sale, Realized Gain | 509 | 0 | 0 | ||
Debt Securities, Available-for-Sale, Realized Loss | 0 | 0 | $ 0 | ||
U.S. obligations single-family MBS [Me | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Gross Unrealized Holding Gains | 155 | 1,029 | |||
Gross Unrealized Holding Losses | (5,352) | 0 | |||
HTM Securities, Fair Value | 157,169 | 84,183 | |||
HTM securities; fair value of $874,282 and $1,248,363 | [1] | 162,366 | 83,154 | ||
Private label MBS | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Gross Unrealized Holding Gains | 0 | 710 | |||
Gross Unrealized Holding Losses | (3,618) | (518) | |||
HTM Securities, Fair Value | 50,052 | 70,406 | |||
HTM securities; fair value of $874,282 and $1,248,363 | [1] | 53,670 | 70,214 | ||
MBS [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Amortized Cost | [1] | 956,471 | 1,213,872 | ||
Gross Unrealized Holding Gains | 229 | 42,987 | |||
Gross Unrealized Holding Losses | (82,418) | (8,496) | |||
HTM Securities, Fair Value | 874,282 | 1,248,363 | |||
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | |||
Single Family [Member] | GSE MBS [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Gross Unrealized Holding Gains | 74 | 7,597 | |||
Gross Unrealized Holding Losses | (63,200) | (7,978) | |||
HTM Securities, Fair Value | 372,003 | 565,651 | |||
HTM securities; fair value of $874,282 and $1,248,363 | [1] | 435,129 | 566,032 | ||
Multifamily [Member] | GSE MBS [Member] | |||||
Schedule of Held-to-maturity Securities [Line Items] | |||||
Gross Unrealized Holding Gains | 0 | 33,651 | |||
Gross Unrealized Holding Losses | (10,248) | 0 | |||
HTM Securities, Fair Value | 295,058 | 528,123 | |||
HTM securities; fair value of $874,282 and $1,248,363 | [1] | $ 305,306 | $ 494,472 | ||
[1]Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable |
Held-to-Maturity (HTM) Securi_2
Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1] | $ 956,471 | [2] | $ 1,213,872 |
HTM Securities | $ 874,282 | [2] | $ 1,248,363 | |
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Held-to-maturity (HTM) securities | Held-to-maturity (HTM) securities | ||
MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1] | $ 956,471 | $ 1,213,872 | |
HTM Securities | $ 874,282 | $ 1,248,363 | ||
[1]Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable |
Held-to-Maturity (HTM) Securi_3
Held-to-Maturity (HTM) Securities (Interest Rate Payment terms of HTM) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1] | $ 956,471 | [2] | $ 1,213,872 |
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | ||
MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
Amortized Cost | [1] | 956,471 | 1,213,872 | |
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | ||
Fixed-rate | MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
HTM securities; fair value of $874,282 and $1,248,363 | 824,791 | 1,042,367 | ||
Floating-rate | MBS [Member] | ||||
Schedule of Held-to-maturity Securities [Line Items] | ||||
HTM securities; fair value of $874,282 and $1,248,363 | $ 131,680 | $ 171,505 | ||
[1]Includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable |
Available for sale allowance fo
Available for sale allowance for loan losses (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-Sale, Excluding Accrued Interest, Allowance for Credit Loss [Roll Forward] | ||
Balance, beginning of period | $ 2,378 | $ 2,417 |
Increases (decreases) for securities in which a previous ACL or OTTI was recorded | 6,154 | (36) |
Reductions for securities sold or matured during the period | 0 | (3) |
Balance, end of period | $ 8,532 | $ 2,378 |
Investments, Debt and Equity _3
Investments, Debt and Equity Securities (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Securities Purchased Under Agreement to Resell, Percentage Rated Below Triple-B | 0% | |
Interest-Bearing Deposits and Federal Funds Sold, Percentage Rated Below Triple-B | 0% | |
Debt securities, Held-to-maturity, allowance for credit losses | $ 0 | $ 0 |
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated BBB Or Above | 18.60% | |
AFS HTM - GSE and Other US Obligations | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Financing Receivable, Allowance for Credit Loss | $ 0 | |
Interest Bearing Deposits and Federal Funds Sold | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Financing Receivable, Allowance for Credit Loss | $ 0 | $ 0 |
Advances (Narrative) (Details)
Advances (Narrative) (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 69,228,871 | $ 14,079,217 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 54,300,000 | $ 9,000,000 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 78.50% | 64% |
Number of Top Advances Borrowers | 5 | 5 |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | 3 | 1 |
Federal Home Loan Bank Advances | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 241,800 | $ 24,700 |
Maximum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 30 years | |
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate | 10 years |
Advances (Portfolio by Year of
Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Federal Home Loan Bank, Advance, Maturity, Rolling Year [Abstract] | |||
Due in 1 year or less | $ 28,672,440 | $ 8,539,301 | |
Due after 1 year through 2 years | 21,421,482 | 2,076,494 | |
Due after 2 years through 3 years | 13,136,090 | 2,031,671 | |
Due after 3 years through 4 years | 4,966,948 | 1,031,294 | |
Due after 4 years through 5 years | 865,373 | 222,058 | |
Thereafter | 166,538 | 178,399 | |
Total par value | 69,228,871 | 14,079,217 | |
Deferred prepayment fees | (940) | (1,405) | |
Hedging adjustments | (371,695) | 46,563 | |
Total book value (1) | [1] | $ 68,856,236 | $ 14,124,375 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate [Abstract] | |||
Due in 1 year or less | 4.28% | 1.60% | |
Due after 1 year through 2 years | 4.17% | 1.59% | |
Due after 2 years through 3 years | 4.30% | 1.36% | |
Due after 3 years through 4 years | 4.38% | 1.97% | |
Due after 4 years through 5 years | 3.37% | 1.43% | |
Thereafter | 2.84% | 2.60% | |
Total par value, Weighted Average Interest Rate | 4.24% | 1.60% | |
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | |||
[1]Amounts exclude accrued interest receivable |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Federal Home Loan Bank, Advances, Par Value, Earlier of Contractual Maturity or Next Call Date, Rolling Year [Abstract] | ||
Due in 1 year or less | $ 28,962,440 | $ 8,579,301 |
Due after 1 year through 2 years | 21,131,482 | 2,076,494 |
Due after 2 years through 3 years | 13,136,090 | 1,991,671 |
Due after 3 years through 4 years | 4,966,948 | 1,031,294 |
Due after 4 years through 5 years | 865,373 | 222,058 |
Thereafter | 166,538 | 178,399 |
Total par value | $ 69,228,871 | $ 14,079,217 |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Advances [Abstract] | ||
Fixed-rate – overnight | $ 1,792,810 | $ 64,000 |
Due in 1 year or less | 21,547,006 | 8,325,202 |
Thereafter | 7,429,914 | 5,446,816 |
Total fixed-rate | 30,769,730 | 13,836,018 |
Variable rate - due in 1 year or less | 5,332,624 | 150,099 |
Thereafter | 33,126,517 | 93,100 |
Total variable-rate | 38,459,141 | 243,199 |
Total par value | $ 69,228,871 | $ 14,079,217 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Mortgage Loans held for portfolio [Line Items] | ||||||
Loans and Leases Receivable, before Fees, Gross | $ 4,528,731 | $ 4,590,727 | ||||
Premiums | 73,703 | 84,155 | ||||
Discounts | (10,224) | (1,769) | ||||
Hedging adjustments | 1,918 | 6,482 | ||||
Loans and Leases Receivable, Gross | [1] | 4,594,128 | 4,679,595 | |||
Allowance for credit losses on mortgage loans held for portfolio | (3,240) | (3,412) | ||||
Loans and Leases Receivable, Net Amount | 4,590,888 | 4,676,183 | ||||
Past due 90 days or more still accruing interest | 3,182 | 3,129 | ||||
Loans on nonaccrual status | $ 20,950 | $ 29,890 | ||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | ||||||
Government-guaranteed/insured loans [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Loans and Leases Receivable, before Fees, Gross | $ 112,855 | $ 129,995 | ||||
Loans on nonaccrual status | [2] | 0 | ||||
Conventional loans [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Loans and Leases Receivable, before Fees, Gross | 4,415,876 | 4,460,732 | ||||
Loans and Leases Receivable, Gross | [3] | 4,478,734 | 4,546,434 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 3,343,728 | 3,407,184 | |||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 1,135,006 | 1,139,250 | |||
Conventional loans [Member] | Financial Asset, Not Past Due | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 3,307,745 | 3,369,710 | |||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 1,109,321 | ||||
Conventional loans [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Loans and Leases Receivable, Gross | [3] | 18,072 | 25,766 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 9,856 | 16,455 | |||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 8,216 | 9,311 | |||
Real Estate Loan | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 22,500 | 22,200 | ||||
Loans Receivable With Fixed Rates Of Interest Long Term [Member] | Single Family [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Loans and Leases Receivable, before Fees, Gross | [4] | 4,388,461 | 4,417,532 | |||
Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | Single Family [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Loans and Leases Receivable, before Fees, Gross | [4] | 140,270 | $ 173,195 | |||
Residential Portfolio Segment [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 22,500 | |||||
Residential Portfolio Segment [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Financing Receivable, Percent Past Due | 0.50% | [2] | 0.60% | |||
Residential Portfolio Segment [Member] | Government-guaranteed/insured loans [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Past due 90 days or more still accruing interest | $ 3,182 | [2] | $ 3,129 | |||
Loans on nonaccrual status | $ 0 | |||||
Residential Portfolio Segment [Member] | Government-guaranteed/insured loans [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Financing Receivable, Percent Past Due | [2] | 2.90% | 2.40% | |||
Residential Portfolio Segment [Member] | Conventional loans [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Allowance for credit losses on mortgage loans held for portfolio | $ (3,240) | $ (3,412) | $ (4,972) | $ (7,832) | ||
Past due 90 days or more still accruing interest | 0 | 0 | ||||
Loans on nonaccrual status | $ 20,950 | $ 29,890 | ||||
Residential Portfolio Segment [Member] | Conventional loans [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | ||||||
Mortgage Loans held for portfolio [Line Items] | ||||||
Financing Receivable, Percent Past Due | [2] | 0.40% | 0.60% | |||
[1]Amounts exclude accrued interest receivable |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
In process of foreclosure, included above (2) | [1] | $ 9,225 | $ 3,913 | ||
Past due 90 days or more still accruing interest | 3,182 | 3,129 | |||
Loans on nonaccrual status | 20,950 | 29,890 | |||
Loans and Leases Receivable, Net of Deferred Income | [2] | 4,594,128 | 4,679,595 | ||
Conventional MPF Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
In process of foreclosure, included above (2) | [1] | 7,873 | 2,906 | ||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 1,135,006 | 1,139,250 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 3,343,728 | 3,407,184 | ||
Loans and Leases Receivable, Net of Deferred Income | [3] | 4,478,734 | 4,546,434 | ||
Conventional MPF Loans [Member] | Performing Financial Instruments [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 1,115,681 | |||
Loans and Leases Receivable, Net of Deferred Income | [3] | 4,417,066 | 4,485,391 | ||
Conventional MPF Loans [Member] | Nonperforming Financial Instruments [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 25,685 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 35,983 | |||
Loans and Leases Receivable, Net of Deferred Income | [3] | 61,668 | 61,043 | ||
Government-Guaranteed or Insured Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
In process of foreclosure, included above (2) | 1,352 | [1] | 1,007 | [4] | |
Loans on nonaccrual status | [4] | 0 | |||
Financial Asset, 30 to 59 Days Past Due [Member] | Conventional MPF Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 13,369 | 11,473 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 19,806 | 16,502 | ||
Loans and Leases Receivable, Net of Deferred Income | [3] | 33,175 | 27,975 | ||
Financial Asset, 60 to 89 Days Past Due [Member] | Conventional MPF Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 4,100 | 2,785 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 6,321 | 4,517 | ||
Loans and Leases Receivable, Net of Deferred Income | [3] | 10,421 | 7,302 | ||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Conventional MPF Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 8,216 | 9,311 | ||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | 9,856 | 16,455 | ||
Loans and Leases Receivable, Net of Deferred Income | [3] | $ 18,072 | 25,766 | ||
Financial Asset, Past Due | Conventional MPF Loans [Member] | |||||
Financing Receivable, Credit Quality Indicator [Line Items] | |||||
Financing Receivable, Originated, More than Five Years before Current Fiscal Year | [3] | 23,569 | |||
Financing Receivable, Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | [3] | $ 37,474 | |||
[1]Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.[2]Amounts exclude accrued interest receivable |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | $ 3,412 | |||||
Balance , end of period | 3,240 | $ 3,412 | ||||
Financing Receivable, Change in Method, Credit Loss Expense (Reversal) | $ 3,900 | |||||
Credit Enhancement Fees Receivable | 3,800 | |||||
Stockholders' Equity Attributable to Parent | 4,898,115 | 2,735,652 | 3,041,918 | $ 4,472,836 | ||
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | ||||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Stockholders' Equity Attributable to Parent | 100 | |||||
Conventional MPF Loans [Member] | Residential Portfolio Segment [Member] | ||||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | 3,412 | 4,972 | 7,832 | |||
(Charge-offs) Recoveries, net | 288 | [1] | 1,009 | [1] | (727) | |
Provision for credit losses | 460 | 2,569 | 1,742 | |||
Balance , end of period | $ 3,240 | $ 3,412 | $ 4,972 | |||
[1]Net charge-offs that the Bank does not expect to recover through CE receivable. |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Real Estate Owned (REO) | $ 0.3 | $ 0.4 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 72,201,792 | $ 27,712,044 | |
Derivative Asset, Fair Value, Gross Asset | 60,626 | 2,447 | |
Derivative Liabilities, fair Value, Gross Liability | 1,009,632 | 73,820 | |
Netting adjustments: Derivative Assets | [1],[2] | 168,370 | 180,406 |
Netting adjustments: Derivative Liabilities | [1],[2] | (996,194) | (67,975) |
Derivative assets | 228,996 | 182,853 | |
Derivative liabilities | 13,438 | 5,845 | |
Derivative Liability, Collateral, Right to Reclaim Cash, Offset | (1,166,400) | (248,700) | |
Derivative Asset, Collateral, Obligation to Return Cash, Offset | (1,900) | (300) | |
Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 69,039,626 | 25,597,234 | |
Derivative Asset, Fair Value, Gross Asset | 53,340 | 1,061 | |
Derivative Liabilities, fair Value, Gross Liability | 985,134 | 70,643 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 3,162,166 | 2,114,810 | |
Derivative Asset, Fair Value, Gross Asset | 7,286 | 1,386 | |
Derivative Liabilities, fair Value, Gross Liability | 24,498 | 3,177 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 2,176,879 | 1,084,988 | |
Derivative Asset, Fair Value, Gross Asset | 2,112 | 27 | |
Derivative Liabilities, fair Value, Gross Liability | 24,457 | 3,046 | |
Not Designated as Hedging Instrument [Member] | Interest Rate caps or floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 975,000 | 1,005,000 | |
Derivative Asset, Fair Value, Gross Asset | 5,164 | 1,357 | |
Derivative Liabilities, fair Value, Gross Liability | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 10,287 | 24,822 | |
Derivative Asset, Fair Value, Gross Asset | 10 | 2 | |
Derivative Liabilities, fair Value, Gross Liability | $ 41 | $ 131 | |
[1]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.[2]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $1,166.4 million for December 31, 2022 and $248.7 million for December 31, 2021. Cash collateral received was $1.9 million for December 31, 2022 and $0.3 million for December 31, 2021. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains/(Losses) on Derivative | $ (51,197) | $ 219,197 | $ (169,024) |
Gains/(Losses) on Hedged Item | 53,522 | (221,141) | 164,279 |
Net Interest Settlements on FV Hedges | (40,768) | (135,932) | (140,171) |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (38,443) | (137,876) | (144,916) |
Interest income on advances (1) | 992,336 | 139,905 | 625,473 |
Available-for-sale (AFS) securities | 264,785 | 96,438 | 166,842 |
Interest income on MPF loans | 135,086 | 126,360 | 155,271 |
Interest Expense on Consolidated obligation - Bonds | (775,104) | (222,781) | (530,962) |
Interest Expense, Other Short-Term Borrowings | (464,352) | (6,701) | (179,597) |
Interest Expense [Member] | Consolidated Obligations Discount Notes | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains/(Losses) on Derivative | (6,625) | ||
Gains/(Losses) on Hedged Item | 7,057 | ||
Net Interest Settlements on FV Hedges | 5,717 | ||
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | 6,149 | ||
Interest Expense [Member] | Consolidated Obligations - Bonds [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains/(Losses) on Derivative | (991,964) | (105,498) | (7,336) |
Gains/(Losses) on Hedged Item | 991,737 | 105,526 | 8,061 |
Net Interest Settlements on FV Hedges | (69,233) | 51,805 | 66,820 |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (69,460) | 51,833 | 67,545 |
Interest Income [Member] | Advances | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains/(Losses) on Derivative | 418,403 | 203,228 | (77,223) |
Gains/(Losses) on Hedged Item | (418,262) | (203,344) | 77,129 |
Net Interest Settlements on FV Hedges | (7,674) | (140,979) | (185,860) |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (7,533) | (141,095) | (185,954) |
Interest Income [Member] | Available-for-sale Securities [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains/(Losses) on Derivative | 528,989 | 121,467 | (84,465) |
Gains/(Losses) on Hedged Item | (525,632) | (119,855) | 82,308 |
Net Interest Settlements on FV Hedges | 30,422 | (46,758) | (21,131) |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | 33,779 | (45,146) | (23,288) |
Interest Income [Member] | Mortgage Receivable [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gains/(Losses) on Derivative | 0 | 0 | 0 |
Gains/(Losses) on Hedged Item | (1,378) | (3,468) | (3,219) |
Net Interest Settlements on FV Hedges | 0 | 0 | 0 |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | $ (1,378) | $ (3,468) | $ (3,219) |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities FairValuesDerivativesBalanceSheetLocationByDerivativeContractTypeByHedgingDesignationTable (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Advances | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | $ 9,516,520 | [1] | $ 8,952,529 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | (370,776) | 46,583 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (918) | (20) | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (371,694) | 46,563 | |
Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Asset, Fair Value Hedge | 6,265,480 | [1] | 5,968,405 |
Hedged Asset, Active Fair Value Hedge, Cumulative Increase (Decrease) | (513,825) | 11,667 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 873 | 1,012 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (512,952) | 12,679 | |
Consolidated Obligations - Bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Liability, Fair Value Hedge | 33,603,677 | [1] | 10,633,898 |
Hedged Liability,ActiveFair Value Hedge,Cumulative Increase (Decrease) | (1,072,289) | (80,686) | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 10 | 146 | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | (1,072,279) | $ (80,540) | |
Consolidated Obligations Discount Notes | |||
Derivatives, Fair Value [Line Items] | |||
Hedged Liability, Fair Value Hedge | 17,481,373 | ||
Hedged Liability,ActiveFair Value Hedge,Cumulative Increase (Decrease) | (7,057) | ||
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 0 | ||
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | $ (7,057) | ||
[1]Includes carrying value of hedged items in current fair value hedging relationships. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ 14,244 | $ 5,893 | ||
Net gains (losses) on derivatives | 14,244 | 5,893 | $ (90,910) | |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 20,942 | 15,449 | (85,298) | |
Interest Rate caps or floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 2,663 | 184 | 758 | |
Net Interest Settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (5,864) | (5,440) | (11,467) | |
TBA's [Member] [Domain] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 74 | 0 | 38 | |
Forward Contracts [Member] | Mortgage Receivable [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (2,917) | (4,311) | 4,724 | |
Other Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 1 | 0 | 148 | |
Gain (Loss) on Derivative Instruments [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ 14,899 | $ 5,882 | (91,097) | |
Gain (Loss) on Derivative Instruments [Member] | Economic Hedge [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Other - price alignment amount on cleared derivatives (1) | [1] | $ 187 | ||
[1]This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative [Line Items] | |||
Gross recognized amount | $ 60,616 | $ 2,445 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | 168,370 | 180,406 |
Net amounts after netting adjustments | 228,986 | 182,851 | |
Derivative instruments not meeting netting requirements | 10 | 2 | |
Derivative assets | 228,996 | 182,853 | |
Derivative liabilities | 13,438 | 5,845 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 43,901 | 1,972 | |
Gross amounts of netting adjustments and cash collateral | (41,679) | (1,700) | |
Net amounts after netting adjustments | 2,222 | 272 | |
Derivative instruments not meeting netting requirements | 10 | 2 | |
Derivative assets | 2,232 | 274 | |
Derivative liabilities | 11,791 | 3,712 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 16,715 | 473 | |
Gross amounts of netting adjustments and cash collateral | 210,049 | 182,106 | |
Net amounts after netting adjustments | 226,764 | 182,579 | |
Derivative instruments not meeting netting requirements | 0 | 0 | |
Derivative assets | 226,764 | 182,579 | |
Derivative liabilities | $ 1,647 | $ 2,133 | |
[1]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.[2]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $1,166.4 million for December 31, 2022 and $248.7 million for December 31, 2021. Cash collateral received was $1.9 million for December 31, 2022 and $0.3 million for December 31, 2021. |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities Offsetting liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Offsetting Liabilities [Line Items] | |||
Gross recognized amount | $ 1,009,591 | $ 73,689 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (996,194) | (67,975) |
Net amounts after netting adjustments | 13,397 | 5,714 | |
Derivative instruments not meeting netting requirements | 41 | 131 | |
Derivative liabilities | 13,438 | 5,845 | |
Uncleared derivatives | |||
Offsetting Liabilities [Line Items] | |||
Gross recognized amount | 1,003,917 | 71,083 | |
Gross amounts of netting adjustments and cash collateral | (992,167) | (67,502) | |
Net amounts after netting adjustments | 11,750 | 3,581 | |
Derivative instruments not meeting netting requirements | 41 | 131 | |
Derivative liabilities | 11,791 | 3,712 | |
Cleared derivatives | |||
Offsetting Liabilities [Line Items] | |||
Gross recognized amount | 5,674 | 2,606 | |
Gross amounts of netting adjustments and cash collateral | (4,027) | (473) | |
Net amounts after netting adjustments | 1,647 | 2,133 | |
Derivative instruments not meeting netting requirements | 0 | 0 | |
Derivative liabilities | $ 1,647 | $ 2,133 | |
[1]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.[2]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $1,166.4 million for December 31, 2022 and $248.7 million for December 31, 2021. Cash collateral received was $1.9 million for December 31, 2022 and $0.3 million for December 31, 2021. |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | ||
Derivative [Line Items] | |||
Net gains (losses) related to derivatives not designated as hedging instruments | $ 14,244 | $ 5,893 | |
Price Alignment Amount | |||
Derivative [Line Items] | |||
Net gains (losses) related to derivatives not designated as hedging instruments | [1] | $ (655) | $ 11 |
[1]This amount is for derivatives for which variation margin is characterized as a daily settled contract. |
Deposits (Details)
Deposits (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Deposits [Abstract] | ||
Interest-bearing Deposit, Demand | $ 525,549 | $ 918,706 |
Noninterest-bearing Deposit, Demand | 27,730 | 168,801 |
Total deposits | $ 553,279 | $ 1,087,507 |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 57,515,295 | $ 23,135,400 |
Bond premiums | 47,515 | 62,536 |
Bond discounts | (14,069) | (7,469) |
Concession fees | (5,008) | (4,188) |
Hedging adjustments | (1,072,278) | (80,541) |
Total book value | 56,471,455 | 23,105,738 |
Fixed-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 39,983,295 | 20,650,400 |
Step-up | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 3,124,000 | 1,560,000 |
Floating-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 14,408,000 | $ 925,000 |
Consolidated Obligations (Contr
Consolidated Obligations (Contractual Maturity Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 57,515,295 | $ 23,135,400 |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 30,747,975 | $ 5,748,625 |
Long Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 3.72% | 1.17% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 11,491,385 | $ 2,243,000 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 3.09% | 1.74% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 3,263,725 | $ 3,520,275 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 2.16% | 1.32% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 6,557,800 | $ 1,683,725 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 1.25% | 1.27% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 1,850,300 | $ 6,300,800 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 3.09% | 1.10% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 3,604,110 | $ 3,638,975 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 2.37% | 1.90% |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 3.12% | 1.35% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 57,515,295 | $ 23,135,400 |
Non Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | 35,816,795 | 11,476,400 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Gross | $ 21,698,500 | $ 11,659,000 |
Consolidated Obligations (Con_2
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 30,747,975 | $ 5,748,625 |
Long-term Debt, Gross | 57,515,295 | 23,135,400 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 11,491,385 | 2,243,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 3,263,725 | 3,520,275 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 6,557,800 | 1,683,725 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 1,850,300 | 6,300,800 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 3,604,110 | 3,638,975 |
Earlier of Contractual Maturity or Next Call Date [Member] [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 47,036,975 | 17,067,625 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 6,573,385 | 2,025,000 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 1,049,725 | 1,151,275 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,035,800 | 848,725 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 392,300 | 596,800 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 1,427,110 | $ 1,445,975 |
Consolidated Obligations (Con_3
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Short-term Debt [Line Items] | |||
Book value | $ 33,745,478 | $ 10,493,617 | |
Weighted average interest rate (1) | [1] | 4.25% | 0.04% |
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 30,747,975 | $ 5,748,625 | |
Earlier of Contractual Maturity or Next Call Date [Member] [Member] | |||
Short-term Debt [Line Items] | |||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 47,036,975 | 17,067,625 | |
Short-term Debt [Member] | |||
Short-term Debt [Line Items] | |||
Par value | $ 34,007,058 | $ 10,494,933 | |
[1]Represents yield to maturity excluding concession fees and hedging adjustments. |
Consolidated Obligations (Narra
Consolidated Obligations (Narrative) (Details) $ in Billions | Dec. 31, 2022 USD ($) Banks | Dec. 31, 2021 USD ($) |
Narrative [Abstract] | ||
Number of FHLBanks | Banks | 11 | |
FHLB Total CO | $ | $ 1,181.7 | $ 652.9 |
Affordable Housing Program (A_3
Affordable Housing Program (AHP) (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Affordable Housing Program [Abstract] | |||
AHP, Contribution Requirement, Amount | $ 100,000,000 | ||
AHP, Contribution Requirement, Percentage | 10% | ||
AHP Open Committments | $ 48,500,000 | $ 68,600,000 | $ 72,000,000 |
Affordable Housing Program [Roll Forward] | |||
Balance, beginning of the year | 81,152,000 | 102,186,000 | 112,289,000 |
Assessments | 25,410,000 | 9,974,000 | 25,227,000 |
Payments and subsidy usage, net | (30,734,000) | (31,008,000) | (35,330,000) |
Balance, end of the year | $ 75,828,000 | $ 81,152,000 | $ 102,186,000 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) | Dec. 31, 2022 USD ($) numberOfRegulatoryRequirements | Dec. 31, 2021 USD ($) |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Number of Finance Agency Regulatory Capital Requirements | numberOfRegulatoryRequirements | 3 | |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
NumberOfSubclassesOfCapitalStock | 2 | |
Risk-based capital - Required | $ 441,078,000 | $ 406,676,000 |
Risk-Based Capital, Actual | $ 4,992,405,000 | $ 2,647,918,000 |
Total capital-to-asset ratio - Required | 4% | 4% |
Total capital-to-asset ratio, Actual | 5.20% | 7% |
Total Regulatory Capital, Required | $ 3,845,647,000 | $ 1,506,051,000 |
Federal Home Loan Bank, Regulatory Capital, Actual | $ 4,992,405,000 | $ 2,647,918,000 |
Leverage ratio - Required | 5% | 5% |
Federal Home Loan Bank, Leverage Ratio, Actual | 7.80% | 10.60% |
Leverage Capital, Required | $ 4,807,058,000 | $ 1,882,564,000 |
Leverage capital - Actual | 7,488,607,000 | 3,971,878,000 |
Subclass B1 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | 309,000,000 | 352,100,000 |
Subclass B2 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | $ 3,119,400,000 | $ 874,900,000 |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) $ / shares in Units, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 USD ($) Institutions $ / shares | Dec. 31, 2021 USD ($) $ / shares | Dec. 31, 2020 USD ($) | |
Banking Regulation, Total Capital [Abstract] | |||
Capital stock, par value | $ / shares | $ 100 | $ 100 | |
Balance, end of the period | $ 27,763 | $ 22,457 | $ 142,807 |
Interest Expense, Capital Securities | $ 1,600 | 3,700 | 16,600 |
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 6 | ||
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | Institutions | 3 | ||
Financial instruments subject to mandatory redemption, due to relocation | Institutions | 1 | ||
Mandatorily Redeemable Capital Stock [Roll Forward] | |||
Balance, beginning of the period | $ 22,457 | 142,807 | 343,575 |
Capital stock subject to mandatory redemption reclassified from capital | 5,809 | 1,069 | 39,457 |
Redemption/repurchase of mandatorily redeemable stock | (503) | (121,419) | (240,225) |
Balance, end of the period | $ 27,763 | $ 22,457 | $ 142,807 |
Financial Instruments Subject to Mandatory Redemption, Number of Institutions, Voluntary Withdrawls | Institutions | 2 |
Capital (Mandatorily Redeemab_2
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 |
Banking Regulation, Total Capital [Abstract] | ||||
Due in 1 year or less | $ 20,000 | $ 0 | ||
Due after 1 year though 2 years | 0 | 20,000 | ||
Due after 2 years through 3 years | 34 | 0 | ||
Due after 3 years through 4 years | 527 | 26 | ||
Due after 4 years through 5 years | 5,571 | 459 | ||
Past contractual redemption date due to remaining activity | 1,631 | 1,972 | ||
Total | $ 27,763 | $ 22,457 | $ 142,807 | $ 343,575 |
Capital (Dividends and Retained
Capital (Dividends and Retained Earnings) (Details) $ in Thousands | Feb. 24, 2023 | Oct. 28, 2022 | Jul. 30, 2022 | Apr. 29, 2022 | Feb. 23, 2022 | Oct. 29, 2021 | Jul. 30, 2021 | Apr. 30, 2021 | Feb. 26, 2021 | Oct. 30, 2020 | Jul. 30, 2020 | Apr. 30, 2020 | Feb. 21, 2020 | Dec. 31, 2022 USD ($) numberOfRegulatoryRequirements | Dec. 31, 2021 USD ($) |
Capital [Line Items] | |||||||||||||||
Retained Earnings | $ 1,536,237 | $ 1,398,411 | |||||||||||||
Unrestricted Retained Earnings | 1,037,182 | 941,033 | |||||||||||||
Restricted Retained Earnings | $ 499,055 | $ 457,378 | |||||||||||||
Number of Finance Agency Regulatory Capital Requirements | numberOfRegulatoryRequirements | 3 | ||||||||||||||
Subclass B1 | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 3.25% | 2.25% | 1.25% | 1.25% | 1.25% | 1.25% | 2.50% | 2.50% | 3% | 3% | 3% | 4.50% | |||
Subclass B1 | Subsequent Event [Member] | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 4% | ||||||||||||||
Subclass B2 | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 7.25% | 6.25% | 5.25% | 5.25% | 5.25% | 5.25% | 5.75% | 5.75% | 6.25% | 6.25% | 6.25% | 7.75% | |||
Subclass B2 | Subsequent Event [Member] | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 7.95% |
Capital (Accumulated Other Comp
Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ 4,898,115 | $ 2,735,652 | $ 3,041,918 | $ 4,472,836 |
Pension and post-retirement benefits | 4,214 | 1,442 | (1,084) | |
Available-for-sale (AFS) securities | 264,785 | 96,438 | 166,842 | |
Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, before Tax | 509 | 0 | 0 | |
Net Unrealized Gains(Losses) on AFS [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | (65,917) | 115,015 | 143,592 | 45,155 |
Net unrealized gains (losses) | (180,423) | (28,577) | 46,733 | |
Net Unrealized Gains(Losses) on AFS [Member] | Accounting Standards Update 2016-13 [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 51,704 | |||
Net Unrealized Gains (losses) on Hedging Activities | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | 0 | 0 | 0 | 149 |
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), Reclassification, before Tax | (149) | |||
Pension and Post Retirement Plans [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | (610) | (4,824) | (6,266) | (5,182) |
Pension and post-retirement benefits | 4,214 | 1,442 | (1,084) | |
Total AOCI [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | (66,527) | 110,191 | 137,326 | 91,826 |
Net unrealized gains (losses) | (180,423) | (28,577) | 46,733 | |
Other Comprehensive Income (Loss), Cash Flow Hedge, Gain (Loss), Reclassification, before Tax | (149) | |||
Pension and post-retirement benefits | 4,214 | 1,442 | (1,084) | |
Other Comprehensive Income (Loss), Reclassification Adjustment from AOCI for Sale of Securities, before Tax | 509 | |||
Available-for-sale Securities [Member] | Total AOCI [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ 0 | $ 0 | 0 | $ 51,704 |
Net unrealized gains (losses) | 0 | |||
Available-for-sale Securities [Member] | Total AOCI [Member] | Accounting Standards Update 2016-13 [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
Stockholders' Equity Attributable to Parent | $ (51,704) |
Employee Retirement Plans (Mult
Employee Retirement Plans (Multiemployer Plan) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jul. 01, 2021 | Jul. 01, 2020 | Jul. 01, 2019 | |
Multiemployer Plan [Line Items] | ||||||
Multiemployer Plan Number | 333 | |||||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ 1,800 | $ 3,300 | $ 2,500 | |||
Entity Tax Identification Number | 25-6001324 | |||||
Other Postretirement Benefits Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Eligibility requirements, period of service | 10 years | |||||
Accumulated benefit obligation | $ 2,100 | 2,100 | ||||
Supplemental Employee Retirement Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Accumulated benefit obligation | 9,500 | 10,400 | ||||
Supplemental Employee Retirement Plan [Member] | Mutual Funds [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Defined Benefit Plan, Plan Assets, Amount | $ 2,100 | 2,100 | ||||
Maximum [Member] | Other Postretirement Benefits Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Eligibility requirements, age of participants | 65 years | |||||
Minimum [Member] | Other Postretirement Benefits Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Eligibility requirements, age of participants | 60 years | |||||
Nonqualified Plan [Member] | Other Pension, Postretirement and Supplemental Plans [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Deferred Compensation Arrangement with Individual, Recorded Liability | $ 17,700 | 18,400 | ||||
Deferred Compensation Arrangement with Individual, Compensation Expense | 1,500 | 2,100 | 1,100 | |||
Nonqualified Plan [Member] | Other Pension, Postretirement and Supplemental Plans [Member] | Mutual Funds [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Defined Benefit Plan, Plan Assets, Amount | 13,900 | 14,200 | ||||
Pentegra Defined Benefit Plan [Member] | ||||||
Multiemployer Plan [Line Items] | ||||||
Defined Contribution Plan, Employer Discretionary Contribution Amount | 2,000 | 2,700 | 3,000 | |||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ 2,642 | $ 3,370 | $ 3,572 | |||
Defined Benefit Plan funded status as of July 1 | 118.90% | 130.60% | 108.50% | |||
Bank’s funded status as of July 1 | 155% | 170.80% | 141.10% |
Employee Retirement Plans (Narr
Employee Retirement Plans (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Retirement Benefits [Abstract] | |||
Defined Contribution Plan, Cost | $ 1.7 | $ 1.6 | $ 1.6 |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) | $ 1.8 | 3.3 | $ 2.5 |
Other Postretirement Benefits Plan [Member] | |||
Retirement Benefits [Abstract] | |||
Eligibility requirements, period of service | 10 years | ||
Accumulated benefit obligation | $ 2.1 | $ 2.1 | |
Minimum [Member] | Other Postretirement Benefits Plan [Member] | |||
Retirement Benefits [Abstract] | |||
Eligibility requirements, age of participants | 60 years | ||
Multiemployer Plan [Line Items] | |||
Eligibility requirements, age of participants | 60 years |
Employee Retirement Plans (Sche
Employee Retirement Plans (Schedule of Amounts Recognized in Balance Sheet and Accumulated Other Comprehensive Income) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Benefit Obligation | $ 13,801 | $ 16,396 |
Unrealized actuarial gains (losses) in AOCI | (611) | (4,824) |
SERP [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Benefit Obligation | 11,741 | 13,885 |
Unrealized actuarial gains (losses) in AOCI | (1,255) | (4,924) |
Other Postretirement Benefits Plan [Member] | ||
Defined Benefit Plan Disclosure [Line Items] | ||
Defined Benefit Plan, Benefit Obligation | 2,060 | 2,511 |
Unrealized actuarial gains (losses) in AOCI | $ 644 | $ 100 |
Transactions with Related Par_3
Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||
Advances | [1] | $ 68,856,236 | $ 14,124,375 |
MPF Loans | 4,528,731 | 4,590,727 | |
Deposits | 553,279 | 1,087,507 | |
Capital stock | 3,428,405 | 1,227,050 | |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Advances | 42,401,975 | 6,948,649 | |
Letters of credit (1) | [2] | 16,928,206 | 15,717,397 |
Loans And Leases Receivable, Unpaid Principal Balance | 263,795 | 145,193 | |
Deposits | 32,335 | 44,415 | |
Capital stock | $ 1,891,978 | $ 510,256 | |
[1]Amounts exclude accrued interest receivable |
Transactions with Related Par_4
Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Interest income on advances (1) | $ 992,336 | $ 139,905 | $ 625,473 |
Interest income on MPF loans | 135,086 | 126,360 | 155,271 |
Standby letters of credit fees | 24,722 | 23,632 | 22,077 |
Letters of credit fees | 1,322 | 4,280 | 2,300 |
Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Interest income on advances (1) | 644,622 | 152,444 | 434,423 |
Interest income on MPF loans | 10,897 | 50,200 | 24,875 |
Standby letters of credit fees | $ 10,003 | $ 18,574 | |
Standby Letters of Credit [Member] | Principal Owner [Member] | |||
Related Party Transaction [Line Items] | |||
Letters of credit fees | $ 2,984 |
Transactions with Related Par_5
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Loans Repaid to Other Federal Home Loan Banks | $ 1,800,000 | $ 5,000 | |
Proceeds from FHLBank Borrowings, Financing Activities | 1,800,000 | 5,000 | |
FHLBank of Chicago [Member] | |||
Related Party Transaction [Line Items] | |||
Fees and Commissions, Mortgage Banking and Servicing | 3,562 | $ 3,669 | $ 3,909 |
Interest-bearing deposits maintained with FHLBank of Chicago | $ 5,119 | $ 5,409 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | $ 13,242 | $ 428,190 | ||||
Trading securities | 214,008 | 243,262 | ||||
HTM Securities, Fair Value | 874,282 | [1] | 1,248,363 | |||
Accrued Interest Receivable | 310,081 | 74,660 | ||||
Derivative assets | 228,996 | 182,853 | ||||
Netting adjustments: Derivative Assets | [2],[3] | 168,370 | 180,406 | |||
Mandatorily redeemable capital stock (3) | 27,763 | 22,457 | $ 142,807 | $ 343,575 | ||
Accrued interest payable (3) | 287,539 | 59,123 | ||||
Derivative liabilities | 13,438 | 5,845 | ||||
Netting adjustments: Derivative Liabilities | [2],[3] | (996,194) | (67,975) | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,190,560 | 12,467,293 | ||||
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | 1,213,872 | ||||
Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 13,242 | 428,190 | ||||
Interest-bearing deposits | 2,471,135 | 528,476 | ||||
Securities Purchased under Agreements to Resell(2) | [4] | 3,200,137 | 1,670,004 | |||
Federal funds sold | 3,050,141 | 1,975,008 | ||||
Trading securities | 214,008 | 243,262 | ||||
HTM Securities, Fair Value | 874,282 | 1,248,363 | ||||
Advances | 68,548,367 | 14,169,479 | ||||
Accrued Interest Receivable | 310,081 | 74,660 | ||||
Derivative assets | 228,996 | 182,853 | ||||
Deposits | 553,279 | 1,087,507 | ||||
Mandatorily redeemable capital stock (3) | [5] | 28,321 | 22,752 | |||
Accrued interest payable (3) | [5] | 286,981 | 58,829 | |||
Derivative liabilities | 13,438 | 5,845 | ||||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,190,560 | 12,467,293 | ||||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 13,242 | 428,190 | ||||
Interest-bearing deposits | 2,471,135 | 528,476 | ||||
Securities Purchased under Agreements to Resell(2) | 3,200,000 | 1,670,000 | ||||
Federal funds sold | 3,050,000 | 1,975,000 | ||||
Trading securities | 214,008 | 243,262 | ||||
HTM Securities | 1,213,872 | |||||
Advances | 68,856,236 | 14,124,375 | ||||
Accrued Interest Receivable | 310,081 | 74,660 | ||||
Derivative assets | 228,996 | 182,853 | ||||
Deposits | 553,279 | 1,087,507 | ||||
Mandatorily redeemable capital stock (3) | 27,763 | 22,457 | ||||
Accrued interest payable (3) | 287,539 | 59,123 | ||||
Derivative liabilities | 13,438 | 5,845 | ||||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,190,560 | 12,467,293 | ||||
HTM securities; fair value of $874,282 and $1,248,363 | 956,471 | |||||
Banking on Business Loans [Member] | Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 22,998 | 22,501 | ||||
Banking on Business Loans [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 22,998 | 22,501 | ||||
Residential Portfolio Segment [Member] | Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 4,039,588 | 4,719,966 | ||||
Residential Portfolio Segment [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 4,590,888 | 4,676,183 | ||||
Consolidated Obligations, Discount Notes [Member] | Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 33,739,166 | 10,492,517 | ||||
Consolidated Obligations, Discount Notes [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 33,745,478 | 10,493,617 | ||||
Consolidated Obligation Bonds [Member] | Estimate of Fair Value Measurement [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | 55,694,094 | 23,205,896 | ||||
Consolidated Obligation Bonds [Member] | Carrying (Reported) Amount, Fair Value Disclosure [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | 56,471,455 | 23,105,738 | ||||
Fair Value, Inputs, Level 1 [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 13,242 | 428,190 | ||||
Interest-bearing deposits | 2,471,135 | 528,476 | ||||
Securities Purchased under Agreements to Resell(2) | 0 | 0 | ||||
Federal funds sold | 0 | 0 | ||||
Trading securities | 0 | 0 | ||||
HTM Securities, Fair Value | 0 | 0 | ||||
Advances | 0 | 0 | ||||
Accrued Interest Receivable | 0 | 0 | ||||
Derivative assets | 0 | 0 | ||||
Deposits | 0 | 0 | ||||
Mandatorily redeemable capital stock (3) | 28,321 | 22,752 | ||||
Accrued interest payable (3) | 0 | 0 | ||||
Derivative liabilities | 0 | 0 | ||||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Banking on Business Loans [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 0 | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Residential Portfolio Segment [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 0 | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligations, Discount Notes [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 0 | 0 | ||||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | 0 | 0 | ||||
Fair Value, Inputs, Level 2 [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 0 | 0 | ||||
Interest-bearing deposits | 0 | 0 | ||||
Securities Purchased under Agreements to Resell(2) | 3,200,137 | 1,670,004 | ||||
Federal funds sold | 3,050,141 | 1,975,008 | ||||
Trading securities | 214,008 | 243,262 | ||||
HTM Securities, Fair Value | 824,230 | 1,177,957 | ||||
Advances | 68,548,367 | 14,169,479 | ||||
Accrued Interest Receivable | 310,081 | 74,660 | ||||
Derivative assets | 60,626 | 2,447 | ||||
Deposits | 553,279 | 1,087,507 | ||||
Mandatorily redeemable capital stock (3) | 0 | 0 | ||||
Accrued interest payable (3) | 286,981 | 58,829 | ||||
Derivative liabilities | 1,009,632 | 73,820 | ||||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,048,289 | 12,272,868 | ||||
Fair Value, Inputs, Level 2 [Member] | Banking on Business Loans [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 0 | 0 | ||||
Fair Value, Inputs, Level 2 [Member] | Residential Portfolio Segment [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 4,039,588 | 4,719,966 | ||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligations, Discount Notes [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 33,739,166 | 10,492,517 | ||||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | 55,694,094 | 23,205,896 | ||||
Fair Value, Inputs, Level 3 [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Cash and Due from Banks | 0 | 0 | ||||
Interest-bearing deposits | 0 | 0 | ||||
Securities Purchased under Agreements to Resell(2) | 0 | 0 | ||||
Federal funds sold | 0 | 0 | ||||
Trading securities | 0 | 0 | ||||
HTM Securities, Fair Value | 50,052 | 70,406 | ||||
Advances | 0 | 0 | ||||
Accrued Interest Receivable | 0 | 0 | ||||
Derivative assets | 0 | 0 | ||||
Deposits | 0 | 0 | ||||
Mandatorily redeemable capital stock (3) | 0 | 0 | ||||
Accrued interest payable (3) | 0 | 0 | ||||
Derivative liabilities | 0 | 0 | ||||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 142,271 | 194,425 | ||||
Fair Value, Inputs, Level 3 [Member] | Banking on Business Loans [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 22,998 | 22,501 | ||||
Fair Value, Inputs, Level 3 [Member] | Residential Portfolio Segment [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Loans | 0 | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligations, Discount Notes [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Discount notes | 0 | 0 | ||||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | ||||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||||||
Bonds | $ 0 | $ 0 | ||||
[1]No ACL was recorded for these securities as of December 31, 2022 and December 31, 2021.[2]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.[3]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $1,166.4 million for December 31, 2022 and $248.7 million for December 31, 2021. Cash collateral received was $1.9 million for December 31, 2022 and $0.3 million for December 31, 2021.[4]Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2022 and December 31, 2021. These instruments’ maturity term is overnight.[5]The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | $ 214,008,000 | $ 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,190,560,000 | 12,467,293,000 | |
Derivative assets | 228,996,000 | 182,853,000 | |
Netting adjustments: Derivative Assets | [1],[2] | 168,370,000 | 180,406,000 |
Derivative liabilities | 13,438,000 | 5,845,000 | |
Netting adjustments: Derivative Liabilities | [1],[2] | (996,194,000) | (67,975,000) |
Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 214,008,000 | 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,190,560,000 | 12,467,293,000 | |
Derivative assets | 228,996,000 | 182,853,000 | |
Derivative liabilities | 13,438,000 | 5,845,000 | |
Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 214,008,000 | 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,048,289,000 | 12,272,868,000 | |
Derivative assets | 60,626,000 | 2,447,000 | |
Derivative liabilities | 1,009,632,000 | 73,820,000 | |
Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 142,271,000 | 194,425,000 | |
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Fair Value, Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Netting adjustments: Derivative Assets | [3] | 168,370,000 | 180,406,000 |
Netting adjustments: Derivative Liabilities | [3] | (996,194,000) | (67,975,000) |
Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 214,008,000 | 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,190,560,000 | 12,467,293,000 | |
Derivative assets | 228,996,000 | 182,853,000 | |
Total recurring assets at fair value | 12,633,564,000 | 12,893,408,000 | |
Derivative liabilities | 13,438,000 | 5,845,000 | |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
Derivative assets | 0 | 0 | |
Total recurring assets at fair value | 0 | 0 | |
Derivative liabilities | 0 | ||
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 214,008,000 | 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 12,048,289,000 | 12,272,868,000 | |
Derivative assets | 60,626,000 | 2,447,000 | |
Total recurring assets at fair value | 12,322,923,000 | 12,518,577,000 | |
Derivative liabilities | 1,009,632,000 | 73,820,000 | |
Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 142,271,000 | 194,425,000 | |
Derivative assets | 0 | 0 | |
Total recurring assets at fair value | 142,271,000 | 194,425,000 | |
Derivative liabilities | 0 | ||
Fair Value, Nonrecurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total recurring assets at fair value | 5,643,000 | 11,048,000 | |
Loans Receivable, Fair Value Disclosure | 5,240,000 | 10,570,000 | |
Real estate owned | 403,000 | 478,000 | |
Fair Value, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Total recurring assets at fair value | 5,643,000 | 11,048,000 | |
Loans Receivable, Fair Value Disclosure | 5,240,000 | 10,570,000 | |
Real estate owned | 403,000 | 478,000 | |
Interest Rate Swaps | Fair Value, Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Netting adjustments: Derivative Assets | 168,370,000 | 180,406,000 | |
Netting adjustments: Derivative Liabilities | (996,194,000) | (67,975,000) | |
Interest Rate Swaps | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 228,986,000 | 182,851,000 | |
Derivative liabilities | 13,397,000 | 5,714,000 | |
Interest Rate Swaps | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Interest Rate Swaps | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 60,616,000 | 2,445,000 | |
Derivative liabilities | 1,009,591,000 | 73,689,000 | |
Interest Rate Swaps | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
US Treasury Bill Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 5,232,493,000 | 5,075,232,000 | |
US Treasury Bill Securities [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 5,232,493,000 | 5,075,232,000 | |
US Treasury Bill Securities [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 5,232,493,000 | 5,075,232,000 | |
GSE and TVA obligations [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 214,008,000 | 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 1,125,743,000 | 1,493,652,000 | |
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 214,008,000 | 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 1,125,743,000 | 1,493,652,000 | |
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | ||
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 214,008,000 | 243,262,000 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 1,125,743,000 | 1,493,652,000 | |
GSE and TVA obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | ||
State or local agency obligations [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 170,263,000 | 207,197,000 | |
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 170,263,000 | 207,197,000 | |
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | ||
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 170,263,000 | 207,197,000 | |
State or local agency obligations [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | ||
U.S. obligations single-family MBS [Me | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 482,982,000 | 398,807,000 | |
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 482,982,000 | 398,807,000 | |
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 482,982,000 | 398,807,000 | |
U.S. obligations single-family MBS [Me | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
GSE MBS [Member] | Single Family [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 1,881,037,000 | 2,093,069,000 | |
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 1,881,037,000 | 2,093,069,000 | |
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 1,881,037,000 | 2,093,069,000 | |
GSE MBS [Member] | Single Family [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
GSE MBS [Member] | Multifamily [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 3,155,771,000 | 3,004,911,000 | |
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 3,155,771,000 | 3,004,911,000 | |
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 3,155,771,000 | 3,004,911,000 | |
GSE MBS [Member] | Multifamily [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
Private label MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 142,271,000 | 194,425,000 | |
Private label MBS [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 142,271,000 | 194,425,000 | |
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 0 | 0 | |
Private label MBS [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
AFS securities, net; amortized cost of $12,265,009 and $12,354,656 | 142,271,000 | 194,425,000 | |
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Netting adjustments: Derivative Assets | 0 | 0 | |
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 10,000 | 2,000 | |
Derivative liabilities | 41,000 | 131,000 | |
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 10,000 | 2,000 | |
Derivative liabilities | 41,000 | 131,000 | |
Mortgage Receivable [Member] | Forward Contracts [Member] | Fair Value, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | $ 0 | |
Derivative liabilities | $ 0 | ||
[1]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held and related interest accrued or placed by the Bank with the same clearing agent and/or counterparties.[2]Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, cash collateral including accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted including accrued interest was $1,166.4 million for December 31, 2022 and $248.7 million for December 31, 2021. Cash collateral received was $1.9 million for December 31, 2022 and $0.3 million for December 31, 2021.[3])Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the Bank with the same clearing agent and/or counterparties. |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - Private label MBS [Member] - Fair Value, Recurring [Member] - Fair Value, Inputs, Level 3 [Member] - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Purchases, issuances, sales, and settlements: | |||
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | $ 22,172 | $ 4,239 | $ 14,530 |
Available-for-sale Securities [Member] | |||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | |||
Balance, beginning of period | 194,425 | 252,600 | 326,146 |
Provision for Loan and Lease Losses | (6,154) | (39) | |
Accretion of credit losses in interest income | 9,271 | 9,651 | 11,635 |
Net OTTI losses, credit portion | (2,417) | ||
Net unrealized gains on AFS in OCI | (22,172) | (4,239) | (14,530) |
Purchases, issuances, sales, and settlements: | |||
Settlements | (33,099) | (63,626) | (68,234) |
Balance at December 31 | 142,271 | 194,425 | 252,600 |
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held | $ 2,798 | $ 9,467 | $ 9,218 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | ||
Loss Contingencies [Line Items] | |||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Letters of Credit, Annual Renewal Option | $ 2,200,000 | $ 4,300,000 | |
Other liabilities | $ 68,272 | $ 60,183 | |
Maximum Commitment Period | 60 days | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | |||
Rollover (weekly-monthly) Advance Product | |||
Loss Contingencies [Line Items] | |||
Line of Credit Facility, Remaining Borrowing Capacity | $ 9,600,000 | $ 11,900,000 | |
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Letter of credit renewal period | 5 years | ||
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | $ 22,126,676 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 22,126,676 | [1],[2] | 19,419,734 |
Other liabilities | 4,200 | 4,300 | |
Loan Origination Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 373 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 373 | 12,206 | |
Commitments to purchase mortgage loans [Member] | Mortgage Receivable [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 10,287 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 10,287 | 24,822 | |
Consolidated Obligations - Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 1,080,000 | ||
Off-balance sheet commitments | 0 | ||
Consolidated Obligations, Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 15,370 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | 15,370 | 82,000 | |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance sheet commitments | $ 0 | $ 357,500 | |
[1]Excludes approved requests to issue future standby letters of credit of $0.0 million at December 31, 2022 and $357.5 million at December 31, 2021.[2]Letters of credit in the amount of $2.2 billion at December 31, 2022 and $4.3 billion at December 31, 2021, have renewal language that permits the letter of credit to be renewed for an additional period with a maximum renewal period of approximately five years. |