Cover Page
Cover Page - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2022 | Feb. 28, 2023 | Jun. 30, 2022 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2022 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 000-51404 | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||
Entity Incorporation, State or Country Code | X1 | ||
Entity Tax Identification Number | 35-6001443 | ||
Entity Address, Address Line One | 8250 Woodfield Crossing Blvd. | ||
Entity Address, City or Town | Indianapolis | ||
Entity Address, State or Province | IN | ||
Entity Address, Postal Zip Code | 46240 | ||
City Area Code | 317 | ||
Local Phone Number | 465-0200 | ||
Title of 12(g) Security | Class B capital stock, par value $100 per share | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 2.3 | ||
Entity Central Index Key | 0001331754 | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Class A | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 0 | ||
Class B | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 25,313,845 |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2022 | |
Audit Information [Abstract] | |
Auditor Firm ID | 238 |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | Indianapolis, Indiana |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Assets: | |||
Cash and due from banks | $ 21,161 | $ 867,880 | |
Interest-bearing deposits (Note 4) | 856,060 | 100,041 | |
Securities purchased under agreements to resell (Note 4) | 4,550,000 | 3,500,000 | |
Federal funds sold (Note 4) | 3,148,000 | 2,580,000 | |
Trading securities: | 2,230,248 | 3,946,799 | |
AFS securities | 12,179,837 | 9,159,935 | |
HTM securities | [1] | 4,240,201 | 4,313,773 |
Advances (Note 5) | [2] | 36,682,459 | 27,497,835 |
Mortgage loans held for portfolio, net (Note 6) | [3] | 7,686,455 | 7,616,134 |
Accrued interest receivable | 152,867 | 80,758 | |
Derivative assets, net (Note 8) | 434,421 | 220,202 | |
Other assets | 102,071 | 121,246 | |
Total assets | 72,283,780 | 60,004,603 | |
Liabilities: | |||
Deposits | 595,907 | 1,366,397 | |
Consolidated obligations (Note 10): | |||
Discount notes | 27,387,492 | 12,116,358 | |
Bonds | 39,882,454 | 42,361,572 | |
Total consolidated obligations, net | 67,269,946 | 54,477,930 | |
Accrued interest payable | 162,584 | 88,068 | |
Affordable Housing Program payable (Note 11) | 38,170 | 31,049 | |
Derivative liabilities, net (Note 8) | 19,209 | 12,185 | |
Mandatorily redeemable capital stock (Note 12) | 372,503 | 50,422 | |
Other liabilities | 441,763 | 422,221 | |
Total liabilities | 68,900,082 | 56,448,272 | |
Commitments and contingencies (Note 17) | |||
Retained earnings: | |||
Unrestricted | 963,812 | 889,869 | |
Restricted | 322,552 | 287,203 | |
Total retained earnings | 1,286,364 | 1,177,072 | |
Total accumulated other comprehensive income (loss) (Note 13) | (25,791) | 133,058 | |
Total capital | 3,383,698 | 3,556,331 | |
Total liabilities and capital | 72,283,780 | 60,004,603 | |
Class B | |||
Capital stock (putable at par value of $100 per share): | |||
Class B issued and outstanding shares: 21,231,253 and 22,462,009 | $ 2,123,125 | $ 2,246,201 | |
[1] (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2022 and 2021 to tale d $26,125 and $28,440, respectively. |
Statements of Condition Parenth
Statements of Condition Parenthetical - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-Sale, Amortized Cost, Excluding Accrued Interest, before Allowance for Credit Loss | [1] | $ 12,189,776 | $ 9,007,993 |
HTM securities, fair value | $ 4,156,218 | $ 4,322,157 | |
Class B | |||
Common stock putable (in USD per share) | $ 100 | $ 100 | |
Common stock issued (in shares) | 21,231,253 | 22,462,009 | |
Common stock outstanding (in shares) | 21,231,253 | 22,462,009 | |
[1] (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Includes at December 31, 2022 and 2021 net unamortized discounts totaling $(294,587) and net unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at December 31, 2022 and 2021 totaled net losses of $(1,099,886) and net gains of $206,199, respectively. Excludes accrued interest receivable at December 31, 2022 and 2021 of $53,358 and $32,127, respectively. |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest Income: | |||
Advances | $ 634,269 | $ 115,634 | $ 329,675 |
Interest-bearing deposits | 37,303 | 534 | 5,652 |
Securities purchased under agreements to resell | 53,496 | 1,730 | 11,644 |
Federal funds sold | 78,004 | 2,821 | 10,793 |
Trading securities | 25,965 | 48,510 | 90,860 |
Available-for-sale securities | 285,252 | 99,646 | 103,658 |
Held-to-maturity securities | 69,363 | 31,792 | 70,019 |
Mortgage loans held for portfolio | 206,984 | 169,132 | 231,152 |
Total interest income | 1,390,636 | 469,799 | 853,453 |
Interest Expense: | |||
Consolidated obligation discount notes | 373,757 | 9,067 | 116,680 |
Consolidated obligation bonds | 712,038 | 206,429 | 461,953 |
Deposits | 12,003 | 162 | 2,856 |
Mandatorily redeemable capital stock | 2,140 | 2,601 | 8,594 |
Total interest expense | 1,099,938 | 218,259 | 590,083 |
Net interest income | 290,698 | 251,540 | 263,370 |
Provision for (reversal of) credit losses | (74) | (108) | 140 |
Net interest income after provision for credit losses | 290,772 | 251,648 | 263,230 |
Other Income: | |||
Net gains (losses) on trading securities | (22,574) | (47,314) | (14,484) |
Net gains (losses) on derivatives | 48,429 | 3,684 | (48,362) |
Other, net | (6,411) | 9,811 | 7,330 |
Total other income (loss) | 19,444 | (33,819) | (55,516) |
Other Expenses: | |||
Compensation and benefits | 59,006 | 60,622 | 60,789 |
Other operating expenses | 30,836 | 30,089 | 31,609 |
Federal Housing Finance Agency | 7,229 | 6,336 | 4,989 |
Office of Finance | 5,437 | 6,377 | 5,005 |
Other | 11,086 | 9,801 | 6,742 |
Total other expenses | 113,594 | 113,225 | 109,134 |
Income (loss) before assessments | 196,622 | 104,604 | 98,580 |
Affordable Housing Program assessments | 19,876 | 10,720 | 10,717 |
Net income | $ 176,746 | $ 93,884 | $ 87,863 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Comprehensive Income [Abstract] | |||
Net income | $ (176,746) | $ (93,884) | $ (87,863) |
Other Comprehensive Income: | |||
Net change in unrealized gains (losses) on available-for-sale securities | (161,881) | 15,021 | 47,108 |
Pension benefits, net (Note 14) | 3,032 | 12,635 | (9,082) |
Total other comprehensive income (loss) | (158,849) | 27,656 | 38,026 |
Total comprehensive income | $ 17,897 | $ 121,540 | $ 125,889 |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | $ 3,556,331 | $ 3,450,302 | $ 3,156,760 |
Total comprehensive income | 17,897 | 121,540 | 125,889 |
Proceeds from issuance of capital stock | 368,041 | 99,638 | 266,906 |
Redemption/repurchase of capital stock | (161,885) | (56,277) | (621) |
Shares reclassified to mandatorily redeemable capital stock, net | (329,232) | (4,730) | (32,791) |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | ||
Cash dividends on capital stock | (67,454) | (54,142) | (76,415) |
Ending Balance | $ 3,383,698 | $ 3,556,331 | $ 3,450,302 |
Capital Stock | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance (in shares) | 22,462 | 22,076 | 19,741 |
Beginning Balance | $ 2,246,201 | $ 2,207,570 | $ 1,974,076 |
Proceeds from issuance of capital stock (in shares) | 3,680 | 996 | 2,669 |
Proceeds from issuance of capital stock | $ 368,041 | $ 99,638 | $ 266,906 |
Redemption/repurchase of capital stock (in shares) | (1,619) | (563) | (6) |
Redemption/repurchase of capital stock | $ (161,885) | $ (56,277) | $ (621) |
Shares reclassified to mandatorily redeemable capital stock, net (in shares) | (3,292) | (47) | (328) |
Shares reclassified to mandatorily redeemable capital stock, net | $ (329,232) | $ (4,730) | $ (32,791) |
Ending Balance | $ 2,123,125 | $ 2,246,201 | $ 2,207,570 |
Ending Balance (in shares) | 21,231 | 22,462 | 22,076 |
Retained Earnings Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | $ 1,177,072 | $ 1,137,330 | $ 1,115,308 |
Total comprehensive income | 176,746 | 93,884 | 87,863 |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | ||
Cash dividends on capital stock | (67,454) | (54,142) | (76,415) |
Ending Balance | 1,286,364 | 1,177,072 | 1,137,330 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 889,869 | 868,904 | 864,454 |
Total comprehensive income | 141,397 | 75,107 | 70,291 |
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | ||
Cash dividends on capital stock | (67,454) | (54,142) | (76,415) |
Ending Balance | 963,812 | 889,869 | 868,904 |
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 287,203 | 268,426 | 250,854 |
Total comprehensive income | 35,349 | 18,777 | 17,572 |
Ending Balance | 322,552 | 287,203 | 268,426 |
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 133,058 | 105,402 | 67,376 |
Total comprehensive income | (158,849) | 27,656 | 38,026 |
Ending Balance | $ (25,791) | $ 133,058 | $ 105,402 |
Statements of Capital Parenthet
Statements of Capital Parenthetical | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Stockholders' Equity [Abstract] | |||
Annualized cash dividend rate on capital stock (percent) | 2.95% | 2.44% | 3.66% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Operating Activities: | |||
Net income | $ 176,746 | $ 93,884 | $ 87,863 |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Amortization and depreciation | 167,348 | 84,157 | 74,130 |
Changes in net derivative and hedging activities | 1,086,752 | 178,305 | (420,090) |
Provision for (reversal of) credit losses | (74) | (108) | 140 |
Net losses on trading securities | 22,574 | 47,314 | 14,484 |
Other adjustments | 1,059 | 0 | (504) |
Changes in: | |||
Accrued interest receivable | (77,386) | 21,671 | 28,855 |
Other assets | 14,333 | (21,453) | (28,853) |
Accrued interest payable | 75,115 | 24,487 | (115,401) |
Other liabilities | (1,749) | 15,743 | 41,255 |
Total adjustments, net | 1,287,972 | 350,116 | (405,984) |
Net cash provided by (used in) operating activities | 1,464,718 | 444,000 | (318,121) |
Net change in: | |||
Interest-bearing deposits | (2,090,076) | 487,626 | 169,514 |
Securities purchased under agreements to resell | (1,050,000) | (1,000,000) | (1,000,000) |
Federal funds sold | (568,000) | (1,365,000) | 1,335,000 |
Trading securities: | |||
Proceeds from maturities | 3,425,000 | 2,950,000 | 4,160,000 |
Proceeds from sales | 200,000 | 50,006 | 0 |
Purchases | (1,930,219) | (1,899,417) | (4,252,538) |
Available-for-sale securities: | |||
Proceeds from maturities and paydowns | 730,132 | 835,255 | 593,550 |
Proceeds from sales | 0 | 0 | 96,779 |
Purchases | (5,195,686) | (319,623) | (1,851,436) |
Held-to-maturity securities: | |||
Proceeds from maturities and paydowns | 890,409 | 996,151 | 1,428,899 |
Proceeds from sales | 69,919 | 0 | 0 |
Purchases | (817,170) | (784,446) | (744,501) |
Advances: | |||
Principal repayments | 251,196,945 | 224,935,571 | 255,014,417 |
Disbursements to members | (261,178,835) | (221,554,319) | (253,433,610) |
Mortgage loans held for portfolio: | |||
Principal collections | 1,006,896 | 2,849,214 | 4,398,392 |
Purchases from members | (1,156,327) | (2,150,713) | (2,082,767) |
Purchases of premises, software, and equipment | (4,916) | (4,411) | (4,641) |
Loans to other Federal Home Loan Banks: | |||
Principal repayments | 1,050,000 | 40,000 | 90,000 |
Disbursements | (1,050,000) | (40,000) | (90,000) |
Net cash provided by (used in) investing activities | (16,471,928) | 4,025,894 | 3,827,058 |
Net Change In: | |||
Net change in deposits | (590,663) | (8,809) | 414,531 |
Net proceeds (payments) on derivative contracts with financing elements | 900 | (25,365) | (3,694) |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 835,663,808 | 291,172,745 | 355,337,396 |
Bonds | 17,914,235 | 43,151,651 | 48,663,468 |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (820,497,490) | (295,668,613) | (356,372,123) |
Bonds | (18,461,850) | (43,819,310) | (50,052,784) |
Proceeds from issuance of capital stock | 368,041 | 99,638 | 266,906 |
Payments for redemption/repurchase of capital stock | (161,885) | (56,277) | (621) |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (7,151) | (205,076) | (104,925) |
Payments for redemption/repurchase of mandatorily redeemable capital stock | 0 | 0 | 10,574 |
Dividend payments on capital stock | (67,454) | (54,142) | (76,415) |
Net cash provided by (used in) financing activities | 14,160,491 | (5,413,558) | (1,917,687) |
Net increase (decrease) in cash and due from banks | (846,719) | (943,664) | 1,591,250 |
Cash and due from banks at beginning of year | 867,880 | 1,811,544 | 220,294 |
Cash and due from banks at end of year | 21,161 | 867,880 | 1,811,544 |
Supplemental Disclosures: | |||
Interest payments | 738,492 | 265,209 | 804,173 |
Affordable Housing Program payments | 16,914 | 14,073 | 14,399 |
Purchases of investment securities, traded but not yet settled | $ 72,788 | $ 0 | $ 236,507 |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | These Notes to Financial Statements should be read in conjunction with the Statements of Condition as of December 31, 2022 and 2021, and the Statements of Income, Comprehensive Income, Capital, and Cash Flows for the years ended December 31, 2022, 2021, and 2020. Acronyms and terms used throughout these Notes to Financial Statements are defined herein or in the Defined Terms . Unless the context otherwise requires, the terms "Bank," "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management. Background Information The Federal Home Loan Bank of Indianapolis, a federally chartered corporation, is one of 11 regional wholesale FHLBanks in the United States. The FHLBanks are GSEs that were organized under the Bank Act to serve the public by enhancing the availability of credit for residential mortgages and targeted community development. Even though the Bank is part of the FHLBank System, we operate as a separate entity with our own management, employees, shareholders and board of directors. Each FHLBank is a financial cooperative that provides a readily available, competitively-priced source of funds to its member institutions. Regulated financial depositories and non-captive insurance companies engaged in residential housing finance that have their principal place of business located in, or are domiciled in, our district states of Michigan or Indiana are eligible for membership. Additionally, qualified CDFIs are eligible to be members. Housing Associates, including state and local housing authorities, that meet certain statutory and regulatory criteria may also borrow from us, but are not members and, as such, are not allowed to hold our capital stock. Each member must purchase a minimum amount of our capital stock based on the amount of its total assets. A member may be required to purchase additional activity-based capital stock as it engages in certain business activities with us. Members and former members own all of our capital stock. Former members (including certain non-member institutions that own our capital stock as a result of a merger with or acquisition of a member) hold our capital stock beyond the redemption period solely to support credit products or mortgage loans still outstanding on our statement of condition. All owners of our capital stock, to the extent declared by our board of directors, receive dividends on their capital stock, subject to applicable regulations. The FHLBanks' Office of Finance facilitates the issuance and servicing of the debt instruments of the FHLBanks, known as consolidated obligations, consisting of bonds and discount notes, and prepares and publishes the FHLBanks' combined quarterly and annual financial reports. Proceeds from the issuance of consolidated obligations are the primary source of funds for the FHLBanks. Deposits, other borrowings and capital stock issued to members provide additional funds. We primarily use these funds to: • disburse advances to members; • acquire mortgage loans from PFIs through our MPP; • maintain liquidity; and • invest in other opportunities to support the residential housing market. We also provide correspondent services, such as wire transfer, security safekeeping, and settlement services, to our members. The Finance Agency is the independent federal regulator of the FHLBanks, Freddie Mac, and Fannie Mae. The Finance Agency's stated mission is to ensure that the housing GSEs operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. Note 1 - Summary of Significant Accounting Policies Basis of Presentation. The accompanying financial statements have been prepared in accordance with GAAP and SEC requirements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank's financial position, results of operations and cash flows for the periods presented. All such adjustments were of a normal recurring nature. Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to the fair values of financial instruments. Estimated Fair Value. The estimated fair value amounts, recorded on the statement of condition and presented in the accompanying disclosures, reflect appropriate valuation methods and were determined based on the assumptions that we believe market participants would use in pricing the asset or liability. Although we use our best judgment in estimating fair value, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions on the reporting dates. For more information, see Note 16 - Estimated Fair Values . Changes in Estimates. Changes in estimates are accounted for prospectively, i.e. in the period of change, and do not result in a revision or restatement of prior period amounts. Reclassifications. We have reclassified certain amounts reported in prior periods to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income or net cash flows. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. Securities purchased under agreements to resell are treated as short-term, collateralized financings and are generally transacted with an overnight term. These securities are held in safekeeping in the Bank's name by third-party custodians approved by us. For securities outstanding longer than overnight, if the market value of the underlying assets declines below the market value required as collateral, the counterparty must (i) place an equivalent amount of additional securities in safekeeping in the Bank's name, and/or (ii) remit an equivalent amount of cash. Federal funds sold are short-term, unsecured loans that are generally transacted with an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit an individual FHLBank may extend to a counterparty. Investment Securities. Purchases and sales of securities are recorded on a trade date basis. We classify investments as trading, HTM or AFS at the date of acquisition. Trading Securities. Securities classified as trading are held for liquidity purposes and carried at fair value. Changes in the fair value of these securities are recorded through other income as net gains (losses) on trading securities. Finance Agency regulation and our risk management policies prohibit the speculative use of these instruments and limit the credit risk arising from these securities. HTM Securities. Securities for which we have both the positive intent and ability to hold to maturity are classified as HTM and carried at amortized cost. The carrying value includes adjustments made to the cost basis of the security for purchase discount and related accretion, purchase premium and related amortization, and collection of principal. AFS Securities. Securities that are not classified as trading or HTM are classified as AFS and carried at estimated fair value. Changes in the fair value of these securities are recorded in OCI as net change in unrealized gains (losses) on AFS securities, except for AFS securities in hedging relationships that qualify as fair-value hedges. For those securities, the portion of the change in fair value attributable to the risk being hedged is recorded in interest income together with the related change in the fair value of the derivative, and the remainder of the change in the fair value of the security is recorded in OCI as net change in unrealized gains (losses) on AFS securities. In general, securities classified as AFS may be sold at any time, although specific consideration is given to securities in an unrealized loss position. Amortization of Purchase Premiums and Discounts. Since we hold a large number of similar loans underlying our MBS, for which prepayments are probable and the timing and amount of prepayments can be reasonably estimated, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments on MBS to interest income using a level-yield under the retrospective interest method. This method requires that we estimate prepayments over the estimated life of each security and retrospectively adjust the effective yield each time the estimated remaining cash flows change as if the new estimate had been used since the original acquisition date. Changes in interest rates are a significant assumption used in estimating the timing and amount of prepayments. For all non-MBS securities, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments using a level-yield methodology over the contractual life of each security, with the exception of our callable non-MBS securities, on which the purchase premium is amortized to the next call date. For all non-MBS securities, prepayments are not estimated but only taken into account as they actually occur. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income as net realized gains (losses) from sale of securities. Advances. We record advances at amortized cost, adjusted to include deferred swap termination fees associated with modified advances, net of deferred prepayment fees, and cumulative fair-value hedging basis adjustments. We amortize such fees and hedging basis adjustments t o interest income using a level-yield methodology over the contractual life of the advance. When an advance is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Prepayment Fees. We charge a prepayment fee when a borrower repays certain advances prior to maturity. We report prepayment fees, net of any associated swap termination fees and cumulative fair-value hedging basis adjustments, in interest income on advances. Advance Modifications. When we fund a new advance concurrent with, or within a short period of time after, the prepayment of an original advance, we determine whether the transaction is effectively either (i) two separate transactions (the prepayment of the original advance and the disbursement of a new advance), defined as an advance extinguishment, or (ii) the continuation of the original advance as modified, defined as an advance modification. We account for the transaction as an extinguishment if both of the following criteria are met: (i) the effective yield of the new advance is at least equal to the effective yield for a comparable advance to a member with similar collection risks who is not prepaying, and (ii) modifications of the original advance are determined to be more than minor, i.e., if the present value of the cash flows under the terms of the new advance is at least 10% different from the present value of the remaining cash flows under the original advance or through an evaluation of qualitative factors, which may include changes in the interest-rate exposure to the member by moving from a fixed to an adjustable-rate advance. In all other instances, the transaction is accounted for as an advance modification. If the transaction is determined to be an advance extinguishment, we recognize income from nonrefundable prepayment fees, net of associated swap termination fees, in the period that the extinguishment occurs. Alternatively, if no prepayment fees are received (e.g., the member requests that we embed the prepayment fee into the rate of the new advance), the excess of the present value of the cash flows of the new advance over those of an advance with a current market rate and otherwise comparable terms is immediately recognized in income, and the basis of the new advance is adjusted accordingly. If the transaction is determined to be an advance modification, the nonrefundable prepayment fees, net of associated swap termination fees, are not immediately recognized in income but are (i) included in the carrying value of the modified advance and amortized into interest income over the life of the new advance using a level-yield methodology or (ii) embedded into the rate of the modified advance and recorded as an adjustment to the interest accrual. Mortgage Loans Held for Portfolio. We classify mortgage loans, for which we have the positive intent and ability to hold for the foreseeable future or until maturity or payoff, as held for portfolio. Accordingly, these mortgage loans are reported at amortized cost, adjusted to include premiums paid to and discounts received from PFIs, hedging basis adjustments, and the allowance for credit losses. Amortization of Purchase Premiums and Discounts. We amortize or accrete premiums and discounts and hedging basis adjustments to interest income using a level-yield methodology over the contractual life of each loan. When a loan is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Non-accrual Loans. We place a conventional mortgage loan on non-accrual status if it is determined that either (i) the collection of interest or principal is doubtful, or (ii) interest or principal is past due for 90 days or more, except when the loan is well secured and in the process of collection (e.g., through credit enhancements and monthly servicer remittances on a scheduled/scheduled basis in which we receive monthly principal and interest payments from the servicer regardless of whether the borrower has made payments to the servicer). Monthly servicer remittances for loans on an actual/actual basis may also be well secured; however, servicers on actual/actual remittance do not advance principal and interest due, regardless of borrower creditworthiness, until the payments are received from the borrower or when the loan is repaid. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. A government-guaranteed or -insured mortgage loan is not placed on non-accrual status when the collection of the contractual principal or interest is 90 days or more past due because of the contractual obligation of the loan servicer to pay defaulted interest at the contractual rate. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income (for any interest accrued in the current year) and/or the allowance for credit losses (for any interest accrued in the previous year). We record payments received on non-accrual loans as a direct reduction of the amortized cost of the loan. When the amortized cost has been fully collected, any additional amounts collected are recognized as interest income. A loan on non-accrual status may be restored to accrual status when it becomes current (zero days past due) and three consecutive and timely monthly payments have been received. Loan Participations. All participating interests in loans acquired from our PFIs that are sold to other FHLBanks meet the accounting requirements for a sale and, therefore, are derecognized from our reported mortgage loan balances and a pro-rata portion of the fixed LRA is assumed by the participating FHLBank for its use in loss mitigation. As a result, available funds remaining in our LRA are limited to our pro-rata portion of the fixed LRA that is associated with the participating interests retained by us. The portion of the participation fees received related to our upfront costs is recognized immediately into income, while the remaining portion related to our ongoing costs is deferred and amortized to income over the remaining life of the participated loans. Troubled Debt Restructuring ("TDR"). A TDR related to MPP loans typically occurs when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties that would not have been otherwise considered. Although we do not participate in government-sponsored loan modification programs, we do consider certain conventional loan modifications to be TDRs when the modification agreement permits the recapitalization of past due amounts, generally up to the original loan amount. If a borrower is having financial difficulty and a significant concession has been granted by the PFI with our approval, the loan modification is considered a TDR. No other terms of the original loan are modified, except for the possible extension of the contractual maturity date on a case-by-case basis. In no event does the borrower's original interest rate change. Modifications of government loans are not considered or accounted for as TDRs because we anticipate no loss of principal or interest accrued at the original contract rate, or significant delay, due to the government guarantee or insurance. Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) of a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we determine that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. Allowance for Credit Losses on Financial Instruments. Our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, Note 6 - Mortgage Loans Held for Portfolio, and Note 17 - Commitments and Contingencies. Financial Instruments Meeting Netting Requirements . We present certain financial instruments on a net basis when we have a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). Derivatives and Hedging Activities. We record derivative instruments, including related cash collateral and accrued interest, on a net basis, by clearing agent and/or by counterparty, as either derivative assets or derivative liabilities at their estimated fair values. Changes in the estimated fair value of derivatives are recorded in current period earnings. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset, respectively. For derivative instruments that do not meet the netting requirements, cash collateral is recognized as an interest-bearing asset or liability, as appropriate. Additional information regarding these transactions is provided in Note 8 - Derivatives and Hedging Activities. Designations. Derivatives are recorded beginning on the trade date and typically executed and designated in a qualifying hedging relationship at the same time as the acquisition of the associated hedged item. We may also designate the hedging relationship upon the Bank's commitment to disburse an advance, purchase financial instruments, or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. Each derivative is designated as one of the following: (i) a qualifying hedge of the change in fair value of a recognized asset or liability (e.g., advances, AFS investments, and CO bonds) or an unrecognized firm commitment (fair-value hedge); or (ii) a non-qualifying hedge for asset/liability management purposes (economic hedge). In all cases involving a fair-value hedge of a recognized asset, liability or firm commitment, the designated risk being hedged is the risk of changes in the fair value of the hedged item attributable to changes in the designated benchmark interest rate. Accounting for Qualifying Hedges. Hedging relationships must meet certain criteria including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective to qualify for hedge accounting. Two approaches to account for qualifying fair-value hedge relationships include: (i) Shortcut hedge accounting - Hedging relationships that meet certain criteria qualify for the shortcut method of hedge accounting. Under the shortcut method, an assumption can be made that the entire change in fair value of a hedged item, due to changes in the benchmark interest rate, equates to the entire change in fair value of the related derivative. As a result, the derivative is considered to be perfectly effective in achieving offsetting changes in the fair value of the hedged asset or liability attributable to the hedged risk. When applying the shortcut method, we document, at inception of the hedging relationship, a quantitative long-haul method that we can apply should we subsequently determine a hedging relationship no longer qualifies for shortcut hedge accounting; or (ii) Long-haul hedge accounting - T he application of long-haul hedge accounting requires us to assess whether the derivatives used in hedging relationships are highly effective in achieving offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to remain highly effective in future periods. As part of the assessment, a regression analysis is performed at the inception of each hedging relationship and at each month-end thereafter. While a number of long-haul methods and techniques are permissible, we utilize the following: • Total Contractual Coupon Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the estimated coupon cash flows are based on the full contractual coupon. • Benchmark Component Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the credit and any other risks embedded in the contractual coupon rate are excluded from the estimated cash flows by aligning the interest component of the derivative with the hedged item. Given this alignment, the application of the benchmark component method generally results in less hedge ineffectiveness in comparison to the total contractual coupon method. Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Accounting for Non-Qualifying Hedges. An economic hedge is defined as a derivative that hedges specific or non-specific underlying assets, liabilities, or firm commitments and does not qualify, or was not designated, for hedge accounting. As a result, we recognize the net interest settlements and the change in fair value of these derivatives in other income (loss) with no offsetting fair-value adjustments in earnings for the hedged assets, liabilities, or firm commitments. An economic hedge by definition, therefore, introduces the potential for earnings variability. Accrued Interest Receivables and Payables. The difference between the interest receivable and payable on a derivative designated as a qualifying hedge is recognized as a net adjustment to the interest income or expense of the designated hedged item. The difference between the interest receivable and payable on an economic hedge is recognized in other income as net gains (losses) on derivatives. Discontinuance of Hedge Accounting. We discontinue hedge accounting prospectively when: (i) the hedging relationship ceases to be highly effective or is otherwise discontinued; (ii) the derivative and/or the hedged item expires or matures, is sold, terminated, transferred or exercised; or (iii) a hedged firm commitment no longer meets the definition of a firm commitment. When hedge accounting is discontinued and the derivative and hedged item remain, we: (i) continue to carry the derivative on the statement of condition at fair value as an economic hedge; (ii) cease adjusting the hedged asset or liability for changes in fair value; and (iii) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. When we discontinue a qualifying hedge relationship by terminating the derivative and subsequently designating the associated hedged item into a new qualifying hedge relationship, we: (i) recognize the cumulative gain (loss) on the derivative in current period earnings; (ii) pay or receive a termination fee with the counterparty, substantially offsetting the recognized gain (loss) on the derivative; (iii) cease adjusting the hedged asset or liability for changes in fair value; and (iv) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. Embedded Derivatives. We may issue consolidated obligations, disburse advances, or purchase financial instruments in which a derivative instrument is embedded. In order to determine whether an embedded derivative must be bifurcated from the host instrument and separately valued, we must assess, upon execution of the transaction, whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the consolidated obligation, advance or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. If we determine that (i) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (ii) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument pursuant to an economic hedge. The host contract is accounted for based on the guidance applicable to instruments of that type that are not hedged. However, if (i) the entire contract (the host contract and the embedded derivative) is required to be measured at fair value, with changes in fair value reported in earnings (such as an investment security classified as trading), or (ii) we cannot reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract is carried at fair value, and no portion of the contract is designated as a hedging instrument. Premises, Software, and Equipment. We record premises, software, and equipment at cost, less accumulated depreciation and am ortization, in other assets, and compute depreciation and amortization using the straight-line method over their respective estimated useful lives, which range from 3 to 40 years. W e capitalize improvements and major renewals, but expense maintenance and repairs when incurred. We depreciate building improvements using the straight-line method over the estimated useful life of the improvement. In addition, we capitalize software development costs for internal use software with an estimated economic useful life of at least one year. If capitalized, we use the straight-line method for computing amortization. We include any gain or loss on disposal (other than abandonment) of premises, software, and equipment in other income. Any loss on abandonment is included in other operating expenses. Consolidated Obligations. Consolidated obligations are recorded at amortized cost, adjusted to include concessions, discounts, premiums, principal payments, and cumulative fair-value hedging basis adjustments. Concessions. Concessions are paid to dealers in connection with the issuance of certain consolidated obligations. The Office of Finance prorates the amount of our concession based upon the percentage of the debt issued on the Bank's behalf. We record concessions paid on consolidated obligations as a direct deduction from their carrying amounts, consistent with the presentation of discounts on consolidated obligations. The concessions are deferred and amortized, using a level-yield methodology, to interest expense over the term to contractual maturity of the corresponding consolidated obligation. When we prepay a CO bond, a proportionate share of any remaining balance of concessions is recognized as interest expense. Discounts and Premiums. We accrete or amortize the discounts and premiums as well as cumulative fair-value hedging basis adjustments to interest expense using a level-yield methodology over the term to contractual maturity of the corresponding CO bond. When we prepay a CO bond, a proportionate share of the remaining balance of those adjustments is recognized as interest income. Debt Extinguishments. When we extinguish a CO prior to the contractual maturity date on other than a call date, any gain or loss resulting from the extinguishment is recorded in other income (loss) as the difference between the cash paid (market price) and the current carrying value. We do not consider these gains or losses to be extraordinary. Mandatorily Redeemable Capital Stock. When a member withdraws or attains non-member status by merger or acquisition, charter termination, relocation or other involuntary termination from membership, the member's shares are then subject to redemption, at which time a five-year redemption period commences for Class B stock. Since the shares meet the definition of a mandatorily redeemable financial instrument, the shares are reclassified from capital to liabilities as MRCS at estimated fair value, which is equal to par value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reported as interest expense. We reclassify MRCS from liabilities to capital when non-members subsequently become members through either acquisition, merger, or election. After the reclassification, dividends declared on that capital stock are no longer classified as interest expense. Restricted Retained Earnings. In accordance with our Joint Capital Enhancement Agreement, as amended, among the 11 FHLBanks, we allocate 20% of the Bank's net income each quarter to a separate restricted retained earnings account until the balance of that account, calculated as of the last day of each calendar quarter, equals at least 1% of the average balance of the Bank's outstanding consolidated obligations for the current quarter. Employee Retirement and Deferred Compensation Plans. We recognize the required contribution to the DB Plan ratably over the plan year to which it relates. Without a prefunding election, any contribution made in excess of the minimum required contribution is recorded as an expense in the quarterly reporting period in which the contribution is made; with a prefunding election, such excess contribution is recorded as a prepaid asset. Settlement gains and losses are recognized in earnings onl |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Recently Adopted and Issued Accounting Guidance | Note 2 - Recently Adopted and Issued Accounting Guidance Recently Adopted Accounting Guidance. Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). On March 12, 2020, the FASB issued optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. Specifically, the guidance provides accounting relief related to the following: Contract modifications. Entities can elect not to apply certain modification accounting requirements to contracts affected by reference rate reform, if certain criteria are met. An entity that makes this election would not have to remeasure the contracts at the modification date or reassess a previous accounting determination. Hedging relationships. Entities can elect various optional expedients that would allow them to continue applying hedge accounting for hedging relationships affected by reference rate reform, if certain criteria are met. Sales or transfers of debt securities classified as HTM. Entities can make a one-time election to sell and/or reclassify HTM securities that were purchased prior to January 1, 2020 and reference an interest rate affected by reference rate reform. This guidance was originally effective from March 12, 2020 through December 31, 2022 but was extended with the issuance of ASU 2022-06. The guidance will be applied when we implement the fallback provisions associated with our financial instruments that remain indexed to LIBOR on the cessation date; however, its effect on the Bank's financial condition, results of operations, and cash flows is not expected to be material. Reference Rate Reform (Topic 848): Deferral of the Sunset Date (ASU 2022-06). On December 21, 2022, the FASB issued guidance to extend the sunset (or expiration) date of ASU 2020-04 (Topic 848) to December 31, 2024. This change takes into account the United Kingdom Financial Conduct Authority's extension of the cessation date of the overnight 1-, 3-, 6-, and 12-month LIBOR tenors to June 30, 2023, which is beyond the original expiration date of the guidance. Recently Issued Accounting Guidance. Fair-Value Hedging - Portfolio Layer Method (ASU 2022-01). On March 28, 2022, the FASB issued guidance expanding the existing last-of-layer fair-value hedging method by allowing entities to hedge multiple layers of a single closed portfolio of prepayable financial assets rather than a single (or last) layer only. To reflect the change, the last-of-layer method was renamed the portfolio layer method. The guidance became effective for the interim and annual periods beginning on January 1, 2023. Upon adoption, this guidance had no impact on the Bank's financial condition, results of operations, or cash flows . Troubled Debt Restructurings ("TDR") and Vintage Disclosures (ASU 2022-02). On March 31, 2022, the FASB issued guidance eliminating the accounting guidance for TDRs by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings made to borrowers experiencing financial difficulty. Additionally, the guidance requires disclosure of current-period gross write-offs by year of origination. The guidance became effective for the interim and annual periods beginning on January 1, 2023. Upon adoption, this guidance did not have a material impact on the Bank's financial condition, results of operations, or cash flows, nor do we expect it to have a material impact on our future disclosures . |
Cash and Due from Banks
Cash and Due from Banks | 12 Months Ended |
Dec. 31, 2022 | |
Cash and Due from Banks [Abstract] | |
Cash and Due from Banks | Note 3 - Cash and Due from Banks Compensating Balances. Periodically, we maintain cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions on the withdrawal of funds. The average cash balances for the years ended December 31, 2022, 2021, and 2020, were $104,501, $227,913 , and $65,945, respectively. |
Investments
Investments | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Note 4 - Investments Short-term Investments. 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 maintain a credit rating of triple-B or higher (investment grade) by an NRSR O. At December 31, 2022 and 2021, none of these investments were with counterparties rated below triple-B. The N RSRO ratings may differ from any internal ratings of the investments, if applicable. Allowance for Credit Losses. Interest-Bearing Deposits . Interest-bearing deposits are considered overnight investments given our ability to withdraw funds from these accounts at any ti me. As such, no allowance for credit losses was recorded for these investments at December 31, 2022 and 2021. Securities Purchased Under Agreements to Resell. We use the collateral maintenance provision with our counterparties as a practical expedient for securities purchased under agreements to resell whereby a credit loss is recognized only if there is a collateral shortfall which we do not believe the counterparty is willing or able to replenish in accordance with the contractual terms. The credit loss would be limited to the difference between the estimated fair value of the collateral and the investment’s amortized cost. Based upon the collateral held as security and collateral maintenance provisions with our counterparties, no allowance for credit losses was recorded for securities purchased under agreements to resell at December 31, 2022 and 2021. Federal Funds Sold . As our investments in federal funds sold are typically transacted on an overnight term, we would only evaluate these instruments for expected credit losses if they were not repaid according to their contractual terms at maturity. At December 31, 2022 and 2021, all investments in federal funds sold were repaid according to their contractual terms and, therefore, no allowance for credit losses was recorded. Investment Securities. Trading Securities. Major Security Types. The following table presents our trading securities by type of security. Security Type December 31, 2022 December 31, 2021 U.S. Treasury obligations $ 2,230,248 $ 3,946,799 Total trading securities at estimated fair value $ 2,230,248 $ 3,946,799 Net Gains (Losses) on Trading Securities. The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. Years Ended December 31, 2022 2021 2020 Net gains (losses) on trading securities held at year end $ (18,461) $ (17,608) $ (7,202) Net gains (losses) on trading securities that matured/sold during the year (4,113) (29,706) (7,282) Net gains (losses) on trading securities $ (22,574) $ (47,314) $ (14,484) Available-for-Sale Securities . Major Security Types. The following table presents our AFS securities by type of security. December 31, 2022 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value U.S. Treasury obligations $ 4,207,974 $ 3,502 $ (1,802) $ 4,209,674 GSE and TVA debentures 1,882,802 20,144 (243) 1,902,703 GSE multifamily MBS 6,099,000 20,064 (51,604) 6,067,460 Total AFS securities $ 12,189,776 $ 43,710 $ (53,649) $ 12,179,837 December 31, 2021 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 2,651,571 $ 45,557 $ (12) $ 2,697,116 GSE multifamily MBS 6,356,422 109,956 (3,559) 6,462,819 Total AFS securities $ 9,007,993 $ 155,513 $ (3,571) $ 9,159,935 (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Includes at December 31, 2022 and 2021 net unamortized discounts totaling $(294,587) and net unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at December 31, 2022 and 2021 totaled net losses of $(1,099,886) and net gains of $206,199, respectively. Excludes accrued interest receivable at December 31, 2022 and 2021 of $53,358 and $32,127, respectively. Unrealized Loss Positions. The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2022 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Security Type Fair Value Losses Fair Value Losses Fair Value Losses U.S. Treasury obligations $ 1,836,099 $ (1,802) $ — $ — $ 1,836,099 $ (1,802) GSE and TVA debentures 75,024 (243) — — 75,024 (243) GSE multifamily MBS 3,484,309 (41,046) 301,339 (10,558) 3,785,648 (51,604) Total impaired AFS securities $ 5,395,432 $ (43,091) $ 301,339 $ (10,558) $ 5,696,771 $ (53,649) December 31, 2021 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Security Type Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 250,145 $ (12) $ — $ — $ 250,145 $ (12) GSE multifamily MBS 384,015 (3,559) — — 384,015 (3,559) Total impaired AFS securities $ 634,160 $ (3,571) $ — $ — $ 634,160 $ (3,571) Realized Gains and Losses. During the year ended December 31, 2020, for strategic, economic and operational reasons, we sold certain of our GSE multifamily MBS. Proceeds from the sales tot aled $96,779, resulting in net realized gains from the sale of AFS securities of $504, comprised of realized gains of $715 and realized losses of $(211) determined by the specific identification method. Contractual Maturity. The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. December 31, 2022 December 31, 2021 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 131,329 $ 131,517 $ 581,801 $ 582,240 Due after 1 year through 5 years 1,575,581 1,594,583 1,494,109 1,523,600 Due after 5 years through 10 years 4,383,866 4,386,277 575,661 591,276 Total non-MBS 6,090,776 6,112,377 2,651,571 2,697,116 Total MBS 6,099,000 6,067,460 6,356,422 6,462,819 Total AFS securities $ 12,189,776 $ 12,179,837 $ 9,007,993 $ 9,159,935 Allowance for Credit Losses. At December 31, 2022 and 2021 , 100% of our AFS securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. The NRSRO ratings may differ from any internal ratings of the securities, if applicable. We individually evaluate our AFS securities for impairment. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows that are contractually due by evaluating several qualitative factors. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security to its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded, but the allowance is limited to the amount of the unrealized loss. If we do not intend to sell an impaired AFS security and it is not more likely than not that we will be required to sell the security before recovery of its amortized cost basis, net of the allowance for credit losses, any difference between the security’s estimated fair value and net amortized cost is recorded to net unrealized gains (losses) on AFS securities within OCI. If we intend to sell an impaired AFS security, or more likely than not we will be required to sell the security before recovery of its amortized cost basis, any allowance for credit losses is reversed and the amortized cost is written down to the security’s estimated fair value at the reporting date with any such impairment reported in earnings. At December 31, 2022 and 2021, certain of our AFS securities were in an unrealized loss position; however, we did not record an allowance for credit losses because those losses were considered temporary and we expected to recover the entire amortized cost basis on these securities at maturity based upon the following qualitative factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) the U.S., GSE, and other Agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero, and (iv) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities before recovery of each security's remaining amortized cost basis. Held-to-Maturity Securities. Major Security Types. The following table presents our HTM securities by type of security. December 31, 2022 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses Value MBS: Other U.S. obligations single-family $ 2,991,702 $ 2,128 $ (43,106) $ 2,950,724 GSE single-family 619,910 518 (39,634) 580,794 GSE multifamily 628,589 — (3,889) 624,700 Total HTM securities $ 4,240,201 $ 2,646 $ (86,629) $ 4,156,218 December 31, 2021 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses Value MBS: Other U.S. obligations single-family $ 2,626,143 $ 7,384 $ (9,238) $ 2,624,289 GSE single-family 815,924 14,424 (4,773) 825,575 GSE multifamily 871,706 779 (192) 872,293 Total HTM securities $ 4,313,773 $ 22,587 $ (14,203) $ 4,322,157 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2022 and 2021 to tale d $26,125 and $28,440, respectively. Contractual Maturity. HTM securities are not presented by contractual maturity because they consisted entirely of MBS, whose actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. Realized Gains and Losses. During the year ended December 31, 2022, for operational reasons, we sold a portion of our HTM MBS. Proceeds from the sales totaled $69,919, resulting in net realized losses of $(1,059) determined by the specific identification method. For each of these HTM securities, we had previously collected at least 85% of the principal outstanding at the time of acquisition. As such, the sales were considered maturities for purposes of security classification. Allowance for Credit Losses. At December 31, 2022 and 2021 , 100% of our HTM securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. The NRSRO ratings may differ from any internal ratings of the securities, if applicable. Our HTM securities are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. We consider several qualitative factors when evaluating the potential for credit losses on our HTM securities and, if deemed necessary, an allowance for credit losses is recorded. At December 31, 2022 and 2021, we did not record an allowance for credit losses on any of our HTM securities based on the following qualitative factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, and (iii) the U.S., GSE, and other Agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2022 | |
Advances [Abstract] | |
Advances | Note 5 - Advances We offer a wide range of fixed- and adjustable-rate advance products with various maturities, interest rates, payment characteristics and optionality. Adjustable-rate advances have interest rates that reset periodically at a fixed spread to SOFR, LIBOR or another specified index. The following table presents advances outstanding by redemption term. December 31, 2022 December 31, 2021 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 430 6.74 $ — — Due in 1 year or less 14,517,059 3.77 7,863,703 0.59 Due after 1 year through 2 years 2,726,023 2.82 2,684,996 2.02 Due after 2 years through 3 years 3,316,683 2.73 3,536,759 1.35 Due after 3 years through 4 years 2,045,370 2.70 2,931,260 1.29 Due after 4 years through 5 years 3,938,017 3.96 1,908,432 1.34 Thereafter 10,747,880 2.70 8,384,458 0.82 Total advances, par value 37,291,462 3.26 27,309,608 1.03 Fair-value hedging basis adjustments, net (615,859) 179,115 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 6,856 9,112 Total advances (1) $ 36,682,459 $ 27,497,835 (1) Carrying value equals amortized cost, which excludes accrued interest receivable at December 31, 2022 and 2021 of $50,446 and $13,075, respectively. We offer our members certain advances that provide them the right, at predetermined future dates, to call (i.e., prepay) the advance prior to maturity without incurring prepayment or termination fees. We also offer certain adjustable-rate advances that may be contractually prepaid by the borrower at the interest-rate reset date without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance. We also offer putable advances. Under the terms of a putable advance, we retain the right to extinguish or put the fixed-rate advance to the member on predetermined future dates and offer replacement funding at current market rates, subject to certain conditions. The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption Earlier of Redemption December 31, December 31, Term 2022 2021 2022 2021 Overdrawn demand and overnight deposit accounts $ 430 $ — $ 430 $ — Due in 1 year or less 19,337,582 12,547,866 20,226,164 13,452,703 Due after 1 year through 2 years 2,299,023 2,578,396 3,207,023 3,090,101 Due after 2 years through 3 years 2,385,483 2,127,759 4,082,583 3,636,259 Due after 3 years through 4 years 1,592,245 1,997,060 2,045,370 3,007,160 Due after 4 years through 5 years 2,773,917 1,530,307 4,173,117 1,485,332 Thereafter 8,902,782 6,528,220 3,556,775 2,638,053 Total advances, par value $ 37,291,462 $ 27,309,608 $ 37,291,462 $ 27,309,608 Advance Concentrations . At December 31, 2022 and 2021, our top five borrowers held 41% and 43%, respectively, of total advances outstanding at par. Our top borrower at December 31, 2022 and 2021 held 12%. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. We determine the estimated value of the collateral required to secure each member's advances by applying collateral discounts, or haircuts, to the market value or UPB of the collateral, as applicable. At December 31, 2022 and 2021, we had rights to collateral on a borrower-by-borrower basis with an estimated lendable value equal to or in excess of our advances outstanding. At December 31, 2022 and 2021, we did not have any advances that were past due, on non-accrual status, or considered impaired. In addition, there were no troubled debt restructurings related to advances during the years ended December 31, 2022, 2021, or 2020. Based upon the collateral held as security, our credit extension and collateral policies, our credit analysis and the repayment history on advances, we have not recorded an allowance for credit losses on advances. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 6 - Mortgage Loans Held for Portfolio Mortgage loans held for portfolio consist substantially of residential loans acquired from our members through the MPP. The mortgage loans are fixed-rate and either credit enhanced by PFIs, if conventional, or guaranteed or insured by government agencies. The following tables present information on mortgage loans held for portfolio by term and type. Term December 31, 2022 December 31, 2021 Fixed-rate long-term mortgages $ 6,676,752 $ 6,417,543 Fixed-rate medium-term (1) mortgages 856,446 1,016,851 Total mortgage loans held for portfolio, UPB 7,533,198 7,434,394 Unamortized premiums 168,593 181,172 Unamortized discounts (9,466) (2,389) Hedging basis adjustments, net (5,670) 3,157 Total mortgage loans held for portfolio 7,686,655 7,616,334 Allowance for credit losses (200) (200) Total mortgage loans held for portfolio, net (2) $ 7,686,455 $ 7,616,134 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable at December 31, 2022 and 2021 of $30,396 and $27,977, respectively. Type December 31, 2022 December 31, 2021 Conventional $ 7,383,168 $ 7,254,056 Government-guaranteed or -insured 150,030 180,338 Total mortgage loans held for portfolio, UPB $ 7,533,198 $ 7,434,394 Conventional MPP. Our management of credit risk considers the several layers of loss protection that are defined in our agreements with the PFIs. Our loss protection consists of the following loss layers, in order of priority, (i) borrower equity; (ii) PMI up to coverage limits (when applicable for the acquisition of mortgages with an initial LTV ratio of over 80% at the time of purchase); (iii) available funds remaining in the LRA; and (iv) SMI coverage (as applicable) purchased by the seller from a third-party provider naming the Bank as the beneficiary, up to the policy limits. Any losses not absorbed by the loss protection are borne by the Bank. Government-Guaranteed or -Insured Mortgage Loans. These fixed-rate mortgage loans are guaranteed or insured by the FHA, Department of Veterans Affairs, Rural Housing Service of the Department of Agriculture, or United States Department of Housing and Urban Development . The servicer provides and maintains a guaranty or insurance from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guaranty or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses incurred on these loans that are not recovered from the insurer or guarantor are absorbed by the servicers. Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. Payment status is the key credit quality indicator for conventional mortgage loans and allows us to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure. The tables below present the key credit quality indicators and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the most recent five origination years and (ii) all other prior origination years. Amounts are based on amortized cost, which excludes accrued interest receivable. December 31, 2022 Origination Year Payment Status Prior to 2018 2018 to 2022 Total Past due: 30-59 days $ 17,892 $ 13,041 $ 30,933 60-89 days 4,537 1,992 6,529 90 days or more 9,498 2,979 12,477 Total past due 31,927 18,012 49,939 Total current 2,422,623 5,062,416 7,485,039 Total conventional mortgage loans, amortized cost $ 2,454,550 $ 5,080,428 $ 7,534,978 December 31, 2021 Origination Year Payment Status Prior to 2017 2017 to 2021 Total Past due: 30-59 days $ 16,968 $ 12,662 $ 29,630 60-89 days 4,175 1,767 5,942 90 days or more 18,599 11,206 29,805 Total past due 39,742 25,635 65,377 Total current 2,447,420 4,921,101 7,368,521 Total conventional mortgage loans, amortized cost (1) $ 2,487,162 $ 4,946,736 $ 7,433,898 December 31, 2022 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 1,655 $ — $ 1,655 Serious delinquency rate (2) 0.16 % 1.07 % 0.18 % Past due 90 days or more still accruing interest (3) $ 6,283 $ 1,552 $ 7,835 On non-accrual status (4) $ 10,984 $ — $ 10,984 December 31, 2021 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 1,999 $ — $ 1,999 Serious delinquency rate (2) 0.40 % 0.86 % 0.41 % Past due 90 days or more still accruing interest (3) $ 15,725 $ 1,364 $ 17,089 On non-accrual status (4) $ 23,487 $ — $ 23,487 (1) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status. (2) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. (3) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status as they are well-secured and in the process of collection. (4) As of December 31, 2022 and 2021, of these conventional mortgage loans on non-accrual status, $3,160 and $11,701, respectively, of UPB did not have a related allowance for credit losses because these loans were either previously charged off to the expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, exceeded the amortized cost of the loans. Allowance for Credit Losses. We apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, historical and current economic conditions, and reasonable and supportable forecasts of expected economic conditions. We estimate expected losses on our conventional mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate all troubled debt restructurings, any remaining exposure to delinquent conventional MPP loans paid in full by servicers, and collateral-dependent loans. Loans are considered collateral-dependent when a borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and then reduce the allowance accordingly because the credit enhancements are entered into in conjunction with the purchase of a loan and cannot be both legally detached and separately exercised. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both historical and current information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure over the estimated lives of the loans. One such key input is a 3-year forecast of housing prices with a 2-year gradual transition to full reversion to historical inputs after 5 years. Additionally, the evaluation is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans 180 days or more past due and not charged-off are also collectively evaluated at the pool level based on loan-specific attribution data, including the use of loan-level property values from a third-party. Individually Evaluated Mortgage Loans. Certain conventional mortgage loans, primarily troubled debt restructurings, are specifically identified and evaluated for purposes of determining the allowance for credit losses. The measurement of our allowance for individually evaluated loans considers loan-specific attribution data similar to homogeneous pools of delinquent loans evaluated on a collective basis, including the use of loan-level property values from a third-party. We also individually evaluate any remaining exposure to delinquent MPP conventional loans paid in full by the servicers. An estimate of the loss, if any, is equal to the estimated cost associated with maintaining and disposing of the property (which includes the UPB, interest owed on the delinquent loan to date, and estimated costs associated with disposing of the collateral) less the estimated fair value of the collateral (net of estimated selling costs) and the amount of credit enhancements including the PMI, LRA and SMI. The estimated fair value of the collateral is obtained from United States Department of Housing and Urban Development statements, sales listings or other evidence of current expected liquidation amounts. Qualitative Factors. We also assess multiple qualitative factors in our estimation of credit losses. These factors represent a subjective management judgment based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and therefore may not otherwise be captured in our methodology. Rollforward of Allowance for Credit Losses. The table below presents a rollforward of our allowance for credit losses. Rollforward of Allowance 2022 2021 2020 Balance, beginning of year $ 200 $ 350 $ 300 Charge-offs (11) (81) (140) Recoveries 85 39 50 Provision for (reversal of) credit losses (74) (108) 140 Balance, end of year $ 200 $ 200 $ 350 Government-Guaranteed or -Insured Mortgage Loans. Based on the U.S. government guarantee or insurance on these loans, our assessment of our servicers, and the collateral backing the loans, we did not record an allowance for credit losses for government-guaranteed or -insured mortgage loans at December 31, 2022 or 2021. Furthermore, none of these mortgage loans have been placed on non-accrual status due to the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met. |
Premises, Software and Equipmen
Premises, Software and Equipment | 12 Months Ended |
Dec. 31, 2022 | |
Property, Plant and Equipment [Abstract] | |
Premises, Software and Equipment | Note 7 - Premises, Software and Equipment The following table presents the types of our premises, software and equipment. Type December 31, 2022 December 31, 2021 Premises $ 14,768 $ 15,674 Computer software 51,601 49,886 Data processing equipment 6,539 5,354 Furniture and equipment 5,064 5,946 Other 675 640 Premises, software and equipment, in service 78,647 77,500 Accumulated depreciation and amortization (54,068) (48,420) Premises, software and equipment, in service, net 24,579 29,080 Capitalized assets in progress 2,726 1,491 Premises, software and equipment, net $ 27,305 $ 30,571 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Note 8 - Derivatives and Hedging Activities Nature of Business Activity. We are exposed to interest-rate risk primarily from the effect of changes in market interest rates on our interest-earning assets and on our interest-bearing liabilities that finance those assets. The goal of our interest-rate risk management strategies is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, we have established policies and procedures, which include guidelines on the extent of exposure to changes in interest rates that we are willing to accept. In addition, we monitor the risk to our interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. We use derivative financial instruments when they are the most cost-effective alternative to achieve our financial and risk management objectives. The most common ways in which we use derivatives are to: • reduce the interest-rate sensitivity and repricing gaps of assets and liabilities; • protect the value of existing asset and liability positions or of commitments and forecasted transactions; • mitigate the adverse earnings effects of the shortening or extension of the duration of certain assets (e.g., advances or mortgage assets) and liabilities; • reduce funding costs by executing a derivative concurrently with the issuance of a consolidated obligation as the cost of a combined funding structure can be lower than the cost of a comparable CO bond; • preserve a favorable interest-rate spread between the yield of an asset (e.g., an advance) and the cost of the related liability (e.g., CO bond used to fund advance); • manage embedded options in assets and liabilities; and • manage our overall asset/liability structure. We reevaluate our hedging strategies from time to time and, consequently, we may adopt new strategies or change our hedging techniques. However, Finance Agency regulation and our risk management policies prohibit trading in, or the speculative use of, these derivative instruments and limit credit risk arising from these instruments. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. We are not a derivatives dealer and thus do not trade derivatives for short-term profit. Derivative transactions may be either executed with a counterparty over-the-counter (uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Clearinghouse (cleared derivatives). Once a derivative transaction has been accepted for clearing by a Clearinghouse, the derivative transaction is novated, and the executing counterparty is replaced by the Clearinghouse. Types of Derivatives. We use the following types of derivative instruments. Interest-Rate Swaps. We use interest-rate swaps to hedge the risk of changes in the fair value of certain of our assets and liabilities due to changes in market interest rates. The variable rate we receive or pay in most interest-rate swaps is currently indexed to LIBOR, EFFR, or SOFR. Interest-Rate Cap and Floor Agreements. We use caps and floors to protect against interest rates on variable-rate assets or liabilities falling below or rising above certain levels. Interest-Rate Swaptions. We utilize payer or receiver swaptions to protect against the adverse effects of sudden increases or decreases in interest rates, respectively. Forward Contracts. We normally sell TBA MBS or other derivatives for forward settlement to protect against changes in the market values of fixed-rate MDCs resulting from changes in market interest rates. Types of Hedged Items. We document at inception all relationships between the derivatives designated as hedging instruments and the hedged items, our risk management objectives and strategies for undertaking various hedge transactions, and our method of assessing effectiveness. We have the following types of hedged items: Investments. We primarily invest in Agency MBS, U.S. Treasury obligations, and GSE and TVA debentures, which may be classified as trading, HTM or AFS securities. The interest-rate, prepayment and duration risks associated with these investment securities are managed through a combination of debt issuance and derivatives. We may manage those risks by funding these investment securities with CO bonds that contain call features. We may also hedge the prepayment risk with caps or floors, callable swaps or swaptions. We may manage the risk and volatility arising from changing market prices of investment securities by matching the cash outflows on the derivatives with the cash inflows on the investment securities. Certain of these derivatives qualify as fair-value hedges while others are designated as economic hedges. Advances. We offer a wide range of fixed- and adjustable-rate advance products with various maturities, interest rates, payment characteristics, and optionality. We may use derivatives to manage the repricing and/or options characteristics of advances in order to more closely match the characteristics of our funding liabilities. In general, whenever a member executes a fixed-rate advance or an adjustable-rate advance with embedded options, we may simultaneously execute a derivative with terms that offset the terms and embedded options in the advance. For example, we may hedge a fixed-rate advance with an interest-rate swap where we pay a fixed rate and receive a variable rate, effectively converting the fixed-rate advance to an adjustable-rate advance. This type of hedge is typically treated as a fair-value hedge. In addition, we may hedge a callable, prepayable or putable advance by entering into a cancellable interest-rate swap. Mortgage Loans. We invest in fixed-rate mortgage loans. The prepayment options embedded in these mortgage loans can result in extensions or contractions in the expected repayment of these loans, depending on changes in prepayment speeds. We may purchase interest-rate caps and floors, swaptions, callable swaps, calls, and puts to minimize the prepayment risk embedded in the loans. These derivatives are considered economic hedges against the prepayment risk of the loans, but they are not specifically linked to individual loans. Consolidated Obligations. We may enter into derivatives to hedge the interest-rate risk associated with our debt issuances. We manage the risk and volatility arising from changing market prices of consolidated obligations by matching the cash inflows on the derivatives with the cash outflows on the consolidated obligations. In a typical transaction, we issue a fixed-rate consolidated obligation and simultaneously enter into a matching derivative in which the counterparty pays fixed cash flows to us designed to match in timing and amount the cash outflows we pay on the consolidated obligation. In turn, we pay a variable cash flow to the counterparty that closely matches the interest payments we receive on short-term or variable-rate advances. These transactions are typically treated as fair-value hedges. Additionally, we may issue variable-rate CO bonds indexed to SOFR or the United States prime rate and simultaneously execute interest-rate swaps to hedge the basis risk of the variable-rate debt. Firm Commitments. In connection with our purchases of mortgage loans, we enter into MDCs. Certain MDCs entered into by us are considered derivatives. The MDC and the TBA used in the firm commitment hedging strategy are treated as an economic hedge and are marked to fair value through earnings. When the MDC settles, the current fair value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies, the United States Commodity Futures Trading Commission regulations, and Finance Agency regulations. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. We require collateral agreements with our uncleared derivatives. The exposure thresholds above which collateral must be delivered vary; the threshold is zero in most cases. Additionally, collateral related to derivatives with member institutions includes collateral assigned to us as evidenced by a written security agreement and held by the member institution for our benefit. For certain of our uncleared derivatives, we have credit support agreements that contain provisions requiring us to post additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating is lowered by an NRSRO, we could be required to deliver additional collateral on uncleared derivative instruments in net liability positions. There were no uncleared derivative instruments with credit-risk-related contingent features that were in a net liability position (before cash collateral and related accrued interest on cash collateral) at December 31, 2022. Cleared Derivatives. For cleared derivatives, the Clearinghouse is our counterparty. We use LCH.Clearnet LLC and CME Clearing as Clearinghouses for all cleared derivative transactions. Collateral is required to be posted daily for changes in the value of cleared derivatives to mitigate each counterparty's credit risk. The Clearinghouse notifies the clearing agent of the required initial and variation margin, and the clearing agent notifies us. The requirement that we post initial and variation margin through the clearing agent for the benefit of the Clearinghouse exposes us to institutional credit risk in the event that the clearing agent or Clearinghouse fails to meet its obligations. At both Clearinghouses, initial margin is considered cash collateral and variation margin is characterized as a daily settlement payment. The Clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At December 31, 2022, we were not required by our clearing agents to post any additional margin. Financial Statement Effect and Additional Financial Information. The notional amount of derivatives serves as a factor in determining periodic interest payments, or cash flows received and paid. The notional amount of derivatives also reflects the extent of our involvement in the various classes of financial instruments but represents neither the actual amounts exchanged nor our overall exposure to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the hedged items. We record derivative instruments, related cash collateral received or pledged/posted and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met. The following table presents the notional amount and estimated fair value of derivative assets and liabilities. December 31, 2022 December 31, 2021 Notional Derivative Derivative Notional Derivative Derivative Amount Assets Liabilities Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 66,103,220 $ 919,089 $ 2,178,897 $ 46,395,451 $ 105,446 $ 413,324 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 6,200,000 599 525 8,595,000 357 148 Interest-rate caps/floors 611,000 1,310 — 625,500 1,077 — Interest-rate forwards 30,200 131 — 98,200 1 199 MDCs 30,855 50 102 96,424 45 105 Total derivatives not designated as hedging instruments 6,872,055 2,090 627 9,415,124 1,480 452 Total derivatives before adjustments $ 72,975,275 921,179 2,179,524 $ 55,810,575 106,926 413,776 Netting adjustments and cash collateral (1) (486,758) (2,160,315) 113,276 (401,591) Total derivatives, net $ 434,421 $ 19,209 $ 220,202 $ 12,185 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2022 and 2021, including accrued interest, totaled $1,854,876 and $515,761, respectively. Cash collateral received from counterparties and held at December 31, 2022 and 2021, including accrued interest, totaled $181,319 and $894, respectively. At December 31, 2022 and 2021, no securities were pledged as collateral. The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral. December 31, 2022 December 31, 2021 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 892,313 $ 2,178,098 $ 105,667 $ 411,886 Cleared 28,685 1,324 1,213 1,586 Total gross recognized amount 920,998 2,179,422 106,880 413,472 Gross amounts of netting adjustments and cash collateral Uncleared (884,451) (2,158,991) (105,417) (400,005) Cleared 397,693 (1,324) 218,693 (1,586) Total gross amounts of netting adjustments and cash collateral (486,758) (2,160,315) 113,276 (401,591) Net amounts after netting adjustments and cash collateral Uncleared 7,862 19,107 250 11,881 Cleared 426,378 — 219,906 — Total net amounts after netting adjustments and cash collateral 434,240 19,107 220,156 11,881 Derivative instruments not meeting netting requirements (1) 181 102 46 304 Total derivatives, net, at estimated fair value $ 434,421 $ 19,209 $ 220,202 $ 12,185 (1) Includes MDCs and certain interest-rate forwards. The following table presents the impact of qualifying fair-value hedging relationships on net interest income by hedged item, excluding any offsetting interest income/expense of the associated hedged items. Year Ended December 31, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 52,810 $ 58,755 $ (136,188) $ (24,623) Net gains (losses) on derivatives (2) 725,919 432,904 (1,909,780) (750,957) Net gains (losses) on hedged items (3) (731,398) (502,643) 1,900,103 666,062 Net impact on net interest income $ 47,331 $ (10,984) $ (145,865) $ (109,518) Total interest income (expense) recorded in the Statement of Income (4) $ 634,148 $ 285,252 $ (712,038) $ 207,362 Year Ended December 31, 2021 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (183,075) $ (110,510) $ 103,143 $ (190,442) Net gains (losses) on derivatives (2) 425,804 303,349 (272,157) 456,996 Net gains (losses) on hedged items (3) (429,900) (321,097) 269,447 (481,550) Net impact on net interest income $ (187,171) $ (128,258) $ 100,433 $ (214,996) Total interest income (expense) recorded in the Statement of Income (4) $ 115,634 $ 99,646 $ (206,429) $ 8,851 Year Ended December 31, 2020 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (135,342) $ (109,907) $ 51,091 $ (194,158) Net gains (losses) on derivatives (2) (384,880) (507,403) 21,467 (870,816) Net gains (losses) on hedged items (3) 382,167 494,481 (13,617) 863,031 Net impact on net interest income $ (138,055) $ (122,829) $ 58,941 $ (201,943) Total interest income (expense) recorded in the Statement of Income (4) $ 329,675 $ 103,658 $ (461,953) $ (28,620) (1) 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. (2) Includes increases (decreases) in estimated fair value and price alignme nt interest. (3) Includes increases (decreases) in estimated fair value and amortization of net losses on ineffective and discontinued fair-value hedging relationships. (4) For advances, AFS securities and CO bonds only. The following table presents the components of net gains (losses) on derivatives reported in other income. Years Ended December 31, Type of Hedge 2022 2021 2020 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ 15,731 $ 13,347 $ 1,488 Swaptions — — (324) Interest-rate caps/floors 233 (36) 898 Interest-rate forwards 7,824 3,350 (13,377) Net interest settlements (1) 33,391 (9,137) (46,927) MDCs (8,750) (3,840) 9,880 Net gains (losses) on derivatives in other income $ 48,429 $ 3,684 $ (48,362) (1) Relates to derivatives that are not in qualifying fair-value hedging relationships. The interest income/expense of the associated hedged items is recorded in net interest income. The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships. December 31, 2022 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 20,766,832 $ 12,189,776 $ 28,717,246 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ (615,898) $ (1,417,774) $ (2,147,802) For discontinued fair-value hedging relationships 39 317,888 — Total cumulative fair-value hedging basis adjustments on hedged items $ (615,859) $ (1,099,886) $ (2,147,802) December 31, 2021 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 17,374,515 $ 9,007,993 $ 20,902,714 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 178,543 $ (184,724) $ (247,699) For discontinued fair-value hedging relationships 572 390,923 — Total cumulative fair-value hedging basis adjustments on hedged items $ 179,115 $ 206,199 $ (247,699) (1) Includes the amortized cost of the hedged items in active or discontinued fair-value hedging relationships. (2) Includes effective and ineffective fair-value hedging relationships. Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Deposit Liabilities
Deposit Liabilities | 12 Months Ended |
Dec. 31, 2022 | |
Deposits [Abstract] | |
Deposit Liabilities | Note 9 - Deposit Liabilities We offer demand and overnight deposits to members and qualifying non-members. In addition, we offer short-term interest-bearing deposit programs to members. A member that services mortgage loans may deposit funds collected in connection with the mortgage loans, pending disbursement of such funds to the owners of the mortgage loans. We classify these items as other deposits. Demand, overnight, and other deposits pay interest based on a daily interest rate. Time deposits pay interest based on a fixed rate determined at the origination of the deposit. The following table presents the types of our interest-bearing and non-interest-bearing deposits. Type December 31, 2022 December 31, 2021 Interest-bearing: Demand and overnight $ 571,971 $ 1,363,988 Time 23,898 — Other 38 903 Total interest-bearing 595,907 1,364,891 Non-interest-bearing: Other (1) — 1,506 Total non-interest-bearing — 1,506 Total deposits $ 595,907 $ 1,366,397 (1) Includes pass-through deposit reserves from members. |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 10 - Consolidated Obligations Consolidated obligations consist of CO bonds and discount notes. CO bonds may be issued to raise short-, intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Discount notes are issued primarily to raise short-term funds and have original maturities of up to one year. These notes generally sell at less than their face amount and are redeemed at par value when they mature. The FHLBanks issue consolidated obligations through the Office of Finance as their agent under the oversight of the Finance Agency and the United States Secretary of the Treasury. In connection with each debt issuance, each FHLBank specifies the amount of debt to be issued on its behalf. Each FHLBank records as a liability the specific portion of consolidated obligations issued on its behalf and for which it is the primary obligor. In addition to being the primary obligor for all consolidated obligations issued on our behalf, we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all of the FHLBanks' consolidated obligations outstanding. The par values of the FHLBanks' consolidated obligations outstanding at December 31, 2022 and 2021 totaled $1.2 trillion and $652.9 billion, respectively. As provided by the Bank Act and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation whether or not the consolidated obligation represents a primary liability of that FHLBank. Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if that event should occur, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement for any payments made on behalf of another FHLBank and other associated costs, including interest to be determined by the Finance Agency. If, however, the Finance Agency determines that such other FHLBank is unable to satisfy its repayment obligations to the paying FHLBank, then the Finance Agency may allocate the outstanding liability of such other FHLBank among the remaining FHLBanks on a pro-rata basis in proportion to their participation in all outstanding consolidated obligations, or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. We do not believe that it is probable that we will be asked or required to make principal or interest payments on behalf of another FHLBank. Discount Notes. The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes December 31, 2022 December 31, 2021 Book value $ 27,387,492 $ 12,116,358 Par value 27,533,665 12,117,846 Weighted average effective interest rate 4.16 % 0.05 % CO Bonds. The following table presents our CO bonds outstanding by contractual maturity. December 31, 2022 December 31, 2021 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 10,016,310 3.05 $ 14,357,350 0.29 Due after 1 year through 2 years 8,014,590 1.48 2,965,510 1.02 Due after 2 years through 3 years 6,278,940 1.37 5,797,550 0.76 Due after 3 years through 4 years 7,130,600 1.25 3,947,300 0.83 Due after 4 years through 5 years 2,312,540 1.76 6,587,600 1.14 Thereafter 8,249,080 2.35 8,894,940 2.09 Total CO bonds, par value 42,002,060 1.99 42,550,250 0.96 Unamortized premiums 45,535 77,035 Unamortized discounts (10,165) (11,268) Unamortized concessions (7,174) (6,746) Fair-value hedging basis adjustments, net (2,147,802) (247,699) Total CO bonds $ 39,882,454 $ 42,361,572 Consolidated obligations are issued with either fixed-rate or variable-rate coupon payment terms that may use a variety of indices for interest-rate resets, such as SOFR or the United States prime rate. To meet the specific needs of certain investors in CO bonds, both fixed-rate and variable-rate CO bonds may contain features that result in complex coupon payment terms and call options. When these CO bonds are issued, we may enter into derivatives containing features that offset the terms and embedded options, if any, of the CO bonds. CO bonds may also be callable. Such bonds may be redeemed in whole or in part, at our discretion, on predetermined call dates according to the terms of the offerings. The following tables present the par value of our CO bonds outstanding by call features and the earlier of the year of contractual maturity or next call date. Call Feature December 31, 2022 December 31, 2021 Non-callable / non-putable $ 11,979,560 $ 20,346,750 Callable 30,022,500 22,203,500 Total CO bonds, par value $ 42,002,060 $ 42,550,250 Year of Contractual Maturity or Next Call Date December 31, 2022 December 31, 2021 Due in 1 year or less $ 37,066,810 $ 36,028,850 Due after 1 year through 2 years 1,444,590 3,122,510 Due after 2 years through 3 years 770,940 586,550 Due after 3 years through 4 years 804,100 577,300 Due after 4 years through 5 years 268,540 415,100 Thereafter 1,647,080 1,819,940 Total CO bonds, par value $ 42,002,060 $ 42,550,250 In addition to CO bonds with fixed-rate or simple variable-rate interest payment terms, step-up CO bonds pay interest at increasing fixed rates for specified intervals over their lives and generally contain provisions enabling us to call them at our option on the step-up dates. The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type December 31, 2022 December 31, 2021 Fixed-rate $ 36,957,560 $ 36,717,750 Step-up 2,268,500 898,500 Simple variable-rate 2,776,000 4,934,000 Total CO bonds, par value $ 42,002,060 $ 42,550,250 |
Affordable Housing Program
Affordable Housing Program | 12 Months Ended |
Dec. 31, 2022 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program | Note 11 - Affordable Housing Program The Bank Act requires each FHLBank to establish an AHP, in which the FHLBank provides subsidies in the form of direct grants to members that use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must set aside for the AHP the greater of the aggregate of $100 million or 10% of each FHLBank's net earnings. For purposes of the AHP calculation, net earnings is defined in a Finance Agency Advisory Bulletin as income before assessments, plus interest expense related to MRCS. Our required AHP expense in 2022, 2021, and 2020 was $19,876, $10,720, and $10,717, respectively. Additionally, in 2022, we voluntarily contributed $4,159 to our AHP, which is reported in other expenses. The following table summarizes the activity in our AHP funding obligation. AHP Activity 2022 2021 2020 Liability at beginning of year $ 31,049 $ 34,402 $ 38,084 Assessment (expense) 19,876 10,720 10,717 Voluntary contribution 4,159 — — Subsidy usage, net (1) (16,914) (14,073) (14,399) Liability at end of year $ 38,170 $ 31,049 $ 34,402 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2022 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Note 12 - Capital We are a financial cooperative whose member and former member institutions (or legal successors) own all of our outstanding capital stock. Former members (including certain non-member institutions that own our capital stock as a result of a merger with or acquisition of a member) own our capital stock solely to support credit products or mortgage loans still outstanding on our statement of condition. Member shares cannot be purchased or sold except between us and our members or, with our written approval, among our members, at the par value of one hundred dollars per share, as mandated by our capital plan and Finance Agency regulation. Classes of Capital Stock . Our capital plan divides our Class B stock into two sub-series: Class B-1 and Class B-2. Class B-1 stock is held by our members to satisfy their membership stock requirements, while Class B-2 stock is held to satisfy their activity-based stock requirements. A member's Class B-1 stock is reclassified as B-2 as needed to help fulfill the member's activity-based stock requirement, and the member may be required to purchase additional Class B-2 stock to fully meet that requirement. Any excess stock (i.e., the amount of stock held by a member or former member in excess of the stock ownership requirement for that institution) is automatically classified as Class B-1. The following table presents the capital stock outstanding by sub-series. Capital Stock Sub-Series December 31, 2022 December 31, 2021 Class B-1 $ 535,345 $ 931,517 Class B-2 1,587,780 1,314,684 Total Class B $ 2,123,125 $ 2,246,201 Our capital plan also permits the board of directors to authorize the issuance of Class A stock although, as of December 31, 2022, the board of directors had not authorized such issuance. If authorized, a member may elect to purchase Class A stock, rather than Class B-2 stock, to satisfy the member’s activity-based stock requirement, subject to certain restrictions. Dividends. Our board of directors may, but is not required to, declare and pay dividends on our Class B stock in either cash or capital stock or a combination thereof, as long as we are in compliance with Finance Agency regulations. The amount of the dividend to be paid is based on the average number of shares of each sub-series held by the member during the dividend payment period (applicable quarter). Our capital plan does not mandate a specific difference between Class B-1 and Class B-2 dividend rates. Rather, the board of directors may declare a dividend rate on Class B-2 stock that is equal to or greater than the rate on Class B-1 stock. The plan also authorizes the board of directors to declare a dividend rate on Class A stock (if issued and outstanding) that is equal to or greater than the rate on Class B-1 stock. Stock Redemption and Repurchase. In accordance with the Bank Act, our capital stock is considered putable by the member. Members can redeem Class B stock, subject to certain restrictions, by giving five six We are not required to redeem a member's required capital stock until the expiration of the notice of redemption, or until the activity to which the capital stock relates no longer remains outstanding, whichever is later. However, we may repurchase, at our sole discretion, any member's capital stock that exceeds the required minimum amount, subject to significant statutory and regulatory restrictions on our right to repurchase, or obligation to redeem, the outstanding stock. As a result, whether or not a member may have its capital stock repurchased or redeemed will depend, in part, on whether we are in compliance with those restrictions. A member may cancel or revoke its written notice of redemption or its notice of withdrawal from membership prior to the conclusion of the applicable redemption period. However, our capital plan provides that we may charge a cancellation fee to a member that cancels or revokes its withdrawal notice. Mandatorily Redeemable Capital Stock. When a member withdraws or otherwise attains non-member status, the member's shares are then subject to redemption and become mandatorily redeemable, resulting in a reclassification of the member's capital stock to a liability as MRCS at estimated fair value, which is equal to par value. The following table presents the activity in our MRCS. MRCS Activity 2022 2021 2020 Liability at beginning of year $ 50,422 $ 250,768 $ 322,902 Reclassification from capital stock 329,232 4,730 32,791 Redemptions/repurchases (7,151) (205,076) (104,965) Accrued distributions — — 40 Liability at end of year $ 372,503 $ 50,422 $ 250,768 The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the five year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption December 31, 2022 December 31, 2021 Past contractual redemption date (1) $ 498 $ 577 Year 1 (2) 10,048 11,835 Year 2 9,872 471 Year 3 19,179 9,873 Year 4 3,674 23,218 Year 5 329,232 4,448 Total MRCS $ 372,503 $ 50,422 (1) Balance represents Class B stock that will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Balance at December 31, 2022 and 2021 includes $9,585 and $11,835, respectively of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021. The stock is not past its contractual redemption date, but will be redeemed as soon as the associated credit products and other obligations are no longer outstanding. If a member's membership status changes to a non-member during a quarterly dividend period, but not at the beginning or the end of a quarterly period, any dividends for that quarterly period are allocated between distributions from retained earnings for the shares held as capital stock during that period and interest expense for the shares held as MRCS during that period. Therefore, the distributions from retained earnings represent dividends to former members for only the portion of the period that they were members. The amounts recorded to interest expense represent dividends to former members for the portion of that period and subsequent periods that they were not members. The following table presents the distributions related to MRCS. Years Ended December 31, MRCS Distributions 2022 2021 2020 Recorded as interest expense $ 2,140 $ 2,601 $ 8,594 Recorded as distributions from retained earnings 2,067 97 40 Total $ 4,207 $ 2,698 $ 8,634 Capital Requirements. We are subject to three capital requirements under our capital plan and Finance Agency regulations: (i) Risk-based capital. We must maintain at all times permanent capital, defined as Class B stock (including MRCS) 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 Finance Agency regulations. The Finance Agency may require us to maintain a greater amount of permanent capital than is required by the risk-based capital requirements as defined. (ii) Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least 4%. Total regulatory capital is the sum of permanent capital, any general loss allowance, if consistent with GAAP and not held against specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses. For regulatory capital purposes, AOCI is not considered capital. (iii) Leverage capital. We are required to maintain at all times a leverage capital-to-assets ratio of at least 5%. Leverage capital is defined as the sum of (a) permanent capital weighted 1.5 times and (b) all other components of total capital. As presented in the following table, we were in compliance with these Finance Agency's capital requirements at December 31, 2022 and 2021. December 31, 2022 December 31, 2021 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 489,240 $ 3,781,992 $ 1,091,337 $ 3,473,695 Total regulatory capital $ 2,891,351 $ 3,781,992 $ 2,400,184 $ 3,473,695 Total regulatory capital-to-assets ratio 4.00% 5.23% 4.00% 5.79% Leverage capital $ 3,614,189 $ 5,672,988 $ 3,000,230 $ 5,210,543 Leverage ratio 5.00% 7.85% 5.00% 8.69% Partial Recovery of Prior Capital Distribution to Financing Corporation. The Competitive Equality Banking Act of 1987 was enacted in August 1987, which, among other things, provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, FICO. The capitalization of FICO was provided by capital distributions from the FHLBanks to FICO in 1987, 1988 and 1989 that aggregated to $680 million in exchange for FICO nonvoting capital stock. Upon passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989, the Bank's previous investment in capital stock of FICO was determined to be non-redeemable and, therefore, the Bank charged-off its prior capital distributions to FICO directly against retained earnings. Upon the dissolution of FICO in October 2019, FICO determined that excess funds aggregating to $200 million were available for distribution to its sole stockholders, the FHLBanks. Specifically, the Bank received $10,574 during the year ended December 31, 2020 which was determined based on our proportionate ownership of FICO's nonvoting capital stock. The Bank treated the receipt of these funds as a partial recovery of the prior capital distributions made by the Bank to FICO. These funds were credited to unrestricted retained earnings. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2022 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income | Note 13 - Accumulated Other Comprehensive Income The following table presents a summary of the changes in the components of AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains 47,108 — 47,108 Reclassifications from OCI to net income: Pension benefits, net — (9,082) (9,082) Total other comprehensive income (loss) 47,108 (9,082) 38,026 Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402 OCI before reclassifications: Net change in unrealized gains 15,021 — 15,021 Reclassifications from OCI to net income: Pension benefits, net — 12,635 12,635 Total other comprehensive income 15,021 12,635 27,656 Balance, December 31, 2021 $ 151,942 $ (18,884) $ 133,058 OCI before reclassifications: Net change in unrealized gains (losses) (161,881) — (161,881) Reclassifications from OCI to net income: Pension benefits, net — 3,032 3,032 Total other comprehensive income (loss) (161,881) 3,032 (158,849) Balance, December 31, 2022 $ (9,939) $ (15,852) $ (25,791) |
Employee Retirement and Deferre
Employee Retirement and Deferred Compensation Plans | 12 Months Ended |
Dec. 31, 2022 | |
Retirement Benefits [Abstract] | |
Employee Retirement and Deferred Compensation Plans | Note 14 - Employee Retirement and Deferred Compensation Plans Qualified Defined Contribution Plan. The Bank participated in a tax-qualified multiple-employer retirement savings plan through October 1, 2020. Effective October 2, 2020, the Bank adopted a tax-qualified single-employer plan. The terms of such plans are substantially the same. This DC plan covers our officers and other employees who meet certain eligibility requirements. The Bank makes a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. In addition, the Bank makes a non-elective contribution to the account of each participant who is not eligible to participate in the Bank's DB plan. During the years ended December 31, 2022, 2021 and 2020, we contribut ed a total of $2,742, $2,682 , and $2,810, respectively. Qualified Defined Benefit Pension Plan. We participate in a tax-qualified, defined benefit pension plan for financial institutions administered by Pentegra Retirement Services. This DB Plan is treated as a multiemployer plan for accounting purposes but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 and the Internal Revenue Code. As a result, certain multiemployer plan disclosures are not applicable. Under the DB Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits to employees of that employer only. Also, in the event that a participating employer is unable to meet its contribution or funding requirements, the required contributions for the other participating employers (including us) could increase proportionately. Our contributions to the DB Plan for the fiscal years e nded December 31, 2022, 2021 and 2020 were not more than 5% of the total contributions to the DB Plan by all participating employers for the plan years ended June 30, 2021, 2020 and 2019, respectively. Our DB Plan covers our officers and other employees who meet certain eligibility requirements, including an employment date prior to February 1, 2010. The DB Plan operates on a fiscal year from July 1 through June 30 and files one Form 5500 on behalf of all participating employers. The most recent Form 5500 available for the DB Plan is for the plan year ended June 30, 2021. The Employer Identification Number is 13-5645888 and the three digit plan number is 333. There are no collective bargaining agreements in place. The DB Plan's annual valuation process includes calculating its funded status and separately calculating the funded status of each participating employer. The funded status is calculated as the market value of plan assets divided by the funding target which is equal to 100% of the present value of all benefits accrued, utilizing a discount rate calculation methodology prescribed by the 2012 Moving Ahead for Progress in the 21st Century Act ("MAP-21"). Such methodology continued to result in an otherwise higher discount rate at the plan valuation dates, which resulted in a lower funding target and a higher funded status each year. Over time, the favorable impact of MAP-21 may decline. As permitted by the Employee Retirement Income Security Act of 1974, the DB Plan accepts contributions for the prior plan year up to eig ht and a half months after the asset valuation date. As a result, the market value of plan assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The following table presents a summary of net pension costs charged to compensation and benefits expense and the DB Plan's funded status. DB Plan Net Pension Cost and Funded Status 2022 2021 2020 Net pension cost charged to compensation and benefits expense for the year ended December 31 (1) $ 7,009 $ 5,482 $ 3,211 DB Plan funded status as July 1 119 % (a) 130 % (b) 108 % Our funded status as of July 1 110 % 126 % 104 % (1) Includes voluntary contributions for the years ended December 31, 2022, 2021 and 2020 of $6,301, $4,112, and $1,944, respectively. (a) The DB Plan's funded status as of July 1, 2022 is preliminary and may increase because the participating employers are permitted to make designated contributions through March 15, 2023 for the plan year ended June 30, 2022. Any such contributions will be included in the final valuation as of July 1, 2022. The final funded status as of July 1, 2022 will not be available until the Form 5500 for the plan year ended June 30, 2023 is filed (no later than April 2024). (b) The DB Plan's final funded status as of July 1, 2021 will not be available until the Form 5500 for the plan year ended June 30, 2022 is filed (no later than April 2023). Nonqualified Defined Benefit Supplemental Retirement Plan. We participate in a nonqualified, single-employer, unfunded supplemental executive retirement plan. This SERP restores all of the defined benefits to participating employees who have had their qualified defined benefits limited by Internal Revenue Service regulations. Because the SERP is a nonqualified unfunded plan, no contributions are required to be made. However, we may elect to make contributions to a related grantor trust that we established to indirectly fund the SERP in order to maintain a desired funding level. Payments of benefits may be made from the related grantor trust or from our general assets. The following table presents the changes in our SERP benefit obligation. Change in benefit obligation 2022 2021 2020 Projected benefit obligation at beginning of year $ 50,577 $ 58,330 $ 42,719 Service cost 2,127 3,528 2,489 Interest cost 856 1,067 1,086 Actuarial (gain) loss (1,121) 119 12,551 Benefits paid (523) (523) (515) Settlements — (5,665) — Plan amendment — (6,279) — Projected benefit obligation at end of year $ 51,916 $ 50,577 $ 58,330 The actuarial (gain) loss includes the impact of the changes in the discount rate, compensation, mortality, demographics and other components used to calculate the projected benefit obligation at December 31 of each year. The following table presents the key assumptions used in the actuarial calculations of the benefit obligation. December 31, 2022 2021 2020 Discount rate 4.86 % 2.29 % 1.54 % Compensation increases 5.50 % 5.50 % 5.50 % The discount rate represents a weighted average that was determined by a discounted cash-flow approach, which incorporates the timing of each expected future benefit payment. We estimate future benefit payments based on the census data of the SERP's participants, benefit formulas and provisions, and valuation assumptions reflecting the probability of decrement and survival. We then determine the present value of the future benefit payments by using duration-based interest-rate yields from the Financial Times Stock Exchange Pension Discount Curve as of the measurement date, and solving for the single discount rate that produces the same present value of the future benefit payments. The accumulated benefit obligation for the SERP, which excludes projected future salary increases as of December 31, 2022 and 2021 was $41,457 an d $36,545 , respectively. The unfunded benefit obligation is reported in other liabilities. Although there are no plan assets, the assets in the related grantor trust, included as a component of other assets, had a total estimated fair v alue at December 31, 2022 and 2021 of $46,688 and $55,008, respectively. The following table presents the components of the net periodic benefit cost for the SERP. Years Ended December 31, 2022 2021 2020 Net periodic benefit cost: Service cost $ 2,127 $ 3,528 $ 2,489 Total recognized in compensation and benefits 2,127 3,528 2,489 Interest cost 856 1,067 1,086 Amortization of past service credit (874) — — Amortization of net actuarial loss 2,785 3,706 3,469 Accelerated amortization of net actuarial loss due to settlements — 2,769 — Total recognized in other expenses 2,767 7,542 4,555 Total net periodic benefit cost recognized in income before assessments 4,894 11,070 7,044 Pension benefits recognized in OCI: Actuarial loss (1,121) 119 12,551 Amortization of net actuarial loss (2,785) (3,706) (3,469) Accelerated amortization of net actuarial loss due to settlements — (2,769) — Past service credit due to plan amendment — (6,279) — Amortization of past service credit 874 — — Net pension benefits recognized in OCI (3,032) (12,635) 9,082 Total recognized as net periodic benefit cost $ 1,862 $ (1,565) $ 16,126 The following table presents the key assumptions used in the actuarial calculations to determine net periodic benefit cost for the SERP. Years Ended December 31, 2022 2021 2020 Discount rate (1) 2.29 % 2.06 % 2.55 % Compensation increases 5.50 % 5.50 % 5.50 % (1) The discount rate for 2021 was 1.54% for the first six months and 2.06% for the last six months. The following table presents the components of the pension benefits reported in AOCI for the SERP. December 31, 2022 December 31, 2021 Net actuarial loss $ (21,257) $ (25,163) Past service credit due to plan amendment 5,405 6,279 Net pension benefits reported in AOCI $ (15,852) $ (18,884) The net periodic benefit cost for the SERP, including the net amount to be amortized, for the year ending December 31, 2023 is projected to be approxima tely $4,722. The following table presents the estimated future benefit payments reflecting scheduled benefit payments for retired participants and the estimated payments to active participants, based on the form of payment elected by the participant and the actuarial probability of the participant retiring. Actual payments may differ significantly. For the Years Ending December 31, 2023 $ 27,927 2024 1,809 2025 2,274 2026 2,452 2027 2,735 2028 - 2032 15,912 |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2022 | |
Segment Reporting [Abstract] | |
Segment Information | Note 15 - Segment Information We report based on two operating segments: • Traditional, which consists of credit products (including advances, standby letters of credit, and lines of credit), investments (including federal funds sold, securities purchased under agreements to resell, interest-bearing demand deposit accounts, and investment securities), and correspondent services and deposits; and • Mortgage loans, which consists substantially of mortgage loans purchased from our members through our MPP. These segments reflect our two primary mission asset activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways we provide services to members. We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Traditional net interest income is derived primarily from the spread between the interest income earned on advances and investments and the borrowing costs related to those assets, net interest settlements and changes in fair value related to certain interest-rate swaps, and related premium and discount amortization. Traditional also includes the costs related to holding deposits for members and other miscellaneous borrowings. Mortgage loan net interest income is derived primarily from the spread between the interest income earned on mortgage loans, including the premium and discount amortization, and the borrowing costs related to those loans. Direct other income and expense also affect each segment's results. The traditional segment includes the direct earnings impact of certain derivatives and hedging activities related to advances, investments and consolidated obligations as well as all other miscellaneous income and expense not associated with mortgage loans. The mortgage loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct compensation, benefits and other expenses (including an allocation for indirect overhead) associated with operating the MPP and volume-driven costs associated with master servicing and quality control fees. The AHP assessments have been allocated to each segment based upon its proportionate share of income before assessments. The following table presents our financial performance by operating segment. Year Ended December 31, 2022 Traditional Mortgage Loans Total Net interest income $ 240,361 $ 50,337 $ 290,698 Provision for (reversal of) credit losses — (74) (74) Other income (loss) 20,101 (657) 19,444 Other expenses 97,158 16,436 113,594 Income before assessments 163,304 33,318 196,622 Affordable Housing Program assessments 16,544 3,332 19,876 Net income $ 146,760 $ 29,986 $ 176,746 Year Ended December 31, 2021 Traditional Mortgage Loans Total Net interest income $ 229,505 $ 22,035 $ 251,540 Provision for (reversal of) credit losses — (108) (108) Other income (loss) (33,495) (324) (33,819) Other expenses 96,760 16,465 113,225 Income before assessments 99,250 5,354 104,604 Affordable Housing Program assessments 10,185 535 10,720 Net income $ 89,065 $ 4,819 $ 93,884 Year Ended December 31, 2020 Traditional Mortgage Loans Total Net interest income $ 253,683 $ 9,687 $ 263,370 Provision for (reversal of) credit losses — 140 140 Other income (loss) (52,262) (3,254) (55,516) Other expenses 92,953 16,181 109,134 Income (loss) before assessments 108,468 (9,888) 98,580 Affordable Housing Program assessments (credits) 11,706 (989) 10,717 Net income (loss) $ 96,762 $ (8,899) $ 87,863 We have not symmetrically allocated assets to each segment based upon financial results as it is impracticable to measure the performance of our segments from a total assets perspective. As a result, there is asymmetrical information presented in the tables above including, among other items, the allocation of depreciation without an allocation of the depreciable assets, derivatives and hedging earnings adjustments with no corresponding allocation to derivative assets, if any, and the recording of interest income with no allocation to accrued interest receivable. The following table presents our asset balances by operating segment. Date Traditional Mortgage Loans Total December 31, 2022 $ 64,597,325 $ 7,686,455 $ 72,283,780 December 31, 2021 52,388,469 7,616,134 60,004,603 |
Estimated Fair Values
Estimated Fair Values | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Value | Note 16 - Estimated Fair Values We estimate fair value amounts by using available market and other pertinent information and the most appropriate valuation methods. Although we use our best judgment in estimating the fair values of financial instruments, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Certain estimates of the fair value of financial assets and liabilities are highly subjective and require judgments regarding significant factors such as the amount and timing of future cash flows, prepayment speeds, interest-rate volatility, and the discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Fair Value Hierarchy . GAAP establishes a fair value hierarchy and requires us to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring estimated fair value. The inputs are evaluated, and an overall level for the estimated fair value measurement is determined. This overall level is an indication of the extent of the market observability of the estimated fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs. Quoted prices (unadjusted) for identical assets or liabilities in an active market that we can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs. Inputs other than quoted prices within level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active; (iii) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (iv) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs. Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. There were no such reclassifications during the years ended December 31, 2022, 2021, or 2020. The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities. December 31, 2022 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 21,161 $ 21,161 $ 21,161 $ — $ — $ — Interest-bearing deposits 856,060 856,060 856,019 41 — — Securities purchased under agreements to resell 4,550,000 4,550,000 — 4,550,000 — — Federal funds sold 3,148,000 3,148,000 — 3,148,000 — — Trading securities 2,230,248 2,230,248 — 2,230,248 — — AFS securities 12,179,837 12,179,837 — 12,179,837 — — HTM securities 4,240,201 4,156,218 — 4,156,218 — — Advances 36,682,459 36,468,949 — 36,468,949 — — Mortgage loans held for portfolio, net 7,686,455 6,867,904 — 6,859,956 7,948 — Accrued interest receivable 152,867 152,867 — 152,867 — — Derivative assets, net 434,421 434,421 — 921,179 — (486,758) Grantor trust assets (2) 53,166 53,166 53,166 — — — Liabilities: Deposits 595,907 595,907 — 595,907 — — Consolidated obligations: Discount notes 27,387,492 27,387,547 — 27,387,547 — — Bonds 39,882,454 38,690,400 — 38,690,400 — — Accrued interest payable 162,584 162,584 — 162,584 — — Derivative liabilities, net 19,209 19,209 — 2,179,524 — (2,160,315) MRCS 372,503 372,503 372,503 — — — December 31, 2021 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 867,880 $ 867,880 $ 867,880 $ — $ — $ — Interest-bearing deposits 100,041 100,041 100,000 41 — — Securities purchased under agreements to resell 3,500,000 3,500,000 — 3,500,000 — — Federal funds sold 2,580,000 2,580,000 — 2,580,000 — — Trading securities 3,946,799 3,946,799 — 3,946,799 — — AFS securities 9,159,935 9,159,935 — 9,159,935 — — HTM securities 4,313,773 4,322,157 — 4,322,157 — — Advances 27,497,835 27,462,295 — 27,462,295 — — Mortgage loans held for portfolio, net 7,616,134 7,810,378 — 7,787,334 23,044 — Accrued interest receivable 80,758 80,758 — 80,758 — — Derivative assets, net 220,202 220,202 — 106,926 — 113,276 Grantor trust assets (2) 62,640 62,640 62,640 — — — Liabilities: Deposits 1,366,397 1,366,397 — 1,366,397 — — Consolidated obligations: Discount notes 12,116,358 12,115,318 — 12,115,318 — — Bonds 42,361,572 42,643,536 — 42,643,536 — — Accrued interest payable 88,068 88,068 — 88,068 — — Derivative liabilities, net 12,185 12,185 — 413,776 — (401,591) MRCS 50,422 50,422 50,422 — — — (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. (2) Included in other assets on the statement of condition. Summary of Valuation Techniques and Significant Inputs. The valuation techniques and significant inputs used to develop our measurement of estimated fair value for assets and liabilities that are measured at fair value on a recurring or non-recurring basis in the Statement Condition are listed below. Investment Securities - MBS. The estimated fair value incorporates prices from multiple third-party pricing vendors, when available. These pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources, including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. We conduct reviews of the pricing vendors' processes, methodologies and control procedures to confirm and further augment our understanding of the vendors' prices for our MBS. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by us. Our valuation technique for estimating the fair values of MBS initially requires the establishment of a "median" price for each security. All prices that are within a specified tolerance threshold of the median price are then included in the "cluster" of prices that are averaged to compute a "default" price. All prices that are outside the threshold (i.e., outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If so, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. In all cases, the final price is used to determine the estimated fair value of the security. As of December 31, 2022 and 2021 , we obtained two or three prices for substantially all of our MBS. Investment Securities - non-MBS. The estimated fair value is determined using market-observable price quotes from third-party pricing vendors, such as the Composite Bloomberg Bond Trader screen, thus falling under the market approach. Derivative assets/liabilities. We base the estimated fair values of derivatives with similar terms on market prices when available. However, active markets do not exist for many of our derivatives. Consequently, fair values for these instruments are generally estimated using standard valuation techniques such as discounted cash-flow analysis and comparisons to similar instruments. In limited instances, fair value estimates for derivatives are obtained from dealers and are corroborated by using a pricing model and observable market data (e.g., the LIBOR or EFFR/SOFR curves). A discounted cash flow analysis utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • LIBOR curve or the EFFR/SOFR curve, as applicable, to project cash flows for collateralized interest-rate swaps and the EFFR/SOFR curve only to discount those cash flows; and • Volatility assumption - market-based expectations of future interest-rate volatility implied from current market prices for similar options. TBAs: • TBA securities prices - market-based prices are determined by coupon, maturity and expected term until settlement. MDCs: • TBA securities prices - prices are then adjusted for differences in coupon, average loan rate and seasoning. The estimated fair values of our derivative assets and liabilities include accrued interest receivable/payable and related cash collateral. The estimated fair values of the accrued interest receivable/payable and cash collateral equal their carrying values due to their short-term nature. We adjust the estimated fair values of our derivatives for counterparty nonperformance risk, particularly credit risk, as appropriate. We compute our nonperformance risk adjustment by using observable credit default swap spreads and estimated probability default rates applied to our exposure after considering collateral held or placed. Grantor Trust Assets. Grantor trust assets, included as a component of other assets, are carried at estimated fair value based on quoted market prices as of the last business day of the reporting period. Estimated Fair Value Measurements . The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. December 31, 2022 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 2,230,248 $ — $ 2,230,248 $ — $ — Total trading securities 2,230,248 — 2,230,248 — — AFS securities: U.S. Treasury obligations 4,209,674 — 4,209,674 — — GSE and TVA debentures 1,902,703 — 1,902,703 — — GSE multifamily MBS 6,067,460 — 6,067,460 — — Total AFS securities 12,179,837 — 12,179,837 — — Derivative assets: Interest-rate related 434,371 — 921,129 — (486,758) MDCs 50 — 50 — — Total derivative assets, net 434,421 — 921,179 — (486,758) Other assets: Grantor trust assets 53,166 53,166 — — — Total assets at recurring estimated fair value $ 14,897,672 $ 53,166 $ 15,331,264 $ — $ (486,758) Derivative liabilities: Interest-rate related $ 19,107 $ — $ 2,179,422 $ — $ (2,160,315) MDCs 102 — 102 — — Total derivative liabilities, net 19,209 — 2,179,524 — (2,160,315) Total liabilities at recurring estimated fair value $ 19,209 $ — $ 2,179,524 $ — $ (2,160,315) December 31, 2021 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 3,946,799 $ — $ 3,946,799 $ — $ — Total trading securities 3,946,799 — 3,946,799 — — AFS securities: GSE and TVA debentures 2,697,116 — 2,697,116 — — GSE multifamily MBS 6,462,819 — 6,462,819 — — Total AFS securities 9,159,935 — 9,159,935 — — Derivative assets: Interest-rate related 220,157 — 106,881 — 113,276 MDCs 45 — 45 — — Total derivative assets, net 220,202 — 106,926 — 113,276 Other assets: Grantor trust assets 62,640 62,640 — — — Total assets at recurring estimated fair value $ 13,389,576 $ 62,640 $ 13,213,660 $ — $ 113,276 Derivative liabilities: Interest-rate related $ 12,080 $ — $ 413,671 $ — $ (401,591) MDCs 105 — 105 — — Total derivative liabilities, net 12,185 — 413,776 — (401,591) Total liabilities at recurring estimated fair value $ 12,185 $ — $ 413,776 $ — $ (401,591) (1) |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 17 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts. December 31, 2022 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 65,904 $ 405,973 $ 471,877 Unused lines of credit (1) 1,026,035 — 1,026,035 Commitments to fund additional advances (2) 454,384 9,966 464,350 Commitments to fund or purchase mortgage loans, net (3) 30,855 — 30,855 Unsettled CO bonds, at par 75,000 — 75,000 Unsettled discount notes, at par 5,000 — 5,000 (1) Maximum line of credit amount per member is $100,000. (2) Generally for periods up to 6 months. (3) Generally for periods up to 91 days. Commitments to Extend Credit. A standby letter of credit is a financing arrangement between us and one of our members for which we charge the member a commitment fee. If we are required to make a payment for a beneficiary's draw, the payment amount is converted into a collateralized advance to the member. Substantially all of these standby letters of credit, including related commitments, range from 3 months to 20 years, although some are renewable at our option. Unearned fees on standby letters of credit are recorded in other liabilities and totaled $12,454 at December 31, 2022. Lines of credit allow members to fund short-term cash needs (up to one year) without submitting a new application for each request for funds. Liability for Credit Losses. We monitor the creditworthiness of our members that have standby letters of credit and lines of credit. As standby letters of credit and lines of credit are subject to the same collateralization and borrowing limits that apply to advances and are fully collateralized at the time of issuance, we have not recorded a liability for credit losses on these credit products. Commitments to Fund or Purchase Mortgage Loans. Commitments that unconditionally obligate us to fund or purchase mortgage loans are generally for periods not to exceed 91 days. Such commitments are reported as derivative assets or derivative liabilities at their estimated fair value and are reported net of participating interests sold to other FHLBanks. Pledged Collateral. At December 31, 2022 and 2021, we had pledged cash collateral of $1,849,797 and $515,740, respectively, to counterparties and clearing ag ents. At December 31, 2022 and 2021, we had not pledged any securities as collateral. Legal Proceedings. We are subject to legal proceedings arising in the normal course of business. We record an accrual for a loss contingency when it is probable that a loss for which we could be liable has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management is not aware of any such proceedings where the ultimate liability, if any, could have a material effect on our financial condition, results of operations or cash flows. Additional discussion of other commitments and contingencies is provided in Note 5 - Advances; Note 6 - Mortgage Loans Held for Portfolio; Note 8 - Derivatives and Hedging Activities; Note 10 - Consolidated Obligations; Note 12 - Capital; and Note 16 - Estimated Fair Values . |
Related Party and Other Transac
Related Party and Other Transactions | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Related Party and Other Transactions | Note 18 - Related Party and Other Transactions We are a financial cooperative whose members and former members (or legal successors) own all of our outstanding capital stock. For more information, see Note 12 - Capital . Under GAAP, transactions with related parties include transactions with principal owners, i.e, owners of more than 10% of the voting interests of the entity. Due to the statutory limits on members' voting rights and the number of our members, no shareholder owned more than 10 percent of the total voting interests as of and for the three-year period ended December 31, 2022. Therefore, the Bank had no transactions with principal owners for any of the periods presented. Under GAAP, transactions with related parties also include transactions with management. Management is defined as persons who are responsible for achieving the objectives of the entity and who have the authority to establish policies and make decisions by which those objectives are to be pursued. For this purpose, management typically includes those who serve on our board of directors. Transactions with Directors Financial Institutions. The Bank provides, in the ordinary course of its business, products and services to members whose officers or directors may also serve as directors of the Bank, i.e., directors' financial institutions. However, Finance Agency regulations require that transactions with directors' financial institutions be made on the same terms as those with any other member. Therefore, all of our transactions with directors' financial institutions are subject to the same eligibility and credit criteria, as well as the same conditions, as comparable transactions with all other members. The following table presents our transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Years Ended December 31, Transactions with Directors' Financial Institutions 2022 2021 2020 Net capital stock issuances (redemptions and repurchases) $ (33,580) $ 7,213 $ 80,088 Net advances (repayments) 3,850,669 (1,581,708) 346,863 Mortgage loan purchases 17,584 58,830 48,394 The following table presents the aggregate balances of capital stock and advances outstanding for directors' financial institutions and their balances as a percent of the total balances on our statement of condition. December 31, 2022 December 31, 2021 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 49,869 2 % $ 440,949 19 % Advances 886,191 2 % 3,854,856 14 % The composition of directors' financial institutions changed on January 1, 2022, due to changes in board membership resulting from the 2021 director election, and on August 5, 2022 and November 8, 2022 due to director resignations. Transactions with Members and Former Members. Substantially all advances are made to members, and all whole mortgage loans held for portfolio are purchased from members. We also maintain demand deposit accounts for members, primarily to facilitate settlement activities that are directly related to advances or mortgage loan purchases. Such transactions with members are entered into in the ordinary course of business. In addition, we may purchase investments in federal funds sold, securities purchased under agreements to resell, certificates of deposit, and MBS from members or their affiliates. All purchases are transacted at market prices without preference to the status of the counterparty or the issuer of the security as a member, nonmember, or affiliate thereof. Under our AHP, we provide subsidies to members, which may be in the form of direct grants or below-market-rate advances. All AHP subsidies are made in the ordinary course of business. Under our Community Investment Program and our Community Investment Cash Advances program, we provide subsidies in the form of below-market-rate advances to members or standby letters of credit to members for community lending and economic development projects. All Community Investment Cash Advances subsidies are made in the ordinary course of business. Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks. There were no loans to or borrowings from other FHLBanks that remained outstanding at December 31, 2022 or 2021. Transactions with the Office of Finance. Our proportionate share of the cost of operating the Office of Finance is identified in our statement of income. For the determination of our proportionate share, see Note 1 - Summary of Significant Accounting Policies. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation. The accompanying financial statements have been prepared in accordance with GAAP and SEC requirements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank's financial position, results of operations and cash flows for the periods presented. All such adjustments were of a normal recurring nature. |
Use of Estimates | Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to the fair values of financial instruments. Estimated Fair Value. The estimated fair value amounts, recorded on the statement of condition and presented in the accompanying disclosures, reflect appropriate valuation methods and were determined based on the assumptions that we believe market participants would use in pricing the asset or liability. Although we use our best judgment in estimating fair value, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions on the reporting dates. For more information, see Note 16 - Estimated Fair Values . Changes in Estimates. |
Reclassifications | Reclassifications. We have reclassified certain amounts reported in prior periods to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income or net cash flows. |
Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold | Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. Securities purchased under agreements to resell are treated as short-term, collateralized financings and are generally transacted with an overnight term. These securities are held in safekeeping in the Bank's name by third-party custodians approved by us. For securities outstanding longer than overnight, if the market value of the underlying assets declines below the market value required as collateral, the counterparty must (i) place an equivalent amount of additional securities in safekeeping in the Bank's name, and/or (ii) remit an equivalent amount of cash. Federal funds sold are short-term, unsecured loans that are generally transacted with an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit an individual FHLBank may extend to a counterparty. |
Investment Securities | Investment Securities. Purchases and sales of securities are recorded on a trade date basis. We classify investments as trading, HTM or AFS at the date of acquisition. Trading Securities. Securities classified as trading are held for liquidity purposes and carried at fair value. Changes in the fair value of these securities are recorded through other income as net gains (losses) on trading securities. Finance Agency regulation and our risk management policies prohibit the speculative use of these instruments and limit the credit risk arising from these securities. HTM Securities. Securities for which we have both the positive intent and ability to hold to maturity are classified as HTM and carried at amortized cost. The carrying value includes adjustments made to the cost basis of the security for purchase discount and related accretion, purchase premium and related amortization, and collection of principal. AFS Securities. Securities that are not classified as trading or HTM are classified as AFS and carried at estimated fair value. Changes in the fair value of these securities are recorded in OCI as net change in unrealized gains (losses) on AFS securities, except for AFS securities in hedging relationships that qualify as fair-value hedges. For those securities, the portion of the change in fair value attributable to the risk being hedged is recorded in interest income together with the related change in the fair value of the derivative, and the remainder of the change in the fair value of the security is recorded in OCI as net change in unrealized gains (losses) on AFS securities. In general, securities classified as AFS may be sold at any time, although specific consideration is given to securities in an unrealized loss position. Amortization of Purchase Premiums and Discounts. Since we hold a large number of similar loans underlying our MBS, for which prepayments are probable and the timing and amount of prepayments can be reasonably estimated, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments on MBS to interest income using a level-yield under the retrospective interest method. This method requires that we estimate prepayments over the estimated life of each security and retrospectively adjust the effective yield each time the estimated remaining cash flows change as if the new estimate had been used since the original acquisition date. Changes in interest rates are a significant assumption used in estimating the timing and amount of prepayments. For all non-MBS securities, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments using a level-yield methodology over the contractual life of each security, with the exception of our callable non-MBS securities, on which the purchase premium is amortized to the next call date. For all non-MBS securities, prepayments are not estimated but only taken into account as they actually occur. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income as net realized gains (losses) from sale of securities. |
Advances | Advances. We record advances at amortized cost, adjusted to include deferred swap termination fees associated with modified advances, net of deferred prepayment fees, and cumulative fair-value hedging basis adjustments. We amortize such fees and hedging basis adjustments t o interest income using a level-yield methodology over the contractual life of the advance. When an advance is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Prepayment Fees. We charge a prepayment fee when a borrower repays certain advances prior to maturity. We report prepayment fees, net of any associated swap termination fees and cumulative fair-value hedging basis adjustments, in interest income on advances. Advance Modifications. When we fund a new advance concurrent with, or within a short period of time after, the prepayment of an original advance, we determine whether the transaction is effectively either (i) two separate transactions (the prepayment of the original advance and the disbursement of a new advance), defined as an advance extinguishment, or (ii) the continuation of the original advance as modified, defined as an advance modification. We account for the transaction as an extinguishment if both of the following criteria are met: (i) the effective yield of the new advance is at least equal to the effective yield for a comparable advance to a member with similar collection risks who is not prepaying, and (ii) modifications of the original advance are determined to be more than minor, i.e., if the present value of the cash flows under the terms of the new advance is at least 10% different from the present value of the remaining cash flows under the original advance or through an evaluation of qualitative factors, which may include changes in the interest-rate exposure to the member by moving from a fixed to an adjustable-rate advance. In all other instances, the transaction is accounted for as an advance modification. If the transaction is determined to be an advance extinguishment, we recognize income from nonrefundable prepayment fees, net of associated swap termination fees, in the period that the extinguishment occurs. Alternatively, if no prepayment fees are received (e.g., the member requests that we embed the prepayment fee into the rate of the new advance), the excess of the present value of the cash flows of the new advance over those of an advance with a current market rate and otherwise comparable terms is immediately recognized in income, and the basis of the new advance is adjusted accordingly. If the transaction is determined to be an advance modification, the nonrefundable prepayment fees, net of associated swap termination fees, are not immediately recognized in income but are (i) included in the carrying value of the modified advance and amortized into interest income over the life of the new advance using a level-yield methodology or (ii) embedded into the rate of the modified advance and recorded as an adjustment to the interest accrual. |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio. We classify mortgage loans, for which we have the positive intent and ability to hold for the foreseeable future or until maturity or payoff, as held for portfolio. Accordingly, these mortgage loans are reported at amortized cost, adjusted to include premiums paid to and discounts received from PFIs, hedging basis adjustments, and the allowance for credit losses. Amortization of Purchase Premiums and Discounts. We amortize or accrete premiums and discounts and hedging basis adjustments to interest income using a level-yield methodology over the contractual life of each loan. When a loan is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Non-accrual Loans. We place a conventional mortgage loan on non-accrual status if it is determined that either (i) the collection of interest or principal is doubtful, or (ii) interest or principal is past due for 90 days or more, except when the loan is well secured and in the process of collection (e.g., through credit enhancements and monthly servicer remittances on a scheduled/scheduled basis in which we receive monthly principal and interest payments from the servicer regardless of whether the borrower has made payments to the servicer). Monthly servicer remittances for loans on an actual/actual basis may also be well secured; however, servicers on actual/actual remittance do not advance principal and interest due, regardless of borrower creditworthiness, until the payments are received from the borrower or when the loan is repaid. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. A government-guaranteed or -insured mortgage loan is not placed on non-accrual status when the collection of the contractual principal or interest is 90 days or more past due because of the contractual obligation of the loan servicer to pay defaulted interest at the contractual rate. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income (for any interest accrued in the current year) and/or the allowance for credit losses (for any interest accrued in the previous year). We record payments received on non-accrual loans as a direct reduction of the amortized cost of the loan. When the amortized cost has been fully collected, any additional amounts collected are recognized as interest income. A loan on non-accrual status may be restored to accrual status when it becomes current (zero days past due) and three consecutive and timely monthly payments have been received. Loan Participations. |
Troubled Debt Restructuring | Troubled Debt Restructuring ("TDR"). A TDR related to MPP loans typically occurs when a concession is granted to a borrower for economic or legal reasons related to the borrower's financial difficulties that would not have been otherwise considered. Although we do not participate in government-sponsored loan modification programs, we do consider certain conventional loan modifications to be TDRs when the modification agreement permits the recapitalization of past due amounts, generally up to the original loan amount. If a borrower is having financial difficulty and a significant concession has been granted by the PFI with our approval, the loan modification is considered a TDR. No other terms of the original loan are modified, except for the possible extension of the contractual maturity date on a case-by-case basis. In no event does the borrower's original interest rate change. Modifications of government loans are not considered or accounted for as TDRs because we anticipate no loss of principal or interest accrued at the original contract rate, or significant delay, due to the government guarantee or insurance. |
Allowance for Credit Losses on Financial Instruments | Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) of a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we determine that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. Allowance for Credit Losses on Financial Instruments. Our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, Note 6 - Mortgage Loans Held for Portfolio, and Note 17 - Commitments and Contingencies. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. |
Financial Instruments Meeting Netting Requirements | Financial Instruments Meeting Netting Requirements . |
Derivatives and Hedging Activities | Derivatives and Hedging Activities. We record derivative instruments, including related cash collateral and accrued interest, on a net basis, by clearing agent and/or by counterparty, as either derivative assets or derivative liabilities at their estimated fair values. Changes in the estimated fair value of derivatives are recorded in current period earnings. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset, respectively. For derivative instruments that do not meet the netting requirements, cash collateral is recognized as an interest-bearing asset or liability, as appropriate. Additional information regarding these transactions is provided in Note 8 - Derivatives and Hedging Activities. Designations. Derivatives are recorded beginning on the trade date and typically executed and designated in a qualifying hedging relationship at the same time as the acquisition of the associated hedged item. We may also designate the hedging relationship upon the Bank's commitment to disburse an advance, purchase financial instruments, or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. Each derivative is designated as one of the following: (i) a qualifying hedge of the change in fair value of a recognized asset or liability (e.g., advances, AFS investments, and CO bonds) or an unrecognized firm commitment (fair-value hedge); or (ii) a non-qualifying hedge for asset/liability management purposes (economic hedge). In all cases involving a fair-value hedge of a recognized asset, liability or firm commitment, the designated risk being hedged is the risk of changes in the fair value of the hedged item attributable to changes in the designated benchmark interest rate. Accounting for Qualifying Hedges. Hedging relationships must meet certain criteria including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective to qualify for hedge accounting. Two approaches to account for qualifying fair-value hedge relationships include: (i) Shortcut hedge accounting - Hedging relationships that meet certain criteria qualify for the shortcut method of hedge accounting. Under the shortcut method, an assumption can be made that the entire change in fair value of a hedged item, due to changes in the benchmark interest rate, equates to the entire change in fair value of the related derivative. As a result, the derivative is considered to be perfectly effective in achieving offsetting changes in the fair value of the hedged asset or liability attributable to the hedged risk. When applying the shortcut method, we document, at inception of the hedging relationship, a quantitative long-haul method that we can apply should we subsequently determine a hedging relationship no longer qualifies for shortcut hedge accounting; or (ii) Long-haul hedge accounting - T he application of long-haul hedge accounting requires us to assess whether the derivatives used in hedging relationships are highly effective in achieving offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to remain highly effective in future periods. As part of the assessment, a regression analysis is performed at the inception of each hedging relationship and at each month-end thereafter. While a number of long-haul methods and techniques are permissible, we utilize the following: • Total Contractual Coupon Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the estimated coupon cash flows are based on the full contractual coupon. • Benchmark Component Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the credit and any other risks embedded in the contractual coupon rate are excluded from the estimated cash flows by aligning the interest component of the derivative with the hedged item. Given this alignment, the application of the benchmark component method generally results in less hedge ineffectiveness in comparison to the total contractual coupon method. Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Accounting for Non-Qualifying Hedges. An economic hedge is defined as a derivative that hedges specific or non-specific underlying assets, liabilities, or firm commitments and does not qualify, or was not designated, for hedge accounting. As a result, we recognize the net interest settlements and the change in fair value of these derivatives in other income (loss) with no offsetting fair-value adjustments in earnings for the hedged assets, liabilities, or firm commitments. An economic hedge by definition, therefore, introduces the potential for earnings variability. Accrued Interest Receivables and Payables. The difference between the interest receivable and payable on a derivative designated as a qualifying hedge is recognized as a net adjustment to the interest income or expense of the designated hedged item. The difference between the interest receivable and payable on an economic hedge is recognized in other income as net gains (losses) on derivatives. Discontinuance of Hedge Accounting. We discontinue hedge accounting prospectively when: (i) the hedging relationship ceases to be highly effective or is otherwise discontinued; (ii) the derivative and/or the hedged item expires or matures, is sold, terminated, transferred or exercised; or (iii) a hedged firm commitment no longer meets the definition of a firm commitment. When hedge accounting is discontinued and the derivative and hedged item remain, we: (i) continue to carry the derivative on the statement of condition at fair value as an economic hedge; (ii) cease adjusting the hedged asset or liability for changes in fair value; and (iii) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. When we discontinue a qualifying hedge relationship by terminating the derivative and subsequently designating the associated hedged item into a new qualifying hedge relationship, we: (i) recognize the cumulative gain (loss) on the derivative in current period earnings; (ii) pay or receive a termination fee with the counterparty, substantially offsetting the recognized gain (loss) on the derivative; (iii) cease adjusting the hedged asset or liability for changes in fair value; and (iv) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. Embedded Derivatives. We may issue consolidated obligations, disburse advances, or purchase financial instruments in which a derivative instrument is embedded. In order to determine whether an embedded derivative must be bifurcated from the host instrument and separately valued, we must assess, upon execution of the transaction, whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the consolidated obligation, advance or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. |
Premises, Software, and Equipment | Premises, Software, and Equipment. We record premises, software, and equipment at cost, less accumulated depreciation and am ortization, in other assets, and compute depreciation and amortization using the straight-line method over their respective estimated useful lives, which range from 3 to 40 years. W |
Consolidated Obligations | Consolidated Obligations. Consolidated obligations are recorded at amortized cost, adjusted to include concessions, discounts, premiums, principal payments, and cumulative fair-value hedging basis adjustments. Concessions. Concessions are paid to dealers in connection with the issuance of certain consolidated obligations. The Office of Finance prorates the amount of our concession based upon the percentage of the debt issued on the Bank's behalf. We record concessions paid on consolidated obligations as a direct deduction from their carrying amounts, consistent with the presentation of discounts on consolidated obligations. The concessions are deferred and amortized, using a level-yield methodology, to interest expense over the term to contractual maturity of the corresponding consolidated obligation. When we prepay a CO bond, a proportionate share of any remaining balance of concessions is recognized as interest expense. Discounts and Premiums. We accrete or amortize the discounts and premiums as well as cumulative fair-value hedging basis adjustments to interest expense using a level-yield methodology over the term to contractual maturity of the corresponding CO bond. When we prepay a CO bond, a proportionate share of the remaining balance of those adjustments is recognized as interest income. Debt Extinguishments. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock. When a member withdraws or attains non-member status by merger or acquisition, charter termination, relocation or other involuntary termination from membership, the member's shares are then subject to redemption, at which time a five-year redemption period commences for Class B stock. Since the shares meet the definition of a mandatorily redeemable financial instrument, the shares are reclassified from capital to liabilities as MRCS at estimated fair value, which is equal to par value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reported as interest expense. We reclassify MRCS from liabilities to capital when non-members subsequently become members through either acquisition, merger, or election. After the reclassification, dividends declared on that capital stock are no longer classified as interest expense. |
Restricted Retained Earnings | Restricted Retained Earnings. In accordance with our Joint Capital Enhancement Agreement, as amended, among the 11 FHLBanks, we allocate 20% of the Bank's net income each quarter to a separate restricted retained earnings account until the balance of that account, calculated as of the |
Employee Retirement and Deferred Compensation Plans | Employee Retirement and Deferred Compensation Plans. We recognize the required contribution to the DB Plan ratably over the plan year to which it relates. Without a prefunding election, any contribution made in excess of the minimum required contribution is recorded as an expense in the quarterly reporting period in which the contribution is made; with a prefunding election, such excess contribution is recorded as a prepaid asset. Settlement gains and losses are recognized in earnings only when the total cost of all settlements during a year exceeds the sum of the service and interest cost components of the net periodic pension cost for the year. |
Finance Agency Expenses | Finance Agency Expenses. The portion of the Finance Agency's expenses and working capital fund not allocated to Freddie Mac and Fannie Mae is allocated among the FHLBanks as assessments, which are based on the ratio of each FHLBank's minimum required regulatory capital to the aggregate minimum required regulatory capital of every FHLBank. We record our share of these assessments in other expenses. |
Office of Finance Expenses | Offi ce of Finance Expenses. Our proportionate share of the Office of Finance's operating and capital expenditures is calculated based upon two components as follows: (i) two-thirds based on our share of total consolidated obligations outstanding and (ii) one-third base d on equal pro-rata allocation. We record our share of these expenditures in other expenses. |
Cash Flows | Cash Flows. We consider cash and due from banks on the statement of condition as cash and cash equivalents within the statement of cash flows because of their highly liquid nature. Federal funds sold, securities purchased under agreements to resell, and interest-bearing deposits are not treated as cash and cash equivalents, but instead are treated as short-term investments. Accordingly, their associated cash flows are reported in the investing activities section of the statement of cash flows. |
Recently Adopted Accounting Guidance | Recently Adopted Accounting Guidance. Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). On March 12, 2020, the FASB issued optional guidance for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform. Specifically, the guidance provides accounting relief related to the following: Contract modifications. Entities can elect not to apply certain modification accounting requirements to contracts affected by reference rate reform, if certain criteria are met. An entity that makes this election would not have to remeasure the contracts at the modification date or reassess a previous accounting determination. Hedging relationships. Entities can elect various optional expedients that would allow them to continue applying hedge accounting for hedging relationships affected by reference rate reform, if certain criteria are met. Sales or transfers of debt securities classified as HTM. Entities can make a one-time election to sell and/or reclassify HTM securities that were purchased prior to January 1, 2020 and reference an interest rate affected by reference rate reform. This guidance was originally effective from March 12, 2020 through December 31, 2022 but was extended with the issuance of ASU 2022-06. The guidance will be applied when we implement the fallback provisions associated with our financial instruments that remain indexed to LIBOR on the cessation date; however, its effect on the Bank's financial condition, results of operations, and cash flows is not expected to be material. Reference Rate Reform (Topic 848): Deferral of the Sunset Date (ASU 2022-06). On December 21, 2022, the FASB issued guidance to extend the sunset (or expiration) date of ASU 2020-04 (Topic 848) to December 31, 2024. This change takes into account the United Kingdom Financial Conduct Authority's extension of the cessation date of the overnight 1-, 3-, 6-, and 12-month LIBOR tenors to June 30, 2023, which is beyond the original expiration date of the guidance. Recently Issued Accounting Guidance. Fair-Value Hedging - Portfolio Layer Method (ASU 2022-01). On March 28, 2022, the FASB issued guidance expanding the existing last-of-layer fair-value hedging method by allowing entities to hedge multiple layers of a single closed portfolio of prepayable financial assets rather than a single (or last) layer only. To reflect the change, the last-of-layer method was renamed the portfolio layer method. The guidance became effective for the interim and annual periods beginning on January 1, 2023. Upon adoption, this guidance had no impact on the Bank's financial condition, results of operations, or cash flows . Troubled Debt Restructurings ("TDR") and Vintage Disclosures (ASU 2022-02). On March 31, 2022, the FASB issued guidance eliminating the accounting guidance for TDRs by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings made to borrowers experiencing financial difficulty. Additionally, the guidance requires disclosure of current-period gross write-offs by year of origination. The guidance became effective for the interim and annual periods beginning on January 1, 2023. Upon adoption, this guidance did not have a material impact on the Bank's financial condition, results of operations, or cash flows, nor do we expect it to have a material impact on our future disclosures . |
Segment Reporting | We report based on two operating segments: • Traditional, which consists of credit products (including advances, standby letters of credit, and lines of credit), investments (including federal funds sold, securities purchased under agreements to resell, interest-bearing demand deposit accounts, and investment securities), and correspondent services and deposits; and • Mortgage loans, which consists substantially of mortgage loans purchased from our members through our MPP. These segments reflect our two primary mission asset activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways we provide services to members. We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Traditional net interest income is derived primarily from the spread between the interest income earned on advances and investments and the borrowing costs related to those assets, net interest settlements and changes in fair value related to certain interest-rate swaps, and related premium and discount amortization. Traditional also includes the costs related to holding deposits for members and other miscellaneous borrowings. Mortgage loan net interest income is derived primarily from the spread between the interest income earned on mortgage loans, including the premium and discount amortization, and the borrowing costs related to those loans. Direct other income and expense also affect each segment's results. The traditional segment includes the direct earnings impact of certain derivatives and hedging activities related to advances, investments and consolidated obligations as well as all other miscellaneous income and expense not associated with mortgage loans. The mortgage loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct compensation, benefits and other expenses (including an allocation for indirect overhead) associated with operating the MPP and volume-driven costs associated with master servicing and quality control fees. |
Fair Value Measurement | We estimate fair value amounts by using available market and other pertinent information and the most appropriate valuation methods. Although we use our best judgment in estimating the fair values of financial instruments, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Certain estimates of the fair value of financial assets and liabilities are highly subjective and require judgments regarding significant factors such as the amount and timing of future cash flows, prepayment speeds, interest-rate volatility, and the discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Fair Value Hierarchy . GAAP establishes a fair value hierarchy and requires us to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring estimated fair value. The inputs are evaluated, and an overall level for the estimated fair value measurement is determined. This overall level is an indication of the extent of the market observability of the estimated fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs. Quoted prices (unadjusted) for identical assets or liabilities in an active market that we can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs. Inputs other than quoted prices within level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active; (iii) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (iv) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs. Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. |
Fair Value Transfer | We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. |
Investments, Debt and Equity Se
Investments, Debt and Equity Securities (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Allowance for Credit Losses on Financial Instruments | Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) of a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we determine that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. Allowance for Credit Losses on Financial Instruments. Our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, Note 6 - Mortgage Loans Held for Portfolio, and Note 17 - Commitments and Contingencies. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. |
Financial Services, Federal Hom
Financial Services, Federal Home Loan Banks (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Federal Home Loan Banks [Abstract] | |
Allowance for Credit Losses on Financial Instruments | Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) of a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we determine that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. Allowance for Credit Losses on Financial Instruments. Our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, Note 6 - Mortgage Loans Held for Portfolio, and Note 17 - Commitments and Contingencies. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. |
SEC Schedule, Article 12-29, Mo
SEC Schedule, Article 12-29, Mortgage Loans on Real Estate (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Allowance for Credit Losses on Financial Instruments | Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) of a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we determine that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. Allowance for Credit Losses on Financial Instruments. Our financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, Note 6 - Mortgage Loans Held for Portfolio, and Note 17 - Commitments and Contingencies. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. |
Investments (Tables)
Investments (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Debt and Equity Securities, FV-NI [Line Items] | |
Trading securities | The following table presents our trading securities by type of security. Security Type December 31, 2022 December 31, 2021 U.S. Treasury obligations $ 2,230,248 $ 3,946,799 Total trading securities at estimated fair value $ 2,230,248 $ 3,946,799 |
Available-for-Sale (AFS) Securities by Major Security Type | The following table presents our AFS securities by type of security. December 31, 2022 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value U.S. Treasury obligations $ 4,207,974 $ 3,502 $ (1,802) $ 4,209,674 GSE and TVA debentures 1,882,802 20,144 (243) 1,902,703 GSE multifamily MBS 6,099,000 20,064 (51,604) 6,067,460 Total AFS securities $ 12,189,776 $ 43,710 $ (53,649) $ 12,179,837 December 31, 2021 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value GSE and TVA debentures $ 2,651,571 $ 45,557 $ (12) $ 2,697,116 GSE multifamily MBS 6,356,422 109,956 (3,559) 6,462,819 Total AFS securities $ 9,007,993 $ 155,513 $ (3,571) $ 9,159,935 (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Includes at December 31, 2022 and 2021 net unamortized discounts totaling $(294,587) and net unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at December 31, 2022 and 2021 totaled net losses of $(1,099,886) and net gains of $206,199, respectively. Excludes accrued interest receivable at December 31, 2022 and 2021 of $53,358 and $32,127, respectively. |
AFS Securities in a Continuous Loss Position | The following table presents impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2022 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Security Type Fair Value Losses Fair Value Losses Fair Value Losses U.S. Treasury obligations $ 1,836,099 $ (1,802) $ — $ — $ 1,836,099 $ (1,802) GSE and TVA debentures 75,024 (243) — — 75,024 (243) GSE multifamily MBS 3,484,309 (41,046) 301,339 (10,558) 3,785,648 (51,604) Total impaired AFS securities $ 5,395,432 $ (43,091) $ 301,339 $ (10,558) $ 5,696,771 $ (53,649) December 31, 2021 Less than 12 months 12 months or more Total Estimated Unrealized Estimated Unrealized Estimated Unrealized Security Type Fair Value Losses Fair Value Losses Fair Value Losses GSE and TVA debentures $ 250,145 $ (12) $ — $ — $ 250,145 $ (12) GSE multifamily MBS 384,015 (3,559) — — 384,015 (3,559) Total impaired AFS securities $ 634,160 $ (3,571) $ — $ — $ 634,160 $ (3,571) |
HTM Securities by Major Security Type | The following table presents our HTM securities by type of security. December 31, 2022 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses Value MBS: Other U.S. obligations single-family $ 2,991,702 $ 2,128 $ (43,106) $ 2,950,724 GSE single-family 619,910 518 (39,634) 580,794 GSE multifamily 628,589 — (3,889) 624,700 Total HTM securities $ 4,240,201 $ 2,646 $ (86,629) $ 4,156,218 December 31, 2021 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses Value MBS: Other U.S. obligations single-family $ 2,626,143 $ 7,384 $ (9,238) $ 2,624,289 GSE single-family 815,924 14,424 (4,773) 825,575 GSE multifamily 871,706 779 (192) 872,293 Total HTM securities $ 4,313,773 $ 22,587 $ (14,203) $ 4,322,157 (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2022 and 2021 to tale d $26,125 and $28,440, respectively. |
AFS Securities | |
Debt and Equity Securities, FV-NI [Line Items] | |
AFS Securities by Contractual Maturity | The amortized cost and estimated fair value of non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. December 31, 2022 December 31, 2021 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Due in 1 year or less $ 131,329 $ 131,517 $ 581,801 $ 582,240 Due after 1 year through 5 years 1,575,581 1,594,583 1,494,109 1,523,600 Due after 5 years through 10 years 4,383,866 4,386,277 575,661 591,276 Total non-MBS 6,090,776 6,112,377 2,651,571 2,697,116 Total MBS 6,099,000 6,067,460 6,356,422 6,462,819 Total AFS securities $ 12,189,776 $ 12,179,837 $ 9,007,993 $ 9,159,935 |
Trading Securities | |
Debt and Equity Securities, FV-NI [Line Items] | |
Gain (Loss) on Securities | The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. Years Ended December 31, 2022 2021 2020 Net gains (losses) on trading securities held at year end $ (18,461) $ (17,608) $ (7,202) Net gains (losses) on trading securities that matured/sold during the year (4,113) (29,706) (7,282) Net gains (losses) on trading securities $ (22,574) $ (47,314) $ (14,484) |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents advances outstanding by redemption term. December 31, 2022 December 31, 2021 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 430 6.74 $ — — Due in 1 year or less 14,517,059 3.77 7,863,703 0.59 Due after 1 year through 2 years 2,726,023 2.82 2,684,996 2.02 Due after 2 years through 3 years 3,316,683 2.73 3,536,759 1.35 Due after 3 years through 4 years 2,045,370 2.70 2,931,260 1.29 Due after 4 years through 5 years 3,938,017 3.96 1,908,432 1.34 Thereafter 10,747,880 2.70 8,384,458 0.82 Total advances, par value 37,291,462 3.26 27,309,608 1.03 Fair-value hedging basis adjustments, net (615,859) 179,115 Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 6,856 9,112 Total advances (1) $ 36,682,459 $ 27,497,835 (1) Carrying value equals amortized cost, which excludes accrued interest receivable at December 31, 2022 and 2021 of $50,446 and $13,075, respectively. We offer our members certain advances that provide them the right, at predetermined future dates, to call (i.e., prepay) the advance prior to maturity without incurring prepayment or termination fees. We also offer certain adjustable-rate advances that may be contractually prepaid by the borrower at the interest-rate reset date without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance. We also offer putable advances. Under the terms of a putable advance, we retain the right to extinguish or put the fixed-rate advance to the member on predetermined future dates and offer replacement funding at current market rates, subject to certain conditions. The following table presents advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption Earlier of Redemption December 31, December 31, Term 2022 2021 2022 2021 Overdrawn demand and overnight deposit accounts $ 430 $ — $ 430 $ — Due in 1 year or less 19,337,582 12,547,866 20,226,164 13,452,703 Due after 1 year through 2 years 2,299,023 2,578,396 3,207,023 3,090,101 Due after 2 years through 3 years 2,385,483 2,127,759 4,082,583 3,636,259 Due after 3 years through 4 years 1,592,245 1,997,060 2,045,370 3,007,160 Due after 4 years through 5 years 2,773,917 1,530,307 4,173,117 1,485,332 Thereafter 8,902,782 6,528,220 3,556,775 2,638,053 Total advances, par value $ 37,291,462 $ 27,309,608 $ 37,291,462 $ 27,309,608 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on mortgage loans held for portfolio by term and type. Term December 31, 2022 December 31, 2021 Fixed-rate long-term mortgages $ 6,676,752 $ 6,417,543 Fixed-rate medium-term (1) mortgages 856,446 1,016,851 Total mortgage loans held for portfolio, UPB 7,533,198 7,434,394 Unamortized premiums 168,593 181,172 Unamortized discounts (9,466) (2,389) Hedging basis adjustments, net (5,670) 3,157 Total mortgage loans held for portfolio 7,686,655 7,616,334 Allowance for credit losses (200) (200) Total mortgage loans held for portfolio, net (2) $ 7,686,455 $ 7,616,134 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable at December 31, 2022 and 2021 of $30,396 and $27,977, respectively. Type December 31, 2022 December 31, 2021 Conventional $ 7,383,168 $ 7,254,056 Government-guaranteed or -insured 150,030 180,338 Total mortgage loans held for portfolio, UPB $ 7,533,198 $ 7,434,394 |
Recorded Investment in Delinquent Mortgage Loans | The tables below present the key credit quality indicators and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the most recent five origination years and (ii) all other prior origination years. Amounts are based on amortized cost, which excludes accrued interest receivable. December 31, 2022 Origination Year Payment Status Prior to 2018 2018 to 2022 Total Past due: 30-59 days $ 17,892 $ 13,041 $ 30,933 60-89 days 4,537 1,992 6,529 90 days or more 9,498 2,979 12,477 Total past due 31,927 18,012 49,939 Total current 2,422,623 5,062,416 7,485,039 Total conventional mortgage loans, amortized cost $ 2,454,550 $ 5,080,428 $ 7,534,978 December 31, 2021 Origination Year Payment Status Prior to 2017 2017 to 2021 Total Past due: 30-59 days $ 16,968 $ 12,662 $ 29,630 60-89 days 4,175 1,767 5,942 90 days or more 18,599 11,206 29,805 Total past due 39,742 25,635 65,377 Total current 2,447,420 4,921,101 7,368,521 Total conventional mortgage loans, amortized cost (1) $ 2,487,162 $ 4,946,736 $ 7,433,898 December 31, 2022 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 1,655 $ — $ 1,655 Serious delinquency rate (2) 0.16 % 1.07 % 0.18 % Past due 90 days or more still accruing interest (3) $ 6,283 $ 1,552 $ 7,835 On non-accrual status (4) $ 10,984 $ — $ 10,984 December 31, 2021 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 1,999 $ — $ 1,999 Serious delinquency rate (2) 0.40 % 0.86 % 0.41 % Past due 90 days or more still accruing interest (3) $ 15,725 $ 1,364 $ 17,089 On non-accrual status (4) $ 23,487 $ — $ 23,487 (1) Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status. (2) Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met. (3) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status as they are well-secured and in the process of collection. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | The table below presents a rollforward of our allowance for credit losses. Rollforward of Allowance 2022 2021 2020 Balance, beginning of year $ 200 $ 350 $ 300 Charge-offs (11) (81) (140) Recoveries 85 39 50 Provision for (reversal of) credit losses (74) (108) 140 Balance, end of year $ 200 $ 200 $ 350 |
Premises, Software and Equipm_2
Premises, Software and Equipment (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Property, Plant and Equipment [Abstract] | |
Schedule of premises, software and equipment | The following table presents the types of our premises, software and equipment. Type December 31, 2022 December 31, 2021 Premises $ 14,768 $ 15,674 Computer software 51,601 49,886 Data processing equipment 6,539 5,354 Furniture and equipment 5,064 5,946 Other 675 640 Premises, software and equipment, in service 78,647 77,500 Accumulated depreciation and amortization (54,068) (48,420) Premises, software and equipment, in service, net 24,579 29,080 Capitalized assets in progress 2,726 1,491 Premises, software and equipment, net $ 27,305 $ 30,571 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following table presents the notional amount and estimated fair value of derivative assets and liabilities. December 31, 2022 December 31, 2021 Notional Derivative Derivative Notional Derivative Derivative Amount Assets Liabilities Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 66,103,220 $ 919,089 $ 2,178,897 $ 46,395,451 $ 105,446 $ 413,324 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 6,200,000 599 525 8,595,000 357 148 Interest-rate caps/floors 611,000 1,310 — 625,500 1,077 — Interest-rate forwards 30,200 131 — 98,200 1 199 MDCs 30,855 50 102 96,424 45 105 Total derivatives not designated as hedging instruments 6,872,055 2,090 627 9,415,124 1,480 452 Total derivatives before adjustments $ 72,975,275 921,179 2,179,524 $ 55,810,575 106,926 413,776 Netting adjustments and cash collateral (1) (486,758) (2,160,315) 113,276 (401,591) Total derivatives, net $ 434,421 $ 19,209 $ 220,202 $ 12,185 (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2022 and 2021, including accrued interest, totaled $1,854,876 and $515,761, respectively. Cash collateral received from counterparties and held at December 31, 2022 and 2021, including accrued interest, totaled $181,319 and $894, respectively. At December 31, 2022 and 2021, no securities were pledged as collateral. |
Offsetting Derivative Assets and Liabilities | The following table presents separately the estimated fair value of derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral. December 31, 2022 December 31, 2021 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 892,313 $ 2,178,098 $ 105,667 $ 411,886 Cleared 28,685 1,324 1,213 1,586 Total gross recognized amount 920,998 2,179,422 106,880 413,472 Gross amounts of netting adjustments and cash collateral Uncleared (884,451) (2,158,991) (105,417) (400,005) Cleared 397,693 (1,324) 218,693 (1,586) Total gross amounts of netting adjustments and cash collateral (486,758) (2,160,315) 113,276 (401,591) Net amounts after netting adjustments and cash collateral Uncleared 7,862 19,107 250 11,881 Cleared 426,378 — 219,906 — Total net amounts after netting adjustments and cash collateral 434,240 19,107 220,156 11,881 Derivative instruments not meeting netting requirements (1) 181 102 46 304 Total derivatives, net, at estimated fair value $ 434,421 $ 19,209 $ 220,202 $ 12,185 (1) Includes MDCs and certain interest-rate forwards. |
Components of Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents the impact of qualifying fair-value hedging relationships on net interest income by hedged item, excluding any offsetting interest income/expense of the associated hedged items. Year Ended December 31, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 52,810 $ 58,755 $ (136,188) $ (24,623) Net gains (losses) on derivatives (2) 725,919 432,904 (1,909,780) (750,957) Net gains (losses) on hedged items (3) (731,398) (502,643) 1,900,103 666,062 Net impact on net interest income $ 47,331 $ (10,984) $ (145,865) $ (109,518) Total interest income (expense) recorded in the Statement of Income (4) $ 634,148 $ 285,252 $ (712,038) $ 207,362 Year Ended December 31, 2021 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (183,075) $ (110,510) $ 103,143 $ (190,442) Net gains (losses) on derivatives (2) 425,804 303,349 (272,157) 456,996 Net gains (losses) on hedged items (3) (429,900) (321,097) 269,447 (481,550) Net impact on net interest income $ (187,171) $ (128,258) $ 100,433 $ (214,996) Total interest income (expense) recorded in the Statement of Income (4) $ 115,634 $ 99,646 $ (206,429) $ 8,851 Year Ended December 31, 2020 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (135,342) $ (109,907) $ 51,091 $ (194,158) Net gains (losses) on derivatives (2) (384,880) (507,403) 21,467 (870,816) Net gains (losses) on hedged items (3) 382,167 494,481 (13,617) 863,031 Net impact on net interest income $ (138,055) $ (122,829) $ 58,941 $ (201,943) Total interest income (expense) recorded in the Statement of Income (4) $ 329,675 $ 103,658 $ (461,953) $ (28,620) (1) 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. (2) Includes increases (decreases) in estimated fair value and price alignme nt interest. (3) Includes increases (decreases) in estimated fair value and amortization of net losses on ineffective and discontinued fair-value hedging relationships. (4) For advances, AFS securities and CO bonds only. |
Components of Net Gains (Losses) on Derivatives and Hedging Activities Reported in Other Income | The following table presents the components of net gains (losses) on derivatives reported in other income. Years Ended December 31, Type of Hedge 2022 2021 2020 Net gain (loss) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ 15,731 $ 13,347 $ 1,488 Swaptions — — (324) Interest-rate caps/floors 233 (36) 898 Interest-rate forwards 7,824 3,350 (13,377) Net interest settlements (1) 33,391 (9,137) (46,927) MDCs (8,750) (3,840) 9,880 Net gains (losses) on derivatives in other income $ 48,429 $ 3,684 $ (48,362) (1) Relates to derivatives that are not in qualifying fair-value hedging relationships. The interest income/expense of the associated hedged items is recorded in net interest income. |
Effect of Fair Value Hedge-Related Derivative Instruments | The following table presents the amortized cost of, and the related cumulative basis adjustments on, hedged items in qualifying fair-value hedging relationships. December 31, 2022 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 20,766,832 $ 12,189,776 $ 28,717,246 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ (615,898) $ (1,417,774) $ (2,147,802) For discontinued fair-value hedging relationships 39 317,888 — Total cumulative fair-value hedging basis adjustments on hedged items $ (615,859) $ (1,099,886) $ (2,147,802) December 31, 2021 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 17,374,515 $ 9,007,993 $ 20,902,714 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ 178,543 $ (184,724) $ (247,699) For discontinued fair-value hedging relationships 572 390,923 — Total cumulative fair-value hedging basis adjustments on hedged items $ 179,115 $ 206,199 $ (247,699) (1) Includes the amortized cost of the hedged items in active or discontinued fair-value hedging relationships. (2) Includes effective and ineffective fair-value hedging relationships. Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Deposit Liabilities (Tables)
Deposit Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Deposits [Abstract] | |
Summary of Deposits, by Type | The following table presents the types of our interest-bearing and non-interest-bearing deposits. Type December 31, 2022 December 31, 2021 Interest-bearing: Demand and overnight $ 571,971 $ 1,363,988 Time 23,898 — Other 38 903 Total interest-bearing 595,907 1,364,891 Non-interest-bearing: Other (1) — 1,506 Total non-interest-bearing — 1,506 Total deposits $ 595,907 $ 1,366,397 (1) Includes pass-through deposit reserves from members. |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Discount Notes | The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes December 31, 2022 December 31, 2021 Book value $ 27,387,492 $ 12,116,358 Par value 27,533,665 12,117,846 Weighted average effective interest rate 4.16 % 0.05 % |
CO Bonds Outstanding | The following table presents our CO bonds outstanding by contractual maturity. December 31, 2022 December 31, 2021 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 10,016,310 3.05 $ 14,357,350 0.29 Due after 1 year through 2 years 8,014,590 1.48 2,965,510 1.02 Due after 2 years through 3 years 6,278,940 1.37 5,797,550 0.76 Due after 3 years through 4 years 7,130,600 1.25 3,947,300 0.83 Due after 4 years through 5 years 2,312,540 1.76 6,587,600 1.14 Thereafter 8,249,080 2.35 8,894,940 2.09 Total CO bonds, par value 42,002,060 1.99 42,550,250 0.96 Unamortized premiums 45,535 77,035 Unamortized discounts (10,165) (11,268) Unamortized concessions (7,174) (6,746) Fair-value hedging basis adjustments, net (2,147,802) (247,699) Total CO bonds $ 39,882,454 $ 42,361,572 Year of Contractual Maturity or Next Call Date December 31, 2022 December 31, 2021 Due in 1 year or less $ 37,066,810 $ 36,028,850 Due after 1 year through 2 years 1,444,590 3,122,510 Due after 2 years through 3 years 770,940 586,550 Due after 3 years through 4 years 804,100 577,300 Due after 4 years through 5 years 268,540 415,100 Thereafter 1,647,080 1,819,940 Total CO bonds, par value $ 42,002,060 $ 42,550,250 |
CO Bonds by Redemption Feature | The following tables present the par value of our CO bonds outstanding by call features and the earlier of the year of contractual maturity or next call date. Call Feature December 31, 2022 December 31, 2021 Non-callable / non-putable $ 11,979,560 $ 20,346,750 Callable 30,022,500 22,203,500 Total CO bonds, par value $ 42,002,060 $ 42,550,250 The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type December 31, 2022 December 31, 2021 Fixed-rate $ 36,957,560 $ 36,717,750 Step-up 2,268,500 898,500 Simple variable-rate 2,776,000 4,934,000 Total CO bonds, par value $ 42,002,060 $ 42,550,250 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Affordable Housing Program [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation | The following table summarizes the activity in our AHP funding obligation. AHP Activity 2022 2021 2020 Liability at beginning of year $ 31,049 $ 34,402 $ 38,084 Assessment (expense) 19,876 10,720 10,717 Voluntary contribution 4,159 — — Subsidy usage, net (1) (16,914) (14,073) (14,399) Liability at end of year $ 38,170 $ 31,049 $ 34,402 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Capital Stock Outstanding by Sub-series | The following table presents the capital stock outstanding by sub-series. Capital Stock Sub-Series December 31, 2022 December 31, 2021 Class B-1 $ 535,345 $ 931,517 Class B-2 1,587,780 1,314,684 Total Class B $ 2,123,125 $ 2,246,201 |
Mandatorily Redeemable Capital Stock | The following table presents the activity in our MRCS. MRCS Activity 2022 2021 2020 Liability at beginning of year $ 50,422 $ 250,768 $ 322,902 Reclassification from capital stock 329,232 4,730 32,791 Redemptions/repurchases (7,151) (205,076) (104,965) Accrued distributions — — 40 Liability at end of year $ 372,503 $ 50,422 $ 250,768 |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | The following table presents MRCS by contractual year of redemption. The year of redemption is the later of (i) the final year of the five year redemption period, or (ii) the first year in which a non-member no longer has an activity-based stock requirement. MRCS Contractual Year of Redemption December 31, 2022 December 31, 2021 Past contractual redemption date (1) $ 498 $ 577 Year 1 (2) 10,048 11,835 Year 2 9,872 471 Year 3 19,179 9,873 Year 4 3,674 23,218 Year 5 329,232 4,448 Total MRCS $ 372,503 $ 50,422 (1) Balance represents Class B stock that will not be redeemed until the associated credit products and other obligations are no longer outstanding. (2) Balance at December 31, 2022 and 2021 includes $9,585 and $11,835, respectively of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021. The stock is not past its contractual redemption date, but will be redeemed as soon as the associated credit products and other obligations are no longer outstanding. The following table presents the distributions related to MRCS. Years Ended December 31, MRCS Distributions 2022 2021 2020 Recorded as interest expense $ 2,140 $ 2,601 $ 8,594 Recorded as distributions from retained earnings 2,067 97 40 Total $ 4,207 $ 2,698 $ 8,634 |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As presented in the following table, we were in compliance with these Finance Agency's capital requirements at December 31, 2022 and 2021. December 31, 2022 December 31, 2021 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 489,240 $ 3,781,992 $ 1,091,337 $ 3,473,695 Total regulatory capital $ 2,891,351 $ 3,781,992 $ 2,400,184 $ 3,473,695 Total regulatory capital-to-assets ratio 4.00% 5.23% 4.00% 5.79% Leverage capital $ 3,614,189 $ 5,672,988 $ 3,000,230 $ 5,210,543 Leverage ratio 5.00% 7.85% 5.00% 8.69% |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Changes in the Components of AOCI | The following table presents a summary of the changes in the components of AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI Balance, December 31, 2019 $ 89,813 $ (22,437) $ 67,376 OCI before reclassifications: Net change in unrealized gains 47,108 — 47,108 Reclassifications from OCI to net income: Pension benefits, net — (9,082) (9,082) Total other comprehensive income (loss) 47,108 (9,082) 38,026 Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402 OCI before reclassifications: Net change in unrealized gains 15,021 — 15,021 Reclassifications from OCI to net income: Pension benefits, net — 12,635 12,635 Total other comprehensive income 15,021 12,635 27,656 Balance, December 31, 2021 $ 151,942 $ (18,884) $ 133,058 OCI before reclassifications: Net change in unrealized gains (losses) (161,881) — (161,881) Reclassifications from OCI to net income: Pension benefits, net — 3,032 3,032 Total other comprehensive income (loss) (161,881) 3,032 (158,849) Balance, December 31, 2022 $ (9,939) $ (15,852) $ (25,791) |
Employee Retirement and Defer_2
Employee Retirement and Deferred Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Retirement Benefits [Abstract] | |
Schedule of Net Funded Status | The following table presents a summary of net pension costs charged to compensation and benefits expense and the DB Plan's funded status. DB Plan Net Pension Cost and Funded Status 2022 2021 2020 Net pension cost charged to compensation and benefits expense for the year ended December 31 (1) $ 7,009 $ 5,482 $ 3,211 DB Plan funded status as July 1 119 % (a) 130 % (b) 108 % Our funded status as of July 1 110 % 126 % 104 % (1) Includes voluntary contributions for the years ended December 31, 2022, 2021 and 2020 of $6,301, $4,112, and $1,944, respectively. (a) The DB Plan's funded status as of July 1, 2022 is preliminary and may increase because the participating employers are permitted to make designated contributions through March 15, 2023 for the plan year ended June 30, 2022. Any such contributions will be included in the final valuation as of July 1, 2022. The final funded status as of July 1, 2022 will not be available until the Form 5500 for the plan year ended June 30, 2023 is filed (no later than April 2024). (b) The DB Plan's final funded status as of July 1, 2021 will not be available until the Form 5500 for the plan year ended June 30, 2022 is filed (no later than April 2023). |
Schedule of Changes in Projected Benefit Obligations | The following table presents the changes in our SERP benefit obligation. Change in benefit obligation 2022 2021 2020 Projected benefit obligation at beginning of year $ 50,577 $ 58,330 $ 42,719 Service cost 2,127 3,528 2,489 Interest cost 856 1,067 1,086 Actuarial (gain) loss (1,121) 119 12,551 Benefits paid (523) (523) (515) Settlements — (5,665) — Plan amendment — (6,279) — Projected benefit obligation at end of year $ 51,916 $ 50,577 $ 58,330 |
Schedule of Assumptions Used | The following table presents the key assumptions used in the actuarial calculations of the benefit obligation. December 31, 2022 2021 2020 Discount rate 4.86 % 2.29 % 1.54 % Compensation increases 5.50 % 5.50 % 5.50 % The following table presents the key assumptions used in the actuarial calculations to determine net periodic benefit cost for the SERP. Years Ended December 31, 2022 2021 2020 Discount rate (1) 2.29 % 2.06 % 2.55 % Compensation increases 5.50 % 5.50 % 5.50 % (1) The discount rate for 2021 was 1.54% for the first six months and 2.06% for the last six months. |
Schedule of Net Benefit Costs | The following table presents the components of the net periodic benefit cost for the SERP. Years Ended December 31, 2022 2021 2020 Net periodic benefit cost: Service cost $ 2,127 $ 3,528 $ 2,489 Total recognized in compensation and benefits 2,127 3,528 2,489 Interest cost 856 1,067 1,086 Amortization of past service credit (874) — — Amortization of net actuarial loss 2,785 3,706 3,469 Accelerated amortization of net actuarial loss due to settlements — 2,769 — Total recognized in other expenses 2,767 7,542 4,555 Total net periodic benefit cost recognized in income before assessments 4,894 11,070 7,044 Pension benefits recognized in OCI: Actuarial loss (1,121) 119 12,551 Amortization of net actuarial loss (2,785) (3,706) (3,469) Accelerated amortization of net actuarial loss due to settlements — (2,769) — Past service credit due to plan amendment — (6,279) — Amortization of past service credit 874 — — Net pension benefits recognized in OCI (3,032) (12,635) 9,082 Total recognized as net periodic benefit cost $ 1,862 $ (1,565) $ 16,126 |
Schedule of Amounts Recognized in Other Comprehensive Income (Loss) | The following table presents the components of the pension benefits reported in AOCI for the SERP. December 31, 2022 December 31, 2021 Net actuarial loss $ (21,257) $ (25,163) Past service credit due to plan amendment 5,405 6,279 Net pension benefits reported in AOCI $ (15,852) $ (18,884) |
Schedule of Expected Benefit Payments | The following table presents the estimated future benefit payments reflecting scheduled benefit payments for retired participants and the estimated payments to active participants, based on the form of payment elected by the participant and the actuarial probability of the participant retiring. Actual payments may differ significantly. For the Years Ending December 31, 2023 $ 27,927 2024 1,809 2025 2,274 2026 2,452 2027 2,735 2028 - 2032 15,912 |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Year Ended December 31, 2022 Traditional Mortgage Loans Total Net interest income $ 240,361 $ 50,337 $ 290,698 Provision for (reversal of) credit losses — (74) (74) Other income (loss) 20,101 (657) 19,444 Other expenses 97,158 16,436 113,594 Income before assessments 163,304 33,318 196,622 Affordable Housing Program assessments 16,544 3,332 19,876 Net income $ 146,760 $ 29,986 $ 176,746 Year Ended December 31, 2021 Traditional Mortgage Loans Total Net interest income $ 229,505 $ 22,035 $ 251,540 Provision for (reversal of) credit losses — (108) (108) Other income (loss) (33,495) (324) (33,819) Other expenses 96,760 16,465 113,225 Income before assessments 99,250 5,354 104,604 Affordable Housing Program assessments 10,185 535 10,720 Net income $ 89,065 $ 4,819 $ 93,884 Year Ended December 31, 2020 Traditional Mortgage Loans Total Net interest income $ 253,683 $ 9,687 $ 263,370 Provision for (reversal of) credit losses — 140 140 Other income (loss) (52,262) (3,254) (55,516) Other expenses 92,953 16,181 109,134 Income (loss) before assessments 108,468 (9,888) 98,580 Affordable Housing Program assessments (credits) 11,706 (989) 10,717 Net income (loss) $ 96,762 $ (8,899) $ 87,863 |
Schedule of Segment Assets by Segment | The following table presents our asset balances by operating segment. Date Traditional Mortgage Loans Total December 31, 2022 $ 64,597,325 $ 7,686,455 $ 72,283,780 December 31, 2021 52,388,469 7,616,134 60,004,603 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities. December 31, 2022 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 21,161 $ 21,161 $ 21,161 $ — $ — $ — Interest-bearing deposits 856,060 856,060 856,019 41 — — Securities purchased under agreements to resell 4,550,000 4,550,000 — 4,550,000 — — Federal funds sold 3,148,000 3,148,000 — 3,148,000 — — Trading securities 2,230,248 2,230,248 — 2,230,248 — — AFS securities 12,179,837 12,179,837 — 12,179,837 — — HTM securities 4,240,201 4,156,218 — 4,156,218 — — Advances 36,682,459 36,468,949 — 36,468,949 — — Mortgage loans held for portfolio, net 7,686,455 6,867,904 — 6,859,956 7,948 — Accrued interest receivable 152,867 152,867 — 152,867 — — Derivative assets, net 434,421 434,421 — 921,179 — (486,758) Grantor trust assets (2) 53,166 53,166 53,166 — — — Liabilities: Deposits 595,907 595,907 — 595,907 — — Consolidated obligations: Discount notes 27,387,492 27,387,547 — 27,387,547 — — Bonds 39,882,454 38,690,400 — 38,690,400 — — Accrued interest payable 162,584 162,584 — 162,584 — — Derivative liabilities, net 19,209 19,209 — 2,179,524 — (2,160,315) MRCS 372,503 372,503 372,503 — — — December 31, 2021 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 867,880 $ 867,880 $ 867,880 $ — $ — $ — Interest-bearing deposits 100,041 100,041 100,000 41 — — Securities purchased under agreements to resell 3,500,000 3,500,000 — 3,500,000 — — Federal funds sold 2,580,000 2,580,000 — 2,580,000 — — Trading securities 3,946,799 3,946,799 — 3,946,799 — — AFS securities 9,159,935 9,159,935 — 9,159,935 — — HTM securities 4,313,773 4,322,157 — 4,322,157 — — Advances 27,497,835 27,462,295 — 27,462,295 — — Mortgage loans held for portfolio, net 7,616,134 7,810,378 — 7,787,334 23,044 — Accrued interest receivable 80,758 80,758 — 80,758 — — Derivative assets, net 220,202 220,202 — 106,926 — 113,276 Grantor trust assets (2) 62,640 62,640 62,640 — — — Liabilities: Deposits 1,366,397 1,366,397 — 1,366,397 — — Consolidated obligations: Discount notes 12,116,358 12,115,318 — 12,115,318 — — Bonds 42,361,572 42,643,536 — 42,643,536 — — Accrued interest payable 88,068 88,068 — 88,068 — — Derivative liabilities, net 12,185 12,185 — 413,776 — (401,591) MRCS 50,422 50,422 50,422 — — — (1) Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. (2) Included in other assets on the statement of condition. |
Estimated Fair Value Measurements on Recurring and Nonrecurring Basis | The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. December 31, 2022 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 2,230,248 $ — $ 2,230,248 $ — $ — Total trading securities 2,230,248 — 2,230,248 — — AFS securities: U.S. Treasury obligations 4,209,674 — 4,209,674 — — GSE and TVA debentures 1,902,703 — 1,902,703 — — GSE multifamily MBS 6,067,460 — 6,067,460 — — Total AFS securities 12,179,837 — 12,179,837 — — Derivative assets: Interest-rate related 434,371 — 921,129 — (486,758) MDCs 50 — 50 — — Total derivative assets, net 434,421 — 921,179 — (486,758) Other assets: Grantor trust assets 53,166 53,166 — — — Total assets at recurring estimated fair value $ 14,897,672 $ 53,166 $ 15,331,264 $ — $ (486,758) Derivative liabilities: Interest-rate related $ 19,107 $ — $ 2,179,422 $ — $ (2,160,315) MDCs 102 — 102 — — Total derivative liabilities, net 19,209 — 2,179,524 — (2,160,315) Total liabilities at recurring estimated fair value $ 19,209 $ — $ 2,179,524 $ — $ (2,160,315) December 31, 2021 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 3,946,799 $ — $ 3,946,799 $ — $ — Total trading securities 3,946,799 — 3,946,799 — — AFS securities: GSE and TVA debentures 2,697,116 — 2,697,116 — — GSE multifamily MBS 6,462,819 — 6,462,819 — — Total AFS securities 9,159,935 — 9,159,935 — — Derivative assets: Interest-rate related 220,157 — 106,881 — 113,276 MDCs 45 — 45 — — Total derivative assets, net 220,202 — 106,926 — 113,276 Other assets: Grantor trust assets 62,640 62,640 — — — Total assets at recurring estimated fair value $ 13,389,576 $ 62,640 $ 13,213,660 $ — $ 113,276 Derivative liabilities: Interest-rate related $ 12,080 $ — $ 413,671 $ — $ (401,591) MDCs 105 — 105 — — Total derivative liabilities, net 12,185 — 413,776 — (401,591) Total liabilities at recurring estimated fair value $ 12,185 $ — $ 413,776 $ — $ (401,591) (1) |
Reconciliation of AFS Private-label RMBS Measured at Estimated Fair Value on a Recurring Basis using Level 3 Significant Inputs |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. December 31, 2022 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding $ 65,904 $ 405,973 $ 471,877 Unused lines of credit (1) 1,026,035 — 1,026,035 Commitments to fund additional advances (2) 454,384 9,966 464,350 Commitments to fund or purchase mortgage loans, net (3) 30,855 — 30,855 Unsettled CO bonds, at par 75,000 — 75,000 Unsettled discount notes, at par 5,000 — 5,000 (1) Maximum line of credit amount per member is $100,000. (2) Generally for periods up to 6 months. (3) Generally for periods up to 91 days. |
Related Party and Other Trans_2
Related Party and Other Transactions (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Loans to Other Federal Home Loan Banks and Principal Repayments | The following table presents our transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Years Ended December 31, Transactions with Directors' Financial Institutions 2022 2021 2020 Net capital stock issuances (redemptions and repurchases) $ (33,580) $ 7,213 $ 80,088 Net advances (repayments) 3,850,669 (1,581,708) 346,863 Mortgage loan purchases 17,584 58,830 48,394 |
Outstanding Balances with Respect to Transactions with Related Parties | The following table presents the aggregate balances of capital stock and advances outstanding for directors' financial institutions and their balances as a percent of the total balances on our statement of condition. December 31, 2022 December 31, 2021 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 49,869 2 % $ 440,949 19 % Advances 886,191 2 % 3,854,856 14 % |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2022 bank component | |
Summary of Significant Accounting Policies [Line Items] | |
Number of regional wholesale FHLBanks | bank | 11 |
Percentage of quarterly net income allocated to separate restricted retained earnings account | 20% |
Number of components calculating proportionate share of Office of Finance operating and capital expenditures | component | 2 |
Portion based on share of total consolidated obligations outstanding (in percent) | 66.67% |
Portion base on equal pro-rate allocation (in percent) | 33.33% |
Class B | |
Summary of Significant Accounting Policies [Line Items] | |
Mandatorily redeemable capital stock, redemption period | 5 years |
Minimum | |
Summary of Significant Accounting Policies [Line Items] | |
Percentage of difference between present value of cash flows under terms of new advances and present value of remaining cash flows under terms of original advance | 10% |
Estimated useful life | 3 years |
Restricted retained earnings as percentage of average balance of outstanding consolidated obligations for previous quarter | 1% |
Maximum | |
Summary of Significant Accounting Policies [Line Items] | |
Estimated useful life | 40 years |
Cash and Due from Banks (Detail
Cash and Due from Banks (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Cash and Due from Banks [Abstract] | |||
Average cash balances with commercial banks | $ 104,501 | $ 227,913 | $ 65,945 |
Investments - Short-term Invest
Investments - Short-term Investments (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 |
Cash and Cash Equivalents [Line Items] | ||
Investments with Counterparties Rated Below Single B | 0% | 0% |
Securities purchased under agreements to resell, allowance for credit loss | $ 0 | $ 0 |
Interest-bearing Deposits | ||
Cash and Cash Equivalents [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | 0 | 0 |
Federal Funds Sold | ||
Cash and Cash Equivalents [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 0 | $ 0 |
Investments - Trading Securitie
Investments - Trading Securities (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Total trading securities at estimated fair value | $ 2,230,248 | $ 3,946,799 | |
Debt Securities, Trading, Gain (Loss) [Abstract] | |||
Net gains (losses) on trading securities held at year end | (18,461) | (17,608) | $ (7,202) |
Net gains (losses) on trading securities that matured/sold during the year | (4,113) | (29,706) | (7,282) |
Net gains (losses) on trading securities | (22,574) | (47,314) | $ (14,484) |
U.S. Treasury obligations | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Total trading securities at estimated fair value | $ 2,230,248 | $ 3,946,799 |
Investments AFS Securities - Ma
Investments AFS Securities - Major Security Types (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | |||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-Sale, Amortized Cost, Excluding Accrued Interest, before Allowance for Credit Loss | [1] | $ 12,189,776 | $ 9,007,993 | |
Gross unrealized gains | 43,710 | 155,513 | ||
Gross unrealized losses | (53,649) | (3,571) | ||
AFS securities | 12,179,837 | 9,159,935 | ||
Debt Securities, Available-for-Sale, Unamortized Discount, Net | (294,587) | |||
Unamortized premium, net | 14,344 | |||
Applicable fair-value hedging basis adjustment | (1,099,886) | 206,199 | ||
Excluded accrued interest receivable | $ 53,358 | $ 32,127 | ||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | ||
U.S. Treasury obligations | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-Sale, Amortized Cost, Excluding Accrued Interest, before Allowance for Credit Loss | $ 4,207,974 | |||
Gross unrealized gains | 3,502 | |||
Gross unrealized losses | (1,802) | |||
AFS securities | 4,209,674 | |||
GSE and TVA debentures | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-Sale, Amortized Cost, Excluding Accrued Interest, before Allowance for Credit Loss | [1] | 1,882,802 | $ 2,651,571 | |
Gross unrealized gains | 20,144 | [1] | 45,557 | |
Gross unrealized losses | (243) | (12) | ||
AFS securities | 1,902,703 | 2,697,116 | ||
GSE multifamily MBS | ||||
Debt Securities, Available-for-sale [Line Items] | ||||
Debt Securities, Available-for-Sale, Amortized Cost, Excluding Accrued Interest, before Allowance for Credit Loss | [1] | 6,099,000 | 6,356,422 | |
Gross unrealized gains | 20,064 | 109,956 | ||
Gross unrealized losses | (51,604) | (3,559) | ||
AFS securities | $ 6,067,460 | $ 6,462,819 | ||
[1] (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Includes at December 31, 2022 and 2021 net unamortized discounts totaling $(294,587) and net unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at December 31, 2022 and 2021 totaled net losses of $(1,099,886) and net gains of $206,199, respectively. Excludes accrued interest receivable at December 31, 2022 and 2021 of $53,358 and $32,127, respectively. |
Investments AFS Securities - Un
Investments AFS Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 5,395,432 | $ 634,160 |
Less than 12 Months, Unrealized Losses | (43,091) | (3,571) |
12 Months or More, Estimated Fair Value | 301,339 | 0 |
12 Months or More, Unrealized Losses | (10,558) | 0 |
Total Estimated Fair Value | 5,696,771 | 634,160 |
Total Unrealized Losses | (53,649) | (3,571) |
U.S. Treasury obligations | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 1,836,099 | |
Less than 12 Months, Unrealized Losses | (1,802) | |
12 Months or More, Estimated Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Estimated Fair Value | 1,836,099 | |
Total Unrealized Losses | (1,802) | |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 75,024 | 250,145 |
Less than 12 Months, Unrealized Losses | (243) | (12) |
12 Months or More, Estimated Fair Value | 0 | 0 |
12 Months or More, Unrealized Losses | 0 | 0 |
Total Estimated Fair Value | 75,024 | 250,145 |
Total Unrealized Losses | (243) | (12) |
GSE multifamily MBS | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 3,484,309 | 384,015 |
Less than 12 Months, Unrealized Losses | (41,046) | (3,559) |
12 Months or More, Estimated Fair Value | 301,339 | 0 |
12 Months or More, Unrealized Losses | (10,558) | 0 |
Total Estimated Fair Value | 3,785,648 | 384,015 |
Total Unrealized Losses | $ (51,604) | $ (3,559) |
Investments - Narrative (Detail
Investments - Narrative (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | |||
Sales of available for sale securities | $ 0 | $ 0 | $ 96,779,000 |
Net realized gains on AFS securities | 504,000 | ||
Gain on sale of AFS securities | 715,000 | ||
Loss on sale of AFS securities | (211,000) | ||
Proceeds from sales | 69,919,000 | $ 0 | $ 0 |
Debt Securities, Held-to-Maturity, Sold, Realized Gain (Loss), Excluding Other-than-temporary Impairment | $ (1,059,000) | ||
AFS and HTM securities, based on amortized cost, rated single-A or above (percent) | 100% | 100% | |
Debt Securities, Held-to-Maturity, Allowance for Credit Loss, Excluding Accrued Interest | $ 0 | $ 0 | |
Debt Securities, Available-for-Sale, Allowance for Credit Loss, Excluding Accrued Interest | $ 0 | $ 0 |
Investments AFS Securities - Re
Investments AFS Securities - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Available-for-sale Securities [Line Items] | |||
Debt Securities, Available-for-Sale, Amortized Cost, Excluding Accrued Interest, before Allowance for Credit Loss | [1] | $ 12,189,776 | $ 9,007,993 |
Available-for-sale securities (amortized cost of $12,189,776 and $9,007,993) (Note 4) | 12,179,837 | 9,159,935 | |
Available for Sale Securities Other Than MBS and ABS | |||
Available-for-sale Securities [Line Items] | |||
Due in 1 year or less, Amortized Cost | 131,329 | 581,801 | |
Due after 1 year through 5 years, Amortized Cost | 1,575,581 | 1,494,109 | |
Due after 5 years through 10 years, Amortized Cost | 4,383,866 | 575,661 | |
Due in 1 year or less, Estimated Fair Value | 131,517 | 582,240 | |
Due after 1 year through 5 years, Estimated Fair Value | 1,594,583 | 1,523,600 | |
Due after 5 years through 10 years, Estimated Fair Value | 4,386,277 | 591,276 | |
Debt Securities, Available-for-Sale, Amortized Cost, Excluding Accrued Interest, before Allowance for Credit Loss | 6,090,776 | 2,651,571 | |
Available-for-sale securities (amortized cost of $12,189,776 and $9,007,993) (Note 4) | 6,112,377 | 2,697,116 | |
Mortgage Backed Securities | |||
Available-for-sale Securities [Line Items] | |||
Total MBS, amortized cost basis | 6,099,000 | 6,356,422 | |
Total MBS, estimated fair value | $ 6,067,460 | $ 6,462,819 | |
[1] (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. Includes at December 31, 2022 and 2021 net unamortized discounts totaling $(294,587) and net unamortized premiums totaling $14,344, respectively. The applicable fair value hedging basis adjustments at December 31, 2022 and 2021 totaled net losses of $(1,099,886) and net gains of $206,199, respectively. Excludes accrued interest receivable at December 31, 2022 and 2021 of $53,358 and $32,127, respectively. |
Investments HTM Securities - Ma
Investments HTM Securities - Major Security Types (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
HTM securities | [1] | $ 4,240,201 | $ 4,313,773 |
Gross Unrecognized Holding Gains | 2,646 | 22,587 | |
Gross Unrecognized Holding Losses | (86,629) | (14,203) | |
Estimated Fair Value | 4,156,218 | 4,322,157 | |
Net unamortized premium | 26,125 | 28,440 | |
Other U.S. obligations - guaranteed MBS | Single Family | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
HTM securities | [1] | 2,991,702 | 2,626,143 |
Gross Unrecognized Holding Gains | 2,128 | 7,384 | |
Gross Unrecognized Holding Losses | (43,106) | (9,238) | |
Estimated Fair Value | 2,950,724 | 2,624,289 | |
GSE MBS | Single Family | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
HTM securities | [1] | 619,910 | 815,924 |
Gross Unrecognized Holding Gains | 518 | 14,424 | |
Gross Unrecognized Holding Losses | (39,634) | (4,773) | |
Estimated Fair Value | 580,794 | 825,575 | |
GSE MBS | Multifamily | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
HTM securities | [1] | 628,589 | 871,706 |
Gross Unrecognized Holding Gains | 0 | 779 | |
Gross Unrecognized Holding Losses | (3,889) | (192) | |
Estimated Fair Value | $ 624,700 | $ 872,293 | |
[1] (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2022 and 2021 to tale d $26,125 and $28,440, respectively. |
Advances - Advances by Year of
Advances - Advances by Year of Redemption Term (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand and overnight deposit accounts | $ 430 | $ 0 | |
Due in 1 year or less | 14,517,059 | 7,863,703 | |
Due after 1 year through 2 years | 2,726,023 | 2,684,996 | |
Due after 2 years through 3 years | 3,316,683 | 3,536,759 | |
Due after 3 years through 4 years | 2,045,370 | 2,931,260 | |
Due after 4 years through 5 years | 3,938,017 | 1,908,432 | |
Thereafter | 10,747,880 | 8,384,458 | |
Total advances, par value | $ 37,291,462 | $ 27,309,608 | |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand and overnight deposit accounts | 6.74% | 0% | |
Due in 1 year or less | 3.77% | 0.59% | |
Due after 1 year through 2 years | 2.82% | 2.02% | |
Due after 2 years through 3 years | 2.73% | 1.35% | |
Due after 3 years through 4 years | 2.70% | 1.29% | |
Due after 4 years through 5 years | 3.96% | 1.34% | |
Thereafter | 2.70% | 0.82% | |
Total advances, par value | 3.26% | 1.03% | |
Fair-value hedging basis adjustments, net | $ (615,859) | $ 179,115 | |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 6,856 | 9,112 | |
Total Advances | [1] | 36,682,459 | 27,497,835 |
Excluded accrued interest receivable | $ 50,446 | $ 13,075 | |
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |
[1]Carrying value equals amortized cost, which excludes accrued interest receivable at December 31, 2022 and 2021 of $50,446 and $13,075, respectively. |
Advances - Earlier of Contractu
Advances - Earlier of Contractual Maturity or Next Call Date and Year of Redemption Term or Next Put Date (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 430 | $ 0 |
Due in 1 year or less | 19,337,582 | 12,547,866 |
Due after 1 year through 2 years | 2,299,023 | 2,578,396 |
Due after 2 years through 3 years | 2,385,483 | 2,127,759 |
Due after 3 years through 4 years | 1,592,245 | 1,997,060 |
Due after 4 years through 5 years | 2,773,917 | 1,530,307 |
Thereafter | 8,902,782 | 6,528,220 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Due in 1 year or less | 20,226,164 | 13,452,703 |
Due after 1 year through 2 years | 3,207,023 | 3,090,101 |
Due after 2 years through 3 years | 4,082,583 | 3,636,259 |
Due after 3 years through 4 years | 2,045,370 | 3,007,160 |
Due after 4 years through 5 years | 4,173,117 | 1,485,332 |
Thereafter | 3,556,775 | 2,638,053 |
Total advances, par value | $ 37,291,462 | $ 27,309,608 |
Advances - Narrative (Details)
Advances - Narrative (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Federal Home Loan Bank, Advances [Line Items] | ||||
Percent of advances par value held by top five borrowers | 41% | 43% | ||
Percent of Advances Par Value Held by Top Borrower | 12% | 12% | ||
Advances | [1] | $ 36,682,459,000 | $ 27,497,835,000 | |
Federal Home Loan Bank Advances Receivable | ||||
Federal Home Loan Bank, Advances [Line Items] | ||||
Financing Receivable, Excluding Accrued Interest, before Allowance for Credit Loss | 0 | 0 | ||
On non-accrual status (4) | 0 | 0 | ||
TDRs related to advances | 0 | 0 | $ 0 | |
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | 0 | |||
Federal Home Loan Bank Advances Receivable | Financial Asset, Past Due | ||||
Federal Home Loan Bank, Advances [Line Items] | ||||
Advances considered impaired | $ 0 | $ 0 | ||
[1]Carrying value equals amortized cost, which excludes accrued interest receivable at December 31, 2022 and 2021 of $50,446 and $13,075, respectively. |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio - Mortgage Loans (Details) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | Dec. 31, 2019 USD ($) | ||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Mortgage loans held for portfolio, unpaid principal balance | $ 7,533,198 | $ 7,434,394 | |||
Unamortized premiums | 168,593 | 181,172 | |||
Unamortized discounts | (9,466) | (2,389) | |||
Hedging basis adjustments, net | (5,670) | 3,157 | |||
Total mortgage loans held for portfolio | 7,686,655 | 7,616,334 | |||
Allowance for credit losses | (200) | (200) | |||
Total mortgage loans held for portfolio, net (2) | [1] | 7,686,455 | 7,616,134 | ||
Excluded accrued interest receivable | 50,446 | 13,075 | |||
Government-guaranteed or -insured | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Mortgage loans held for portfolio, unpaid principal balance | 150,030 | 180,338 | |||
Real Estate Loan | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Excluded accrued interest receivable | 30,396 | 27,977 | |||
Fixed-rate long-term mortgages | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Mortgage loans held for portfolio, unpaid principal balance | 6,676,752 | 6,417,543 | |||
Fixed-rate medium-term (1) mortgages | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Mortgage loans held for portfolio, unpaid principal balance | [2] | $ 856,446 | 1,016,851 | ||
Fixed-rate medium-term (1) mortgages | Maximum | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Original term | 15 years | ||||
Conventional | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Mortgage loans held for portfolio, unpaid principal balance | $ 7,383,168 | 7,254,056 | |||
Total mortgage loans held for portfolio | 7,534,978 | 7,433,898 | |||
Allowance for credit losses | (200) | (200) | $ (350) | $ (300) | |
Government-guaranteed or -insured | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Allowance for credit losses | $ 0 | $ 0 | |||
Mortgage Purchase Program | Conventional | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
PMI LTV ratio threshold | 0.80 | ||||
[1]Excludes accrued interest receivable at December 31, 2022 and 2021 of $30,396 and $27,977, respectively.[2]Defined as a term of 15 years or less at origination. |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio - Credit Quality Indicators (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | ||
Financing Receivable, Past Due [Line Items] | |||
Total mortgage loans held for portfolio | $ 7,686,655 | $ 7,616,334 | |
In process of foreclosure (1) | [1] | $ 1,655 | $ 1,999 |
Serious delinquency rate (2) | [2] | 0.18% | 0.41% |
Period loan receivable becomes nonaccrual status | 90 days | ||
Government | |||
Financing Receivable, Past Due [Line Items] | |||
In process of foreclosure (1) | [1] | $ 0 | $ 0 |
Serious delinquency rate (2) | [2] | 1.07% | 0.86% |
Past due 90 days or more still accruing interest (3) | [3] | $ 1,552 | $ 1,364 |
On non-accrual status (4) | [4] | 0 | 0 |
Conventional | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 2,454,550 | 2,487,162 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 5,080,428 | 4,946,736 | |
Total mortgage loans held for portfolio | 7,534,978 | 7,433,898 | |
In process of foreclosure (1) | [1] | $ 1,655 | $ 1,999 |
Serious delinquency rate (2) | [2] | 0.16% | 0.40% |
Past due 90 days or more still accruing interest (3) | [3] | $ 6,283 | $ 15,725 |
On non-accrual status (4) | [4] | 10,984 | 23,487 |
Financing Receivable, Excluding Accrued Interest, Nonaccrual, No Allowance | 3,160 | 11,701 | |
Conventional | Total past due | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 31,927 | 39,742 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 18,012 | 25,635 | |
Total mortgage loans held for portfolio | 49,939 | 65,377 | |
Conventional | Total current | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 2,422,623 | 2,447,420 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 5,062,416 | 4,921,101 | |
Total mortgage loans held for portfolio | 7,485,039 | 7,368,521 | |
Conventional | 30-59 days | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 17,892 | 16,968 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 13,041 | 12,662 | |
Total mortgage loans held for portfolio | 30,933 | 29,630 | |
Conventional | 60-89 days | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 4,537 | 4,175 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 1,992 | 1,767 | |
Total mortgage loans held for portfolio | 6,529 | 5,942 | |
Conventional | 90 days or more | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 9,498 | 18,599 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 2,979 | 11,206 | |
Total mortgage loans held for portfolio | 12,477 | 29,805 | |
Real Estate Loan | |||
Financing Receivable, Past Due [Line Items] | |||
Past due 90 days or more still accruing interest (3) | [3] | 7,835 | 17,089 |
On non-accrual status (4) | [4] | $ 10,984 | $ 23,487 |
[1]Includes loans for which the decision of foreclosure or similar alternative, such as pursuit of deed-in-lieu of foreclosure, has been reported. Loans in process of foreclosure are included in past due categories depending on their delinquency status, but are not necessarily considered to be on non-accrual status.[2]Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the total mortgage loans. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including FHA loans, when certain criteria are met.[3]Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status as they are well-secured and in the process of collection.[4]As of December 31, 2022 and 2021, of these conventional mortgage loans on non-accrual status, $3,160 and $11,701, respectively, of UPB did not have a related allowance for credit losses because these loans were either previously charged off to the expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, exceeded the amortized cost of the loans. |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio - Credit Waterfall (Details) | 12 Months Ended |
Dec. 31, 2022 | |
Maximum | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |
Period for collective evaluation for impairment at the pool level using a recognized third-party credit model | 179 days |
Minimum | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |
Period for collective evaluation at the pool level based on current and historical information and events | 180 days |
Mortgage Loans Held for Portf_6
Mortgage Loans Held for Portfolio - Rollforward (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of year | $ 200 | |||
Provision for (reversal of) credit losses | (74) | $ (108) | $ 140 | |
Balance, end of year | 200 | 200 | ||
Government-guaranteed or -insured | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
On non-accrual status (4) | [1] | 0 | 0 | |
Conventional | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of year | 200 | 350 | 300 | |
Charge-offs | (11) | (81) | (140) | |
Recoveries | 85 | 39 | 50 | |
Provision for (reversal of) credit losses | (74) | (108) | 140 | |
Balance, end of year | 200 | 200 | $ 350 | |
On non-accrual status (4) | [1] | 10,984 | 23,487 | |
Government-guaranteed or -insured | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||
Balance, beginning of year | 0 | |||
Balance, end of year | 0 | $ 0 | ||
On non-accrual status (4) | $ 0 | |||
[1]As of December 31, 2022 and 2021, of these conventional mortgage loans on non-accrual status, $3,160 and $11,701, respectively, of UPB did not have a related allowance for credit losses because these loans were either previously charged off to the expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, exceeded the amortized cost of the loans. |
Premises, Software and Equipm_3
Premises, Software and Equipment (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Property, Plant and Equipment [Abstract] | |||
Premises | $ 14,768 | $ 15,674 | |
Computer software | 51,601 | 49,886 | |
Data processing equipment | 6,539 | 5,354 | |
Furniture and equipment | 5,064 | 5,946 | |
Other | 675 | 640 | |
Premises, software and equipment, in service | 78,647 | 77,500 | |
Accumulated depreciation and amortization | (54,068) | (48,420) | |
Premises, software and equipment, in service, net | 24,579 | 29,080 | |
Capitalized assets in progress | 2,726 | 1,491 | |
Premises, software and equipment, net | 27,305 | 30,571 | |
Depreciation and amortization expense for premises, software and equipment | 8,182 | 7,833 | $ 7,198 |
Amortization of computer software | $ 5,935 | $ 5,547 | $ 5,315 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Narrative (Details) $ in Thousands | Dec. 31, 2022 USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Net liability portion, aggregate fair value | $ 0 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Derivatives in Statement of Condition (Details) - USD ($) | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | $ 72,975,275,000 | $ 55,810,575,000 | |
Estimated fair value of derivative assets | 921,179,000 | 106,926,000 | |
Estimated fair value of derivative liabilities | 2,179,524,000 | 413,776,000 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (486,758,000) | 113,276,000 |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (2,160,315,000) | (401,591,000) |
Derivative assets, net | 434,421,000 | 220,202,000 | |
Derivative liabilities, net | 19,209,000 | 12,185,000 | |
Cash collateral pledged to counterparties, including accrued interest | 1,854,876,000 | 515,761,000 | |
Cash collateral received from counterparties, including accrued interest | 181,319,000 | 894,000 | |
Securities pledged as collateral | 0 | 0 | |
Designated as Hedging Instrument | Interest Rate Swap | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 66,103,220,000 | 46,395,451,000 | |
Estimated fair value of derivative assets | 919,089,000 | 105,446,000 | |
Estimated fair value of derivative liabilities | 2,178,897,000 | 413,324,000 | |
Not Designated as Hedging Instrument | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 6,872,055,000 | 9,415,124,000 | |
Estimated fair value of derivative assets | 2,090,000 | 1,480,000 | |
Estimated fair value of derivative liabilities | 627,000 | 452,000 | |
Not Designated as Hedging Instrument | Interest Rate Swap | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 6,200,000,000 | 8,595,000,000 | |
Estimated fair value of derivative assets | 599,000 | 357,000 | |
Estimated fair value of derivative liabilities | 525,000 | 148,000 | |
Not Designated as Hedging Instrument | Interest-rate caps/floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 611,000,000 | 625,500,000 | |
Estimated fair value of derivative assets | 1,310,000 | 1,077,000 | |
Estimated fair value of derivative liabilities | 0 | 0 | |
Not Designated as Hedging Instrument | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 30,200,000 | 98,200,000 | |
Estimated fair value of derivative assets | 131,000 | 1,000 | |
Estimated fair value of derivative liabilities | 0 | 199,000 | |
MDCs | Not Designated as Hedging Instrument | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 30,855,000 | 96,424,000 | |
Estimated fair value of derivative assets | 50,000 | 45,000 | |
Estimated fair value of derivative liabilities | $ 102,000 | $ 105,000 | |
[1]Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty.[2]Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2022 and 2021, including accrued interest, totaled $1,854,876 and $515,761, respectively. Cash collateral received from counterparties and held at December 31, 2022 and 2021, including accrued interest, totaled $181,319 and $894, respectively. At December 31, 2022 and 2021, no securities were pledged as collateral. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Offsetting Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Derivative Assets | |||
Gross recognized amount | $ 920,998 | $ 106,880 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (486,758) | 113,276 |
Net amounts after netting adjustments and cash collateral | 434,240 | 220,156 | |
Derivative instruments not meeting netting requirements | [3] | 181 | 46 |
Derivative assets, net | 434,421 | 220,202 | |
Derivative Liabilities | |||
Gross recognized amount | 2,179,422 | 413,472 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (2,160,315) | (401,591) |
Net amounts after netting adjustments and cash collateral | 19,107 | 11,881 | |
Derivative instruments not meeting netting requirements | [3] | 102 | 304 |
Derivative liabilities, net | 19,209 | 12,185 | |
Uncleared | |||
Derivative Assets | |||
Gross recognized amount | 892,313 | 105,667 | |
Gross amounts of netting adjustments and cash collateral | (884,451) | (105,417) | |
Net amounts after netting adjustments and cash collateral | 7,862 | 250 | |
Derivative Liabilities | |||
Gross recognized amount | 2,178,098 | 411,886 | |
Gross amounts of netting adjustments and cash collateral | (2,158,991) | (400,005) | |
Net amounts after netting adjustments and cash collateral | 19,107 | 11,881 | |
Cleared | |||
Derivative Assets | |||
Gross recognized amount | 28,685 | 1,213 | |
Gross amounts of netting adjustments and cash collateral | 397,693 | 218,693 | |
Net amounts after netting adjustments and cash collateral | 426,378 | 219,906 | |
Derivative Liabilities | |||
Gross recognized amount | 1,324 | 1,586 | |
Gross amounts of netting adjustments and cash collateral | (1,324) | (1,586) | |
Net amounts after netting adjustments and cash collateral | $ 0 | $ 0 | |
[1]Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty.[2]Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2022 and 2021, including accrued interest, totaled $1,854,876 and $515,761, respectively. Cash collateral received from counterparties and held at December 31, 2022 and 2021, including accrued interest, totaled $181,319 and $894, respectively. At December 31, 2022 and 2021, no securities were pledged as collateral.[3]Includes MDCs and certain interest-rate forwards. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $ (750,957) | $ 456,996 | $ (870,816) |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Total interest income (expense) recorded in the Statement of Income | Total interest income (expense) recorded in the Statement of Income | Total interest income (expense) recorded in the Statement of Income |
Total interest income (expense) recorded in the Statement of Income | $ 290,698 | $ 251,540 | $ 263,370 |
Interest Income (Expense), Net | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net interest settlements on derivatives | (24,623) | (190,442) | (194,158) |
Net gains (losses) on hedged items | 666,062 | (481,550) | 863,031 |
Net impact on net interest income | (109,518) | (214,996) | (201,943) |
Total interest income (expense) recorded in the Statement of Income | $ 207,362 | $ 8,851 | $ (28,620) |
Advances | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Advances | Advances | Advances |
Advances | Interest Rate Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $ 725,919 | $ 425,804 | $ (384,880) |
Advances | Interest Income | Interest Rate Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net interest settlements on derivatives | 52,810 | (183,075) | (135,342) |
Net gains (losses) on hedged items | (731,398) | (429,900) | 382,167 |
Net impact on net interest income | 47,331 | (187,171) | (138,055) |
Total interest income (expense) recorded in the Statement of Income | $ 634,148 | $ 115,634 | $ 329,675 |
AFS Securities | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Available-for-sale securities | Available-for-sale securities | Available-for-sale securities |
AFS Securities | Interest Rate Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $ 432,904 | $ 303,349 | $ (507,403) |
AFS Securities | Interest Income | Interest Rate Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net interest settlements on derivatives | 58,755 | (110,510) | (109,907) |
Net gains (losses) on hedged items | (502,643) | (321,097) | 494,481 |
Net impact on net interest income | (10,984) | (128,258) | (122,829) |
Total interest income (expense) recorded in the Statement of Income | $ 285,252 | $ 99,646 | $ 103,658 |
CO Bonds | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Consolidated obligation bonds | Consolidated obligation bonds | Consolidated obligation bonds |
CO Bonds | Interest Rate Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Derivative, Gain (Loss) on Derivative, Net | $ (1,909,780) | $ (272,157) | $ 21,467 |
CO Bonds | Interest Expense | Interest Rate Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net interest settlements on derivatives | (136,188) | 103,143 | 51,091 |
Net gains (losses) on hedged items | 1,900,103 | 269,447 | (13,617) |
Net impact on net interest income | (145,865) | 100,433 | 58,941 |
Total interest income (expense) recorded in the Statement of Income | $ (712,038) | $ (206,429) | $ (461,953) |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains (losses) on derivatives | $ 48,429 | $ 3,684 | $ (48,362) |
Economic Hedge | Interest Rate Swap | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gain (loss) on derivatives not designated as hedging instruments: | 15,731 | 13,347 | 1,488 |
Economic Hedge | Swaptions | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gain (loss) on derivatives not designated as hedging instruments: | 0 | 0 | (324) |
Economic Hedge | Interest-rate caps/floors | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gain (loss) on derivatives not designated as hedging instruments: | 233 | (36) | 898 |
Economic Hedge | Interest-rate forwards | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gain (loss) on derivatives not designated as hedging instruments: | 7,824 | 3,350 | (13,377) |
Economic Hedge | Net interest settlements | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gain (loss) on derivatives not designated as hedging instruments: | 33,391 | (9,137) | (46,927) |
Economic Hedge | MDCs | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gain (loss) on derivatives not designated as hedging instruments: | (8,750) | (3,840) | 9,880 |
Not Designated as Hedging Instrument | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Net gains (losses) on derivatives | $ 48,429 | $ 3,684 | $ (48,362) |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities - Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Advances | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | $ 20,766,832 | $ 17,374,515 |
For active fair-value hedging relationships | [2] | (615,898) | 178,543 |
For discontinued fair-value hedging relationships | 39 | 572 | |
Total cumulative fair-value hedging basis adjustments on hedged items | (615,859) | 179,115 | |
AFS Securities | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | 12,189,776 | 9,007,993 |
For active fair-value hedging relationships | [2] | (1,417,774) | (184,724) |
For discontinued fair-value hedging relationships | 317,888 | 390,923 | |
Total cumulative fair-value hedging basis adjustments on hedged items | (1,099,886) | 206,199 | |
CO Bonds | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | 28,717,246 | 20,902,714 |
For active fair-value hedging relationships | [2] | (2,147,802) | (247,699) |
For discontinued fair-value hedging relationships | 0 | 0 | |
Total cumulative fair-value hedging basis adjustments on hedged items | $ (2,147,802) | $ (247,699) | |
[1]Includes the amortized cost of the hedged items in active or discontinued fair-value hedging relationships.[2]Includes effective and ineffective fair-value hedging relationships. Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Deposit Liabilities (Details)
Deposit Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Interest-bearing: | |||
Demand and overnight | $ 571,971 | $ 1,363,988 | |
Time | 23,898 | 0 | |
Other | 38 | 903 | |
Total interest-bearing | 595,907 | 1,364,891 | |
Non-interest-bearing: | |||
Other | [1] | 0 | 1,506 |
Total non-interest-bearing | 0 | 1,506 | |
Total deposits | $ 595,907 | $ 1,366,397 | |
[1] (1) Includes pass-through deposit reserves from members. |
Consolidated Obligations - Narr
Consolidated Obligations - Narrative (Details) - USD ($) $ in Billions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Disclosure [Abstract] | ||
Discount notes maturity period | 1 year | |
FHLB system outstanding consolidation obligations | $ 1,200 | $ 652.9 |
Consolidated Obligations - Disc
Consolidated Obligations - Discount Notes (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Short-term Debt [Line Items] | ||
Discount notes maturity period | 1 year | |
Book value | $ 27,387,492 | $ 12,116,358 |
Short-term Debt | ||
Short-term Debt [Line Items] | ||
Book value | 27,387,492 | 12,116,358 |
Par value | $ 27,533,665 | $ 12,117,846 |
Weighted average effective interest rate | 4.16% | 0.05% |
Consolidated Obligations - Cont
Consolidated Obligations - Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Amount | ||
Total CO bonds, par value | $ 42,002,060 | $ 42,550,250 |
Total CO bonds | 39,882,454 | 42,361,572 |
Year of Contractual Maturity or Next Call Date | ||
Amount | ||
Due in 1 year or less | 37,066,810 | 36,028,850 |
Due after 1 year through 2 years | 1,444,590 | 3,122,510 |
Due after 2 years through 3 years | 770,940 | 586,550 |
Due after 3 years through 4 years | 804,100 | 577,300 |
Due after 4 years through 5 years | 268,540 | 415,100 |
Thereafter | 1,647,080 | 1,819,940 |
Total CO bonds, par value | 42,002,060 | 42,550,250 |
CO Bonds | ||
Amount | ||
Due in 1 year or less | 10,016,310 | 14,357,350 |
Due after 1 year through 2 years | 8,014,590 | 2,965,510 |
Due after 2 years through 3 years | 6,278,940 | 5,797,550 |
Due after 3 years through 4 years | 7,130,600 | 3,947,300 |
Due after 4 years through 5 years | 2,312,540 | 6,587,600 |
Thereafter | 8,249,080 | 8,894,940 |
Total CO bonds, par value | 42,002,060 | 42,550,250 |
Unamortized premiums | 45,535 | 77,035 |
Unamortized discounts | (10,165) | (11,268) |
Unamortized concessions | (7,174) | (6,746) |
Fair-value hedging basis adjustments, net | $ (2,147,802) | $ (247,699) |
WAIR% | ||
Due in 1 year or less | 3.05% | 0.29% |
Due after 1 year through 2 years | 1.48% | 1.02% |
Due after 2 years through 3 years | 1.37% | 0.76% |
Due after 3 years through 4 years | 1.25% | 0.83% |
Due after 4 years through 5 years | 1.76% | 1.14% |
Thereafter | 2.35% | 2.09% |
Total CO bonds, par value | 1.99% | 0.96% |
Consolidated Obligations - Bond
Consolidated Obligations - Bonds by Callable Feature (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 42,002,060 | $ 42,550,250 |
Non-callable / non-putable | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | 11,979,560 | 20,346,750 |
Callable | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 30,022,500 | $ 22,203,500 |
Consolidated Obligations - CO B
Consolidated Obligations - CO Bonds by Interest-rate Payment Type (Details) - CO Bonds - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | $ 42,002,060 | $ 42,550,250 |
Fixed-rate | ||
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | 36,957,560 | 36,717,750 |
Step-up | ||
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | 2,268,500 | 898,500 |
Simple variable-rate | ||
Consolidated Obligation Bons by Interest-rate Payment [Line Items] | ||
Total CO bonds, par value | $ 2,776,000 | $ 4,934,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Affordable Housing Program [Abstract] | |||
Minimum amount required to set aside for AHP | $ 100,000 | ||
Percentage of net earnings required to set aside for AHP | 10% | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||
Balance at beginning of year | $ 31,049 | $ 34,402 | $ 38,084 |
Assessment (expense) | 19,876 | 10,720 | 10,717 |
Voluntary Contribution Expense Allocated to AHP | 4,159 | 0 | 0 |
Subsidy usage, net (1) | (16,914) | (14,073) | (14,399) |
Balance at end of year | $ 38,170 | $ 31,049 | $ 34,402 |
Capital - Narrative (Details)
Capital - Narrative (Details) | 12 Months Ended |
Dec. 31, 2022 numberOfSub-seriesOfStock | |
Banking Regulation, Total Capital [Abstract] | |
Number of Sub-series of Stock | 2 |
Redemption Period - Class B Stock | 5 years |
Redemption Period - Class A Stock | 6 months |
Capital - Capital Stock by Sub-
Capital - Capital Stock by Sub-Series (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 |
Class B | ||
Class of Stock [Line Items] | ||
Capital Stock Sub-Series | $ 2,123,125 | $ 2,246,201 |
Class B-1 | ||
Class of Stock [Line Items] | ||
Capital Stock Sub-Series | 535,345 | 931,517 |
Class B-2 | ||
Class of Stock [Line Items] | ||
Capital Stock Sub-Series | $ 1,587,780 | $ 1,314,684 |
Capital - Mandatorily Redeemabl
Capital - Mandatorily Redeemable Capital Stock Rollforward (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Mandatorily Redeemable Capital Stock Acitvity [Roll Forward] | |||
Liability at beginning of year | $ 50,422 | $ 250,768 | $ 322,902 |
Reclassification from capital stock | 329,232 | 4,730 | 32,791 |
Redemptions/repurchases | (7,151) | (205,076) | (104,965) |
Accrued distributions | 0 | 0 | 40 |
Liability at end of year | $ 372,503 | $ 50,422 | $ 250,768 |
Redemption Period - Class B Stock | 5 years |
Capital - MRCS Contractual Year
Capital - MRCS Contractual Year Redemption (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Dec. 31, 2019 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||
Stock not redeemed after redemption period | [1] | $ 498 | $ 577 | ||
Year 1 | [2] | 10,048 | 11,835 | ||
Year 2 | 9,872 | 471 | |||
Year 3 | 19,179 | 9,873 | |||
Year 4 | 3,674 | 23,218 | |||
Year 5 | 329,232 | 4,448 | |||
Total MRCS | 372,503 | 50,422 | $ 250,768 | $ 322,902 | |
Financial Instruments Subject to Mandatory Redemption, Non-member captive borrowers, due to outstanding activity | $ 9,585 | $ 11,835 | |||
[1]Balance represents Class B stock that will not be redeemed until the associated credit products and other obligations are no longer outstanding.[2] Balance at December 31, 2022 and 2021 includes $9,585 and $11,835, respectively of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021. The stock is not past its contractual redemption date, but will be redeemed as soon as the associated credit products and other obligations are no longer outstanding. |
Capital - MRCS Distributions (D
Capital - MRCS Distributions (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Banking Regulation, Total Capital [Abstract] | |||
Recorded as interest expense | $ 2,140 | $ 2,601 | $ 8,594 |
Recorded as distributions from retained earnings | 2,067 | 97 | 40 |
Total | $ 4,207 | $ 2,698 | $ 8,634 |
Capital - Regulatory Capital Re
Capital - Regulatory Capital Requirements (Details) $ in Thousands | 12 Months Ended | 36 Months Ended | ||
Dec. 31, 2020 USD ($) | Dec. 31, 1989 USD ($) | Dec. 31, 2022 USD ($) capital_requirement | Dec. 31, 2021 USD ($) | |
Banking Regulation, Total Capital [Abstract] | ||||
Number of capital requirements | capital_requirement | 3 | |||
Total regulatory capital-to-assets ratio, required | 4% | 4% | ||
Multiplier for capital in leverage capital calculation | 1.5 | |||
Leverage ratio, required | 5% | 5% | ||
Risk-based capital, required | $ 489,240 | $ 1,091,337 | ||
Risk-based capital, actual | 3,781,992 | 3,473,695 | ||
Total regulatory capital, required | 2,891,351 | 2,400,184 | ||
Total regulatory capital, actual | $ 3,781,992 | $ 3,473,695 | ||
Total regulatory capital-to-assets ratio, actual | 5.23% | 5.79% | ||
Leverage capital, required | $ 3,614,189 | $ 3,000,230 | ||
Leverage capital, actual | $ 5,672,988 | $ 5,210,543 | ||
Leverage ratio, actual | 7.85% | 8.69% | ||
Capital distributions from FHLBanks to FICO | $ 680,000 | |||
Excess FICO funds available for distribution to FHLBanks | $ 200,000 | |||
Partial recovery of prior capital distribution to Financing Corporation | $ 10,574 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | $ 3,556,331 | $ 3,450,302 | $ 3,156,760 |
Total other comprehensive income (loss) | (158,849) | 27,656 | 38,026 |
Ending Balance | 3,383,698 | 3,556,331 | 3,450,302 |
Accumulated Other Comprehensive Income (Loss) | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 133,058 | 105,402 | 67,376 |
Net change in unrealized gains | (161,881) | 15,021 | 47,108 |
Pension benefits, net | 3,032 | 12,635 | (9,082) |
Total other comprehensive income (loss) | (158,849) | 27,656 | 38,026 |
Ending Balance | (25,791) | 133,058 | 105,402 |
Unrealized Gains (Losses) on AFS Securities | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | 151,942 | 136,921 | 89,813 |
Net change in unrealized gains | (161,881) | 15,021 | 47,108 |
Pension benefits, net | 0 | 0 | 0 |
Total other comprehensive income (loss) | (161,881) | 15,021 | 47,108 |
Ending Balance | (9,939) | 151,942 | 136,921 |
Pension Benefits | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | (18,884) | (31,519) | (22,437) |
Net change in unrealized gains | 0 | 0 | 0 |
Pension benefits, net | 3,032 | 12,635 | |
Total other comprehensive income (loss) | 3,032 | 12,635 | (9,082) |
Ending Balance | $ (15,852) | $ (18,884) | $ (31,519) |
Employee Retirement and Defer_3
Employee Retirement and Deferred Compensation Plans - Qualified Defined Benefit Multiemployer Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | ||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||
Employer contribution amount | $ 2,742 | $ 2,682 | $ 2,810 | |
Maximum percentage of contributions by participating employer | 5% | 5% | 5% | |
Entity Tax Identification Number | 35-6001443 | |||
Pentegra Defined Benefit Plan | ||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||
Net pension cost charged to compensation and benefits expense for the year ended December 31 | [1] | $ 7,009 | $ 5,482 | $ 3,211 |
DB Plan funded status as July 1 | 119% | 130% | 108% | |
Our funded status as of July 1 | 110% | 126% | 104% | |
Pentegra Defined Benefit Plan, Voluntary Contribution | ||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||
Voluntary contributions by employer | $ 6,301 | $ 4,112 | $ 1,944 | |
Multiemployer Plans, Pension | ||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | ||||
Entity Tax Identification Number | 13-5645888 | |||
Multiemployer plan number | 333 | |||
[1] Includes voluntary contributions for the years ended December 31, 2022, 2021 and 2020 of $6,301, $4,112, and $1,944, respectively. |
Employee Retirement and Defer_4
Employee Retirement and Deferred Compensation Plans - Nonqualified Defined Benefit Plan (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2021 | |
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | ||||
Net pension benefits recognized in OCI | $ (3,032) | $ (12,635) | $ 9,082 | |
Supplemental Executive Retirement Plan | ||||
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward] | ||||
Projected benefit obligation at beginning of year | 50,577 | 58,330 | 42,719 | |
Service cost | 2,127 | 3,528 | 2,489 | |
Interest cost | 856 | 1,067 | 1,086 | |
Actuarial (gain) loss | (1,121) | 119 | 12,551 | |
Benefits paid | (523) | (523) | (515) | |
Settlements | 0 | (5,665) | 0 | |
Plan amendment | 0 | (6,279) | 0 | |
Projected benefit obligation at end of year | 51,916 | 50,577 | $ 58,330 | |
Accumulated benefit obligation | 41,457 | 36,545 | ||
Grantor trust assets at fair value | $ 46,688 | $ 55,008 | ||
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | ||||
Discount rate | 4.86% | 2.29% | 1.54% | |
Compensation increases | 5.50% | 5.50% | 5.50% | |
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) [Abstract] | ||||
Service cost | $ 2,127 | $ 3,528 | $ 2,489 | |
Total recognized in compensation and benefits | 2,127 | 3,528 | 2,489 | |
Interest cost | 856 | 1,067 | 1,086 | |
Amortization of past service credit | (874) | 0 | 0 | |
Amortization of net actuarial loss | 2,785 | 3,706 | 3,469 | |
Accelerated amortization of net actuarial loss due to settlements | 0 | 2,769 | 0 | |
Total recognized in other expenses | 2,767 | 7,542 | 4,555 | |
Total net periodic benefit cost recognized in income before assessments | 4,894 | 11,070 | 7,044 | |
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | ||||
Actuarial loss | (1,121) | 119 | 12,551 | |
Amortization of net actuarial loss | (2,785) | (3,706) | (3,469) | |
Accelerated amortization of net actuarial loss due to settlements | 0 | (2,769) | 0 | |
Past service credit due to plan amendment | 0 | (6,279) | 0 | |
Amortization of past service credit | 874 | 0 | 0 | |
Net pension benefits recognized in OCI | (3,032) | (12,635) | 9,082 | |
Total recognized as net periodic benefit cost | $ 1,862 | $ (1,565) | $ 16,126 | |
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | ||||
Discount rate | 2.29% | 2.06% | 2.55% | 1.54% |
Compensation increases | 5.50% | 5.50% | 5.50% | |
Defined Benefit Plan, Accumulated Other Comprehensive (Income) Loss, before Tax [Abstract] | ||||
Net actuarial loss | $ (21,257) | $ (25,163) | ||
Past service credit due to plan amendment | 5,405 | 6,279 | ||
Net pension benefits reported in AOCI | (15,852) | $ (18,884) | ||
Expected net periodic benefit cost in next fiscal year | 4,722 | |||
Defined Benefit Plan, Expected Future Benefit Payment [Abstract] | ||||
2023 | 27,927 | |||
2024 | 1,809 | |||
2025 | 2,274 | |||
2026 | 2,452 | |||
2027 | 2,735 | |||
2028 - 2032 | $ 15,912 |
Segment Information (Details)
Segment Information (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 USD ($) segment | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |
Segment Reporting Information [Line Items] | |||
Number of operating segments | segment | 2 | ||
Net interest income | $ 290,698 | $ 251,540 | $ 263,370 |
Provision for (reversal of) credit losses | (74) | (108) | 140 |
Other income (loss) | 19,444 | (33,819) | (55,516) |
Other expenses | 113,594 | 113,225 | 109,134 |
Income (loss) before assessments | 196,622 | 104,604 | 98,580 |
Affordable Housing Program assessments | 19,876 | 10,720 | 10,717 |
Net income | 176,746 | 93,884 | 87,863 |
Assets | 72,283,780 | 60,004,603 | |
Traditional | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 240,361 | 229,505 | 253,683 |
Provision for (reversal of) credit losses | 0 | 0 | 0 |
Other income (loss) | 20,101 | (33,495) | (52,262) |
Other expenses | 97,158 | 96,760 | 92,953 |
Income (loss) before assessments | 163,304 | 99,250 | 108,468 |
Affordable Housing Program assessments | 16,544 | 10,185 | 11,706 |
Net income | 146,760 | 89,065 | 96,762 |
Assets | 64,597,325 | 52,388,469 | |
Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 50,337 | 22,035 | 9,687 |
Provision for (reversal of) credit losses | (74) | (108) | 140 |
Other income (loss) | (657) | (324) | (3,254) |
Other expenses | 16,436 | 16,465 | 16,181 |
Income (loss) before assessments | 33,318 | 5,354 | (9,888) |
Affordable Housing Program assessments | 3,332 | 535 | (989) |
Net income | 29,986 | 4,819 | $ (8,899) |
Assets | $ 7,686,455 | $ 7,616,134 |
Estimated Fair Values - Carryin
Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) $ in Thousands | Dec. 31, 2022 USD ($) price | Dec. 31, 2021 USD ($) price | Dec. 31, 2020 USD ($) | Dec. 31, 2019 USD ($) | |
Assets: | |||||
Cash and due from banks | $ 21,161 | $ 867,880 | |||
Trading securities: | 2,230,248 | 3,946,799 | |||
AFS securities | 12,179,837 | 9,159,935 | |||
HTM securities | [1] | 4,240,201 | 4,313,773 | ||
HTM securities, fair value | 4,156,218 | 4,322,157 | |||
Accrued interest receivable | 152,867 | 80,758 | |||
Derivative assets, net | 434,421 | 220,202 | |||
Gross amounts of netting adjustments and cash collateral | [2],[3] | (486,758) | 113,276 | ||
Consolidated obligations: | |||||
Accrued interest payable | 162,584 | 88,068 | |||
Derivative liabilities, net | 19,209 | 12,185 | |||
Netting adjustments and cash collateral, liabilities | [2],[3] | (2,160,315) | (401,591) | ||
MRCS | $ 372,503 | $ 50,422 | $ 250,768 | $ 322,902 | |
Minimum | |||||
Consolidated obligations: | |||||
Number of prices received for MBS | price | 2 | 2 | |||
Maximum | |||||
Consolidated obligations: | |||||
Number of prices received for MBS | price | 3 | 3 | |||
Level 1 | |||||
Assets: | |||||
Cash and due from banks | $ 21,161 | $ 867,880 | |||
Interest-bearing deposits | 856,019 | 100,000 | |||
Securities purchased under agreements to resell | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities: | 0 | 0 | |||
AFS securities | 0 | 0 | |||
HTM securities, fair value | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 0 | 0 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 53,166 | 62,640 | ||
Liabilities: | |||||
Deposits | 0 | 0 | |||
Consolidated obligations: | |||||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities, net | 0 | 0 | |||
MRCS | 372,503 | 50,422 | |||
Level 2 | |||||
Assets: | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 41 | 41 | |||
Securities purchased under agreements to resell | 4,550,000 | 3,500,000 | |||
Federal funds sold | 3,148,000 | 2,580,000 | |||
Trading securities: | 2,230,248 | 3,946,799 | |||
AFS securities | 12,179,837 | 9,159,935 | |||
HTM securities, fair value | 4,156,218 | 4,322,157 | |||
Advances | 36,468,949 | 27,462,295 | |||
Mortgage loans held for portfolio, net | 6,859,956 | 7,787,334 | |||
Accrued interest receivable | 152,867 | 80,758 | |||
Derivative assets, net | 921,179 | 106,926 | |||
Grantor trust assets | [4] | 0 | 0 | ||
Liabilities: | |||||
Deposits | 595,907 | 1,366,397 | |||
Consolidated obligations: | |||||
Accrued interest payable | 162,584 | 88,068 | |||
Derivative liabilities, net | 2,179,524 | 413,776 | |||
MRCS | 0 | 0 | |||
Level 3 | |||||
Assets: | |||||
Cash and due from banks | 0 | 0 | |||
Interest-bearing deposits | 0 | 0 | |||
Securities purchased under agreements to resell | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Trading securities: | 0 | 0 | |||
AFS securities | 0 | 0 | |||
HTM securities, fair value | 0 | 0 | |||
Advances | 0 | 0 | |||
Mortgage loans held for portfolio, net | 7,948 | 23,044 | |||
Accrued interest receivable | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 0 | 0 | ||
Liabilities: | |||||
Deposits | 0 | 0 | |||
Consolidated obligations: | |||||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities, net | 0 | 0 | |||
MRCS | 0 | 0 | |||
Bonds | Level 1 | |||||
Consolidated obligations: | |||||
Bonds | 0 | 0 | |||
Bonds | Level 2 | |||||
Consolidated obligations: | |||||
Bonds | 38,690,400 | 42,643,536 | |||
Bonds | Level 3 | |||||
Consolidated obligations: | |||||
Bonds | 0 | 0 | |||
Discount notes | Level 1 | |||||
Consolidated obligations: | |||||
Discount notes | 0 | 0 | |||
Discount notes | Level 2 | |||||
Consolidated obligations: | |||||
Discount notes | 27,387,547 | 12,115,318 | |||
Discount notes | Level 3 | |||||
Consolidated obligations: | |||||
Discount notes | 0 | 0 | |||
Carrying Value | |||||
Assets: | |||||
Cash and due from banks | 21,161 | 867,880 | |||
Interest-bearing deposits | 856,060 | 100,041 | |||
Securities purchased under agreements to resell | 4,550,000 | 3,500,000 | |||
Federal funds sold | 3,148,000 | 2,580,000 | |||
Trading securities: | 2,230,248 | 3,946,799 | |||
AFS securities | 12,179,837 | 9,159,935 | |||
HTM securities | 4,240,201 | 4,313,773 | |||
Advances | 36,682,459 | 27,497,835 | |||
Mortgage loans held for portfolio, net | 7,686,455 | 7,616,134 | |||
Accrued interest receivable | 152,867 | 80,758 | |||
Derivative assets, net | 434,421 | 220,202 | |||
Grantor trust assets | [4] | 53,166 | 62,640 | ||
Liabilities: | |||||
Deposits | 595,907 | 1,366,397 | |||
Consolidated obligations: | |||||
Accrued interest payable | 162,584 | 88,068 | |||
Derivative liabilities, net | 19,209 | 12,185 | |||
MRCS | 372,503 | 50,422 | |||
Carrying Value | Bonds | |||||
Consolidated obligations: | |||||
Bonds | 39,882,454 | 42,361,572 | |||
Carrying Value | Discount notes | |||||
Consolidated obligations: | |||||
Discount notes | 27,387,492 | 12,116,358 | |||
Total | |||||
Assets: | |||||
Cash and due from banks | 21,161 | 867,880 | |||
Interest-bearing deposits | 856,060 | 100,041 | |||
Securities purchased under agreements to resell | 4,550,000 | 3,500,000 | |||
Federal funds sold | 3,148,000 | 2,580,000 | |||
Trading securities: | 2,230,248 | 3,946,799 | |||
AFS securities | 12,179,837 | 9,159,935 | |||
HTM securities, fair value | 4,156,218 | 4,322,157 | |||
Advances | 36,468,949 | 27,462,295 | |||
Mortgage loans held for portfolio, net | 6,867,904 | 7,810,378 | |||
Accrued interest receivable | 152,867 | 80,758 | |||
Derivative assets, net | 434,421 | 220,202 | |||
Grantor trust assets | [4] | 53,166 | 62,640 | ||
Liabilities: | |||||
Deposits | 595,907 | 1,366,397 | |||
Consolidated obligations: | |||||
Accrued interest payable | 162,584 | 88,068 | |||
Derivative liabilities, net | 19,209 | 12,185 | |||
MRCS | 372,503 | 50,422 | |||
Total | Bonds | |||||
Consolidated obligations: | |||||
Bonds | 38,690,400 | 42,643,536 | |||
Total | Discount notes | |||||
Consolidated obligations: | |||||
Discount notes | $ 27,387,547 | $ 12,115,318 | |||
[1] (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2022 and 2021 to tale d $26,125 and $28,440, respectively. |
Estimated Fair Values - Recurri
Estimated Fair Values - Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2022 | Dec. 31, 2021 | |
Assets [Abstract] | |||
Trading securities | $ 2,230,248 | $ 3,946,799 | |
AFS securities | 12,179,837 | 9,159,935 | |
Derivative assets, net | 434,421 | 220,202 | |
Netting adjustments and cash collateral, assets | [1],[2] | 486,758 | (113,276) |
Liabilities [Abstract] | |||
Derivative liabilities, net | 19,209 | 12,185 | |
Netting adjustments and cash collateral, liabilities | [1],[2] | 2,160,315 | 401,591 |
Recurring | |||
Assets [Abstract] | |||
Trading securities | 2,230,248 | 3,946,799 | |
AFS securities | 12,179,837 | 9,159,935 | |
Derivative assets, net | 434,421 | 220,202 | |
Netting adjustments and cash collateral, assets | [1] | 486,758 | (113,276) |
Grantor trust assets at fair value | 53,166 | 62,640 | |
Total assets at estimated fair value | 14,897,672 | 13,389,576 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 19,209 | 12,185 | |
Netting adjustments and cash collateral, liabilities | [1] | 2,160,315 | 401,591 |
Total liabilities at estimated fair value | 19,209 | 12,185 | |
Recurring | Interest-rate related | |||
Assets [Abstract] | |||
Netting adjustments and cash collateral, assets | [1] | 486,758 | (113,276) |
Liabilities [Abstract] | |||
Netting adjustments and cash collateral, liabilities | [1] | 2,160,315 | 401,591 |
Level 1 | |||
Assets [Abstract] | |||
Trading securities | 0 | 0 | |
AFS securities | 0 | 0 | |
Derivative assets, net | 0 | 0 | |
Grantor trust assets at fair value | [3] | 53,166 | 62,640 |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
Level 1 | Recurring | |||
Assets [Abstract] | |||
Trading securities | 0 | 0 | |
AFS securities | 0 | 0 | |
Derivative assets, net | 0 | 0 | |
Grantor trust assets at fair value | 53,166 | 62,640 | |
Total assets at estimated fair value | 53,166 | 62,640 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
Total liabilities at estimated fair value | 0 | 0 | |
Level 1 | Recurring | Interest-rate related | |||
Assets [Abstract] | |||
Derivative assets, net | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
Level 2 | |||
Assets [Abstract] | |||
Trading securities | 2,230,248 | 3,946,799 | |
AFS securities | 12,179,837 | 9,159,935 | |
Derivative assets, net | 921,179 | 106,926 | |
Grantor trust assets at fair value | [3] | 0 | 0 |
Liabilities [Abstract] | |||
Derivative liabilities, net | 2,179,524 | 413,776 | |
Level 2 | Recurring | |||
Assets [Abstract] | |||
Trading securities | 2,230,248 | 3,946,799 | |
AFS securities | 12,179,837 | 9,159,935 | |
Derivative assets, net | 921,179 | 106,926 | |
Grantor trust assets at fair value | 0 | 0 | |
Total assets at estimated fair value | 15,331,264 | 13,213,660 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 2,179,524 | 413,776 | |
Total liabilities at estimated fair value | 2,179,524 | 413,776 | |
Level 2 | Recurring | Interest-rate related | |||
Assets [Abstract] | |||
Derivative assets, net | 921,129 | 106,881 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 2,179,422 | 413,671 | |
Level 3 | |||
Assets [Abstract] | |||
Trading securities | 0 | 0 | |
AFS securities | 0 | 0 | |
Derivative assets, net | 0 | 0 | |
Grantor trust assets at fair value | [3] | 0 | 0 |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
Level 3 | Recurring | |||
Assets [Abstract] | |||
Trading securities | 0 | 0 | |
AFS securities | 0 | 0 | |
Derivative assets, net | 0 | 0 | |
Grantor trust assets at fair value | 0 | 0 | |
Total assets at estimated fair value | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
Total liabilities at estimated fair value | 0 | 0 | |
Level 3 | Recurring | Interest-rate related | |||
Assets [Abstract] | |||
Derivative assets, net | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
U.S. Treasury obligations | |||
Assets [Abstract] | |||
Trading securities | 2,230,248 | 3,946,799 | |
AFS securities | 4,209,674 | ||
U.S. Treasury obligations | Recurring | |||
Assets [Abstract] | |||
AFS securities | 4,209,674 | ||
U.S. Treasury obligations | Level 1 | Recurring | |||
Assets [Abstract] | |||
Trading securities | 0 | 0 | |
AFS securities | 0 | ||
U.S. Treasury obligations | Level 2 | Recurring | |||
Assets [Abstract] | |||
Trading securities | 2,230,248 | 3,946,799 | |
AFS securities | 4,209,674 | ||
U.S. Treasury obligations | Level 3 | Recurring | |||
Assets [Abstract] | |||
Trading securities | 0 | 0 | |
AFS securities | 0 | ||
GSE and TVA debentures | |||
Assets [Abstract] | |||
AFS securities | 1,902,703 | 2,697,116 | |
GSE and TVA debentures | Recurring | |||
Assets [Abstract] | |||
AFS securities | 1,902,703 | 2,697,116 | |
GSE and TVA debentures | Level 1 | Recurring | |||
Assets [Abstract] | |||
AFS securities | 0 | 0 | |
GSE and TVA debentures | Level 2 | Recurring | |||
Assets [Abstract] | |||
AFS securities | 1,902,703 | 2,697,116 | |
GSE and TVA debentures | Level 3 | Recurring | |||
Assets [Abstract] | |||
AFS securities | 0 | 0 | |
GSE multifamily MBS | |||
Assets [Abstract] | |||
AFS securities | 6,067,460 | 6,462,819 | |
GSE multifamily MBS | Recurring | |||
Assets [Abstract] | |||
AFS securities | 6,067,460 | 6,462,819 | |
GSE multifamily MBS | Level 1 | Recurring | |||
Assets [Abstract] | |||
AFS securities | 0 | 0 | |
GSE multifamily MBS | Level 2 | Recurring | |||
Assets [Abstract] | |||
AFS securities | 6,067,460 | 6,462,819 | |
GSE multifamily MBS | Level 3 | Recurring | |||
Assets [Abstract] | |||
AFS securities | 0 | 0 | |
MDCs | Recurring | MDCs | |||
Assets [Abstract] | |||
Netting adjustments and cash collateral, assets | [1] | 0 | 0 |
Liabilities [Abstract] | |||
Netting adjustments and cash collateral, liabilities | [1] | 0 | 0 |
MDCs | Recurring | MDCs | Mortgages | |||
Assets [Abstract] | |||
Derivative assets, net | 50 | 45 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 102 | 105 | |
MDCs | Level 1 | Recurring | MDCs | |||
Assets [Abstract] | |||
Derivative assets, net | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
MDCs | Level 2 | Recurring | MDCs | |||
Assets [Abstract] | |||
Derivative assets, net | 50 | 45 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 102 | 105 | |
MDCs | Level 3 | Recurring | MDCs | |||
Assets [Abstract] | |||
Derivative assets, net | 0 | 0 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 0 | 0 | |
Total | |||
Assets [Abstract] | |||
Trading securities | 2,230,248 | 3,946,799 | |
AFS securities | 12,179,837 | 9,159,935 | |
Derivative assets, net | 434,421 | 220,202 | |
Grantor trust assets at fair value | [3] | 53,166 | 62,640 |
Liabilities [Abstract] | |||
Derivative liabilities, net | 19,209 | 12,185 | |
Total | Recurring | Interest-rate related | |||
Assets [Abstract] | |||
Derivative assets, net | 434,371 | 220,157 | |
Liabilities [Abstract] | |||
Derivative liabilities, net | 19,107 | 12,080 | |
Total | U.S. Treasury obligations | Recurring | |||
Assets [Abstract] | |||
Trading securities | $ 2,230,248 | $ 3,946,799 | |
[1]Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty.[2]Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2022 and 2021, including accrued interest, totaled $1,854,876 and $515,761, respectively. Cash collateral received from counterparties and held at December 31, 2022 and 2021, including accrued interest, totaled $181,319 and $894, respectively. At December 31, 2022 and 2021, no securities were pledged as collateral.[3]Included in other assets on the statement of condition. |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | ||
Loss Contingencies [Line Items] | |||
Maximum Line of Credit Extended to Members | $ 100,000 | ||
Carrying value of guarantees related to standby letters of credit | 441,763 | $ 422,221 | |
Cash collateral pledged | $ 1,849,797 | $ 515,740 | |
Minimum | |||
Loss Contingencies [Line Items] | |||
Original terms of these standby letters of credit | 3 months | ||
Maximum | |||
Loss Contingencies [Line Items] | |||
Period of time to fund additional advances | 6 months | ||
Period of time commitments unconditionally obligate to fund or purchase mortgage loans and participation interests | 91 days | ||
Original terms of these standby letters of credit | 20 years | ||
Standby letters of credit outstanding | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | $ 65,904 | ||
Off-balance-sheet commitments expire after one year | 405,973 | ||
Off-balance-sheet commitments, Total | 471,877 | ||
Carrying value of guarantees related to standby letters of credit | $ 12,454 | ||
Period of time for short-term cash needs | 1 year | ||
Unused lines of credit | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | [1] | $ 1,026,035 | |
Off-balance-sheet commitments expire after one year | [1] | 0 | |
Off-balance-sheet commitments, Total | [1] | 1,026,035 | |
Commitments to fund additional advantages | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | [2] | 454,384 | |
Off-balance-sheet commitments expire after one year | [2] | 9,966 | |
Off-balance-sheet commitments, Total | [2] | 464,350 | |
Commitments to fund or purchase mortgage loans, net | MDCs | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | [3] | 30,855 | |
Off-balance-sheet commitments expire after one year | [3] | 0 | |
Off-balance-sheet commitments, Total | [3] | 30,855 | |
Unsettled CO bonds, at par | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | 75,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | 75,000 | ||
Discount notes | |||
Loss Contingencies [Line Items] | |||
Off-balance-sheet commitments expire within one year | 5,000 | ||
Off-balance-sheet commitments expire after one year | 0 | ||
Off-balance-sheet commitments, Total | $ 5,000 | ||
[1]Maximum line of credit amount per member is $100,000.[2]Generally for periods up to 6 months.[3]Generally for periods up to 91 days. |
Related Party and Other Trans_3
Related Party and Other Transactions (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Related Party Transaction [Line Items] | |||
Advances, par value | $ 37,291,462,000 | $ 27,309,608,000 | |
Loans to other FHLBanks | 0 | 0 | |
Loans from other FHLBanks | 0 | 0 | |
Directors' Financial Institutions | |||
Related Party Transaction [Line Items] | |||
Net capital stock issuances (redemptions and repurchases) | (33,580,000) | 7,213,000 | $ 80,088,000 |
Net advances (repayments) | 3,850,669,000 | (1,581,708,000) | 346,863,000 |
Mortgage loan purchases | 17,584,000 | 58,830,000 | $ 48,394,000 |
Capital Stock, par value | $ 49,869,000 | $ 440,949,000 | |
Capital Stock, % of Total | 2% | 19% | |
Advances, par value | $ 886,191,000 | $ 3,854,856,000 | |
Advances, % of Total | 2% | 14% |