| Fair Value Disclosures [Text Block] | Fair Value Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. Refer to Note 2 - Summary of Significant Accounting Policies for our fair value measurement policies. Valuation Techniques and Significant Inputs We believe our estimated fair value amounts are reasonable; however, as outlined below, there are inherent limitations in any valuation technique. • Our estimated fair value amounts are highly subjective in nature. We select assumptions and inputs from a market participant's perspective to use with any of our valuation techniques. Such assumptions and inputs include, but are not limited to, the amount and timing of future cash flows, prepayment speed, 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. Significant judgment is required when selecting such assumptions and inputs. Using different assumptions and inputs could have a material effect on our estimated fair value amounts. Further, the estimated fair value amounts presented in our statements of condition and disclosed in our notes to financial statements are not necessarily indicative of the amounts that would be realized in current market transactions. • Our estimated fair value amounts are made as of the statement of condition date; and accordingly, such estimated fair value amounts are susceptible to material changes thereafter. Outlined below is a description of our valuation techniques and significant assumptions. Assets for which fair value approximates carrying amount. Due to the short-term nature and negligible credit risk, we use the carrying amount to estimate fair value of cash and due from banks, interest bearing deposits, Federal Funds sold, securities purchased under agreements to resell, and accrued interest receivable. Investment debt securities—non-MBS and MBS. We use one of the valuation approaches outlined below to determine fair value. • Prices received from third party pricing vendors provided we believe their pricing models are consistent with what other market participants would use; or • An income approach based on a market-observable interest rate curve adjusted for a spread. The significant inputs and assumptions utilized by third party pricing vendors in their proprietary pricing models are derived as outlined below for these securities. • Market observable sources (Level 1), which include, but are not limited to, benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, and other market related data, for securities that are actively traded. • Available market observable inputs (Level 2) rather than quoted market prices when valuing securities primarily comprised of our portfolio of government, mortgage and asset-backed securities. • Available market information (Level 2), such as benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing, for fixed income securities that do not trade on a daily basis. • Significant unobservable inputs (Level 3) for securities. We annually review the multiple third party pricing vendors we utilize to measure the fair value of our agency and private label MBS. Our annual review includes, but is not limited to, the following: • Confirming and further augmenting our understanding of the vendors' pricing processes, methodologies and control procedures. • Reviewing, if available, the vendors' independent auditors' reports to assess the vendors' internal controls over their valuation processes. • Assessing our third party vendors' proprietary pricing models for reasonableness, including the underlying inputs and assumptions utilized. This is achieved by sampling securities across different asset classes and utilizing deep dive analyses since we do not have direct access to their propriety pricing models. • Using our third party vendor's pricing challenge process, which is in place for all security valuations. The pricing challenge process facilitates identification and resolution of potentially erroneous prices. Private label MBS and agency MBS. We determine our fair value measurement for private label MBS and for agency MBS using the inputs received from our third party pricing vendors using a pricing process that is completed on at least a quarterly basis. Outlined below are the steps we follow to measure fair value for these securities. • We establish a median price for each security from the prices we receive from our third party pricing vendors. 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. We determine the final price of the security based on the cluster average and an evaluation of any outlier prices as outlined below. • If all prices fall within the tolerance threshold level of the median price, the final price is simply the cluster average. • 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. A revised price may be assigned to an MBS in situations where strong contrary evidence supports a price different than the price derived from the "default" price or the outlier price. In either case, justification of the price selected is documented and presented to our Risk Management Group for their review and approval. • If some prices fall within the tolerance threshold level and some prices are outside the tolerance threshold level of the median price, additional analysis is required. The price or prices falling outside of the tolerance threshold level of the median price would be evaluated by us and a determination made to exclude that price or prices in the final price. If the price or prices that fall outside the tolerance threshold level of the median price are evaluated to be a better estimate of the fair value, then the selected outlier price will be the final price instead of the average of prices that fit within the tolerance level threshold of the median price. Possible factors that may be used to determine the quality of the outlier price or prices include: ▪ Comparison to bonds with similar characteristics, such as collateral type, credit quality, deal structure, or expected weighted-average life or maturity; ▪ Comparing option-adjusted spread or projected yield to similar bonds; ▪ Consideration of expected weighted-average life or maturity; ▪ Consideration of expected default, loss, and credit support; ▪ Consideration of the remaining principal versus the original principal of a security; ▪ Recent data on transactions with the security or similar securities; and ▪ Implied yields calculated with our OTTI projected cash flows at quarter ends compared to industry benchmarks. Specifically, we calculated an implied yield for our private label MBS using the estimated fair value derived from the process described above and the security's projected cash flows from our OTTI process and compared such yield to the market yield data for comparable securities according to dealers and other third party sources to the extent comparable market yield data was available. Significant variances were evaluated in conjunction with all of the other available pricing information to determine whether an adjustment to the fair value estimate was appropriate. As of December 31, 2019 , multiple vendor prices were received for substantially all of our MBS holdings. We computed the final prices by taking the median of the prices, excluding any outlier price deemed as unreasonable. We believe our final prices are representative of the exit price that we would receive to sell these securities in an orderly transaction with a market participant at the measurement date. Non-MBS securities - SBA, agency bonds and housing development bonds. We use one third party pricing vendor to measure the fair value of these securities. If available, we compare the prices received from that service to two other third party pricing vendors to determine if the price is reasonable. If no other third party prices are available we validate against internal models. FFELP ABS. We use the fair value provided by a third party pricing vendor or average of pricing services or our internal model price in cases where a fair value is not provided by any third party pricing vendor to measure the fair value of our FFELP ABS. We compare prices for comparable FFELP securities provided by third party pricing vendors to our internal pricing model. The internal model price also is compared to other third party pricing vendors to test for reasonableness. If only one pricing vendor is providing prices, our internal pricing model will be averaged with the vendor price. Private label residential MBS. The significant unobservable inputs used by third party pricing vendors in the fair value measurement of our private label residential MBS are prepayment rates, probability of default, and loss severity in the event of default. Significant increases (decreases) in any of those inputs in isolation may result in a significantly lower (higher) fair value measurement. A change in the assumption used for the probability of default is accompanied by a directionally similar change in the assumption used for the loss severity and a directionally opposite change in the assumption used for prepayment rates. The following table shows the range of values for our investment debt securities that are carried at fair value on our statements of condition using Level 3 significant inputs provided to us by multiple third party pricing vendors. Range of Values As of December 31, 2019 Fair Value Minimum Maximum Available-for-sale debt securities Private label residential MBS $ 35 $ 34 $ 36 Advances. We determine the fair value of an advance by calculating the present value of its expected future cash flows. Accrued interest receivable is included in the expected future cash flows for an advance carried at fair value under the fair value option, and accordingly, accrued interest receivable on such an advance is classified in Advances in our statements of condition. Accrued interest receivable is not included in the expected future cash flows on an advance carried on an amortized cost basis, and accordingly, accrued interest receivable on such an advance is classified in Other Assets in our statements of condition. In determining fair value we do not factor in prepayment risk in cases where an advance carries a prepayment fee since we are financially indifferent whether or not the borrower prepays. The significant inputs used to determine fair value for advances carried under the fair value option in our statements of condition are shown below. • Consolidated Obligation Curve (CO Curve). The Office of Finance constructs this market-observable curve using the U.S. Treasury Curve as a base which is then adjusted by adding indicative spreads obtained largely from market observable sources, which includes the benchmark component interest rate. These market indications are derived from pricing indications from dealers, historical pricing relationships, market activity such as recent GSE trades, and other secondary market activity. The CO Curve best represents our cost of funds and is an integral factor with respect to pricing our advance products, and accordingly, we utilize it to measure an advance's fair value. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. • Target spread assumption. The target spread relative to our cost of funds that we expect to earn for a given advance. MPF Loans held in portfolio. We measure the fair value of our entire mortgage loan portfolio based on to-be-announced (TBA) securities, which represent quoted market prices for new mortgage-backed securities issued by U.S. government-sponsored enterprises, and adjust that fair value amount for impaired MPF Loans held in portfolio. The prices of the referenced mortgage-backed securities and the MPF Loans are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Prices are then adjusted for differences in coupon, average loan rate, seasoning, settlements, purchase market spread, loan balance, and cash flow remittance between our MPF Loans and the referenced mortgage-backed securities. MPF Loans held for sale (included in Other Assets). We measure the fair value of our MPF Loans HFS portfolio based on TBA securities, which represent quoted market prices for new mortgage-backed securities issued by U.S. government-sponsored enterprises. Derivative assets/liabilities. Derivative instruments are primarily transacted in the institutional dealer market and priced with observable market assumptions at a mid-market valuation point. We estimate the fair value of a derivative that is not transacted in such an active market using standard valuation techniques, such as discounted cash-flow analysis and comparisons to similar instruments. We are subject to nonperformance risk in derivative transactions due to the potential default by our derivative counterparties or a DCO. To mitigate this risk, we have entered into master netting agreements and credit support agreements with our derivative counterparties for our bilaterally executed derivative contracts that provide for the daily delivery of collateral. We apply the “portfolio exception” for purposes of determining the nonperformance risk adjustment, if any, to the fair value of our derivative instruments. As a result, we measure the nonperformance risk adjustment on our derivative instruments by taking into consideration the effects of legally enforceable master netting agreements that allow us to settle positive and negative positions and offset collateral with the same counterparty on a net basis. For transactions executed as a cleared derivative, we settle our variation margin exposure daily in cash and pledge securities collateral for initial margin exposure. We also have established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions. Our net counterparty position equals the amount attributable to a particular credit exposure that we would receive to sell a net long position or that we would pay to transfer a net short position. Based on our risk management practices described above and our assessment of any change in our own credit spread, we concluded that the effect of the credit differential between us and our derivative counterparties and DCO was sufficiently mitigated to an immaterial level that no nonperformance risk adjustments were deemed necessary to the recorded fair value of our derivative assets/liabilities in our statements of condition. See Note 9 - Derivatives and Hedging Activities for further discussion of our credit risk management practices. In estimating a derivative's fair value, we use a discounted cash flow analysis utilizing market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are shown below. Interest-rate related: • We use the OIS curve to determine the fair value of our derivative contracts. • Volatility assumption market-based expectations of future interest rate volatility implied from current market prices for similar options. • Prepayment assumption, if applicable. Mortgage delivery commitments and TBA mortgage-backed securities: • TBA price. Market-based prices of TBAs are determined by coupon class and expected term until settlement. Deposits. We determine the fair values of deposits by their book values. Consolidated obligations. We estimate fair values based on the cost of raising comparable term debt using internal valuation models. Our internal valuation models use standard valuation techniques and estimate fair values based on the following significant inputs for those consolidated obligations carried at fair value: • CO Curve for fixed-rate, noncallable (bullet) consolidated obligations and a spread to the benchmark swap curve (e.g., LIBOR) for callable consolidated obligations based on price indications for callable consolidated obligations from the Office of Finance. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. • Spread assumption. A spread adjustment to the benchmark swap curve (e.g., LIBOR) used to value callable consolidated obligations carried at fair value. Fair Value Estimates The following table is a summary of the fair value estimates and related levels in the hierarchy. The carrying amounts are per the statements of condition. Fair value estimates represent the exit prices that we would receive to sell assets or pay to transfer liabilities in an orderly transaction with market participants at the measurement date. They do not represent an estimate of our overall market value as a going concern, as they do not take into account future business opportunities or profitability of assets and liabilities. We measure instrument-specific credit risk attributable to our consolidated obligations based on our nonperformance risk, which includes the credit risk associated with the joint and several liability of other FHLBs, see Note 16 – Commitments and Contingencies . As a result, we did not recognize any instrument-specific credit risk attributable to our consolidated obligations that are carried at fair value. See Note 2 - Summary of Significant Accounting Policies for our fair value policies and Note 9 - Derivatives and Hedging Activities for more information on the Netting and Cash Collateral amounts. Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting As of December 31, 2019 Carried at amortized cost Cash and due from banks $ 29 $ 29 $ 29 $ — $ — Interest bearing deposits 1,680 1,680 1,680 — — Federal Funds sold and securities purchased under agreements to resell 14,106 14,106 — 14,106 — Held-to-maturity debt securities 2,381 2,615 — 2,138 477 Advances 47,700 47,780 — 47,780 — MPF Loans held in portfolio, net 9,995 10,189 — 10,183 6 Other assets 149 149 — 149 — Carried at fair value on a recurring basis Trading debt securities 4,648 4,648 — 4,648 — Government related non-MBS, ABS, and MBS 16,032 16,032 — 16,032 — Private label residential MBS 35 35 — — 35 Available-for-sale debt securities 16,067 16,067 — 16,032 35 Advances 2,808 2,808 — 2,808 — Derivative assets 6 6 2 186 — $ (182 ) Other assets 83 83 — 83 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 5 5 — — 5 Other assets 1 1 — — 1 Financial assets 99,658 $ 100,166 $ 1,711 $ 98,113 $ 524 $ (182 ) Other non financial assets 169 Assets $ 99,827 Carried at amortized cost Deposits (847 ) (847 ) — (847 ) — Consolidated obligation discount notes (23,709 ) (23,709 ) — (23,709 ) — Consolidated obligation bonds (42,490 ) (42,728 ) — (42,728 ) — Mandatorily redeemable capital stock (324 ) (324 ) (324 ) — — Other liabilities (158 ) (158 ) — (158 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes (17,966 ) (17,966 ) — (17,966 ) — Consolidated obligation bonds (7,984 ) (7,984 ) — (7,984 ) — Derivative liabilities (14 ) (14 ) — (347 ) — 333 Financial liabilities (93,492 ) $ (93,730 ) $ (324 ) $ (93,739 ) $ — $ 333 Other non financial liabilities (881 ) Liabilities $ (94,373 ) Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting As of December 31, 2018 Carried at amortized cost Cash and due from banks $ 28 $ 28 $ 28 $ — $ — Interest bearing deposits 775 775 775 — — Federal Funds sold and securities purchased under agreements to resell 10,604 10,604 — 10,604 — Held-to-maturity debt securities 3,213 3,492 — 2,870 622 Advances 51,603 51,615 — 51,615 — MPF Loans held in portfolio, net 7,096 7,091 — 7,085 6 Other assets 190 190 — 190 — Carried at fair value on a recurring basis Trading debt securities 3,478 3,478 — 3,478 — Government related non-MBS, ABS, and MBS 14,573 14,573 — 14,573 — Private label residential MBS 41 41 — — 41 Available-for-sale debt securities 14,614 14,614 — 14,573 41 Advances 1,025 1,025 — 1,025 — Derivative assets 6 6 — 140 — $ (134 ) Other assets 108 108 — 108 — Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 7 7 — — 7 Other assets 1 1 — — 1 Financial assets 92,748 $ 93,034 $ 803 $ 91,688 $ 677 $ (134 ) Other non financial assets 109 Assets $ 92,857 Carried at amortized cost Deposits (551 ) (551 ) — (551 ) — Consolidated obligation discount notes (42,174 ) (42,170 ) — (42,170 ) — Consolidated obligation bonds (39,898 ) (39,895 ) — (39,895 ) — Mandatorily redeemable capital stock (313 ) (313 ) (313 ) — — Other liabilities (153 ) (153 ) — (153 ) — Carried at fair value on a recurring basis Consolidated obligation discount notes (992 ) (992 ) — (992 ) — Consolidated obligation bonds (2,352 ) (2,352 ) — (2,352 ) — Derivative liabilities (16 ) (16 ) — (321 ) — 305 Financial liabilities (86,449 ) $ (86,442 ) $ (313 ) $ (86,434 ) $ — $ 305 Other non financial liabilities (1,119 ) Liabilities $ (87,568 ) Level 3 Rollforward The following table presents a rollforward of assets and liabilities that are measured at fair value on a recurring basis on the statements of condition using significant unobservable inputs (Level 3). Available-For-Sale Private Label MBS For the years ended December 31, 2019 2018 2017 Balance at beginning of period $ 41 $ 50 $ 56 Gain (loss) included in earnings - Interest income 2 1 4 Gain (loss) included in OCI - Net unrealized on AFS securities (1 ) (2 ) 3 Paydowns and settlements (7 ) (8 ) (13 ) Balance at end of period $ 35 $ 41 $ 50 Unrealized gains (losses) recorded in earnings and attributable to instruments still held at period end $ 2 $ 3 $ 3 Fair Value Option We may elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, and consolidated obligation discount notes and bonds, in cases where hedge accounting treatment may not be achieved due to the inability to meet the hedge effectiveness testing criteria, or in certain cases where we wish to mitigate the risk associated with selecting the fair value option for other instruments. Financial instruments for which we elected the fair value option along with their related fair value are shown on our statements of condition. Refer to Note 2 - Summary of Significant Accounting Policies for further details. The following table presents the changes in fair values of financial assets and liabilities carried at fair value under the fair value option. These changes were recognized in noninterest income - instruments held under the fair value option in our statements of income. For the years ended December 31, 2019 2018 2017 Advances $ 50 $ (2 ) $ (5 ) Other assets (1 ) (6 ) (4 ) Bonds (14 ) (11 ) 7 Noninterest income - Instruments held under fair value option $ 35 $ (19 ) $ (2 ) The following table reflects the difference between the aggregate unpaid principal balance (UPB) outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. December 31, 2019 December 31, 2018 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 2,768 $ 7,955 $ 1,037 $ 2,358 Fair value over (under) UPB 40 29 (12 ) (6 ) Fair value $ 2,808 $ 7,984 $ 1,025 $ 2,352 |
