Cover Page
Cover Page - shares shares in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Apr. 30, 2024 | |
Entity Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Mar. 31, 2024 | |
Document Transition Report | false | |
Entity File Number | 000-51402 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF BOSTON | |
Entity Incorporation, State or Country Code | X1 | |
Entity Tax Identification Number | 04-6002575 | |
Entity Address, Address Line One | 800 Boylston Street, | |
Entity Address, City or Town | Boston | |
Entity Address, State or Province | MA | |
Entity Address, Postal Zip Code | 02199 | |
City Area Code | (617) | |
Local Phone Number | 292-9600 | |
Entity Current Reporting Status | Yes | |
Entity Interactive Data Current | Yes | |
Entity Filer Category | Non-accelerated Filer | |
Entity Small Business | false | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Common Stock, Shares Outstanding | 21,184 | |
Amendment Flag | false | |
Entity Central Index Key | 0001331463 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2024 | |
Document Fiscal Period Focus | Q1 |
Statements of Condition (unaudi
Statements of Condition (unaudited) - USD ($) shares in Thousands, $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Available-for-sale securities - amortized cost | [1] | $ 15,886,505 | $ 15,684,997 |
Allowance for credit loss | $ 2,600 | $ 2,000 | |
Common Stock, Class B, putable shares issued | 19,831 | 20,425 | |
Common Stock, Class B, putable shares outstanding | 19,831 | 20,425 | |
ASSETS | |||
Cash and due from banks | $ 70,616 | $ 53,412 | |
Interest-bearing deposits | 1,808,836 | 1,643,587 | |
Securities purchased under agreements to resell | 1,750,000 | 1,600,000 | |
Federal funds sold | 3,051,000 | 2,500,000 | |
Investment securities: | |||
Trading securities | 1,567 | 1,395 | |
Available-for-sale securities (amortized cost of $15,886,505 and $15,684,997 at March 31, 2024 and December 31, 2023, respectively) | 15,578,184 | 15,343,745 | |
Held-to-maturity securities | [2] | 74,156 | 78,905 |
Total investment securities | 15,653,907 | 15,424,045 | |
Advances | [3] | 39,905,499 | 41,958,583 |
Mortgage loans held for portfolio, net of allowance for credit losses of $2,600 and $2,000 at March 31, 2024 and December 31, 2023, respectively | 3,146,391 | 3,059,331 | |
Accrued interest receivable | 202,275 | 185,709 | |
Derivative assets, net | 363,820 | 383,073 | |
Other assets | 77,932 | 334,534 | |
Total Assets | 66,030,276 | 67,142,274 | |
Deposits | |||
Interest-bearing | 894,225 | 896,005 | |
Non-interest-bearing | 27,549 | 26,874 | |
Total deposits | 921,774 | 922,879 | |
Consolidated obligations (COs): | |||
Bonds | 41,023,055 | 40,248,743 | |
Discount notes | 20,055,973 | 22,000,546 | |
Total consolidated obligations | 61,079,028 | 62,249,289 | |
Mandatorily redeemable capital stock | 6,083 | 6,083 | |
Accrued interest payable | 283,592 | 269,517 | |
Affordable Housing Program (AHP) payable | 93,262 | 87,164 | |
Derivative liabilities, net | 7,104 | 3,017 | |
Other liabilities | 72,146 | 65,711 | |
Total liabilities | 62,462,989 | 63,603,660 | |
Commitments and contingencies (Note 12) | |||
Capital [Abstract] | |||
Capital stock – Class B – putable ($100 par value), 19,831 shares and 20,425 shares issued and outstanding at March 31, 2024 and December 31, 2023, respectively | 1,983,103 | 2,042,453 | |
Retained earnings: | |||
Unrestricted | 1,360,373 | 1,339,546 | |
Restricted | 466,723 | 451,154 | |
Total retained earnings | 1,827,096 | 1,790,700 | |
Accumulated other comprehensive loss | (242,912) | (294,539) | |
Total capital | 3,567,287 | 3,538,614 | |
Total Liabilities and Capital | $ 66,030,276 | $ 67,142,274 | |
Common Class B [Member] | |||
Common Stock, Class B, putable par value per share | $ 100 | $ 100 | |
[1]Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable December 31, 2023 , respectively. |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Statement of Financial Position [Abstract] | ||
Held-to-maturity fair value | $ 73,813 | $ 78,478 |
Statements of Operations (unaud
Statements of Operations (unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
INTEREST INCOME | ||
Advances | $ 528,497 | $ 501,206 |
Prepayment fees on advances, net | 49 | 409 |
Interest-bearing deposits | 36,326 | 32,602 |
Securities purchased under agreements to resell | 14,311 | 25,681 |
Federal funds sold | 49,218 | 52,945 |
Investment securities: | ||
Trading securities | 18 | 17 |
Available-for-sale securities | 233,171 | 167,680 |
Held-to-maturity securities | 1,126 | 1,062 |
Total investment securities | 234,315 | 168,759 |
Mortgage loans held for portfolio | 28,587 | 21,188 |
Other | 0 | 134 |
Total interest income | 891,303 | 802,924 |
Consolidated obligations: | ||
Bonds | 507,136 | 378,094 |
Discount notes | 264,603 | 336,683 |
Total consolidated obligations | 771,739 | 714,777 |
Deposits | 9,577 | 6,032 |
Mandatorily redeemable capital stock | 127 | 192 |
Other borrowings | 18 | 2 |
Total interest expense | 781,461 | 721,003 |
NET INTEREST INCOME | 109,842 | 81,921 |
Provision for credit losses | 600 | 94 |
NET INTEREST INCOME AFTER PROVISION FOR CREDIT LOSSES | 109,242 | 81,827 |
OTHER INCOME (LOSS) | ||
Service fees | 2,993 | 3,733 |
Other, net | (385) | 631 |
Total other income | 2,608 | 4,364 |
OTHER EXPENSE | ||
Compensation and benefits | 12,588 | 11,212 |
Other operating expenses | 7,092 | 6,870 |
Federal Housing Finance Agency (the FHFA) | 1,189 | 1,653 |
Office of Finance | 1,074 | 1,090 |
Discretionary housing and community investment programs | 2,304 | 772 |
Other | 1,093 | 1,032 |
Total other expense | 25,340 | 22,629 |
INCOME BEFORE ASSESSMENTS | 86,510 | 63,562 |
AHP assessments | 8,664 | 6,375 |
NET INCOME | $ 77,846 | $ 57,187 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (unaudited) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Statement of Comprehensive Income [Abstract] | ||
Net income | $ 77,846 | $ 57,187 |
Other comprehensive income: | ||
Net unrealized gains on available-for-sale securities | 32,931 | 10,654 |
Net unrealized gains (losses) relating to hedging activities | 18,696 | (10,628) |
Total other comprehensive income (loss) | 51,627 | 26 |
Comprehensive income | $ 129,473 | $ 57,213 |
Statements of Capital (unaudite
Statements of Capital (unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | $ 3,538,614 | $ 3,415,321 |
Comprehensive income | 129,473 | 57,213 |
Proceeds from issuance of capital stock | 618,309 | 1,680,894 |
Repurchase of capital stock | (677,659) | (1,307,678) |
Cash dividends on capital stock | (41,450) | (31,003) |
Period end | 3,567,287 | 3,814,747 |
Retained Earnings, Unrestricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 1,339,546 | 1,290,873 |
Comprehensive income | 62,277 | 45,749 |
Cash dividends on capital stock | (41,450) | (31,003) |
Period end | 1,360,373 | 1,305,619 |
Retained Earnings, Restricted | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 451,154 | 399,695 |
Comprehensive income | 15,569 | 11,438 |
Period end | 466,723 | 411,133 |
Retained Earnings, Total | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | 1,790,700 | 1,690,568 |
Comprehensive income | 77,846 | 57,187 |
Cash dividends on capital stock | (41,450) | (31,003) |
Period end | 1,827,096 | 1,716,752 |
Accumulated Other Comprehensive Loss | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period | (294,539) | (306,425) |
Comprehensive income | 51,627 | 26 |
Period end | $ (242,912) | $ (306,399) |
Common Class B [Member] | Capital Stock Class B - Putable | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||
Beginning of period, shares | 20,425 | 20,312 |
Beginning of period | $ 2,042,453 | $ 2,031,178 |
Proceeds from issuance of capital stock, shares | 6,183 | 16,809 |
Proceeds from issuance of capital stock | $ 618,309 | $ 1,680,894 |
Repurchase of capital stock, shares | (6,777) | (13,077) |
Repurchase of capital stock | $ (677,659) | $ (1,307,678) |
Period end, shares | 19,831 | 24,044 |
Period end | $ 1,983,103 | $ 2,404,394 |
Statements of Cash Flows (unaud
Statements of Cash Flows (unaudited) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
OPERATING ACTIVITIES | |||
Net Income | $ 77,846 | $ 57,187 | |
Adjustments to reconcile net income to net cash provided by operating activities: | |||
Depreciation and amortization | 15,496 | 40,388 | |
Provision for credit losses | 600 | 94 | |
Net change in derivatives and hedging activities | 112,077 | (201,367) | |
Other adjustments, net | 543 | 1,658 | |
Net change in: | |||
Market value of trading securities | (172) | (79) | |
Accrued interest receivable | (16,566) | (23,281) | |
Other assets | 6,484 | 2,235 | |
Accrued interest payable | 14,127 | 69,239 | |
Other liabilities | 12,561 | (937) | |
Total adjustments | 145,150 | (112,050) | |
Net cash provided by (used in) operating activities | 222,996 | (54,863) | |
INVESTING ACTIVITIES | |||
Interest-bearing deposits | (76,062) | 365,241 | |
Securities purchased under agreements to resell | (150,000) | (8,400,000) | |
Federal funds sold | (551,000) | 405,000 | |
Loans to other FHLBanks | 0 | (1,000,000) | |
Advances to members | 1,955,311 | (7,954,114) | |
Available-for-sale securities: | |||
Proceeds | 358,628 | 47,853 | |
Purchases | (439,674) | (285,672) | |
Held-to-maturity securities: | |||
Proceeds | 4,584 | 5,500 | |
Mortgage loans held for portfolio: | |||
Proceeds | 58,328 | 55,610 | |
Purchases | (147,151) | (23,058) | |
Other investing activities, net | (207) | (333) | |
Net cash provided by (used in) investing activities | 1,012,757 | (16,783,973) | |
FINANCING ACTIVITIES | |||
Net change in deposits | 10,143 | 217,319 | |
Net payments on derivatives with a financing element | 19,167 | (11,724) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 24,337,549 | 50,148,452 | |
Bonds | 6,685,488 | 15,914,328 | |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (26,303,060) | (43,725,100) | |
Discount notes transferred to other FHL Banks | (4,866) | 0 | |
Bonds | (5,862,155) | (6,047,640) | |
Payment of financing lease | (15) | (11) | |
Proceeds from issuance of capital stock | 618,309 | 1,680,894 | |
Payments for repurchase of capital stock | (677,659) | (1,307,678) | |
Cash dividends paid | (41,450) | (31,003) | |
Net cash (used in) provided by financing activities | (1,218,549) | 16,837,837 | |
Net increase (decrease) in cash and due from banks | 17,204 | (999) | |
Cash and due from banks at beginning of the period | 53,412 | 7,593 | $ 7,593 |
Cash and due from banks at end of the period | 70,616 | 6,594 | 53,412 |
Supplemental disclosures: | |||
Interest paid | 777,972 | 602,099 | |
AHP payments | 1,927 | 2,450 | $ 16,144 |
Noncash transfers of mortgage loans held for portfolio to other assets | 0 | 92 | |
Noncash lease liabilities arising from obtaining right-of-use assets | $ 0 | $ 26,314 |
Basis of Presentation
Basis of Presentation | 3 Months Ended |
Mar. 31, 2024 | |
Accounting Policies [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying unaudited financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (GAAP) for interim financial information. In the opinion of management, all adjustments considered necessary have been included. All such adjustments consist of normal recurring accruals. The preparation of financial statements in conformity with GAAP requires us to make estimates and assumptions that affect the amounts reported in the financial statements and accompanying notes. Actual results could differ from those estimates. The results of operations for interim periods are not necessarily indicative of the results to be expected for the year ending December 31, 2024. These interim financial statements do not include all the information and footnotes required by GAAP for complete annual financial statements and accordingly should be read in conjunction with the Federal Home Loan Bank of Boston's audited financial statements and related notes in our Annual Report on Form 10-K for the year ended December 31, 2023, filed with the Securities and Exchange Commission (the SEC) on March 15, 2024 (the 2023 Annual Report). Unless otherwise indicated or the context requires otherwise, all references in this discussion to “the Bank,” "we," "us," "our," or similar references mean the Federal Home Loan Bank of Boston. |
Investments
Investments | 3 Months Ended |
Mar. 31, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Investments Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold We invest 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, or whose guarantors have received, a credit rating of triple-B or greater (investment grade) by a nationally recognized statistical rating organization (NRSRO), or the equivalent. At March 31, 2024, and December 31, 2023, none of these investments were made to counterparties or, if applicable, guaranteed by entities rated below single-A. Securities purchased under agreements to resell are short-term and are structured such that they are evaluated daily to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e. subject to collateral maintenance provisions). If so, the counterparty must place an amount of additional securities as collateral or remit an equivalent amount of cash sufficient to comply with collateral maintenance provisions, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with our counterparties, we determined that no allowance for credit losses was needed for our securities purchased under agreements to resell at March 31, 2024, and December 31, 2023. Federal funds sold are unsecured loans that are transacted on an overnight term or short-term basis. Federal Housing Finance Agency (FHFA) regulations include a limit on the amount of unsecured credit we may extend to a counterparty. All investments in interest-bearing deposits and federal funds sold outstanding as of March 31, 2024, and December 31, 2023, have been repaid according to the contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2024, and December 31, 2023. Debt Securities We invest in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. We are prohibited by FHFA regulations from investing in 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. We are not required to divest instruments that experience credit deterioration after their purchase. Trading Securities Table 2.1 - Trading Securities by Major Security Type (dollars in thousands) March 31, 2024 December 31, 2023 Corporate bonds $ 1,567 $ 1,395 For the three months ended March 31, 2024 and 2023, net gains on trading securities held at period end were $172 thousand and $79 thousand, respectively. We do not participate in speculative trading practices and typically hold these investments over a longer time horizon. Available-for-sale Securities Table 2.2 - Available-for-Sale Securities by Major Security Type (dollars in thousands) March 31, 2024 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair United States (U.S.) Treasury obligations $ 5,642,153 $ 2,654 $ (4,158) $ 5,640,649 State housing-finance-agency obligations (HFA securities) 22,430 1 (463) 21,968 Supranational institutions 343,491 7 (2,822) 340,676 U.S. government-owned corporations 243,035 — (13,112) 229,923 Government-sponsored enterprise (GSE) 100,585 — (3,635) 96,950 6,351,694 2,662 (24,190) 6,330,166 Mortgage-backed securities (MBS) U.S. government guaranteed – single-family 46,386 119 (2,456) 44,049 U.S. government guaranteed – multifamily 518,727 — (45,028) 473,699 GSE – single-family 1,283,613 1,651 (55,351) 1,229,913 GSE – multifamily 7,686,085 7,174 (192,902) 7,500,357 9,534,811 8,944 (295,737) 9,248,018 Total $ 15,886,505 $ 11,606 $ (319,927) $ 15,578,184 December 31, 2023 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair U.S. Treasury obligations $ 5,684,157 $ 122 $ (19,827) $ 5,664,452 HFA securities 22,430 — (625) 21,805 Supranational institutions 350,282 3 (3,910) 346,375 U.S. government-owned corporations 252,585 — (17,394) 235,191 GSE 104,015 — (4,594) 99,421 6,413,469 125 (46,350) 6,367,244 MBS U.S. government guaranteed – single-family 16,854 — (2,421) 14,433 U.S. government guaranteed – multifamily 521,203 — (43,527) 477,676 GSE – single-family 954,298 1,665 (51,507) 904,456 GSE – multifamily 7,779,173 3,517 (202,754) 7,579,936 9,271,528 5,182 (300,209) 8,976,501 Total $ 15,684,997 $ 5,307 $ (346,559) $ 15,343,745 _______________________ (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable Table 2.3 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2024 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasury obligations $ — $ — $ 3,064,314 $ (4,158) $ 3,064,314 $ (4,158) HFA securities — — 13,357 (463) 13,357 (463) Supranational institutions 81,416 (7) 246,832 (2,815) 328,248 (2,822) U.S. government-owned corporations — — 229,923 (13,112) 229,923 (13,112) GSE — — 96,950 (3,635) 96,950 (3,635) 81,416 (7) 3,651,376 (24,183) 3,732,792 (24,190) MBS U.S. government guaranteed – single-family — — 13,972 (2,456) 13,972 (2,456) U.S. government guaranteed – multifamily — — 473,699 (45,028) 473,699 (45,028) GSE – single-family 84,896 (327) 590,800 (55,024) 675,696 (55,351) GSE – multifamily 662,137 (3,577) 5,130,600 (189,325) 5,792,737 (192,902) 747,033 (3,904) 6,209,071 (291,833) 6,956,104 (295,737) Total $ 828,449 $ (3,911) $ 9,860,447 $ (316,016) $ 10,688,896 $ (319,927) December 31, 2023 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasury obligations $ 1,865,124 $ (1,405) $ 3,319,996 $ (18,422) $ 5,185,120 $ (19,827) HFA securities — — 21,805 (625) 21,805 (625) Supranational institutions 82,354 (188) 251,452 (3,722) 333,806 (3,910) U.S. government-owned corporations — — 235,191 (17,394) 235,191 (17,394) GSE — — 99,421 (4,594) 99,421 (4,594) 1,947,478 (1,593) 3,927,865 (44,757) 5,875,343 (46,350) MBS U.S. government guaranteed – single-family — — 14,433 (2,421) 14,433 (2,421) U.S. government guaranteed – multifamily — — 477,676 (43,527) 477,676 (43,527) GSE – single-family 55,457 (117) 616,857 (51,390) 672,314 (51,507) GSE – multifamily 1,238,598 (2,993) 5,299,421 (199,761) 6,538,019 (202,754) 1,294,055 (3,110) 6,408,387 (297,099) 7,702,442 (300,209) Total $ 3,241,533 $ (4,703) $ 10,336,252 $ (341,856) $ 13,577,785 $ (346,559) Table 2.4 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) March 31, 2024 December 31, 2023 Year of Maturity Amortized Fair Amortized Fair Due in one year or less $ 13,820 $ 13,356 $ 13,820 $ 13,210 Due after one year through five years 6,032,735 6,028,396 6,082,462 6,058,571 Due after five years through 10 years — — — — Due after 10 years 305,139 288,414 317,187 295,463 6,351,694 6,330,166 6,413,469 6,367,244 MBS (1) 9,534,811 9,248,018 9,271,528 8,976,501 Total $ 15,886,505 $ 15,578,184 $ 15,684,997 $ 15,343,745 _______________________ (1) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. Held-to-Maturity Securities Table 2.5 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) March 31, 2024 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 3,032 $ 15 $ — $ 3,047 GSE – single-family 71,124 416 (774) 70,766 Total $ 74,156 $ 431 $ (774) $ 73,813 December 31, 2023 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 3,123 $ 19 $ — $ 3,142 GSE – single-family 75,782 366 (812) 75,336 Total $ 78,905 $ 385 $ (812) $ 78,478 _______________________ (1) Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion, amortization, and collection of cash. Amortized cost excludes accrued interest receivable Allowance for Credit Losses on Available-for-Sale Securities and Held-to-Maturity Securities We evaluate available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. Our available-for-sale and held-to-maturity securities are principally debt securities of GSEs or U.S. government-owned corporations, supranational institutions, and state housing finance agency obligations, and MBS issued by Government National Mortgage Association (Ginnie Mae), Federal Home Loan Mortgage Corporation (Freddie Mac), and Federal National Mortgage Association (Fannie Mae) that are backed by single-family or multifamily mortgage loans. We only purchase investment-grade securities. At March 31, 2024, and December 31, 2023, all available-for-sale securities and held-to-maturity securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. We evaluate individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e. in an unrealized loss position). At March 31, 2024, and December 31, 2023, certain available-for-sale securities were in an unrealized loss position. These losses are considered temporary as we expect to recover the entire amortized cost basis on these available-for-sale investment securities and we neither intend to sell these securities nor do we consider it more likely than not that we will be required to sell these securities before the anticipated recovery of each security's remaining amortized cost basis. Further, we have not experienced any material payment defaults on the instruments. We evaluate held-to-maturity securities for impairment on a collective or pooled basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. We have not experienced and do not anticipate any payment defaults on these securities. Based on our assessment of the credit worthiness of the issuers or guarantors, no allowance for credit losses was recorded on available-for-sale securities or held-to-maturity securities at March 31, 2024, and December 31, 2023. |
Advances
Advances | 3 Months Ended |
Mar. 31, 2024 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances General Terms. At both March 31, 2024, and December 31, 2023, we had advances outstanding with interest rates ranging from 0.00 percent to 6.23 percent. Table 3.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) March 31, 2024 December 31, 2023 Amount Weighted Amount Weighted Overdrawn demand-deposit accounts $ 5,302 5.75 % $ 5,909 5.76 % Due in one year or less 21,615,380 5.17 21,829,742 5.25 Due after one year through two years 7,096,228 4.29 9,069,939 4.53 Due after two years through three years 3,159,338 4.10 3,306,934 4.02 Due after three years through four years 3,258,358 3.97 2,295,317 4.37 Due after four years through five years 3,237,817 3.73 3,905,361 3.52 Due after five years through fifteen years 1,689,367 3.29 1,601,794 3.26 Thereafter 49,555 1.76 51,660 1.72 Total par value 40,111,345 4.63 % 42,066,656 4.71 % Discounts (36,529) (37,289) Fair value of bifurcated derivatives (1) 12 790 Fair value hedging adjustments (169,329) (71,574) Total (2) $ 39,905,499 $ 41,958,583 _________________________ (1) At March 31, 2024, and December 31, 2023, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated those embedded features as stand-alone derivatives. (2) Excludes accrued interest receivable of $132.0 million and $115.0 million at March 31, 2024, and December 31, 2023, respectively. We offer advances to members and eligible nonmembers that provide the borrower the right, based upon predetermined option exercise dates, to repay the advance prior to maturity without incurring prepayment or termination fees (callable advances). We also offer certain floating-rate advances that may be contractually prepaid by the borrower on a floating-rate reset date without incurring prepayment or termination fees. Other advances may only be prepaid by paying a fee (prepayment fee) that makes us financially indifferent to the prepayment of the advance. Table 3.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2024 December 31, 2023 Overdrawn demand-deposit accounts $ 5,302 $ 5,909 Due in one year or less 24,640,564 26,546,662 Due after one year through two years 5,042,728 5,272,439 Due after two years through three years 2,853,263 2,989,434 Due after three years through four years 2,639,638 1,711,697 Due after four years through five years 3,206,917 3,887,061 Due after five years through fifteen years 1,673,378 1,601,794 Thereafter 49,555 51,660 Total par value $ 40,111,345 $ 42,066,656 We currently hold putable advances that provide us with the right to require repayment prior to maturity of the advance (and thereby extinguish the advance) on predetermined exercise dates (put dates). Generally, we would exercise the put options when interest rates increase relative to contractual rates. Table 3.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) March 31, 2024 December 31, 2023 Overdrawn demand-deposit accounts $ 5,302 $ 5,909 Due in one year or less 27,937,951 27,338,812 Due after one year through two years 6,288,728 8,472,939 Due after two years through three years 1,607,267 1,996,364 Due after three years through four years 2,230,858 1,447,317 Due after four years through five years 1,184,817 1,955,361 Due after five years through fifteen years 806,867 798,294 Thereafter 49,555 51,660 Total par value $ 40,111,345 $ 42,066,656 Table 3.4 - Advances by Current Interest Rate Terms (dollars in thousands) March 31, 2024 December 31, 2023 Fixed-rate $ 35,631,859 $ 36,330,552 Variable-rate 4,479,486 5,736,104 Total par value $ 40,111,345 $ 42,066,656 Credit Risk Exposure and Security Terms. Our advances are primarily made to our members, including commercial banks, insurance companies, savings institutions, and credit unions. We manage our credit exposure to secured member credit products through an integrated approach that generally includes credit limits for borrowers based on the amount and value of available collateral, ongoing reviews of each borrower's financial condition, and collateral and lending policies that are intended to limit risk of loss while balancing borrowers' needs for a reliable source of funding. For additional information on credit risk exposure and security terms see Part II — Item 8 — Financial Statements and Supplementary Data — Note 6 — Advances in the 2023 Annual Report. The Bank’s decision to lend is based principally on our analysis of each borrower’s financial condition and outlook, though we consider the types and level of collateral as additional factors. At March 31, 2024, and December 31, 2023, we had rights to collateral, on a borrower-by-borrower basis, with an estimated value greater than our outstanding extensions of credit. We continue to evaluate and make changes to our collateral guidelines based on market conditions. At March 31, 2024, and December 31, 2023, none of our advances were past due, on nonaccrual status, or considered impaired. In addition, there were no modifications for borrowers experiencing financial difficulties related to advances during the three months ended March 31, 2024 and 2023. Based upon the collateral held as security, our credit extension and collateral policies, management's credit analysis, and the repayment history on advances, we have not recorded any allowance for credit losses on our advances at March 31, 2024, and December 31, 2023. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 3 Months Ended |
Mar. 31, 2024 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Text Block] | Mortgage Loans Held for Portfolio We invest in mortgage loans through the Mortgage Partnership Finance® (MPF®) program. These mortgage loans are either guaranteed or insured by federal agencies, as is the case with government mortgage loans, or are credit-enhanced, directly or indirectly, by the related entity that sold the loan (a participating financial institution), as is the case with conventional mortgage loans. All such investments are held for portfolio. Table 4.1 - Mortgage Loans Held for Portfolio (dollars in thousands) March 31, 2024 December 31, 2023 Real estate Fixed-rate 15-year single-family mortgages $ 183,129 $ 192,104 Fixed-rate 20- and 30-year single-family mortgages 2,927,537 2,831,319 Premiums 40,611 39,990 Discounts (2,251) (2,222) Deferred derivative (losses) gains, net (35) 140 Total mortgage loans held for portfolio (1) 3,148,991 3,061,331 Less: allowance for credit losses (2,600) (2,000) Total mortgage loans, net of allowance for credit losses $ 3,146,391 $ 3,059,331 ________________________ (1) Excludes accrued interest receivable Table 4.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) March 31, 2024 December 31, 2023 Conventional mortgage loans $ 2,966,833 $ 2,877,109 Government mortgage loans 143,833 146,314 Total par value $ 3,110,666 $ 3,023,423 Credit-Enhancements. Our allowance for credit losses factors in the credit-enhancements associated with conventional mortgage loans under the MPF program. These credit-enhancements apply after the homeowner's equity is exhausted and can include primary and/or supplemental mortgage insurance or other kinds of credit-enhancement. The credit risk analysis of our conventional loans is performed at the individual master commitment level to determine the credit-enhancements available to recover losses on loans under each individual master commitment. For additional information on credit enhancements see Part II — Item 8 — Financial Statements and Supplementary Data — Note 7 — Mortgage Loans Held for Portfolio — Credit-Enhancements in the 2023 Annual Report. Payment Status of Mortgage Loans. Payment status is a key credit quality indicator for conventional mortgage loans and allows us to monitor borrower performance. A past due loan is one for which the borrower has failed to make a full payment of principal and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. Tables 4.3 and 4.4 present the payment status for conventional mortgage loans and other delinquency statistics for all mortgage loans at March 31, 2024, and December 31, 2023. Table 4.3 - Credit Quality Indicator for Conventional Mortgage Loans (dollars in thousands) March 31, 2024 Year of Origination Payment Status at Amortized Cost (1) Prior to 2020 2020 to 2024 Total Past due 30-59 days delinquent $ 13,715 $ 4,505 $ 18,220 Past due 60-89 days delinquent 4,411 1,930 6,341 Past due 90 days or more delinquent 7,112 462 7,574 Total past due 25,238 6,897 32,135 Total current loans 1,395,384 1,575,069 2,970,453 Total conventional mortgage loans $ 1,420,622 $ 1,581,966 $ 3,002,588 December 31, 2023 Year of Origination Payment Status at Amortized Cost (1) Prior to 2019 2019 to 2023 Total Past due 30-59 days delinquent $ 9,392 $ 5,630 $ 15,022 Past due 60-89 days delinquent 3,068 1,694 4,762 Past due 90 days or more delinquent 6,841 889 7,730 Total past due 19,301 8,213 27,514 Total current loans 1,169,734 1,715,134 2,884,868 Total conventional mortgage loans $ 1,189,035 $ 1,723,347 $ 2,912,382 _________________________ (1) Amortized cost excludes accrued interest receivable. Table 4.4 - Other Delinquency Statistics of Mortgage Loans (dollars in thousands) March 31, 2024 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,334 $ 605 $ 1,939 Serious delinquency rate (2) 0.25 % 1.43 % 0.31 % Past due 90 days or more still accruing interest $ — $ 2,081 $ 2,081 Loans on nonaccrual status (3) $ 7,776 $ — $ 7,776 December 31, 2023 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,742 $ 623 $ 2,365 Serious delinquency rate (2) 0.27 % 0.94 % 0.30 % Past due 90 days or more still accruing interest $ — $ 1,356 $ 1,356 Loans on nonaccrual status (3) $ 7,913 $ — $ 7,913 _______________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the amortized cost of the total loan portfolio class. (3) As of March 31, 2024, and December 31, 2023, $3.1 million and $4.3 million, respectively, of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because either these loans were charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. Allowance for Credit Losses for Mortgage Loans. Conventional Mortgage Loans. Conventional mortgage loans are evaluated collectively when similar risk characteristics exist. Conventional mortgage loans that do not share risk characteristics with other mortgage loans are evaluated for expected credit losses on an individual basis. We determine our allowance for credit losses on conventional mortgage 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. We use a discounted cash flow model to project our expected losses. We use a third-party model to project cash flows to estimate the expected credit losses over the life of the loans. The model relies on several inputs, such as both current and forecasted property values and interest rates as well as historical borrower behavior. We incorporate associated credit enhancements and expected recoveries, if any, to determine our estimate of expected credit losses. Certain conventional mortgage loans may be evaluated for credit losses by using the practical expedient for collateral dependent assets. A mortgage loan is considered collateral dependent when the borrower is experiencing financial difficulty and repayment is expected to be made substantially through the sale of the underlying collateral. We estimate the fair value of this collateral by using a third-party property valuation model. The expected credit loss of a collateral dependent conventional mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. We reserve for these estimated losses or record a direct charge-off of the loan balance if certain triggering criteria are met. Table 4.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the three months ended March 31, 2024 and 2023. Table 4.5 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) For the Three Months Ended March 31, 2024 2023 Allowance for credit losses (1) Balance, beginning of period $ 2,000 $ 1,900 Net recoveries — 6 Provision for credit losses 600 94 Balance, end of period $ 2,600 $ 2,000 _________________________ (1) These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed below under — Government Mortgage Loans Held for Portfolio. Government Mortgage Loans Held for Portfolio. We invest in government mortgage loans secured by one- to four-family residential properties. Government mortgage loans are mortgage loans insured or guaranteed by the Federal Housing Administration (the FHA), the U.S. Department of Veterans Affairs (the VA), the Rural Housing Service of the U.S. Department of Agriculture (RHS), or the U.S. Department of 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 insurance or guaranty with respect to defaulted government-guaranteed mortgage loans. Any losses incurred on these loans that are not recovered from the insurer or guarantor are absorbed by the related servicer. Therefore, we only have credit risk for these loans if the servicer fails to pay for losses not covered by insurance or guarantees, but in such instances, we would have recourse against the servicer for such failure. Due to government guarantees or insurance on our government loans, there is no allowance for credit losses for the government mortgage loan portfolio as of March 31, 2024, and December 31, 2023. Additionally, government mortgage loans are not placed on nonaccrual status due to the government guarantee or insurance on these loans and the contractual obligation of the loan servicers to repurchase their related loans when certain criteria are met. "Mortgage Partnership Finance," "MPF," "eMPF" and "MPF Xtra" are registered trademarks of the Federal Home Loan Bank of Chicago. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 3 Months Ended |
Mar. 31, 2024 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Table 5.1 - Fair Value of Derivative Instruments (dollars in thousands) March 31, 2024 December 31, 2023 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 50,846,703 $ 143,528 $ (998,568) $ 51,587,480 $ 77,093 $ (1,009,217) Forward-start interest-rate swaps 1,391,000 126 (13) 1,391,000 254 (170) Total derivatives designated as hedging instruments 52,237,703 143,654 (998,581) 52,978,480 77,347 (1,009,387) Derivatives not designated as hedging instruments Interest-rate swaps 603,493 44 (10) 90,000 — (729) Mortgage-delivery commitments (1) 36,827 48 (40) 29,995 290 — Total derivatives not designated as hedging instruments 640,320 92 (50) 119,995 290 (729) Total notional amount of derivatives $ 52,878,023 $ 53,098,475 Total derivatives before netting and collateral adjustments 143,746 (998,631) 77,637 (1,010,116) Netting adjustments and cash collateral, including related accrued interest (2) 220,074 991,527 305,436 1,007,099 Derivative assets and derivative liabilities $ 363,820 $ (7,104) $ 383,073 $ (3,017) _______________________ (1) Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. (2) Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral posted, including accrued interest, was $1.2 billion and $1.3 billion at March 31, 2024, and December 31, 2023, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral including accrued interest received was $15.1 million and $3.8 million at March 31, 2024, and December 31, 2023. Changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair-value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. For designated cash-flow hedges, the entire change in the fair value of the hedging instrument (assuming it is included in the assessment of hedge effectiveness) is reported in other comprehensive income until the hedged transaction affects earnings. At that time, this amount is reclassified from other comprehensive income and recorded in net interest income in the same line as the earnings effect of the hedged item. Tables 5.2 presents the net gains (losses) on qualifying fair-value hedging relationships. Gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements. Table 5.2 - Net Gains (Losses) on Fair Value Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2024 Advances Available-for-sale Securities CO Bonds Total interest income (expense) presented on the statements of operations $ 528,497 $ 233,171 $ (507,136) Gains (losses) on fair value hedging relationships Changes in fair value: Derivatives $ 100,432 $ 140,222 $ (46,641) Hedged items (98,147) (137,177) 46,384 Net changes in fair value before price alignment interest 2,285 3,045 (257) Price alignment interest (1) (860) (14,154) 481 Net interest settlements on derivatives (2)(3) 58,344 124,319 (162,260) Net gains (losses) on qualifying hedging relationships 59,769 113,210 (162,036) Amortization/accretion of discontinued hedging relationships (351) — (1,506) Net gains (losses) on derivatives and hedging activities recorded in net interest income $ 59,418 $ 113,210 $ (163,542) For the Three Months Ended March 31, 2023 Advances Available-for-sale Securities CO Bonds Total interest income (expense) presented on the statements of operations $ 501,206 $ 167,680 $ (378,094) Gains (losses) on fair value hedging relationships Changes in fair value: Derivatives $ (68,586) $ (233,315) $ 241,907 Hedged items 67,518 227,211 (242,057) Net changes in fair value before price alignment interest (1,068) (6,104) (150) Price alignment interest (1) (1,754) (10,058) 283 Net interest settlements on derivatives (2)(3) 28,455 97,226 (140,810) Net gains (losses) on qualifying hedging relationships 25,633 81,064 (140,677) Amortization/accretion of discontinued hedging relationships (512) — 526 Net gains (losses) on derivatives and hedging activities recorded in net interest income $ 25,121 $ 81,064 $ (140,151) _______________________ (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes the interest income/expense of the respective hedged items recorded in net interest income. Tables 5.3 presents the net (losses) gains on qualifying cash flow hedging relationships. Table 5.3 - Net (Losses) Gains on Cash Flow Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2024 2023 Forward-start interest rate swaps - CO Bonds Losses reclassified from accumulated other comprehensive loss into interest expense $ (1,026) $ (1,127) Gains (losses) recognized in other comprehensive income (loss) 17,670 (11,755) For the three months ended March 31, 2024 and 2023, there were no reclassifications from accumulated other comprehensive income into earnings as a result of the discontinuance of cash-flow hedges because the original forecasted transactions were not expected to occur by the end of the originally specified period or within a two-month period thereafter. As of March 31, 2024, the maximum length of time over which we are hedging our exposure to the variability in future cash flows for forecasted transactions is seven years. As of March 31, 2024, the amount of deferred net losses on derivatives accumulated in other comprehensive income related to cash flow hedges expected to be reclassified to earnings during the next 12 months is $7.2 million. Table 5.4 - Cumulative Basis Adjustments for Fair-Value Hedges (dollars in thousands) March 31, 2024 Line Item in Statement of Condition Amortized Cost of Hedged Asset/ Liability (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Cumulative Amount of Fair Value Hedging Basis Adjustments Advances $ 13,303,677 $ (173,583) $ 4,254 $ (169,329) Available-for-sale securities 11,337,238 (1,024,116) — (1,024,116) Consolidated obligation bonds 24,026,942 (940,168) 33,110 (907,058) _______________________ (1) Includes only the amortized cost of hedged items in fair-value hedging relationships. Impacts on Statement of Cash Flows. Cash paid or received for cleared derivatives variation margin is included on the statement of cash flows in either net change in derivatives and hedging activities as an operating activity or net payments on derivatives with a financing element as a financing activity. The table below shows the impact of variation margin for cleared derivatives on the statement of cash flows: Table 5.5 - Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows (dollars in thousands) Increase (decrease) on Cash Flow Statement For the Three Months Ended March 31, 2024 2023 Operating activity - net change in derivatives and hedging activities $ 173,602 $ (126,571) Financing activity - net receipts (payments) on derivatives with a financing element 20,553 (3,666) Total variation margin received (posted) on cleared derivatives $ 194,155 $ (130,237) Managing Credit Risk on Derivatives. We enter into derivatives that we clear (cleared derivatives) with a derivatives clearing organization (DCO), our counterparty for such derivatives. We also enter into derivatives that are not cleared (uncleared derivatives) under master-netting agreements. Derivatives that we use containing any optionality are not currently eligible for clearing. Accordingly, such derivatives, including the derivatives used to hedge issuance of callable CO bonds, are executed with our uncleared derivatives counterparties. Certain of our uncleared derivatives master-netting agreements contain provisions that require us to post additional collateral with our uncleared derivatives counterparties if our credit ratings are lowered. Under the terms that govern such agreements, if our credit rating is lowered by Moody's Investors Service Inc. (Moody's) or Standard & Poor's Financial Services LLC (S&P) to a certain level, we are required to deliver additional collateral on uncleared derivatives. In the event of a split between such credit ratings, the lower rating governs. The aggregate fair value of all uncleared derivatives with these provisions that were in a net-liability position (before cash collateral and related accrued interest) at March 31, 2024, was $926.3 million for which we had delivered collateral with a post-haircut value of $829.1 million in accordance with the terms of the master-netting agreements. Securities collateral is subject to valuation haircuts in accordance with the terms of the master-netting arrangements. Table 5.6 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at March 31, 2024. Table 5.6 - Post Haircut Value of Incremental Collateral to be Delivered as of March 31, 2024 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ — AA- A+, A or A- — A- below A- 74,160 _______________________ (1) Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. For cleared derivatives, the DCO is our counterparty. The DCO notifies the clearing member of the required initial and variation margin and our agent (clearing member) in turn notifies us. We utilize one of two DCOs, for each cleared derivative transaction, Chicago Mercantile Exchange, Inc. (CME Inc.) or LCH Limited (LCH Ltd). Based upon their rulebooks, we characterize variation margin payments as daily settlement payments, rather than as collateral. At both DCOs, posted initial margin is considered collateral. We post initial margin and exchange variation margin through a clearing member of the DCO which clears our trades, acts as our agent to the DCO and guarantees our performance to the DCO, subject to the terms of relevant agreements. These arrangements expose us to credit risk in the event that one of our clearing members or one of the DCOs fails to meet its obligations. The use of cleared derivatives is intended to mitigate credit risk exposure because the DCO, which is fully secured at all times through margin received from its clearing members, is substituted for the credit risk exposure of individual counterparties in uncleared derivatives, and collateral is posted at least once daily for changes in the fair value of cleared derivatives through a clearing member. For cleared derivatives, the DCO determines initial margin requirements. Our clearing members, which are U.S. Commodity Futures Trading Commission-registered futures commission merchants, may require us to post margin in excess of DCO requirements based on our credit or other considerations, including but not limited to, credit rating downgrades. Offsetting of Certain Derivatives. We present derivatives, any related cash collateral received or pledged, and associated accrued interest, on a net basis by counterparty. Table 5.7 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of March 31, 2024, and December 31, 2023, which includes cleared and uncleared interest rate swaps, and the fair value of derivatives that are not subject to such netting, which includes mortgage delivery commitments and CO bond firm commitments. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties. Table 5.7 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2024 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Derivative Assets Interest-rate swaps Uncleared $ 134,509 $ (134,322) $ 187 Cleared 9,189 354,396 363,585 Mortgage delivery commitments $ 48 48 Total $ 363,820 Derivative Liabilities Interest-rate swaps Uncleared $ (996,767) $ 989,703 $ (7,064) Cleared (1,825) 1,825 — Mortgage delivery commitments $ (40) (40) Total $ (7,104) December 31, 2023 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Derivative Assets Interest-rate swaps Uncleared $ 72,517 $ (69,838) $ 2,679 Cleared 4,830 375,274 380,104 Mortgage delivery commitments $ 290 290 Total $ 383,073 Derivative Liabilities Interest-rate swaps Uncleared $ (997,974) $ 994,957 $ (3,017) Cleared (12,142) 12,142 — Total $ (3,017) |
Deposits
Deposits | 3 Months Ended |
Mar. 31, 2024 | |
Deposits [Abstract] | |
Deposits [Text Block] | Deposits We offer demand and overnight deposits for members and qualifying nonmembers. Members that service mortgage loans may deposit funds collected in connection with mortgage loans pending disbursement of such funds to the owners of the mortgage loans, which we classify as "other" in the following table. Table 6.1 - Deposits (dollars in thousands) March 31, 2024 December 31, 2023 Interest-bearing Demand and overnight $ 894,225 $ 896,005 Noninterest-bearing Other 27,549 26,874 Total deposits $ 921,774 $ 922,879 |
Consolidated Obligations
Consolidated Obligations | 3 Months Ended |
Mar. 31, 2024 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations [Text Block] | Consolidated Obligations CO Bonds. CO bonds for which we have received issuance proceeds and are primarily liable were as follows: Table 7.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2024 December 31, 2023 Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 19,998,375 4.22 % $ 17,841,615 4.27 % Due after one year through two years 7,679,190 2.71 7,476,350 2.86 Due after two years through three years 6,264,550 1.95 7,014,955 1.76 Due after three years through four years 2,648,150 3.32 2,854,250 2.94 Due after four years through five years 2,278,230 2.99 2,712,400 2.94 Thereafter 3,044,175 3.06 3,193,305 2.95 Total par value 41,912,670 3.40 % 41,092,875 3.30 % Premiums 30,998 32,419 Discounts (13,555) (14,451) Hedging adjustments (907,058) (862,100) Total $ 41,023,055 $ 40,248,743 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Table 7.2 - CO Bonds Outstanding by Early Redemption Feature (dollars in thousands) March 31, 2024 December 31, 2023 Noncallable and nonputable $ 22,216,170 $ 18,882,235 Callable 19,696,500 22,210,640 Total par value $ 41,912,670 $ 41,092,875 Table 7.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2024 December 31, 2023 Due in one year or less $ 32,604,875 $ 30,900,615 Due after one year through two years 3,748,190 4,203,850 Due after two years through three years 2,159,050 2,487,955 Due after three years through four years 1,095,150 852,750 Due after four years through five years 883,230 1,171,400 Thereafter 1,422,175 1,476,305 Total par value $ 41,912,670 $ 41,092,875 Table 7.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) March 31, 2024 December 31, 2023 Fixed-rate $ 31,262,670 $ 32,454,235 Step-up (1) 5,384,000 5,626,140 Simple variable-rate 5,266,000 3,012,500 Total par value $ 41,912,670 $ 41,092,875 _______________________ (1) Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates. CO Discount Notes. Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as follows: Table 7.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) March 31, 2024 $ 20,055,973 $ 20,169,851 5.29 % December 31, 2023 $ 22,000,546 $ 22,150,970 5.31 % _______________________ (1) CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program
Affordable Housing Program | 3 Months Ended |
Mar. 31, 2024 | |
Affordable Housing Program AHP [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program Table 8.1 - AHP Liability (dollars in thousands) March 31, 2024 December 31, 2023 Balance at beginning of year $ 87,164 $ 76,622 AHP expense for the period 8,664 28,648 AHP voluntary contribution — 2,000 AHP direct grant disbursements (1,927) (16,144) AHP subsidy for AHP advance disbursements (639) (3,965) Return of previously disbursed grants and subsidies — 3 Balance at end of period $ 93,262 $ 87,164 |
Capital
Capital | 3 Months Ended |
Mar. 31, 2024 | |
Banking Regulation, Total Capital [Abstract] | |
Capital [Text Block] | Capital Regulatory Capital Requirements. We are subject to three capital requirements at all times under our capital plan, the Federal Home Loan Bank Act of 1932 (as amended, the FHLBank Act), and FHFA regulations and guidance: 1. Risk-based capital. We are required to maintain 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 our credit-risk, market-risk, and operational-risk capital requirements, all of which are calculated in accordance with FHFA rules and regulations, referred to herein as the risk-based capital requirement. 2. Total regulatory capital. We are required to maintain a total capital-to-assets ratio of at least four percent. Regulatory capital is the sum of permanent capital, the amount of any general loss allowance if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the FHFA as available to absorb losses. 3. Leverage capital. We are required to maintain a leverage capital-to-assets ratio of at least five percent. Leverage capital is defined as the sum of permanent capital weighted 1.5 times and all other components of total capital. The FHFA has authority to require us to maintain greater minimum capital levels than are required based on FHFA rules and regulations. Table 9.1 - Regulatory Capital Requirements (dollars in thousands) March 31, 2024 December 31, 2023 Required Actual Required Actual Risk-based capital $ 667,188 $ 3,816,282 $ 628,052 $ 3,839,236 Regulatory capital $ 2,641,211 $ 3,816,282 $ 2,685,691 $ 3,839,236 Capital-to-asset ratio 4.0 % 5.8 % 4.0 % 5.7 % Leverage capital $ 3,301,514 $ 5,724,423 $ 3,357,114 $ 5,758,854 Leverage capital-to-assets ratio 5.0 % 8.7 % 5.0 % 8.6 % We are a cooperative whose members own most of our capital stock. Former members, including certain nonmembers that own our capital stock as a result of merger or acquisition, relocation, or involuntary termination of membership, own the remaining capital stock to support business transactions still carried on our statement of condition or, for a small amount of capital stock held by former members, until the five-year redemption period applicable to their membership stock is complete. Shares of capital stock cannot be purchased or sold except between us and our members at $100 per share par value. Each member is required to purchase Class B stock equal to 0.05 percent of the value of the member's total assets measured as of December 31 of the preceding year, subject to a current minimum balance of $10 thousand and a current maximum balance of $5 million (the membership stock investment requirement), and 3.00 percent for overnight advances, 4.00 percent for all other advances, 0.25 percent for outstanding standby letters of credit, and 4.50 percent of the par value of certain mortgage loans we purchased through the MPF program (collectively, the activity-based stock-investment requirement). The sum of the membership stock investment requirement and the activity-based stock investment requirement, rounded up to the nearest whole share, represents the total stock investment requirement. Restricted Retained Earnings. At March 31, 2024, our restricted retained earnings contribution requirement totaled $613.8 million. At March 31, 2024, and December 31, 2023, restricted retained earnings totaled $466.7 million and $451.2 million, respectively. These restricted retained earnings are not available to pay dividends. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 3 Months Ended |
Mar. 31, 2024 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income (Loss) [Text Block] | Accumulated Other Comprehensive Income (Loss) Table 10.1 - Accumulated Other Comprehensive Income (Loss) (dollars in thousands) Net Unrealized Gain (Loss) on Available-for-sale Securities Net Unrealized Gain (Loss) Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2022 $ (350,281) $ 42,482 $ 1,374 $ (306,425) Other comprehensive (loss) income before reclassifications: Net unrealized gains (losses) 10,654 (11,755) — (1,101) Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — 1,127 — 1,127 Other comprehensive income (loss) 10,654 (10,628) — 26 Balance, March 31, 2023 $ (339,627) $ 31,854 $ 1,374 $ (306,399) Balance, December 31, 2023 $ (341,252) $ 45,964 $ 749 $ (294,539) Other comprehensive income before reclassifications: Net unrealized gains 32,931 17,670 — 50,601 Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — 1,026 — 1,026 Other comprehensive income 32,931 18,696 — 51,627 Balance, March 31, 2024 $ (308,321) $ 64,660 $ 749 $ (242,912) _______________________ (1) Recorded in CO bond interest expense. |
Fair Values
Fair Values | 3 Months Ended |
Mar. 31, 2024 | |
Fair Value Disclosures [Abstract] | |
Fair Value [Text Block] | Fair Values A fair-value hierarchy is used to prioritize the inputs of valuation techniques used to measure fair value. A description of the application of the fair-value hierarchy, valuation techniques, and significant inputs is disclosed in Part II — Item 8 — Financial Statements and Supplementary Data — Note 15 — Fair Values in the 2023 Annual Report. There have been no material changes in the fair-value hierarchy classification of financial assets and liabilities, valuation techniques, or significant inputs during the three months ended March 31, 2024. Table 11.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at March 31, 2024, and December 31, 2023. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis and certain mortgage loans at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 11.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. Table 11.1 - Fair Value Summary (dollars in thousands) March 31, 2024 Carrying Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 70,616 $ 70,616 $ 70,616 $ — $ — $ — Interest-bearing deposits 1,808,836 1,808,836 1,808,836 — — — Securities purchased under agreements to resell 1,750,000 1,750,022 — 1,750,022 — — Federal funds sold 3,051,000 3,051,001 — 3,051,001 — — Trading securities (1) 1,567 1,567 — 1,567 — — Available-for-sale securities (1) 15,578,184 15,578,184 — 15,556,216 21,968 — Held-to-maturity securities 74,156 73,813 — 73,813 — — Advances 39,905,499 39,757,607 — 39,757,607 — — Mortgage loans, net 3,146,391 2,826,791 — 2,812,735 14,056 — Accrued interest receivable 202,275 202,275 — 202,275 — — Derivative assets (1) 363,820 363,820 — 143,746 — 220,074 Other assets (1) 30,623 30,623 15,041 15,582 — — Liabilities: Deposits (921,774) (921,751) — (921,751) — — COs: Bonds (41,023,055) (40,658,019) — (40,658,019) — — Discount notes (20,055,973) (20,052,670) — (20,052,670) — — Mandatorily redeemable capital stock (6,083) (6,083) (6,083) — — — Accrued interest payable (283,592) (283,592) — (283,592) — — Derivative liabilities (1) (7,104) (7,104) — (998,631) — 991,527 Other: Commitments to extend credit for advances — (282) — (282) — — Standby letters of credit (1,323) (1,323) — (1,323) — — December 31, 2023 Carrying Total Fair Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 53,412 $ 53,412 $ 53,412 $ — $ — $ — Interest-bearing deposits 1,643,587 1,643,587 1,643,587 — — — Securities purchased under agreements to resell 1,600,000 1,599,996 — 1,599,996 — — Federal funds sold 2,500,000 2,499,995 — 2,499,995 — — Trading securities (1) 1,395 1,395 — 1,395 — — Available-for-sale securities (1) 15,343,745 15,343,745 — 15,321,940 21,805 — Held-to-maturity securities 78,905 78,478 — 78,478 — — Advances 41,958,583 41,834,762 — 41,834,762 — — Mortgage loans, net 3,059,331 2,796,000 — 2,781,976 14,024 — Accrued interest receivable 185,709 185,709 — 185,709 — — Derivative assets (1) 383,073 383,073 — 77,637 — 305,436 Other assets (1) 28,369 28,369 13,724 14,645 — — Liabilities: Deposits (922,879) (922,830) — (922,830) — — COs: Bonds (40,248,743) (39,887,287) — (39,887,287) — — Discount notes (22,000,546) (21,998,576) — (21,998,576) — — Mandatorily redeemable capital stock (6,083) (6,083) (6,083) — — — Accrued interest payable (269,517) (269,517) — (269,517) — — Derivative liabilities (1) (3,017) (3,017) — (1,010,116) — 1,007,099 Other: Commitments to extend credit for advances — (2,101) — (2,101) — — Standby letters of credit (1,340) (1,340) — (1,340) — — _______________________ (1) Carried at fair value and measured on a recurring basis. (2) These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. Fair Value Measured on a Recurring and Nonrecurring Basis. Table 11.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) March 31, 2024 Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 1,567 $ — $ — $ 1,567 Available-for-sale securities: U.S. Treasury obligations — 5,640,649 — — 5,640,649 HFA securities — — 21,968 — 21,968 Supranational institutions — 340,676 — — 340,676 U.S. government-owned corporations — 229,923 — — 229,923 GSE — 96,950 — — 96,950 U.S. government guaranteed – single-family MBS — 44,049 — — 44,049 U.S. government guaranteed – multifamily MBS — 473,699 — — 473,699 GSE – single-family MBS — 1,229,913 — — 1,229,913 GSE – multifamily MBS — 7,500,357 — — 7,500,357 Total available-for-sale securities — 15,556,216 21,968 — 15,578,184 Derivative assets: Interest-rate-exchange agreements — 143,698 — 220,074 363,772 Mortgage delivery commitments — 48 — — 48 Total derivative assets — 143,746 — 220,074 363,820 Other assets 15,041 15,582 — — 30,623 Total assets carried at fair value on a recurring basis $ 15,041 $ 15,717,111 $ 21,968 $ 220,074 $ 15,974,194 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (998,591) $ — $ 991,527 $ (7,064) Mortgage delivery commitments — (40) — — (40) Total liabilities carried at fair value on a recurring basis $ — $ (998,631) $ — $ 991,527 $ (7,104) December 31, 2023 Level 1 Level 2 Level 3 Netting (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 1,395 $ — $ — $ 1,395 Available-for-sale securities: U.S. Treasury obligations — 5,664,452 — — 5,664,452 HFA securities — — 21,805 — 21,805 Supranational institutions — 346,375 — — 346,375 U.S. government-owned corporations — 235,191 — — 235,191 GSE — 99,421 — — 99,421 U.S. government guaranteed – single-family MBS — 14,433 — — 14,433 U.S. government guaranteed – multifamily MBS — 477,676 — — 477,676 GSE – single-family MBS — 904,456 — — 904,456 GSE – multifamily MBS — 7,579,936 — — 7,579,936 Total available-for-sale securities — 15,321,940 21,805 — 15,343,745 Derivative assets: Interest-rate-exchange agreements — 77,347 — 305,436 382,783 Mortgage delivery commitments — 290 — — 290 Total derivative assets — 77,637 — 305,436 383,073 Other assets 13,724 14,645 — — 28,369 Total assets carried at fair value on a recurring basis $ 13,724 $ 15,415,617 $ 21,805 $ 305,436 $ 15,756,582 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (1,010,116) $ — $ 1,007,099 $ (3,017) Total liabilities carried at fair value on a recurring basis $ — $ (1,010,116) $ — $ 1,007,099 $ (3,017) _______________________ (1) These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. Table 11.3 presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2024 and 2023. Table 11.3 - Roll Forward of Level 3 Available-for-Sale HFA Securities (dollars in thousands) For the Three Months Ended March 31, 2024 2023 Balance at beginning of period $ 21,805 $ 32,774 Total gains included in other comprehensive income Net unrealized gains 163 331 Balance at end of period $ 21,968 $ 33,105 Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end $ 163 $ 331 |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Mar. 31, 2024 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies Joint and Several Liability. COs are backed by the financial resources of the 11 district Federal Home Loan Banks (the FHLBanks). The FHFA has authority to require any FHLBank to repay all or a portion of the principal and interest on COs for which another FHLBank is the primary obligor. No FHLBank has ever been asked or required to repay the principal or interest on any CO on behalf of another FHLBank. We evaluate the financial condition of the other FHLBanks primarily based on known regulatory actions, publicly available financial information, and individual long-term credit-rating action as of each period-end presented. Based on this evaluation, as of March 31, 2024, and through the filing of this report, we do not believe it is likely that we will be required to repay the principal or interest on any CO on behalf of another FHLBank. We have considered applicable FASB guidance and determined it is not necessary to recognize a liability for the fair value of our joint and several liability for all of the COs. The joint and several obligation is mandated by the FHLBank Act, as implemented by FHFA regulations, and is not the result of an arms-length transaction among the FHLBanks. The FHLBanks have no control over the amount of the guaranty or the determination of how each FHLBank would perform under the joint and several obligation. Because the FHLBanks are subject to the authority of the FHFA as it relates to decisions involving the allocation of the joint and several liability for the FHLBanks' COs, the FHLBanks' joint and several obligation is excluded from the initial recognition and measurement provisions. Accordingly, we have not recognized a liability for our joint and several obligation related to other FHLBanks' COs at March 31, 2024, and December 31, 2023. The par amounts of other FHLBanks' outstanding COs for which we are jointly and severally liable totaled $1.1 trillion at both March 31, 2024, and December 31, 2023. See Note 7 — Consolidated Obligations for additional information. Off-Balance-Sheet Commitments Table 12.1 - Off-Balance Sheet Commitments (1) (dollars in thousands) March 31, 2024 December 31, 2023 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (2) $ 7,399,693 $ 199,534 $ 7,599,227 $ 8,217,388 $ 207,677 $ 8,425,065 Commitments for unused lines of credit - advances (3) 1,113,961 — 1,113,961 1,113,354 — 1,113,354 Commitments to make additional advances 218,357 20,464 238,821 13,170 20,463 33,633 Commitments to invest in mortgage loans 36,827 — 36,827 29,995 — 29,995 Unsettled CO bonds, at par 217,600 — 217,600 131,500 — 131,500 Unsettled CO discount notes, at par 600,000 — 600,000 61,008 — 61,008 __________________________ (1) We have determined that it is unnecessary to record any liability for credit losses on these agreements based on our credit extension and collateral policies. (2) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit. At March 31, 2024, and December 31, 2023, commitments to issue standby letters of credit that expire within one year totaled $5.4 million and $16.0 million, respectively, and at December 31, 2023, commitments to issue standby letters of credit that expire after one year totaled $13.1 million. (3) Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. Standby Letters of Credit . At March 31, 2024, outstanding standby letters of credit expire no later than 2033. Currently, we offer new standby letters of credit with terms typically up to 10 years, while terms greater than 10 years may be available on an exception basis. Unearned fees for the value of the guarantees related to standby letters of credit are recorded in other liabilities and totaled $1.3 million at March 31, 2024, and December 31, 2023. Commitments to Invest in Mortgage Loans. Commitments to invest in mortgage loans are generally for periods not to exceed 60 business days. Such commitments are recorded as derivatives at their fair values on the statement of condition. Pledged Collateral. We have pledged securities as collateral related to derivatives. See Note 5 — Derivatives and Hedging Activities for additional information about our pledged collateral and other credit-risk-related contingent features. Legal Proceedings . We are subject to various legal proceedings arising in the normal course of business from time to time. We 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. Management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on our financial condition, results of operations, or cash flows. |
Transactions with Shareholders
Transactions with Shareholders | 3 Months Ended |
Mar. 31, 2024 | |
Transactions with Shareholders [Abstract] | |
Transactions with Shareholders [Text Block] | Transactions with Shareholders Shareholder Concentrations. We consider shareholder concentrations as holdings of capital stock (including mandatorily redeemable capital stock) by individual members or nonmembers in excess of 10 percent of total capital stock outstanding. At both March 31, 2024, and December 31, 2023, no shareholder had more than 10 percent of total capital stock outstanding. Transactions with Directors' Institutions. We provide, in the ordinary course of business, products and services to members whose officers or directors serve on our board of directors. In accordance with FHFA regulations, transactions with directors' institutions are conducted on the same terms as those with any other member. Table 13.1 - Transactions with Directors' Institutions (dollars in thousands) Capital Stock Percent Par Percent of Total Par Value Total Accrued Percent of Total March 31, 2024 $ 108,612 5.5 % $ 2,215,043 5.5 % $ 3,567 2.7 % December 31, 2023 201,250 9.8 4,485,824 10.7 5,953 5.2 |
Subsequent Events
Subsequent Events | 3 Months Ended |
Mar. 31, 2024 | |
Subsequent Events [Abstract] | |
Subsequent Events [Text Block] | Subsequent Events On April 19, 2024, the board of directors declared a cash dividend at an annualized rate of 8.40 percent based on daily average capital stock balances outstanding during the first quarter of 2024. The dividend, including dividends classified as interest on mandatorily redeemable capital stock, amounted to $41.2 million and was paid on May 2, 2024. |
Basis of Presentation - Summary
Basis of Presentation - Summary of Significant Accounting Policies (Policies) | 3 Months Ended |
Mar. 31, 2024 | |
Accounting Policies [Abstract] | |
Credit Loss, Financial Instrument, Policy | Allowance for Credit Losses on Available-for-Sale Securities and Held-to-Maturity Securities |
Derivatives, Policy | Changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair-value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. For designated cash-flow hedges, the entire change in the fair value of the hedging instrument (assuming it is included in the assessment of hedge effectiveness) is reported in other comprehensive income until the hedged transaction affects earnings. At that time, this amount is reclassified from other comprehensive income and recorded in net interest income in the same line as the earnings effect of the hedged item. Managing Credit Risk on Derivatives. |
Fair Value of Financial Instruments, Policy | We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis and certain mortgage loans at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost |
Joint and Several Liability, Policy | We evaluate the financial condition of the other FHLBanks primarily based on known regulatory actions, publicly available financial information, and individual long-term credit-rating action as of each period-end presented. |
Investments (Tables)
Investments (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Investments, Debt and Equity Securities [Abstract] | |
Debt Securities, Trading, and Equity Securities, FV-NI [Table Text Block] | Table 2.1 - Trading Securities by Major Security Type (dollars in thousands) March 31, 2024 December 31, 2023 Corporate bonds $ 1,567 $ 1,395 |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Table 2.2 - Available-for-Sale Securities by Major Security Type (dollars in thousands) March 31, 2024 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair United States (U.S.) Treasury obligations $ 5,642,153 $ 2,654 $ (4,158) $ 5,640,649 State housing-finance-agency obligations (HFA securities) 22,430 1 (463) 21,968 Supranational institutions 343,491 7 (2,822) 340,676 U.S. government-owned corporations 243,035 — (13,112) 229,923 Government-sponsored enterprise (GSE) 100,585 — (3,635) 96,950 6,351,694 2,662 (24,190) 6,330,166 Mortgage-backed securities (MBS) U.S. government guaranteed – single-family 46,386 119 (2,456) 44,049 U.S. government guaranteed – multifamily 518,727 — (45,028) 473,699 GSE – single-family 1,283,613 1,651 (55,351) 1,229,913 GSE – multifamily 7,686,085 7,174 (192,902) 7,500,357 9,534,811 8,944 (295,737) 9,248,018 Total $ 15,886,505 $ 11,606 $ (319,927) $ 15,578,184 December 31, 2023 Amounts Recorded in Accumulated Other Comprehensive Income Amortized Cost (1) Unrealized Unrealized Fair U.S. Treasury obligations $ 5,684,157 $ 122 $ (19,827) $ 5,664,452 HFA securities 22,430 — (625) 21,805 Supranational institutions 350,282 3 (3,910) 346,375 U.S. government-owned corporations 252,585 — (17,394) 235,191 GSE 104,015 — (4,594) 99,421 6,413,469 125 (46,350) 6,367,244 MBS U.S. government guaranteed – single-family 16,854 — (2,421) 14,433 U.S. government guaranteed – multifamily 521,203 — (43,527) 477,676 GSE – single-family 954,298 1,665 (51,507) 904,456 GSE – multifamily 7,779,173 3,517 (202,754) 7,579,936 9,271,528 5,182 (300,209) 8,976,501 Total $ 15,684,997 $ 5,307 $ (346,559) $ 15,343,745 _______________________ (1) Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable |
Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value [Table Text Block] | Table 2.3 - Available-for-Sale Securities in a Continuous Unrealized Loss Position (dollars in thousands) March 31, 2024 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasury obligations $ — $ — $ 3,064,314 $ (4,158) $ 3,064,314 $ (4,158) HFA securities — — 13,357 (463) 13,357 (463) Supranational institutions 81,416 (7) 246,832 (2,815) 328,248 (2,822) U.S. government-owned corporations — — 229,923 (13,112) 229,923 (13,112) GSE — — 96,950 (3,635) 96,950 (3,635) 81,416 (7) 3,651,376 (24,183) 3,732,792 (24,190) MBS U.S. government guaranteed – single-family — — 13,972 (2,456) 13,972 (2,456) U.S. government guaranteed – multifamily — — 473,699 (45,028) 473,699 (45,028) GSE – single-family 84,896 (327) 590,800 (55,024) 675,696 (55,351) GSE – multifamily 662,137 (3,577) 5,130,600 (189,325) 5,792,737 (192,902) 747,033 (3,904) 6,209,071 (291,833) 6,956,104 (295,737) Total $ 828,449 $ (3,911) $ 9,860,447 $ (316,016) $ 10,688,896 $ (319,927) December 31, 2023 Continuous Unrealized Loss Less than 12 Months Continuous Unrealized Loss 12 Months or More Total Fair Unrealized Fair Unrealized Fair Unrealized U.S. Treasury obligations $ 1,865,124 $ (1,405) $ 3,319,996 $ (18,422) $ 5,185,120 $ (19,827) HFA securities — — 21,805 (625) 21,805 (625) Supranational institutions 82,354 (188) 251,452 (3,722) 333,806 (3,910) U.S. government-owned corporations — — 235,191 (17,394) 235,191 (17,394) GSE — — 99,421 (4,594) 99,421 (4,594) 1,947,478 (1,593) 3,927,865 (44,757) 5,875,343 (46,350) MBS U.S. government guaranteed – single-family — — 14,433 (2,421) 14,433 (2,421) U.S. government guaranteed – multifamily — — 477,676 (43,527) 477,676 (43,527) GSE – single-family 55,457 (117) 616,857 (51,390) 672,314 (51,507) GSE – multifamily 1,238,598 (2,993) 5,299,421 (199,761) 6,538,019 (202,754) 1,294,055 (3,110) 6,408,387 (297,099) 7,702,442 (300,209) Total $ 3,241,533 $ (4,703) $ 10,336,252 $ (341,856) $ 13,577,785 $ (346,559) |
Investments Classified by Contractual Maturity Date [Table Text Block] | Table 2.4 - Available-for-Sale Securities by Contractual Maturity (dollars in thousands) March 31, 2024 December 31, 2023 Year of Maturity Amortized Fair Amortized Fair Due in one year or less $ 13,820 $ 13,356 $ 13,820 $ 13,210 Due after one year through five years 6,032,735 6,028,396 6,082,462 6,058,571 Due after five years through 10 years — — — — Due after 10 years 305,139 288,414 317,187 295,463 6,351,694 6,330,166 6,413,469 6,367,244 MBS (1) 9,534,811 9,248,018 9,271,528 8,976,501 Total $ 15,886,505 $ 15,578,184 $ 15,684,997 $ 15,343,745 _______________________ (1) MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers of the underlying loans may have the right to call or prepay obligations with or without call or prepayment fees. |
Debt Securities, Held-to-maturity [Table Text Block] | Table 2.5 - Held-to-Maturity Securities by Major Security Type (dollars in thousands) March 31, 2024 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 3,032 $ 15 $ — $ 3,047 GSE – single-family 71,124 416 (774) 70,766 Total $ 74,156 $ 431 $ (774) $ 73,813 December 31, 2023 Amortized Cost (1) Gross Unrecognized Holding Gains Gross Unrecognized Holding Losses Fair Value MBS U.S. government guaranteed – single-family $ 3,123 $ 19 $ — $ 3,142 GSE – single-family 75,782 366 (812) 75,336 Total $ 78,905 $ 385 $ (812) $ 78,478 _______________________ (1) Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion, amortization, and collection of cash. Amortized cost excludes accrued interest receivable |
Advances (Tables)
Advances (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Advances [Abstract] | |
Advances [Table Text Block] | Table 3.1 - Advances Outstanding by Year of Contractual Maturity (dollars in thousands) March 31, 2024 December 31, 2023 Amount Weighted Amount Weighted Overdrawn demand-deposit accounts $ 5,302 5.75 % $ 5,909 5.76 % Due in one year or less 21,615,380 5.17 21,829,742 5.25 Due after one year through two years 7,096,228 4.29 9,069,939 4.53 Due after two years through three years 3,159,338 4.10 3,306,934 4.02 Due after three years through four years 3,258,358 3.97 2,295,317 4.37 Due after four years through five years 3,237,817 3.73 3,905,361 3.52 Due after five years through fifteen years 1,689,367 3.29 1,601,794 3.26 Thereafter 49,555 1.76 51,660 1.72 Total par value 40,111,345 4.63 % 42,066,656 4.71 % Discounts (36,529) (37,289) Fair value of bifurcated derivatives (1) 12 790 Fair value hedging adjustments (169,329) (71,574) Total (2) $ 39,905,499 $ 41,958,583 _________________________ (1) At March 31, 2024, and December 31, 2023, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated those embedded features as stand-alone derivatives. (2) Excludes accrued interest receivable of $132.0 million and $115.0 million at March 31, 2024, and December 31, 2023, respectively. Table 3.2 - Advances Outstanding by Year of Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2024 December 31, 2023 Overdrawn demand-deposit accounts $ 5,302 $ 5,909 Due in one year or less 24,640,564 26,546,662 Due after one year through two years 5,042,728 5,272,439 Due after two years through three years 2,853,263 2,989,434 Due after three years through four years 2,639,638 1,711,697 Due after four years through five years 3,206,917 3,887,061 Due after five years through fifteen years 1,673,378 1,601,794 Thereafter 49,555 51,660 Total par value $ 40,111,345 $ 42,066,656 Table 3.3 - Advances Outstanding by Year of Contractual Maturity or Next Put Date (dollars in thousands) March 31, 2024 December 31, 2023 Overdrawn demand-deposit accounts $ 5,302 $ 5,909 Due in one year or less 27,937,951 27,338,812 Due after one year through two years 6,288,728 8,472,939 Due after two years through three years 1,607,267 1,996,364 Due after three years through four years 2,230,858 1,447,317 Due after four years through five years 1,184,817 1,955,361 Due after five years through fifteen years 806,867 798,294 Thereafter 49,555 51,660 Total par value $ 40,111,345 $ 42,066,656 Table 3.4 - Advances by Current Interest Rate Terms (dollars in thousands) March 31, 2024 December 31, 2023 Fixed-rate $ 35,631,859 $ 36,330,552 Variable-rate 4,479,486 5,736,104 Total par value $ 40,111,345 $ 42,066,656 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio [Table Text Block] | Table 4.1 - Mortgage Loans Held for Portfolio (dollars in thousands) March 31, 2024 December 31, 2023 Real estate Fixed-rate 15-year single-family mortgages $ 183,129 $ 192,104 Fixed-rate 20- and 30-year single-family mortgages 2,927,537 2,831,319 Premiums 40,611 39,990 Discounts (2,251) (2,222) Deferred derivative (losses) gains, net (35) 140 Total mortgage loans held for portfolio (1) 3,148,991 3,061,331 Less: allowance for credit losses (2,600) (2,000) Total mortgage loans, net of allowance for credit losses $ 3,146,391 $ 3,059,331 ________________________ (1) Excludes accrued interest receivable Table 4.2 - Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (dollars in thousands) March 31, 2024 December 31, 2023 Conventional mortgage loans $ 2,966,833 $ 2,877,109 Government mortgage loans 143,833 146,314 Total par value $ 3,110,666 $ 3,023,423 |
Financing Receivable Credit Quality Indicators [Table Text Block] | Table 4.3 - Credit Quality Indicator for Conventional Mortgage Loans (dollars in thousands) March 31, 2024 Year of Origination Payment Status at Amortized Cost (1) Prior to 2020 2020 to 2024 Total Past due 30-59 days delinquent $ 13,715 $ 4,505 $ 18,220 Past due 60-89 days delinquent 4,411 1,930 6,341 Past due 90 days or more delinquent 7,112 462 7,574 Total past due 25,238 6,897 32,135 Total current loans 1,395,384 1,575,069 2,970,453 Total conventional mortgage loans $ 1,420,622 $ 1,581,966 $ 3,002,588 December 31, 2023 Year of Origination Payment Status at Amortized Cost (1) Prior to 2019 2019 to 2023 Total Past due 30-59 days delinquent $ 9,392 $ 5,630 $ 15,022 Past due 60-89 days delinquent 3,068 1,694 4,762 Past due 90 days or more delinquent 6,841 889 7,730 Total past due 19,301 8,213 27,514 Total current loans 1,169,734 1,715,134 2,884,868 Total conventional mortgage loans $ 1,189,035 $ 1,723,347 $ 2,912,382 _________________________ |
Amortized Cost/Recorded Investment in Delinquent Mortgage Loans [Table Text Block] | Table 4.4 - Other Delinquency Statistics of Mortgage Loans (dollars in thousands) March 31, 2024 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,334 $ 605 $ 1,939 Serious delinquency rate (2) 0.25 % 1.43 % 0.31 % Past due 90 days or more still accruing interest $ — $ 2,081 $ 2,081 Loans on nonaccrual status (3) $ 7,776 $ — $ 7,776 December 31, 2023 Amortized Cost in Conventional Mortgage Loans Amortized Cost in Government Mortgage Loans Total In process of foreclosure (1) $ 1,742 $ 623 $ 2,365 Serious delinquency rate (2) 0.27 % 0.94 % 0.30 % Past due 90 days or more still accruing interest $ — $ 1,356 $ 1,356 Loans on nonaccrual status (3) $ 7,913 $ — $ 7,913 _______________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the amortized cost of the total loan portfolio class. (3) As of March 31, 2024, and December 31, 2023, $3.1 million and $4.3 million, respectively, of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because either these loans were charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. |
Rollforward of Allowance for Credit Losses on Mortgage Loans [Table Text Block] | Table 4.5 presents a roll forward of the allowance for credit losses on conventional mortgage loans for the three months ended March 31, 2024 and 2023. Table 4.5 - Allowance for Credit Losses on Conventional Mortgage Loans (dollars in thousands) For the Three Months Ended March 31, 2024 2023 Allowance for credit losses (1) Balance, beginning of period $ 2,000 $ 1,900 Net recoveries — 6 Provision for credit losses 600 94 Balance, end of period $ 2,600 $ 2,000 _________________________ (1) These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed below under — Government Mortgage Loans Held for Portfolio. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments [Table Text Block] | Table 5.1 - Fair Value of Derivative Instruments (dollars in thousands) March 31, 2024 December 31, 2023 Notional Derivative Derivative Notional Derivative Derivative Derivatives designated as hedging instruments Interest-rate swaps $ 50,846,703 $ 143,528 $ (998,568) $ 51,587,480 $ 77,093 $ (1,009,217) Forward-start interest-rate swaps 1,391,000 126 (13) 1,391,000 254 (170) Total derivatives designated as hedging instruments 52,237,703 143,654 (998,581) 52,978,480 77,347 (1,009,387) Derivatives not designated as hedging instruments Interest-rate swaps 603,493 44 (10) 90,000 — (729) Mortgage-delivery commitments (1) 36,827 48 (40) 29,995 290 — Total derivatives not designated as hedging instruments 640,320 92 (50) 119,995 290 (729) Total notional amount of derivatives $ 52,878,023 $ 53,098,475 Total derivatives before netting and collateral adjustments 143,746 (998,631) 77,637 (1,010,116) Netting adjustments and cash collateral, including related accrued interest (2) 220,074 991,527 305,436 1,007,099 Derivative assets and derivative liabilities $ 363,820 $ (7,104) $ 383,073 $ (3,017) _______________________ (1) Mortgage-delivery commitments are classified as derivatives with changes in fair value recorded in other income. (2) Amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions with the same counterparty. Cash collateral posted, including accrued interest, was $1.2 billion and $1.3 billion at March 31, 2024, and December 31, 2023, respectively. The change in cash collateral posted is included in the net change in interest-bearing deposits in the statement of cash flows. Cash collateral including accrued interest received was $15.1 million and $3.8 million at March 31, 2024, and December 31, 2023. |
Net Gains (Losses) on Derivatives and Hedging Activities [Table Text Block] | Tables 5.2 presents the net gains (losses) on qualifying fair-value hedging relationships. Gains (losses) on derivatives include unrealized changes in fair value as well as net interest settlements. Table 5.2 - Net Gains (Losses) on Fair Value Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2024 Advances Available-for-sale Securities CO Bonds Total interest income (expense) presented on the statements of operations $ 528,497 $ 233,171 $ (507,136) Gains (losses) on fair value hedging relationships Changes in fair value: Derivatives $ 100,432 $ 140,222 $ (46,641) Hedged items (98,147) (137,177) 46,384 Net changes in fair value before price alignment interest 2,285 3,045 (257) Price alignment interest (1) (860) (14,154) 481 Net interest settlements on derivatives (2)(3) 58,344 124,319 (162,260) Net gains (losses) on qualifying hedging relationships 59,769 113,210 (162,036) Amortization/accretion of discontinued hedging relationships (351) — (1,506) Net gains (losses) on derivatives and hedging activities recorded in net interest income $ 59,418 $ 113,210 $ (163,542) For the Three Months Ended March 31, 2023 Advances Available-for-sale Securities CO Bonds Total interest income (expense) presented on the statements of operations $ 501,206 $ 167,680 $ (378,094) Gains (losses) on fair value hedging relationships Changes in fair value: Derivatives $ (68,586) $ (233,315) $ 241,907 Hedged items 67,518 227,211 (242,057) Net changes in fair value before price alignment interest (1,068) (6,104) (150) Price alignment interest (1) (1,754) (10,058) 283 Net interest settlements on derivatives (2)(3) 28,455 97,226 (140,810) Net gains (losses) on qualifying hedging relationships 25,633 81,064 (140,677) Amortization/accretion of discontinued hedging relationships (512) — 526 Net gains (losses) on derivatives and hedging activities recorded in net interest income $ 25,121 $ 81,064 $ (140,151) _______________________ (1) Relates to derivatives for which variation margin payments are characterized as daily settled contracts. (2) Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. (3) Excludes the interest income/expense of the respective hedged items recorded in net interest income. Tables 5.3 presents the net (losses) gains on qualifying cash flow hedging relationships. Table 5.3 - Net (Losses) Gains on Cash Flow Hedging Relationships (dollars in thousands) For the Three Months Ended March 31, 2024 2023 Forward-start interest rate swaps - CO Bonds Losses reclassified from accumulated other comprehensive loss into interest expense $ (1,026) $ (1,127) Gains (losses) recognized in other comprehensive income (loss) 17,670 (11,755) |
Gains (Losses) By Type of Hedged Item [Table Text Block] | Table 5.4 - Cumulative Basis Adjustments for Fair-Value Hedges (dollars in thousands) March 31, 2024 Line Item in Statement of Condition Amortized Cost of Hedged Asset/ Liability (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Cumulative Amount of Fair Value Hedging Basis Adjustments Advances $ 13,303,677 $ (173,583) $ 4,254 $ (169,329) Available-for-sale securities 11,337,238 (1,024,116) — (1,024,116) Consolidated obligation bonds 24,026,942 (940,168) 33,110 (907,058) _______________________ (1) Includes only the amortized cost of hedged items in fair-value hedging relationships. |
Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows [Table Text Block] | Table 5.5 - Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flows (dollars in thousands) Increase (decrease) on Cash Flow Statement For the Three Months Ended March 31, 2024 2023 Operating activity - net change in derivatives and hedging activities $ 173,602 $ (126,571) Financing activity - net receipts (payments) on derivatives with a financing element 20,553 (3,666) Total variation margin received (posted) on cleared derivatives $ 194,155 $ (130,237) |
Post-haircut Value of Incremental Collateral Based on Incremental Credit Rating Downgrades [Table Text Block] | Table 5.6 sets forth the post-haircut value of incremental collateral that certain uncleared derivatives counterparties could have required us to deliver based on incremental credit rating downgrades at March 31, 2024. Table 5.6 - Post Haircut Value of Incremental Collateral to be Delivered as of March 31, 2024 (dollars in thousands) Ratings Downgrade (1) From To Incremental Collateral AA+ AA or AA- $ — AA- A+, A or A- — A- below A- 74,160 _______________________ (1) Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. |
Offsetting Assets [Table Text Block] | Table 5.7 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of March 31, 2024, and December 31, 2023, which includes cleared and uncleared interest rate swaps, and the fair value of derivatives that are not subject to such netting, which includes mortgage delivery commitments and CO bond firm commitments. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties. Table 5.7 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2024 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Derivative Assets Interest-rate swaps Uncleared $ 134,509 $ (134,322) $ 187 Cleared 9,189 354,396 363,585 Mortgage delivery commitments $ 48 48 Total $ 363,820 Derivative Liabilities Interest-rate swaps Uncleared $ (996,767) $ 989,703 $ (7,064) Cleared (1,825) 1,825 — Mortgage delivery commitments $ (40) (40) Total $ (7,104) December 31, 2023 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Derivative Assets Interest-rate swaps Uncleared $ 72,517 $ (69,838) $ 2,679 Cleared 4,830 375,274 380,104 Mortgage delivery commitments $ 290 290 Total $ 383,073 Derivative Liabilities Interest-rate swaps Uncleared $ (997,974) $ 994,957 $ (3,017) Cleared (12,142) 12,142 — Total $ (3,017) |
Offsetting Liabilities [Table Text Block] | Table 5.7 presents separately the fair value of derivatives that are subject to netting due to a legal right of offset based on the terms of our master netting arrangements or similar agreements as of March 31, 2024, and December 31, 2023, which includes cleared and uncleared interest rate swaps, and the fair value of derivatives that are not subject to such netting, which includes mortgage delivery commitments and CO bond firm commitments. Derivatives subject to netting include any related cash collateral received from or pledged to counterparties. Table 5.7 - Netting of Derivative Assets and Derivative Liabilities (dollars in thousands) March 31, 2024 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Derivative Assets Interest-rate swaps Uncleared $ 134,509 $ (134,322) $ 187 Cleared 9,189 354,396 363,585 Mortgage delivery commitments $ 48 48 Total $ 363,820 Derivative Liabilities Interest-rate swaps Uncleared $ (996,767) $ 989,703 $ (7,064) Cleared (1,825) 1,825 — Mortgage delivery commitments $ (40) (40) Total $ (7,104) December 31, 2023 Derivative Instruments Meeting Netting Requirements Gross Recognized Amount Gross Amounts of Netting Adjustments and Cash Collateral Derivative Instruments Not Meeting Netting Requirements Total Derivative Assets and Total Derivative Liabilities Derivative Assets Interest-rate swaps Uncleared $ 72,517 $ (69,838) $ 2,679 Cleared 4,830 375,274 380,104 Mortgage delivery commitments $ 290 290 Total $ 383,073 Derivative Liabilities Interest-rate swaps Uncleared $ (997,974) $ 994,957 $ (3,017) Cleared (12,142) 12,142 — Total $ (3,017) |
Deposits (Tables)
Deposits (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Deposits [Abstract] | |
Interest-bearing and Non-interest-bearing Deposits [Table Text Block] | Table 6.1 - Deposits (dollars in thousands) March 31, 2024 December 31, 2023 Interest-bearing Demand and overnight $ 894,225 $ 896,005 Noninterest-bearing Other 27,549 26,874 Total deposits $ 921,774 $ 922,879 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Debt Disclosure [Abstract] | |
CO Bonds by Year of Contractual Maturity [Table Text Block] | Table 7.1 - CO Bonds Outstanding by Contractual Maturity (dollars in thousands) March 31, 2024 December 31, 2023 Amount Weighted Average Rate (1) Amount Weighted Average Rate (1) Due in one year or less $ 19,998,375 4.22 % $ 17,841,615 4.27 % Due after one year through two years 7,679,190 2.71 7,476,350 2.86 Due after two years through three years 6,264,550 1.95 7,014,955 1.76 Due after three years through four years 2,648,150 3.32 2,854,250 2.94 Due after four years through five years 2,278,230 2.99 2,712,400 2.94 Thereafter 3,044,175 3.06 3,193,305 2.95 Total par value 41,912,670 3.40 % 41,092,875 3.30 % Premiums 30,998 32,419 Discounts (13,555) (14,451) Hedging adjustments (907,058) (862,100) Total $ 41,023,055 $ 40,248,743 _______________________ (1) The CO bonds' weighted-average rate excludes concession fees. Table 7.3 - CO Bonds Outstanding by Contractual Maturity or Next Call Date (dollars in thousands) March 31, 2024 December 31, 2023 Due in one year or less $ 32,604,875 $ 30,900,615 Due after one year through two years 3,748,190 4,203,850 Due after two years through three years 2,159,050 2,487,955 Due after three years through four years 1,095,150 852,750 Due after four years through five years 883,230 1,171,400 Thereafter 1,422,175 1,476,305 Total par value $ 41,912,670 $ 41,092,875 |
CO Bonds Long-term Debt Instruments [Table Text Block] | Table 7.2 - CO Bonds Outstanding by Early Redemption Feature (dollars in thousands) March 31, 2024 December 31, 2023 Noncallable and nonputable $ 22,216,170 $ 18,882,235 Callable 19,696,500 22,210,640 Total par value $ 41,912,670 $ 41,092,875 Table 7.4 - CO Bonds by Interest Rate-Payment Type (dollars in thousands) March 31, 2024 December 31, 2023 Fixed-rate $ 31,262,670 $ 32,454,235 Step-up (1) 5,384,000 5,626,140 Simple variable-rate 5,266,000 3,012,500 Total par value $ 41,912,670 $ 41,092,875 _______________________ (1) Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates. |
CO Discount Notes [Table Text Block] | Outstanding CO discount notes for which we were primarily liable, all of which are due within one year, were as follows: Table 7.5 - CO Discount Notes Outstanding (dollars in thousands) Book Value Par Value Weighted Average Rate (1) March 31, 2024 $ 20,055,973 $ 20,169,851 5.29 % December 31, 2023 $ 22,000,546 $ 22,150,970 5.31 % _______________________ (1) CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Affordable Housing Program AHP [Abstract] | |
Roll-forward of the AHP Liability[Table Text Block] | Table 8.1 - AHP Liability (dollars in thousands) March 31, 2024 December 31, 2023 Balance at beginning of year $ 87,164 $ 76,622 AHP expense for the period 8,664 28,648 AHP voluntary contribution — 2,000 AHP direct grant disbursements (1,927) (16,144) AHP subsidy for AHP advance disbursements (639) (3,965) Return of previously disbursed grants and subsidies — 3 Balance at end of period $ 93,262 $ 87,164 |
Capital (Tables)
Capital (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Banking Regulation, Total Capital [Abstract] | |
Compliance with Regulatory Capital Requirements [Table Text Block] | Table 9.1 - Regulatory Capital Requirements (dollars in thousands) March 31, 2024 December 31, 2023 Required Actual Required Actual Risk-based capital $ 667,188 $ 3,816,282 $ 628,052 $ 3,839,236 Regulatory capital $ 2,641,211 $ 3,816,282 $ 2,685,691 $ 3,839,236 Capital-to-asset ratio 4.0 % 5.8 % 4.0 % 5.7 % Leverage capital $ 3,301,514 $ 5,724,423 $ 3,357,114 $ 5,758,854 Leverage capital-to-assets ratio 5.0 % 8.7 % 5.0 % 8.6 % |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Loss (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Loss [Table Text Block] | Accumulated Other Comprehensive Income (Loss) Table 10.1 - Accumulated Other Comprehensive Income (Loss) (dollars in thousands) Net Unrealized Gain (Loss) on Available-for-sale Securities Net Unrealized Gain (Loss) Relating to Hedging Activities Pension and Postretirement Benefits Total Balance, December 31, 2022 $ (350,281) $ 42,482 $ 1,374 $ (306,425) Other comprehensive (loss) income before reclassifications: Net unrealized gains (losses) 10,654 (11,755) — (1,101) Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — 1,127 — 1,127 Other comprehensive income (loss) 10,654 (10,628) — 26 Balance, March 31, 2023 $ (339,627) $ 31,854 $ 1,374 $ (306,399) Balance, December 31, 2023 $ (341,252) $ 45,964 $ 749 $ (294,539) Other comprehensive income before reclassifications: Net unrealized gains 32,931 17,670 — 50,601 Reclassifications from other comprehensive income to net income Amortization - hedging activities (1) — 1,026 — 1,026 Other comprehensive income 32,931 18,696 — 51,627 Balance, March 31, 2024 $ (308,321) $ 64,660 $ 749 $ (242,912) _______________________ (1) Recorded in CO bond interest expense. |
Fair Values (Tables)
Fair Values (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Fair Value Disclosures [Abstract] | |
Fair Value of Financial Instruments [Table Text Block] | Table 11.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at March 31, 2024, and December 31, 2023. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis and certain mortgage loans at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 11.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis. Table 11.1 - Fair Value Summary (dollars in thousands) March 31, 2024 Carrying Total Fair Value Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 70,616 $ 70,616 $ 70,616 $ — $ — $ — Interest-bearing deposits 1,808,836 1,808,836 1,808,836 — — — Securities purchased under agreements to resell 1,750,000 1,750,022 — 1,750,022 — — Federal funds sold 3,051,000 3,051,001 — 3,051,001 — — Trading securities (1) 1,567 1,567 — 1,567 — — Available-for-sale securities (1) 15,578,184 15,578,184 — 15,556,216 21,968 — Held-to-maturity securities 74,156 73,813 — 73,813 — — Advances 39,905,499 39,757,607 — 39,757,607 — — Mortgage loans, net 3,146,391 2,826,791 — 2,812,735 14,056 — Accrued interest receivable 202,275 202,275 — 202,275 — — Derivative assets (1) 363,820 363,820 — 143,746 — 220,074 Other assets (1) 30,623 30,623 15,041 15,582 — — Liabilities: Deposits (921,774) (921,751) — (921,751) — — COs: Bonds (41,023,055) (40,658,019) — (40,658,019) — — Discount notes (20,055,973) (20,052,670) — (20,052,670) — — Mandatorily redeemable capital stock (6,083) (6,083) (6,083) — — — Accrued interest payable (283,592) (283,592) — (283,592) — — Derivative liabilities (1) (7,104) (7,104) — (998,631) — 991,527 Other: Commitments to extend credit for advances — (282) — (282) — — Standby letters of credit (1,323) (1,323) — (1,323) — — December 31, 2023 Carrying Total Fair Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (2) Financial instruments Assets: Cash and due from banks $ 53,412 $ 53,412 $ 53,412 $ — $ — $ — Interest-bearing deposits 1,643,587 1,643,587 1,643,587 — — — Securities purchased under agreements to resell 1,600,000 1,599,996 — 1,599,996 — — Federal funds sold 2,500,000 2,499,995 — 2,499,995 — — Trading securities (1) 1,395 1,395 — 1,395 — — Available-for-sale securities (1) 15,343,745 15,343,745 — 15,321,940 21,805 — Held-to-maturity securities 78,905 78,478 — 78,478 — — Advances 41,958,583 41,834,762 — 41,834,762 — — Mortgage loans, net 3,059,331 2,796,000 — 2,781,976 14,024 — Accrued interest receivable 185,709 185,709 — 185,709 — — Derivative assets (1) 383,073 383,073 — 77,637 — 305,436 Other assets (1) 28,369 28,369 13,724 14,645 — — Liabilities: Deposits (922,879) (922,830) — (922,830) — — COs: Bonds (40,248,743) (39,887,287) — (39,887,287) — — Discount notes (22,000,546) (21,998,576) — (21,998,576) — — Mandatorily redeemable capital stock (6,083) (6,083) (6,083) — — — Accrued interest payable (269,517) (269,517) — (269,517) — — Derivative liabilities (1) (3,017) (3,017) — (1,010,116) — 1,007,099 Other: Commitments to extend credit for advances — (2,101) — (2,101) — — Standby letters of credit (1,340) (1,340) — (1,340) — — _______________________ (1) Carried at fair value and measured on a recurring basis. (2) These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Fair Value Measured on Recurring and Nonrecurring Basis [Table Text Block] | Table 11.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands) March 31, 2024 Level 1 Level 2 Level 3 Netting Adjustments and Cash Collateral (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 1,567 $ — $ — $ 1,567 Available-for-sale securities: U.S. Treasury obligations — 5,640,649 — — 5,640,649 HFA securities — — 21,968 — 21,968 Supranational institutions — 340,676 — — 340,676 U.S. government-owned corporations — 229,923 — — 229,923 GSE — 96,950 — — 96,950 U.S. government guaranteed – single-family MBS — 44,049 — — 44,049 U.S. government guaranteed – multifamily MBS — 473,699 — — 473,699 GSE – single-family MBS — 1,229,913 — — 1,229,913 GSE – multifamily MBS — 7,500,357 — — 7,500,357 Total available-for-sale securities — 15,556,216 21,968 — 15,578,184 Derivative assets: Interest-rate-exchange agreements — 143,698 — 220,074 363,772 Mortgage delivery commitments — 48 — — 48 Total derivative assets — 143,746 — 220,074 363,820 Other assets 15,041 15,582 — — 30,623 Total assets carried at fair value on a recurring basis $ 15,041 $ 15,717,111 $ 21,968 $ 220,074 $ 15,974,194 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (998,591) $ — $ 991,527 $ (7,064) Mortgage delivery commitments — (40) — — (40) Total liabilities carried at fair value on a recurring basis $ — $ (998,631) $ — $ 991,527 $ (7,104) December 31, 2023 Level 1 Level 2 Level 3 Netting (1) Total Assets: Carried at fair value on a recurring basis Trading securities: Corporate bonds $ — $ 1,395 $ — $ — $ 1,395 Available-for-sale securities: U.S. Treasury obligations — 5,664,452 — — 5,664,452 HFA securities — — 21,805 — 21,805 Supranational institutions — 346,375 — — 346,375 U.S. government-owned corporations — 235,191 — — 235,191 GSE — 99,421 — — 99,421 U.S. government guaranteed – single-family MBS — 14,433 — — 14,433 U.S. government guaranteed – multifamily MBS — 477,676 — — 477,676 GSE – single-family MBS — 904,456 — — 904,456 GSE – multifamily MBS — 7,579,936 — — 7,579,936 Total available-for-sale securities — 15,321,940 21,805 — 15,343,745 Derivative assets: Interest-rate-exchange agreements — 77,347 — 305,436 382,783 Mortgage delivery commitments — 290 — — 290 Total derivative assets — 77,637 — 305,436 383,073 Other assets 13,724 14,645 — — 28,369 Total assets carried at fair value on a recurring basis $ 13,724 $ 15,415,617 $ 21,805 $ 305,436 $ 15,756,582 Liabilities: Carried at fair value on a recurring basis Derivative liabilities Interest-rate-exchange agreements $ — $ (1,010,116) $ — $ 1,007,099 $ (3,017) Total liabilities carried at fair value on a recurring basis $ — $ (1,010,116) $ — $ 1,007,099 $ (3,017) _______________________ (1) These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | Table 11.3 presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the three months ended March 31, 2024 and 2023. Table 11.3 - Roll Forward of Level 3 Available-for-Sale HFA Securities (dollars in thousands) For the Three Months Ended March 31, 2024 2023 Balance at beginning of period $ 21,805 $ 32,774 Total gains included in other comprehensive income Net unrealized gains 163 331 Balance at end of period $ 21,968 $ 33,105 Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end $ 163 $ 331 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | Table 12.1 - Off-Balance Sheet Commitments (1) (dollars in thousands) March 31, 2024 December 31, 2023 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Standby letters of credit outstanding (2) $ 7,399,693 $ 199,534 $ 7,599,227 $ 8,217,388 $ 207,677 $ 8,425,065 Commitments for unused lines of credit - advances (3) 1,113,961 — 1,113,961 1,113,354 — 1,113,354 Commitments to make additional advances 218,357 20,464 238,821 13,170 20,463 33,633 Commitments to invest in mortgage loans 36,827 — 36,827 29,995 — 29,995 Unsettled CO bonds, at par 217,600 — 217,600 131,500 — 131,500 Unsettled CO discount notes, at par 600,000 — 600,000 61,008 — 61,008 __________________________ (1) We have determined that it is unnecessary to record any liability for credit losses on these agreements based on our credit extension and collateral policies. (2) The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit. At March 31, 2024, and December 31, 2023, commitments to issue standby letters of credit that expire within one year totaled $5.4 million and $16.0 million, respectively, and at December 31, 2023, commitments to issue standby letters of credit that expire after one year totaled $13.1 million. (3) Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. |
Transactions with Shareholders
Transactions with Shareholders (Tables) | 3 Months Ended |
Mar. 31, 2024 | |
Transactions with Shareholders [Abstract] | |
Schedule of Transactions with Shareholders, Transactions with Directors' Financial Institutions [Table Text Block] | Transactions with Directors' Institutions. We provide, in the ordinary course of business, products and services to members whose officers or directors serve on our board of directors. In accordance with FHFA regulations, transactions with directors' institutions are conducted on the same terms as those with any other member. Table 13.1 - Transactions with Directors' Institutions (dollars in thousands) Capital Stock Percent Par Percent of Total Par Value Total Accrued Percent of Total March 31, 2024 $ 108,612 5.5 % $ 2,215,043 5.5 % $ 3,567 2.7 % December 31, 2023 201,250 9.8 4,485,824 10.7 5,953 5.2 |
Investments Trading Securities
Investments Trading Securities by Major Security Type (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Corporate bonds [Member] | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Trading securities | $ 1,567 | $ 1,395 |
Available-for-Sale Securities M
Available-for-Sale Securities Major Security Types (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 15,886,505 | $ 15,684,997 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 11,606 | 5,307 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (319,927) | (346,559) | |
Available-for-sale securities Fair Value | 15,578,184 | 15,343,745 | |
Available-for-sale securities - accrued interest receivable | $ 44,200 | $ 46,700 | |
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |
US Treasury Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 5,642,153 | $ 5,684,157 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 2,654 | 122 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (4,158) | (19,827) | |
Available-for-sale securities Fair Value | 5,640,649 | 5,664,452 | |
State housing-finance-agency obligations (HFA securities) [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 22,430 | 22,430 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 1 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (463) | (625) | |
Available-for-sale securities Fair Value | 21,968 | 21,805 | |
Supranational institutions [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 343,491 | 350,282 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 7 | 3 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,822) | (3,910) | |
Available-for-sale securities Fair Value | 340,676 | 346,375 | |
U.S. government-owned corporations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 243,035 | 252,585 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (13,112) | (17,394) | |
Available-for-sale securities Fair Value | 229,923 | 235,191 | |
GSE [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 100,585 | 104,015 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (3,635) | (4,594) | |
Available-for-sale securities Fair Value | 96,950 | 99,421 | |
Other Than MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 6,351,694 | 6,413,469 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 2,662 | 125 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (24,190) | (46,350) | |
Available-for-sale securities Fair Value | 6,330,166 | 6,367,244 | |
U.S. government guaranteed - single-family MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 46,386 | 16,854 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 119 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (2,456) | (2,421) | |
Available-for-sale securities Fair Value | 44,049 | 14,433 | |
U.S. government guaranteed-multifamily MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 518,727 | 521,203 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 0 | 0 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (45,028) | (43,527) | |
Available-for-sale securities Fair Value | 473,699 | 477,676 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 9,534,811 | 9,271,528 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 8,944 | 5,182 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (295,737) | (300,209) | |
Available-for-sale securities Fair Value | 9,248,018 | 8,976,501 | |
Single Family [Member] | GSE – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 1,283,613 | 954,298 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 1,651 | 1,665 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (55,351) | (51,507) | |
Available-for-sale securities Fair Value | 1,229,913 | 904,456 | |
Multifamily [Member] | GSE – MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 7,686,085 | 7,779,173 |
Unrealized Gains Amounts Recorded in Accumulated Other Comprehensive Loss | 7,174 | 3,517 | |
Unrealized Losses Amounts Recorded in Accumulated Other Comprehensive Loss | (192,902) | (202,754) | |
Available-for-sale securities Fair Value | $ 7,500,357 | $ 7,579,936 | |
[1]Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable |
Available-for-Sale Securities S
Available-for-Sale Securities Securities in a Continuous Unrealized Loss Position (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | $ 828,449 | $ 3,241,533 |
Less than 12 Months, Unrealized Losses | (3,911) | (4,703) |
12 Months or More, Fair Value | 9,860,447 | 10,336,252 |
12 Months or More, Unrealized Losses | (316,016) | (341,856) |
Total Fair Value | 10,688,896 | 13,577,785 |
Total Unrealized Losses | (319,927) | (346,559) |
US Treasury Securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 1,865,124 |
Less than 12 Months, Unrealized Losses | 0 | (1,405) |
12 Months or More, Fair Value | 3,064,314 | 3,319,996 |
12 Months or More, Unrealized Losses | (4,158) | (18,422) |
Total Fair Value | 3,064,314 | 5,185,120 |
Total Unrealized Losses | (4,158) | (19,827) |
HFA securities [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 13,357 | 21,805 |
12 Months or More, Unrealized Losses | (463) | (625) |
Total Fair Value | 13,357 | 21,805 |
Total Unrealized Losses | (463) | (625) |
Supranational institutions [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 81,416 | 82,354 |
Less than 12 Months, Unrealized Losses | (7) | (188) |
12 Months or More, Fair Value | 246,832 | 251,452 |
12 Months or More, Unrealized Losses | (2,815) | (3,722) |
Total Fair Value | 328,248 | 333,806 |
Total Unrealized Losses | (2,822) | (3,910) |
U.S. government-owned corporations [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 229,923 | 235,191 |
12 Months or More, Unrealized Losses | (13,112) | (17,394) |
Total Fair Value | 229,923 | 235,191 |
Total Unrealized Losses | (13,112) | (17,394) |
GSE [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 96,950 | 99,421 |
12 Months or More, Unrealized Losses | (3,635) | (4,594) |
Total Fair Value | 96,950 | 99,421 |
Total Unrealized Losses | (3,635) | (4,594) |
Other Than MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 81,416 | 1,947,478 |
Less than 12 Months, Unrealized Losses | (7) | (1,593) |
12 Months or More, Fair Value | 3,651,376 | 3,927,865 |
12 Months or More, Unrealized Losses | (24,183) | (44,757) |
Total Fair Value | 3,732,792 | 5,875,343 |
Total Unrealized Losses | (24,190) | (46,350) |
U.S. government guaranteed - single-family MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 13,972 | 14,433 |
12 Months or More, Unrealized Losses | (2,456) | (2,421) |
Total Fair Value | 13,972 | 14,433 |
Total Unrealized Losses | (2,456) | (2,421) |
U.S. government guaranteed-multifamily MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 0 | 0 |
Less than 12 Months, Unrealized Losses | 0 | 0 |
12 Months or More, Fair Value | 473,699 | 477,676 |
12 Months or More, Unrealized Losses | (45,028) | (43,527) |
Total Fair Value | 473,699 | 477,676 |
Total Unrealized Losses | (45,028) | (43,527) |
MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 747,033 | 1,294,055 |
Less than 12 Months, Unrealized Losses | (3,904) | (3,110) |
12 Months or More, Fair Value | 6,209,071 | 6,408,387 |
12 Months or More, Unrealized Losses | (291,833) | (297,099) |
Total Fair Value | 6,956,104 | 7,702,442 |
Total Unrealized Losses | (295,737) | (300,209) |
Single Family [Member] | GSE – MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 84,896 | 55,457 |
Less than 12 Months, Unrealized Losses | (327) | (117) |
12 Months or More, Fair Value | 590,800 | 616,857 |
12 Months or More, Unrealized Losses | (55,024) | (51,390) |
Total Fair Value | 675,696 | 672,314 |
Total Unrealized Losses | (55,351) | (51,507) |
Multifamily [Member] | GSE – MBS [Member] | ||
Debt Securities, Available-for-sale [Line Items] | ||
Less than 12 Months, Fair Value | 662,137 | 1,238,598 |
Less than 12 Months, Unrealized Losses | (3,577) | (2,993) |
12 Months or More, Fair Value | 5,130,600 | 5,299,421 |
12 Months or More, Unrealized Losses | (189,325) | (199,761) |
Total Fair Value | 5,792,737 | 6,538,019 |
Total Unrealized Losses | $ (192,902) | $ (202,754) |
Available-for-Sale Securities b
Available-for-Sale Securities by Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 15,886,505 | $ 15,684,997 |
Fair Value | 15,578,184 | 15,343,745 | |
Other Than MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Due in one year or less, amortized cost | 13,820 | 13,820 | |
Due in one year or less, fair value | 13,356 | 13,210 | |
Due after one year through five years, amortized cost | 6,032,735 | 6,082,462 | |
Due after one year through five years, fair value | 6,028,396 | 6,058,571 | |
Due after five years through 10 years, amortized cost | 0 | 0 | |
Due after five years through 10 years, fair value | 0 | 0 | |
Due after 10 years, amortized cost | 305,139 | 317,187 | |
Due after 10 years, fair value | 288,414 | 295,463 | |
Amortized Cost | [1] | 6,351,694 | 6,413,469 |
Fair Value | 6,330,166 | 6,367,244 | |
MBS [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | 9,534,811 | 9,271,528 |
Fair Value | 9,248,018 | 8,976,501 | |
Amortized Cost MBS | [2] | 9,534,811 | 9,271,528 |
Fair Value MBS | [2] | $ 9,248,018 | $ 8,976,501 |
[1]Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, collection of cash, and fair-value hedge accounting adjustments. Amortized cost excludes accrued interest receivable |
Held-to-Maturity Securities by
Held-to-Maturity Securities by Major Security Type (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Held-to-maturity fair value | $ 73,813 | $ 78,478 | |
Held-to-maturity securities - accrued interest receivable | $ 406 | $ 399 | |
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |
U.S. government guaranteed - single-family MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized cost | [1] | $ 3,032 | $ 3,123 |
Gross Unrecognized Holding Gains | 15 | 19 | |
Gross Unrecognized Holding Losses | 0 | 0 | |
Held-to-maturity fair value | 3,047 | 3,142 | |
GSE – MBS [Member] | Single Family [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized cost | [1] | 71,124 | 75,782 |
Gross Unrecognized Holding Gains | 416 | 366 | |
Gross Unrecognized Holding Losses | (774) | (812) | |
Held-to-maturity fair value | 70,766 | 75,336 | |
MBS [Member] | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized cost | [1] | 74,156 | 78,905 |
Gross Unrecognized Holding Gains | 431 | 385 | |
Gross Unrecognized Holding Losses | (774) | (812) | |
Held-to-maturity fair value | $ 73,813 | $ 78,478 | |
[1] Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion, amortization, and collection of cash. Amortized cost excludes accrued interest receivable |
Investments Narrative (Details)
Investments Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Percentage of short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold assets rated below single-A | 0% | 0% | |
Allowance for credit losses for securities purchased under agreements to resell | $ 0 | $ 0 | |
Allowance for credit loss | 2,600 | $ 2,000 | |
Net gains on trading securities held at period end | $ 172 | $ 79 | |
Available for-Sale securities, rated single-A or above, based on amortized cost | 100% | 100% | |
Held -to-maturity securities, rated single-A or above, based on amortized cost | 100% | 100% | |
Allowance for credit loss on held-to-maturity securities | $ 0 | $ 0 | |
Allowance for credit loss on available-for-sale securities | 0 | 0 | |
Interest Bearing Deposits and Federal Funds Sold [Member] | |||
Allowance for credit loss | $ 0 | $ 0 |
Advances - Outstanding by Year
Advances - Outstanding by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand-deposit accounts | $ 5,302 | $ 5,909 | |
Due in one year or less | 21,615,380 | 21,829,742 | |
Due after one year through two years | 7,096,228 | 9,069,939 | |
Due after two years through three years | 3,159,338 | 3,306,934 | |
Due after three years through four years | 3,258,358 | 2,295,317 | |
Due after four years through five years | 3,237,817 | 3,905,361 | |
Due after five years through fifteen years | 1,689,367 | 1,601,794 | |
Thereafter | 49,555 | 51,660 | |
Total par value | 40,111,345 | 42,066,656 | |
Discounts | (36,529) | (37,289) | |
Fair value of bifurcated derivatives | [1] | 12 | 790 |
Fair value hedging adjustments | (169,329) | (71,574) | |
Total Advances | [2] | $ 39,905,499 | $ 41,958,583 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand-deposit accounts, Weighted average rate | 5.75% | 5.76% | |
Due in one year or less, Weighted average rate | 5.17% | 5.25% | |
Due after one year through two years, Weighted average rate | 4.29% | 4.53% | |
Due after two years through three years, Weighted average rate | 4.10% | 4.02% | |
Due after three years through four years, Weighted average rate | 3.97% | 4.37% | |
Due after four years through five years, Weighted average rate | 3.73% | 3.52% | |
Due after five years through fifteen years, Weighted average rate | 3.29% | 3.26% | |
Thereafter, Weighted average rate | 1.76% | 1.72% | |
Total Weighted average rate | 4.63% | 4.71% | |
Accrued interest receivable | $ 202,275 | $ 185,709 | |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Advances accrued interest receivable | $ 132,000 | $ 115,000 | |
[1]At March 31, 2024, and December 31, 2023, we had certain advances with embedded features that met the requirements to be separated from the host contract and designated those embedded features as stand-alone derivatives.[2]Excludes accrued interest receivable of $132.0 million and $115.0 million at March 31, 2024, and December 31, 2023, respectively. |
Advances - Outstanding by Yea_2
Advances - Outstanding by Year of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand-deposit accounts | $ 5,302 | $ 5,909 |
Due in one year or less | 24,640,564 | 26,546,662 |
Due after one year through two years | 5,042,728 | 5,272,439 |
Due after two years through three years | 2,853,263 | 2,989,434 |
Due after three years through four years | 2,639,638 | 1,711,697 |
Due after four years through five years | 3,206,917 | 3,887,061 |
Due after five years through fifteen years | 1,673,378 | 1,601,794 |
Thereafter | 49,555 | 51,660 |
Total par value | $ 40,111,345 | $ 42,066,656 |
Advances - Outstanding by Yea_3
Advances - Outstanding by Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand-deposit accounts | $ 5,302 | $ 5,909 |
Due in one year or less | 27,937,951 | 27,338,812 |
Due after one year through two years | 6,288,728 | 8,472,939 |
Due after two years through three years | 1,607,267 | 1,996,364 |
Due after three years through four years | 2,230,858 | 1,447,317 |
Due after four years through five years | 1,184,817 | 1,955,361 |
Due after five years through fifteen years | 806,867 | 798,294 |
Thereafter | 49,555 | 51,660 |
Total par value | $ 40,111,345 | $ 42,066,656 |
Advances - by Current Interest
Advances - by Current Interest Rate Terms (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed-rate | $ 35,631,859 | $ 36,330,552 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Variable-rate | 4,479,486 | 5,736,104 |
Total par value | $ 40,111,345 | $ 42,066,656 |
Advances - Narratives (Details)
Advances - Narratives (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | Mar. 31, 2023 |
Federal Home Loan Bank, Advances [Line Items] | |||
Allowance for credit lossed on advances | $ 2,600 | $ 2,000 | |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Nonaccrual status on advances | 0 | 0 | |
Impaired advances | 0 | 0 | |
Modifications | 0 | $ 0 | |
Allowance for credit lossed on advances | 0 | 0 | |
Federal Home Loan Bank Advances Receivable | Financial Asset, Past Due | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Past due advances | $ 0 | $ 0 | |
Minimum [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Interest rates of advances outstanding | 0% | 0% | |
Maximum [Member] | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Interest rates of advances outstanding | 6.23% | 6.23% |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Dec. 31, 2023 | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Less: Allowance for credit losses | $ (2,600) | $ (2,000) | |
Total mortgage loans, net of allowance for credit losses | $ 3,146,391 | $ 3,059,331 | |
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |
Fixed-rate 15-year single-family mortgages | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Original contractual terms | 15 years | ||
Fixed-rate 20- and 30-year single-family mortgages | Minimum [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Original contractual terms | 20 years | ||
Fixed-rate 20- and 30-year single-family mortgages | Maximum [Member] | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Original contractual terms | 30 years | ||
Residential Portfolio Segment | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Par Value | $ 3,110,666 | $ 3,023,423 | |
Premiums | 40,611 | 39,990 | |
Discounts | (2,251) | (2,222) | |
Deferred derivative gains, net | (35) | 140 | |
Total mortgage loans held for portfolio | [1] | 3,148,991 | 3,061,331 |
Less: Allowance for credit losses | (2,600) | (2,000) | |
Total mortgage loans, net of allowance for credit losses | 3,146,391 | 3,059,331 | |
Mortgage loans held for portfolio, accrued interest receivable | 19,000 | 17,800 | |
Single Family [Member] | Fixed-rate 15-year single-family mortgages | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Par Value | 183,129 | 192,104 | |
Single Family [Member] | Fixed-rate 20- and 30-year single-family mortgages | |||
Accounts, Notes, Loans and Financing Receivable [Line Items] | |||
Par Value | $ 2,927,537 | $ 2,831,319 | |
[1] Excludes accrued interest receivable |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio by Collateral/Guarantee Type (Details) - Residential Portfolio Segment - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Par Value | $ 3,110,666 | $ 3,023,423 |
Government Mortgage Loans [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Par Value | 143,833 | 146,314 |
Conventional Mortgage Loans [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Par Value | $ 2,966,833 | $ 2,877,109 |
Credit Quality Indicator for Co
Credit Quality Indicator for Conventional Mortgage Loans (Details) - Conventional Mortgage Loans [Member] - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | [1] | $ 1,420,622 | $ 1,189,035 |
Originated current fiscal year and preceding four fiscal years | [1] | 1,581,966 | 1,723,347 |
Total mortgage loans held for portfolio | [1] | 3,002,588 | 2,912,382 |
Past due 30-59 days delinquent [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | [1] | 13,715 | 9,392 |
Originated current fiscal year and preceding four fiscal years | [1] | 4,505 | 5,630 |
Total mortgage loans held for portfolio | [1] | 18,220 | 15,022 |
Past due 60-89 days delinquent [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | [1] | 4,411 | 3,068 |
Originated current fiscal year and preceding four fiscal years | [1] | 1,930 | 1,694 |
Total mortgage loans held for portfolio | [1] | 6,341 | 4,762 |
Past due 90 days or more delinquent [Member] | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | [1] | 7,112 | 6,841 |
Originated current fiscal year and preceding four fiscal years | [1] | 462 | 889 |
Total mortgage loans held for portfolio | [1] | 7,574 | 7,730 |
Total past due | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | [1] | 25,238 | 19,301 |
Originated current fiscal year and preceding four fiscal years | [1] | 6,897 | 8,213 |
Total mortgage loans held for portfolio | [1] | 32,135 | 27,514 |
Total current loans | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Originated five or more years before latest fiscal year | [1] | 1,395,384 | 1,169,734 |
Originated current fiscal year and preceding four fiscal years | [1] | 1,575,069 | 1,715,134 |
Total mortgage loans held for portfolio | [1] | $ 2,970,453 | $ 2,884,868 |
[1]Amortized cost excludes accrued interest receivable. |
Other Delinquency Statistics of
Other Delinquency Statistics of Mortgage Loans (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Mortgage Loans Past Due [Line Items] | |||
In process of foreclosure | [1] | $ 1,939 | $ 2,365 |
Residential Portfolio Segment | |||
Mortgage Loans Past Due [Line Items] | |||
Past due 90 days or more still accruing interest | 2,081 | 1,356 | |
Loans on nonaccrual status | [2] | $ 7,776 | $ 7,913 |
Past due 90 days or more delinquent [Member] | Residential Portfolio Segment | |||
Mortgage Loans Past Due [Line Items] | |||
Serious delinquency rate | [3] | 0.31% | 0.30% |
Recorded Investment in Government Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
In process of foreclosure | [1] | $ 605 | $ 623 |
Recorded Investment in Government Mortgage Loans [Member] | Residential Portfolio Segment | |||
Mortgage Loans Past Due [Line Items] | |||
Past due 90 days or more still accruing interest | 2,081 | 1,356 | |
Loans on nonaccrual status | [2] | $ 0 | $ 0 |
Recorded Investment in Government Mortgage Loans [Member] | Past due 90 days or more delinquent [Member] | Residential Portfolio Segment | |||
Mortgage Loans Past Due [Line Items] | |||
Serious delinquency rate | [3] | 1.43% | 0.94% |
Recorded Investment in Conventional Mortgage Loans [Member] | |||
Mortgage Loans Past Due [Line Items] | |||
In process of foreclosure | [1] | $ 1,334 | $ 1,742 |
Mortgage loans on non-accrual status with no allowance for credit losses | 3,100 | 4,300 | |
Recorded Investment in Conventional Mortgage Loans [Member] | Residential Portfolio Segment | |||
Mortgage Loans Past Due [Line Items] | |||
Past due 90 days or more still accruing interest | 0 | 0 | |
Loans on nonaccrual status | [2] | $ 7,776 | $ 7,913 |
Recorded Investment in Conventional Mortgage Loans [Member] | Past due 90 days or more delinquent [Member] | Residential Portfolio Segment | |||
Mortgage Loans Past Due [Line Items] | |||
Serious delinquency rate | [3] | 0.25% | 0.27% |
[1]Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu of foreclosure has been reported.[2]As of March 31, 2024, and December 31, 2023, $3.1 million and $4.3 million, respectively, of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because either these loans were charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans.[3]Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the amortized cost of the total loan portfolio class. |
Allowance for Credit Losses on
Allowance for Credit Losses on Conventional Mortgage Loans (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Balance, beginning of year | $ 2,000 | ||
Balance, end of period | 2,600 | ||
Residential Portfolio Segment | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Balance, beginning of year | 2,000 | ||
Balance, end of period | 2,600 | ||
Conventional Mortgage Loans [Member] | Residential Portfolio Segment | |||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Balance, beginning of year | [1] | 2,000 | $ 1,900 |
Net recoveries | [1] | 0 | 6 |
Provision for credit losses | [1] | 600 | 94 |
Balance, end of period | [1] | $ 2,600 | $ 2,000 |
[1]These amounts exclude government mortgage loans because we make no allowance for credit losses based on our investments in government mortgage loans, as discussed below under — Government Mortgage Loans Held for Portfolio. |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio Narrative (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Allowance for credit losses - mortgage loans held for portfolio | $ 2,600 | $ 2,000 | |
Residential Portfolio Segment | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Allowance for credit losses - mortgage loans held for portfolio | 2,600 | 2,000 | |
Government mortgage loans placed on non-accrual status | [1] | 7,776 | 7,913 |
Government Mortgage Loans [Member] | Residential Portfolio Segment | |||
Financing Receivable, Credit Quality Indicator [Line Items] | |||
Allowance for credit losses - mortgage loans held for portfolio | 0 | 0 | |
Government mortgage loans placed on non-accrual status | [1] | $ 0 | $ 0 |
[1]As of March 31, 2024, and December 31, 2023, $3.1 million and $4.3 million, respectively, of conventional mortgage loans on nonaccrual status did not have an associated allowance for credit losses because either these loans were charged off or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | $ 52,878,023 | $ 53,098,475 | |
Derivative Assets, before netting and collateral adjustments | 143,746 | 77,637 | |
Derivative Liabilities, before netting and collateral adjustments | (998,631) | (1,010,116) | |
Derivative Asset, netting adjustments and cash collateral including related accrued interest | [1],[2] | 220,074 | 305,436 |
Derivative Liability, netting adjustments and cash collateral including related accrued interest | [1],[2] | 991,527 | 1,007,099 |
Derivative assets | 363,820 | 383,073 | |
Derivative liabilities | (7,104) | (3,017) | |
Cash collateral and related accrued interest posted | 1,200,000 | 1,300,000 | |
Cash collateral and related accrued interest received | 15,100 | 3,800 | |
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 52,237,703 | 52,978,480 | |
Derivative Assets, before netting and collateral adjustments | 143,654 | 77,347 | |
Derivative Liabilities, before netting and collateral adjustments | (998,581) | (1,009,387) | |
Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 50,846,703 | 51,587,480 | |
Derivative Assets, before netting and collateral adjustments | 143,528 | 77,093 | |
Derivative Liabilities, before netting and collateral adjustments | (998,568) | (1,009,217) | |
Designated as Hedging Instrument [Member] | Forward-start interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 1,391,000 | 1,391,000 | |
Derivative Assets, before netting and collateral adjustments | 126 | 254 | |
Derivative Liabilities, before netting and collateral adjustments | (13) | (170) | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 640,320 | 119,995 | |
Derivative Assets, before netting and collateral adjustments | 92 | 290 | |
Derivative Liabilities, before netting and collateral adjustments | (50) | (729) | |
Not Designated as Hedging Instrument [Member] | Interest-rate swaps [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 603,493 | 90,000 | |
Derivative Assets, before netting and collateral adjustments | 44 | 0 | |
Derivative Liabilities, before netting and collateral adjustments | (10) | (729) | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative Assets, before netting and collateral adjustments | 48 | 290 | |
Derivative Liabilities, before netting and collateral adjustments | (40) | ||
Derivative assets | 48 | 290 | |
Derivative liabilities | (40) | ||
Mortgage Receivable [Member] | Not Designated as Hedging Instrument [Member] | Mortgage-delivery commitments [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | [3] | 36,827 | 29,995 |
Derivative Assets, before netting and collateral adjustments | [3] | 48 | 290 |
Derivative Liabilities, before netting and collateral adjustments | [3] | $ (40) | $ 0 |
[1] These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Derivatives in Statement of Income and Impact on Interest Income/Expense (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Interest income on advances | $ 528,497 | $ 501,206 | |
Interest income on available-for-sale securities | 233,171 | 167,680 | |
Interest expense on consolidated obligations bonds | (507,136) | (378,094) | |
Advances [Member] | Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net changes in fair value before price alignment interest | 2,285 | (1,068) | |
Advances [Member] | Interest Rate Contract [Member] | Interest Income [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives | 100,432 | (68,586) | |
Hedged items | (98,147) | 67,518 | |
Price alignment interest | [1] | (860) | (1,754) |
Net interest settlements on derivatives | [2],[3] | 58,344 | 28,455 |
Net gains (losses) on qualifying fair-value hedging relationships | 59,769 | 25,633 | |
Amortization/accretion of discontinued hedging relationships | (351) | (512) | |
Net gains (losses) on derivatives and hedging activities recorded in net interest income | 59,418 | 25,121 | |
Available-for-sale securities | Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net changes in fair value before price alignment interest | 3,045 | (6,104) | |
Available-for-sale securities | Interest Rate Contract [Member] | Interest Income [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives | 140,222 | (233,315) | |
Hedged items | (137,177) | 227,211 | |
Price alignment interest | [1] | (14,154) | (10,058) |
Net interest settlements on derivatives | [2],[3] | 124,319 | 97,226 |
Net gains (losses) on qualifying fair-value hedging relationships | 113,210 | 81,064 | |
Amortization/accretion of discontinued hedging relationships | 0 | 0 | |
Net gains (losses) on derivatives and hedging activities recorded in net interest income | 113,210 | 81,064 | |
COs - bonds [Member] | Interest Rate Contract [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net changes in fair value before price alignment interest | (257) | (150) | |
COs - bonds [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivatives | (46,641) | 241,907 | |
Hedged items | 46,384 | (242,057) | |
Price alignment interest | [1] | 481 | 283 |
Net interest settlements on derivatives | [2],[3] | (162,260) | (140,810) |
Net gains (losses) on qualifying fair-value hedging relationships | (162,036) | (140,677) | |
Amortization/accretion of discontinued hedging relationships | (1,506) | 526 | |
Net gains (losses) on derivatives and hedging activities recorded in net interest income | $ (163,542) | $ (140,151) | |
[1]Relates to derivatives for which variation margin payments are characterized as daily settled contracts.[2]Excludes the interest income/expense of the respective hedged items recorded in net interest income.[3]Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Net Gains (Losses) on Cash Flow Hedging Relationships (Details) - Forward-start interest rate swaps [Member] - COs - bonds [Member] - Designated as Hedging Instrument [Member] - Cash Flow Hedging [Member] - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Interest Expense [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Losses reclassified from accumulated other comprehensive loss into interest expense | $ (1,026) | $ (1,127) |
Other Comprehensive Income (Loss) [Member] | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Gains (losses) recognized in other comprehensive income (loss) | $ 17,670 | $ (11,755) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Basis Adjustments for Fair Value Hedges (Details) $ in Thousands | Mar. 31, 2024 USD ($) | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Hedged Liability, Statement of Financial Position [Extensible Enumeration] | Bonds | |
Amortized Cost of Hedged Asset/(Liability) | $ 24,026,942 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | (940,168) | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 33,110 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | (907,058) | |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | 13,303,677 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | (173,583) | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 4,254 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | $ (169,329) | |
Hedged Asset, Statement of Financial Position [Extensible Enumeration] | Advances | |
Available-for-sale securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset/(Liability) | $ 11,337,238 | [1] |
Basis Adjustments for Active Hedging Relationships Included in Amortized Cost | (1,024,116) | |
Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost | 0 | |
Cumulative Amount of Fair Value Hedging Basis Adjustments | $ (1,024,116) | |
Hedged Asset, Statement of Financial Position [Extensible Enumeration] | Available-for-sale securities Fair Value | |
[1]Includes only the amortized cost of hedged items in fair-value hedging relationships. |
Impact of Variation Margin for
Impact of Variation Margin for Cleared Derivatives on the Statement of Cash Flow (Details) - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Derivative [Line Items] | ||
Financing activity - net receipts (payments) on derivatives with financing element | $ (19,167) | $ 11,724 |
Cleared derivatives [Member] | ||
Derivative [Line Items] | ||
Operating activity - net change in derivatives and hedging activities | 173,602 | (126,571) |
Financing activity - net receipts (payments) on derivatives with financing element | 20,553 | (3,666) |
Total variation margin received (posted) on clear derivatives | $ 194,155 | $ (130,237) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Fair Value of Derivative Instruments With or Without Legal Rights of Offset (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Offsetting Assets [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | $ 220,074 | $ 305,436 |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 991,527 | 1,007,099 |
Derivative Assets, before netting and collateral adjustments | 143,746 | 77,637 | |
Derivative Liabilities, before netting and collateral adjustments | 998,631 | 1,010,116 | |
Derivative assets | 363,820 | 383,073 | |
Derivative liabilities | (7,104) | (3,017) | |
Uncleared derivatives [Member] | Interest-rate swaps [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, total gross recognized amount | 134,509 | 72,517 | |
Derivative Liability, total gross recognized amount | (996,767) | (997,974) | |
Derivative Assets, Netting Adjustments and Cash Collateral | (134,322) | (69,838) | |
Derivative liability, Netting Adjustments and Cash Collateral | 989,703 | 994,957 | |
Derivative assets | 187 | 2,679 | |
Derivative liabilities | (7,064) | (3,017) | |
Cleared derivatives [Member] | Interest-rate swaps [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Asset, total gross recognized amount | 9,189 | 4,830 | |
Derivative Liability, total gross recognized amount | (1,825) | (12,142) | |
Derivative Assets, Netting Adjustments and Cash Collateral | 354,396 | 375,274 | |
Derivative liability, Netting Adjustments and Cash Collateral | 1,825 | 12,142 | |
Derivative assets | 363,585 | 380,104 | |
Derivative liabilities | 0 | 0 | |
Mortgage Receivable [Member] | Mortgage-delivery commitments [Member] | |||
Offsetting Assets [Line Items] | |||
Derivative Assets, before netting and collateral adjustments | 48 | 290 | |
Derivative Liabilities, before netting and collateral adjustments | 40 | ||
Derivative assets | 48 | $ 290 | |
Derivative liabilities | $ (40) | ||
[1] These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities Narratives (Details) - USD ($) | 3 Months Ended | |||
Mar. 31, 2024 | Mar. 31, 2023 | Mar. 31, 2022 | ||
Derivative [Line Items] | ||||
Reclassifications from accumulated other comprehensive loss into earnings as a result of the discontinuance of cash-flow hedges | $ 0 | $ 0 | $ 0 | |
Maximum length of time which we are hedging our exposure to the variability in future cash flows for forecasted transactions | 7 years | |||
Deferred net losses on derivatives accumulated in other comprehensive loss related to cash flow hedges expected to be reclassified to earnings during the next 12 months | $ 7,200,000 | |||
Aggregate fair value of all uncleared derivatives in a net-liability position (before cash collateral and related accrued interest) | 926,300,000 | |||
Post-haircut value of collateral already posted | 829,100,000 | |||
Rating Downgrade from AAPlus to AA or AAMinus [Member] | ||||
Derivative [Line Items] | ||||
Incremental collateral | [1] | 0 | ||
Rating Downgrade From AAMinus to APlus, A or AMinus [Member] | ||||
Derivative [Line Items] | ||||
Incremental collateral | [1] | 0 | ||
Rating Downgrade From AMinus to below AMinus [Member] | ||||
Derivative [Line Items] | ||||
Incremental collateral | [1] | $ 74,160,000 | ||
[1]Ratings are expressed in this table according to S&P's conventions but include the equivalent of such rating by Moody's. If there is a split rating, the lower rating is used. |
Deposits Narratives (Details)
Deposits Narratives (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Deposits [Abstract] | ||
Interest-bearing deposits demand and overnight | $ 894,225 | $ 896,005 |
Non-interest bearing deposits other | 27,549 | 26,874 |
Total deposits | $ 921,774 | $ 922,879 |
CO Bonds Outstanding by Contrac
CO Bonds Outstanding by Contractual Maturity (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less, weighted average rate | [1] | 4.22% | 4.27% |
Due after one year through two years, weighted average rate | [1] | 2.71% | 2.86% |
Due after two years through three years, weighted average rate | [1] | 1.95% | 1.76% |
Due after three years through four years, weighted average rate | [1] | 3.32% | 2.94% |
Due after four years through five years, weighted average rate | [1] | 2.99% | 2.94% |
Thereafter, weighted average rate | [1] | 3.06% | 2.95% |
Total par value | $ 41,912,670 | $ 41,092,875 | |
Hedging adjustments | (907,058) | (862,100) | |
Total | 41,023,055 | 40,248,743 | |
COs - bonds [Member] | |||
Schedule of Short-term and Long-term Debt [Line Items] | |||
Due in one year or less | 19,998,375 | 17,841,615 | |
Due after one year through two years | 7,679,190 | 7,476,350 | |
Due after two years through three years | 6,264,550 | 7,014,955 | |
Due after three years through four years | 2,648,150 | 2,854,250 | |
Due after four years through five years | 2,278,230 | 2,712,400 | |
Thereafter | 3,044,175 | 3,193,305 | |
Total par value | $ 41,912,670 | $ 41,092,875 | |
Total par value, weighted average rate | [1] | 3.40% | 3.30% |
Premiums | $ 30,998 | $ 32,419 | |
Discounts | $ (13,555) | $ (14,451) | |
[1] The CO bonds' weighted-average rate excludes concession fees. |
CO Bonds Outstanding by Early R
CO Bonds Outstanding by Early Redemption Feature (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt Instrument [Line Items] | ||
Total par value | $ 41,912,670 | $ 41,092,875 |
Noncallable and nonputable | ||
Debt Instrument [Line Items] | ||
Total par value | 22,216,170 | 18,882,235 |
Callable | ||
Debt Instrument [Line Items] | ||
Total par value | $ 19,696,500 | $ 22,210,640 |
CO Bonds Outstanding by Contr_2
CO Bonds Outstanding by Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Debt Instrument [Line Items] | ||
Total par value | $ 41,912,670 | $ 41,092,875 |
Earlier Of Contractual Maturity Or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Due in one year or less | 32,604,875 | 30,900,615 |
Due after one year through two years | 3,748,190 | 4,203,850 |
Due after two years through three years | 2,159,050 | 2,487,955 |
Due after three years through four years | 1,095,150 | 852,750 |
Due after four years through five years | 883,230 | 1,171,400 |
Thereafter | 1,422,175 | 1,476,305 |
Total par value | $ 41,912,670 | $ 41,092,875 |
CO Bonds by Interest Rate-Payme
CO Bonds by Interest Rate-Payment Type (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Debt Instrument [Line Items] | |||
Total par value | $ 41,912,670 | $ 41,092,875 | |
Fixed-rate [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | 31,262,670 | 32,454,235 | |
Step-up [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | [1] | 5,384,000 | 5,626,140 |
Simple variable-rate [Member] | |||
Debt Instrument [Line Items] | |||
Total par value | $ 5,266,000 | $ 3,012,500 | |
[1] Step-up bonds pay interest at increasing fixed rates for specified intervals over the life of the CO bond and can be called at our option on the step-up dates. |
CO Discount Notes Outstanding (
CO Discount Notes Outstanding (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Debt Disclosure [Abstract] | |||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 20,055,973 | $ 22,000,546 | |
Par value | $ 20,169,851 | $ 22,150,970 | |
Weighted Average Rate | [1] | 5.29% | 5.31% |
[1] CO discount notes' weighted-average rate represents a yield to maturity excluding concession fees. |
Affordable Housing Program Narr
Affordable Housing Program Narratives (Details) - USD ($) $ in Thousands | 3 Months Ended | 12 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | Dec. 31, 2023 | |
Affordable Housing Program [Roll Forward] | |||
Balance at beginning of year | $ 87,164 | $ 76,622 | $ 76,622 |
AHP expense for the period | 8,664 | 6,375 | 28,648 |
AHP voluntary contribution | 0 | 2,000 | |
AHP direct grant disbursements | (1,927) | $ (2,450) | (16,144) |
AHP subsidy for AHP advance disbursements | (639) | (3,965) | |
Return of previously disbursed grants and subsidies | 0 | 3 | |
Balance at end of period | $ 93,262 | $ 87,164 |
Regulatory Capital Requirements
Regulatory Capital Requirements (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Banking Regulation, Total Capital [Abstract] | ||
Capital-to-asset ratio, Required | 4% | 4% |
Leverage capital-to-assets ratio, Required | 5% | 5% |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
Risk-based capital, Required | $ 667,188 | $ 628,052 |
Regulatory capital, Required | 2,641,211 | 2,685,691 |
Leverage capital, Required | 3,301,514 | 3,357,114 |
Risk-based capital, Actual | 3,816,282 | 3,839,236 |
Regulatory capital, Actual | $ 3,816,282 | $ 3,839,236 |
Capital-to-asset ratio, Actual | 5.80% | 5.70% |
Leverage capital, Actual | $ 5,724,423 | $ 5,758,854 |
Leverage capital-to-assets ratio, Actual | 8.70% | 8.60% |
Capital Narratives (Details)
Capital Narratives (Details) - USD ($) $ / shares in Units, $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Contribution requirement - restricted retained earnings | $ 613,800 | |
Restricted retained earnings | $ 466,723 | $ 451,154 |
Certain member assets eligible to secure advances [Member] | ||
Class B stock purchase requirement | 0.05% | |
Overnight advances [Member] | ||
Class B stock purchase requirement | 3% | |
All other advances greater than overnight [Member] | ||
Class B stock purchase requirement | 4% | |
Outstanding letters of credit [Member] | ||
Class B stock purchase requirement | 0.25% | |
Unpaid principal balance of mortgage purchased through MPF program | ||
Class B stock purchase requirement | 4.50% | |
Common Class B [Member] | ||
Common Stock, Class B, putable par value per share | $ 100 | $ 100 |
Minimum [Member] | ||
Class B Stock Purchase Requirement Amount | $ 10 | |
Maximum [Member] | ||
Class B Stock Purchase Requirement Amount | $ 5,000 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Loss (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Mar. 31, 2023 | ||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | |||
Beginning of period | $ 3,538,614 | $ 3,415,321 | |
Total other comprehensive income (loss) | 51,627 | 26 | |
Period end | 3,567,287 | 3,814,747 | |
Net Unrealized Gain (Loss) Relating to Hedging Activities [Member] | |||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | |||
Beginning of period | 45,964 | 42,482 | |
Net unrealized gains (losses) | 17,670 | (11,755) | |
Amortization - hedging activities | [1] | 1,026 | 1,127 |
Total other comprehensive income (loss) | 18,696 | (10,628) | |
Period end | 64,660 | 31,854 | |
Pension and Postretirement Benefits [Member] | |||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | |||
Beginning of period | 749 | 1,374 | |
Net unrealized gains (losses) | 0 | 0 | |
Amortization - hedging activities | [1] | 0 | 0 |
Total other comprehensive income (loss) | 0 | 0 | |
Period end | 749 | 1,374 | |
Total [Member] | |||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | |||
Beginning of period | (294,539) | (306,425) | |
Net unrealized gains (losses) | 50,601 | (1,101) | |
Amortization - hedging activities | [1] | 1,026 | 1,127 |
Total other comprehensive income (loss) | 51,627 | 26 | |
Period end | (242,912) | (306,399) | |
Available-for-sale securities | Net Unrealized Gain (Loss) on Available-for-Sale Securities [Member] | |||
Accumulated Other Comprehensive Income (Loss) Before Tax1 [Roll Forward] | |||
Beginning of period | (341,252) | (350,281) | |
Net unrealized gains (losses) | 32,931 | 10,654 | |
Amortization - hedging activities | [1] | 0 | 0 |
Total other comprehensive income (loss) | 32,931 | 10,654 | |
Period end | $ (308,321) | $ (339,627) | |
[1]Recorded in CO bond interest expense. |
Fair Values Carrying Value and
Fair Values Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | $ 70,616 | $ 53,412 | |
Available-for-sale securities Fair Value | 15,578,184 | 15,343,745 | |
Held-to-Maturity Securities Carrying Value | [1] | 74,156 | 78,905 |
Held-to-maturity fair value | 73,813 | 78,478 | |
Accrued interest receivable | 202,275 | 185,709 | |
Derivative assets | 363,820 | 383,073 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [2],[3] | 220,074 | 305,436 |
Mandatorily redeemable capital stock | (6,083) | (6,083) | |
Accrued interest payable | (283,592) | (269,517) | |
Derivative liabilities | (7,104) | (3,017) | |
Derivative liability, Netting Adjustments and Cash Collateral | [2],[3] | 991,527 | 1,007,099 |
Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 70,616 | 53,412 | |
Interest-bearing deposits | 1,808,836 | 1,643,587 | |
Securities purchased under agreements to resell | 0 | 0 | |
Federal funds sold | 0 | 0 | |
Trading securities | [4] | 0 | 0 |
Available-for-sale securities Fair Value | [4] | 0 | 0 |
Held-to-maturity fair value | 0 | 0 | |
Advances | 0 | 0 | |
Mortgage loans, net | 0 | 0 | |
Accrued interest receivable | 0 | 0 | |
Derivative assets | [4] | 0 | 0 |
Other assets | [4] | 15,041 | 13,724 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | (6,083) | (6,083) | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 1 [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 1 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
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 | 1,750,022 | 1,599,996 | |
Federal funds sold | 3,051,001 | 2,499,995 | |
Trading securities | [4] | 1,567 | 1,395 |
Available-for-sale securities Fair Value | [4] | 15,556,216 | 15,321,940 |
Held-to-maturity fair value | 73,813 | 78,478 | |
Advances | 39,757,607 | 41,834,762 | |
Mortgage loans, net | 2,812,735 | 2,781,976 | |
Accrued interest receivable | 202,275 | 185,709 | |
Derivative assets | [4] | 143,746 | 77,637 |
Other assets | [4] | 15,582 | 14,645 |
Deposits | (921,751) | (922,830) | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | (283,592) | (269,517) | |
Derivative liabilities | [4] | (998,631) | (1,010,116) |
Level 2 [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (282) | (2,101) | |
Level 2 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,323) | (1,340) | |
Level 2 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (20,052,670) | (21,998,576) | |
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 | 0 | 0 | |
Federal funds sold | 0 | 0 | |
Trading securities | [4] | 0 | 0 |
Available-for-sale securities Fair Value | [4] | 21,968 | 21,805 |
Held-to-maturity fair value | 0 | 0 | |
Advances | 0 | 0 | |
Mortgage loans, net | 14,056 | 14,024 | |
Accrued interest receivable | 0 | 0 | |
Derivative assets | [4] | 0 | 0 |
Other assets | [4] | 0 | 0 |
Deposits | 0 | 0 | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | [4] | 0 | 0 |
Level 3 [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Level 3 [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | 0 | 0 | |
Carrying Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 70,616 | 53,412 | |
Interest-bearing deposits | 1,808,836 | 1,643,587 | |
Securities purchased under agreements to resell | 1,750,000 | 1,600,000 | |
Federal funds sold | 3,051,000 | 2,500,000 | |
Trading securities | [4] | 1,567 | 1,395 |
Available-for-sale securities Fair Value | [4] | 15,578,184 | 15,343,745 |
Held-to-Maturity Securities Carrying Value | 74,156 | 78,905 | |
Advances | 39,905,499 | 41,958,583 | |
Mortgage loans, net | 3,146,391 | 3,059,331 | |
Accrued interest receivable | 202,275 | 185,709 | |
Derivative assets | [4] | 363,820 | 383,073 |
Other assets | [4] | 30,623 | 28,369 |
Deposits | (921,774) | (922,879) | |
Mandatorily redeemable capital stock | (6,083) | (6,083) | |
Accrued interest payable | (283,592) | (269,517) | |
Derivative liabilities | [4] | (7,104) | (3,017) |
Carrying Value [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | 0 | 0 | |
Carrying Value [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,323) | (1,340) | |
Carrying Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (20,055,973) | (22,000,546) | |
Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 70,616 | 53,412 | |
Interest-bearing deposits | 1,808,836 | 1,643,587 | |
Securities purchased under agreements to resell | 1,750,022 | 1,599,996 | |
Federal funds sold | 3,051,001 | 2,499,995 | |
Trading securities | [4] | 1,567 | 1,395 |
Available-for-sale securities Fair Value | [4] | 15,578,184 | 15,343,745 |
Held-to-maturity fair value | 73,813 | 78,478 | |
Advances | 39,757,607 | 41,834,762 | |
Mortgage loans, net | 2,826,791 | 2,796,000 | |
Accrued interest receivable | 202,275 | 185,709 | |
Derivative assets | [4] | 363,820 | 383,073 |
Other assets | [4] | 30,623 | 28,369 |
Deposits | (921,751) | (922,830) | |
Mandatorily redeemable capital stock | (6,083) | (6,083) | |
Accrued interest payable | (283,592) | (269,517) | |
Derivative liabilities | [4] | (7,104) | (3,017) |
Total Fair Value [Member] | Commitments to make additional advances [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (282) | (2,101) | |
Total Fair Value [Member] | Standby Letters of Credit [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Other | (1,323) | (1,340) | |
Total Fair Value [Member] | COs - Discount notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Discount notes | (20,052,670) | (21,998,576) | |
COs - bonds [Member] | Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | 0 | 0 | |
COs - bonds [Member] | Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | (40,658,019) | (39,887,287) | |
COs - bonds [Member] | Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | 0 | 0 | |
COs - bonds [Member] | Carrying Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | (41,023,055) | (40,248,743) | |
COs - bonds [Member] | Total Fair Value [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
CO Bonds | $ (40,658,019) | $ (39,887,287) | |
[1]Fair values of held-to-maturity securities were $73,813 and $78,478 at March 31, 2024, and December 31, 2023 , respectively. These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. Carried at fair value and measured on a recurring basis. |
Fair Value of Assets and Liabil
Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 | |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | $ 15,578,184 | $ 15,343,745 | |
Derivative assets | 363,820 | 383,073 | |
Derivative Assets, Netting Adjustments and Cash Collateral | [1],[2] | 220,074 | 305,436 |
Derivative liabilities | (7,104) | (3,017) | |
Derivative liability, Netting Adjustments and Cash Collateral | [1],[2] | 991,527 | 1,007,099 |
Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 0 | 0 |
Available-for-sale securities Fair Value | [3] | 0 | 0 |
Derivative assets | [3] | 0 | 0 |
Other assets | [3] | 15,041 | 13,724 |
Derivative liabilities | [3] | 0 | 0 |
Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 1,567 | 1,395 |
Available-for-sale securities Fair Value | [3] | 15,556,216 | 15,321,940 |
Derivative assets | [3] | 143,746 | 77,637 |
Other assets | [3] | 15,582 | 14,645 |
Derivative liabilities | [3] | (998,631) | (1,010,116) |
Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 0 | 0 |
Available-for-sale securities Fair Value | [3] | 21,968 | 21,805 |
Derivative assets | [3] | 0 | 0 |
Other assets | [3] | 0 | 0 |
Derivative liabilities | [3] | 0 | 0 |
Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [4] | 220,074 | 305,436 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 991,527 | 1,007,099 |
Recurring [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative Assets, Netting Adjustments and Cash Collateral | [4] | 220,074 | 305,436 |
Derivative liability, Netting Adjustments and Cash Collateral | [4] | 991,527 | 1,007,099 |
Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other assets | 15,041 | 13,724 | |
Total assets carried at fair value | 15,041 | 13,724 | |
Total liabilities carried at fair value | 0 | 0 | |
Recurring [Member] | Level 1 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 15,556,216 | 15,321,940 | |
Derivative assets | 143,746 | 77,637 | |
Other assets | 15,582 | 14,645 | |
Total assets carried at fair value | 15,717,111 | 15,415,617 | |
Total liabilities carried at fair value | (998,631) | (1,010,116) | |
Recurring [Member] | Level 2 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 143,698 | 77,347 | |
Derivative liabilities | (998,591) | (1,010,116) | |
Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 21,968 | 21,805 | |
Derivative assets | 0 | 0 | |
Other assets | 0 | 0 | |
Total assets carried at fair value | 21,968 | 21,805 | |
Total liabilities carried at fair value | 0 | 0 | |
Recurring [Member] | Level 3 [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Estimate of Fair Value Measurement [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | [3] | 1,567 | 1,395 |
Available-for-sale securities Fair Value | [3] | 15,578,184 | 15,343,745 |
Derivative assets | [3] | 363,820 | 383,073 |
Other assets | [3] | 30,623 | 28,369 |
Derivative liabilities | [3] | (7,104) | (3,017) |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 15,578,184 | 15,343,745 | |
Derivative assets | 363,820 | 383,073 | |
Other assets | 30,623 | 28,369 | |
Total assets carried at fair value | 15,974,194 | 15,756,582 | |
Total liabilities carried at fair value | (7,104) | (3,017) | |
Estimate of Fair Value Measurement [Member] | Recurring [Member] | Interest-rate swaps [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 363,772 | 382,783 | |
Derivative liabilities | (7,064) | (3,017) | |
Corporate bonds [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 1,567 | 1,395 | |
Corporate bonds [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Corporate bonds [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 1,567 | 1,395 | |
Corporate bonds [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 0 | 0 | |
Corporate bonds [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Trading securities | 1,567 | 1,395 | |
US Treasury Securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 5,640,649 | 5,664,452 | |
US Treasury Securities [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
US Treasury Securities [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 5,640,649 | 5,664,452 | |
US Treasury Securities [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
US Treasury Securities [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 5,640,649 | 5,664,452 | |
U.S. government guaranteed - single-family MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 44,049 | 14,433 | |
U.S. government guaranteed - single-family MBS [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government guaranteed - single-family MBS [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 44,049 | 14,433 | |
U.S. government guaranteed - single-family MBS [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government guaranteed - single-family MBS [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 44,049 | 14,433 | |
U.S. government guaranteed-multifamily MBS [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 473,699 | 477,676 | |
U.S. government guaranteed-multifamily MBS [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government guaranteed-multifamily MBS [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 473,699 | 477,676 | |
U.S. government guaranteed-multifamily MBS [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government guaranteed-multifamily MBS [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 473,699 | 477,676 | |
Mortgage Receivable [Member] | Recurring [Member] | Level 1 [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Mortgage Receivable [Member] | Recurring [Member] | Level 2 [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 48 | 290 | |
Derivative liabilities | (40) | ||
Mortgage Receivable [Member] | Recurring [Member] | Level 3 [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 0 | 0 | |
Derivative liabilities | 0 | ||
Mortgage Receivable [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | Mortgage-delivery commitments [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Derivative assets | 48 | 290 | |
Derivative liabilities | (40) | ||
HFA securities [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 21,968 | 21,805 | |
HFA securities [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
HFA securities [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
HFA securities [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 21,968 | 21,805 | |
HFA securities [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 21,968 | 21,805 | |
Supranational institutions [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 340,676 | 346,375 | |
Supranational institutions [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Supranational institutions [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 340,676 | 346,375 | |
Supranational institutions [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Supranational institutions [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 340,676 | 346,375 | |
U.S. government-owned corporations [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 229,923 | 235,191 | |
U.S. government-owned corporations [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government-owned corporations [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 229,923 | 235,191 | |
U.S. government-owned corporations [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
U.S. government-owned corporations [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 229,923 | 235,191 | |
GSE [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 96,950 | 99,421 | |
GSE [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
GSE [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 96,950 | 99,421 | |
GSE [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
GSE [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 96,950 | 99,421 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 1,229,913 | 904,456 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 1,229,913 | 904,456 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Single Family [Member] | Government Sponsored Enterprises [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 1,229,913 | 904,456 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 7,500,357 | 7,579,936 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 1 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 2 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 7,500,357 | 7,579,936 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | Recurring [Member] | Level 3 [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | 0 | 0 | |
Multifamily [Member] | Government Sponsored Enterprises [Member] | Estimate of Fair Value Measurement [Member] | Recurring [Member] | |||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||
Available-for-sale securities Fair Value | $ 7,500,357 | $ 7,579,936 | |
[1] These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty. Carried at fair value and measured on a recurring basis. |
Estimated Fair Value Level 3 Re
Estimated Fair Value Level 3 Reconciliation - Roll Forward (Details) - HFA securities [Member] - Level 3 [Member] - Recurring [Member] - Available-for-sale securities - USD ($) $ in Thousands | 3 Months Ended | |
Mar. 31, 2024 | Mar. 31, 2023 | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||
Balance at beginning of year | $ 21,805 | $ 32,774 |
Net unrealized gains | 163 | 331 |
Balance at end of period | 21,968 | 33,105 |
Total amount of unrealized gains for the period included in other comprehensive income relating to securities held at period end | $ 163 | $ 331 |
Off-Balance Sheet Commitments (
Off-Balance Sheet Commitments (Details) - USD ($) $ in Thousands | 3 Months Ended | ||
Mar. 31, 2024 | Dec. 31, 2023 | ||
Loss Contingencies [Line Items] | |||
Value of the guarantees related to standby letters of credit | $ 72,146 | $ 65,711 | |
Maximum term of commitments to invest in mortgage loans | 60 days | ||
Other FHLBanks [Member] | |||
Loss Contingencies [Line Items] | |||
Par value of other FHLBanks' outstanding COs for which we are jointly and severally liable | $ 1,100,000,000 | 1,100,000,000 | |
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Standby letters of credit, current terms | 10 years | ||
Standby letters of credit [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [1],[2] | $ 7,399,693 | 8,217,388 |
Off-balance-sheet Commitments Expiring After One Year | [1],[2] | 199,534 | 207,677 |
Total Off-balance Sheet Commitments | [1],[2] | 7,599,227 | 8,425,065 |
Value of the guarantees related to standby letters of credit | 1,300 | 1,300 | |
Commitments of unused lines of credit - advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2],[3] | 1,113,961 | 1,113,354 |
Off-balance-sheet Commitments Expiring After One Year | [2],[3] | 0 | 0 |
Total Off-balance Sheet Commitments | [2],[3] | $ 1,113,961 | 1,113,354 |
Commitments of unused lines of credit - advances [Member] | Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Period for commitments for unused line-of-credit advances | 12 months | ||
Commitments to make additional advances [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | $ 218,357 | 13,170 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 20,464 | 20,463 |
Total Off-balance Sheet Commitments | [2] | 238,821 | 33,633 |
Unsettled CO bonds, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 217,600 | 131,500 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | 217,600 | 131,500 |
Unsettled CO discount notes, at par [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 600,000 | 61,008 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | 600,000 | 61,008 |
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | 5,400 | 16,000 | |
Off-balance-sheet Commitments Expiring After One Year | 13,100 | ||
Mortgage Receivable [Member] | Commitments to invest in mortgage loans [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet Commitments Expiring Within One Year | [2] | 36,827 | 29,995 |
Off-balance-sheet Commitments Expiring After One Year | [2] | 0 | 0 |
Total Off-balance Sheet Commitments | [2] | $ 36,827 | $ 29,995 |
[1]The amount of standby letters of credit outstanding excludes commitments to issue standby letters of credit. At March 31, 2024, and December 31, 2023, commitments to issue standby letters of credit that expire within one year totaled $5.4 million and $16.0 million, respectively, and at December 31, 2023, commitments to issue standby letters of credit that expire after one year totaled $13.1 million.[2]We have determined that it is unnecessary to record any liability for credit losses on these agreements based on our credit extension and collateral policies.[3]Commitments for unused line-of-credit advances are generally for periods of up to 12 months. Since many of these commitments are not expected to be drawn upon, the total commitment amount does not necessarily indicate future liquidity requirements. |
Transactions with Shareholder_2
Transactions with Shareholders (Details) - USD ($) $ in Thousands | Mar. 31, 2024 | Dec. 31, 2023 |
Transactions with Shareholders [Line Items] | ||
Capital Stock Outstanding | $ 1,983,103 | $ 2,042,453 |
Par Value of Advances | 40,111,345 | 42,066,656 |
Total Accrued Interest Receivable | 202,275 | 185,709 |
Directors' Financial Institutions [Member] | ||
Transactions with Shareholders [Line Items] | ||
Capital Stock Outstanding | $ 108,612 | $ 201,250 |
Percent of Total Capital Stock | 5.50% | 9.80% |
Par Value of Advances | $ 2,215,043 | $ 4,485,824 |
Percentage of Total Par Value of Advances | 5.50% | 10.70% |
Total Accrued Interest Receivable | $ 3,567 | $ 5,953 |
Percent of Total Accrued Interest Receivable on Advances | 2.70% | 5.20% |
Minimum [Member] | ||
Transactions with Shareholders [Line Items] | ||
Definition of shareholder concentration, minimum percent | 10% |
Subsequent Events (Details)
Subsequent Events (Details) - Common Class B [Member] - Subsequent Event [Member] - USD ($) $ in Millions | May 02, 2024 | Apr. 19, 2024 |
Subsequent Event [Line Items] | ||
Annualized rate of cash dividend | 8.40% | |
Dividend, including dividends on mandatorily redeemable capital stock | $ 41.2 |