Cover
Cover - shares | 9 Months Ended | |
Sep. 30, 2023 | Oct. 31, 2023 | |
Document Information [Line Items] | ||
Document Type | 10-Q | |
Document Quarterly Report | true | |
Document Period End Date | Sep. 30, 2023 | |
Document Transition Report | false | |
Entity File Number | 000-51404 | |
Entity Registrant Name | FEDERAL HOME LOAN BANK OF INDIANAPOLIS | |
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 | |
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 | |
Entity Shell Company | false | |
Entity Central Index Key | 0001331754 | |
Current Fiscal Year End Date | --12-31 | |
Document Fiscal Year Focus | 2023 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Incorporation, State or Country Code | X1 | |
Class A | ||
Document Information [Line Items] | ||
Entity Common Stock, Outstanding (in shares) | 0 | |
Class B | ||
Document Information [Line Items] | ||
Entity Common Stock, Outstanding (in shares) | 26,042,111 |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Assets: | |||
Cash and due from banks | $ 56,465 | $ 21,161 | |
Interest-bearing deposits (Note 3) | 860,058 | 856,060 | |
Securities purchased under agreements to resell (Note 3) | 3,450,000 | 4,550,000 | |
Federal funds sold (Note 3) | 3,392,000 | 3,148,000 | |
Total trading securities at estimated fair value | 446,617 | 2,230,248 | |
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |
Held-to-maturity securities (Note 3) (estimated fair values of $5,274,222 and $4,156,218) | [1] | 5,359,706 | 4,240,201 |
Advances (Note 4) | [2] | 34,781,490 | 36,682,459 |
Mortgage loans held for portfolio, net (Note 5) | 8,261,434 | 7,686,455 | |
Accrued interest receivable | 183,321 | 152,867 | |
Derivative assets, net (Note 6) | 536,871 | 434,421 | |
Other assets | 99,752 | 102,071 | |
Total assets | 71,041,117 | 72,283,780 | |
Liabilities: | |||
Deposits | 602,721 | 595,907 | |
Consolidated obligations (Note 7): | |||
Discount notes | 17,457,879 | 27,387,492 | |
Bonds | 47,895,565 | 39,882,454 | |
Total consolidated obligations, net | 65,353,444 | 67,269,946 | |
Loans from other FHLBanks | 0 | 0 | |
Accrued interest payable | 356,061 | 162,584 | |
Affordable Housing Program payable (Note 8) | 58,044 | 38,170 | |
Derivative liabilities, net (Note 6) | 15,326 | 19,209 | |
Mandatorily redeemable capital stock (Note 9) | 367,908 | 372,503 | |
Other liabilities | 618,642 | 441,763 | |
Total liabilities | 67,372,146 | 68,900,082 | |
Commitments and contingencies (Note 13) | |||
Capital stock (putable at par value of $100 per share): | |||
Class B issued and outstanding shares: 22,272,460 and 21,231,253 | 2,227,246 | 2,123,125 | |
Retained earnings: | |||
Unrestricted | 1,091,633 | 963,812 | |
Restricted | 377,314 | 322,552 | |
Total retained earnings | 1,468,947 | 1,286,364 | |
Total accumulated other comprehensive income (loss) (Note 10) | (27,222) | (25,791) | |
Total capital | 3,668,971 | 3,383,698 | |
Total liabilities and capital | $ 71,041,117 | $ 72,283,780 | |
[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 September 30, 2023 and December 31, 2022 to tale d $22,662 and $26,125, respectively. accrued interest receivable |
Statements of Condition (Unau_2
Statements of Condition (Unaudited) (Parenthetical) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Statement of Financial Position [Abstract] | |||
Amortized Cost | [1] | $ 13,626,866 | $ 12,189,776 |
Estimated fair value | $ 5,274,222 | $ 4,156,218 | |
Common stock putable, par value per share (usd per share) | $ 100 | $ 100 | |
Common stock issued (in shares) | 22,272,460 | 21,231,253 | |
Common stock outstanding (in shares) | 22,272,460 | 21,231,253 | |
[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. At September 30, 2023 and December 31, 2022, net unamortized discounts totaled $(291,143) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(1,393,645) and $(1,099,886), respectively. Excludes accrued interest |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | ||
Interest Income: | |||||
Advances | $ 502,373 | $ 187,002 | $ 1,428,357 | $ 289,605 | |
Interest-bearing deposits | 33,915 | 10,807 | 91,808 | 13,720 | |
Securities purchased under agreements to resell | 24,140 | 16,486 | 95,807 | 23,457 | |
Federal funds sold | 65,045 | 25,159 | 176,431 | 33,683 | |
Trading securities | 2,412 | 6,397 | 7,780 | 20,189 | |
Available-for-sale securities | 212,408 | 88,443 | 584,634 | 149,451 | |
Held-to-maturity securities | 69,221 | 15,250 | 176,701 | 31,794 | |
Mortgage loans held for portfolio | 64,320 | 52,874 | 181,203 | 152,142 | |
Other interest income | 73 | 98 | 223 | 120 | |
Total interest income | 973,907 | 402,516 | 2,742,944 | 714,161 | |
Interest Expense: | |||||
Consolidated obligation discount notes | 232,918 | 107,558 | 759,091 | 137,746 | |
Consolidated obligation bonds | 598,526 | 218,109 | 1,588,952 | 369,000 | |
Deposits | 10,159 | 3,866 | 26,672 | 5,512 | |
Mandatorily redeemable capital stock | 4,348 | 408 | 12,828 | 922 | |
Other interest expense | 1 | 0 | 203 | 0 | |
Total interest expense | 845,952 | 329,941 | 2,387,746 | 513,180 | |
Net interest income | 127,955 | 72,575 | 355,198 | 200,981 | |
Provision for (reversal of) credit losses | (233) | (8) | (234) | (68) | |
Net interest income after provision for credit losses | 128,188 | 72,583 | 355,432 | 201,049 | |
Other Income: | |||||
Realized Investment Gains (Losses) | (6,568) | (1,033) | (6,781) | (1,033) | |
Net gains (losses) on trading securities | 2,141 | 382 | 11,213 | (38,033) | |
Net gains (losses) on derivatives in other income | 4,883 | 8,984 | 8,490 | 46,181 | |
Net (gains) on extinguishment of debt | 0 | 0 | 19,846 | 0 | |
Other, net | (359) | (1,133) | 6,627 | (9,015) | |
Total other income (loss) | 97 | 7,200 | 39,395 | (1,900) | |
Other Expenses: | |||||
Compensation and benefits | 14,215 | 14,681 | 45,928 | 41,048 | |
Other operating expenses | 8,313 | 7,680 | 24,342 | 22,530 | |
Federal Housing Finance Agency | 1,711 | 1,801 | 5,134 | 5,518 | |
Office of Finance | 1,300 | 1,170 | 3,380 | 3,668 | |
Other | 1,412 | 2,681 | 10,385 | 6,846 | |
Total other expenses | 26,951 | 28,013 | 89,169 | 79,610 | |
Income before assessments | 101,334 | 51,770 | 305,658 | 119,539 | |
Affordable Housing Program assessments | [1] | 10,568 | 5,218 | 31,849 | 12,046 |
Net income | $ 90,766 | $ 46,552 | $ 273,809 | $ 107,493 | |
[1]Assessments are reported separately on the Statement of Income as a reduction to income before assessments. |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Statement of Comprehensive Income [Abstract] | ||||
Net income | $ 90,766 | $ 46,552 | $ 273,809 | $ 107,493 |
Other Comprehensive Income: | ||||
Net change in unrealized gains (losses) on available-for-sale securities | (17,458) | (16,452) | (3,524) | (136,143) |
Pension benefits, net | 547 | 609 | 2,093 | 1,398 |
Total other comprehensive income (loss) | (16,911) | (15,843) | (1,431) | (134,745) |
Total comprehensive income (loss) | $ 73,855 | $ 30,709 | $ 272,378 | $ (27,252) |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | $ 3,783,652 | $ 3,476,711 | $ 3,383,698 | $ 3,556,331 |
Total comprehensive income | 73,855 | 30,709 | 272,378 | (27,252) |
Proceeds from issuance of capital stock | 46,754 | 74,699 | 304,443 | 241,218 |
Redemption/repurchase of capital stock | (199,998) | (200,309) | (161,885) | |
Shares reclassified to mandatorily redeemable capital stock, net | 0 | 0 | (13) | 0 |
Cash dividends on capital stock | (35,292) | (18,507) | (91,226) | (44,800) |
Ending Balance | $ 3,668,971 | $ 3,563,612 | $ 3,668,971 | $ 3,563,612 |
Capital Stock | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance (in shares) | 23,805 | 22,508 | 21,231 | 22,462 |
Beginning Balance | $ 2,380,490 | $ 2,250,835 | $ 2,123,125 | $ 2,246,201 |
Proceeds from issuance of capital stock (in shares) | 467 | 747 | 3,044 | 2,412 |
Proceeds from issuance of capital stock | $ 46,754 | $ 74,699 | $ 304,443 | $ 241,218 |
Redemption/repurchase of capital stock (in shares) | (2,000) | (2,003) | (1,619) | |
Redemption/repurchase of capital stock | $ (199,998) | $ (200,309) | $ (161,885) | |
Shares reclassified to mandatorily redeemable capital stock, net (in shares) | 0 | |||
Shares reclassified to mandatorily redeemable capital stock, net | $ (13) | |||
Ending Balance (in shares) | 22,272 | 23,255 | 22,272 | 23,255 |
Ending Balance | $ 2,227,246 | $ 2,325,534 | $ 2,227,246 | $ 2,325,534 |
Retained Earnings Total | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 1,413,473 | 1,211,720 | 1,286,364 | 1,177,072 |
Total comprehensive income | 90,766 | 46,552 | 273,809 | 107,493 |
Cash dividends on capital stock | (35,292) | (18,507) | (91,226) | (44,800) |
Ending Balance | 1,468,947 | 1,239,765 | 1,468,947 | 1,239,765 |
Retained Earnings, Unrestricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 1,054,312 | 912,329 | 963,812 | 889,869 |
Total comprehensive income | 72,613 | 37,241 | 219,047 | 85,994 |
Cash dividends on capital stock | (35,292) | (18,507) | (91,226) | (44,800) |
Ending Balance | 1,091,633 | 931,063 | 1,091,633 | 931,063 |
Retained Earnings, Restricted | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | 359,161 | 299,391 | 322,552 | 287,203 |
Total comprehensive income | 18,153 | 9,311 | 54,762 | 21,499 |
Cash dividends on capital stock | 0 | 0 | 0 | 0 |
Ending Balance | 377,314 | 308,702 | 377,314 | 308,702 |
Accumulated Other Comprehensive Income (Loss) | ||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||
Beginning Balance | (10,311) | 14,156 | (25,791) | 133,058 |
Total comprehensive income | (16,911) | (15,843) | (1,431) | (134,745) |
Ending Balance | $ (27,222) | $ (1,687) | $ (27,222) | $ (1,687) |
Statements of Capital (Unaudi_2
Statements of Capital (Unaudited) (Parenthetical) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Statement of Stockholders' Equity [Abstract] | ||||
Annualized dividend rate on capital stock | 6.07% | 3.42% | 5.35% | 2.73% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | ||
Operating Activities: | |||
Net income | $ 273,809 | $ 107,493 | |
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | |||
Amortization and depreciation | 11,780 | 100,247 | |
Changes in net derivative and hedging activities | 286,685 | 1,123,640 | |
Net (gains) on extinguishment of debt | (19,846) | 0 | |
Provision for (reversal of) credit losses | (234) | (68) | |
Net (gains) losses on trading securities | (11,213) | 38,033 | |
Other adjustments | 6,781 | 1,033 | |
Changes in: | |||
Accrued interest receivable | (30,461) | (27,406) | |
Other assets | (1,476) | 8,296 | |
Accrued interest payable | 193,691 | 42,051 | |
Other liabilities | 31,933 | 12,473 | |
Total adjustments, net | 467,640 | 1,298,299 | |
Net cash provided by operating activities | 741,449 | 1,405,792 | |
Net change in: | |||
Interest-bearing deposits | 208,452 | (1,650,018) | |
Securities purchased under agreements to resell | 1,100,000 | 1,000,000 | |
Federal funds sold | (244,000) | (2,027,000) | |
Trading securities: | |||
Proceeds from maturities | 1,400,000 | 2,525,000 | |
Proceeds from Sale of Debt and Equity Securities, FV-NI, Held-for-investment | 494,063 | 200,000 | |
Purchases | (99,219) | (1,930,219) | |
Available-for-sale securities: | |||
Proceeds from paydowns and maturities | 195,419 | 703,730 | |
Proceeds from sales | 592,660 | 0 | |
Purchases | (2,500,969) | (4,330,214) | |
Held-to-maturity securities: | |||
Proceeds from paydowns and maturities | 353,651 | 789,190 | |
Proceeds from sales | 9,769 | 63,111 | |
Purchases | (1,362,972) | (384,620) | |
Advances: | |||
Principal repayments | 231,653,753 | 156,213,544 | |
Disbursements to members | (229,991,274) | (160,746,988) | |
Mortgage loans held for portfolio: | |||
Principal collections | 524,847 | 824,635 | |
Purchases from members | (1,109,547) | (927,167) | |
Purchases of premises, software, and equipment | (2,968) | (2,768) | |
Loans to other Federal Home Loan Banks: | |||
Principal repayments | 1,080,000 | 1,040,000 | |
Disbursements | (1,080,000) | (1,040,000) | |
Net cash provided by (used in) investing activities | 1,221,665 | (9,679,784) | |
Financing Activities: | |||
Net change in deposits | 12,544 | (637,931) | |
Net proceeds (payments) on derivative contracts with financing elements | 6,853 | (592) | |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 586,899,725 | 642,682,864 | |
Bonds | 18,410,888 | 13,648,088 | |
Payments for matured and retired consolidated obligations: | |||
Discount notes | (596,814,327) | (633,562,007) | |
Bonds | (10,451,793) | (14,729,350) | |
Proceeds from FHLBank Borrowings, Financing Activities | 500,000 | 0 | |
Principal repayments | (500,000) | 0 | |
Proceeds from issuance of capital stock | 304,443 | 241,218 | |
Payments for redemption/repurchase of capital stock | (200,309) | (161,885) | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (4,608) | (7,132) | |
Dividend payments on capital stock | (91,226) | (44,800) | |
Net cash provided by (used in) financing activities | (1,927,810) | 7,428,473 | |
Net increase (decrease) in cash and due from banks | 35,304 | (845,519) | |
Cash and due from banks at beginning of period | 21,161 | 867,880 | |
Cash and due from banks at end of period | 56,465 | 22,361 | |
Supplemental Disclosures: | |||
Interest payments | 2,109,305 | 334,152 | |
Affordable Housing Program payments | [1] | 11,975 | 11,902 |
Purchases of investment securities, traded but not yet settled | $ 233,756 | $ 136,587 | |
[1]Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 9 Months Ended |
Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Summary of Significant Accounting Policies | Note 1 - Summary of Significant Accounting Policies Unless the context otherwise requires, the terms "Bank," "we," "us," and "our" refer to the Federal Home Loan Bank of Indianapolis or its management. We use acronyms and terms throughout these Notes to Financial Statements that are defined in the Defined Terms . Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. Certain disclosures that would have substantially duplicated the disclosures in the financial statements, and notes thereto, included in our 2022 Form 10-K have been omitted unless the information contained in those disclosures materially changed. Therefore, these interim financial statements should be read in conjunction with our audited financial statements, and notes thereto, included in our 2022 Form 10-K. 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 interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full calendar year or any other interim period. 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. Significant Accounting Policies. Our significant accounting policies and certain other disclosures are set forth in our 2022 Form 10-K in Note 1 - Summary of Significant Accounting Policies . There have been no significant changes to these policies through September 30, 2023 with the exception of the following that resulted from the adoption of ASU 2022-02, Troubled Debt Restructurings ("TDR") and Vintage Disclosures, on January 1, 2023. Mortgage Loan Modifications. Under the new accounting guidance, we are required to evaluate whether the terms of a loan modification made for borrowers experiencing financial difficulty are such that the modified loan should be accounted for as a new loan or a continuation of an existing loan. Prior to January 1, 2023, we evaluated mortgage loan modifications resulting from borrowers experiencing financial difficulty utilizing the troubled debt restructuring ("TDR") guidance. For more information, see Note 1 - Summary of Significant Accounting Policies in our 2022 Form 10-K. Allowance for Credit Losses on Mortgage Loans . |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 9 Months Ended |
Sep. 30, 2023 | |
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), as amended . As a part of finalizing the transition of all outstanding LIBOR-indexed instruments to reference SOFR, we adopted certain practical expedients in Topic 848 for qualifying contract modifications related to reference rate reform, including with respect to qualifying hedge relationships. The adoption of this guidance did not have a material impact on the Bank's financial condition, results of operations, or cash flows. Recently Issued Accounting Guidance |
Investments
Investments | 9 Months Ended |
Sep. 30, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Note 3 - 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 transa cted with counterparties that maintain a credit rating of triple-B or higher (investment grade) by an NRSRO. At September 30, 2023 and December 31, 2022, none of these investments were with counterparties rated below triple-B, and 5% of these investments, based on amortized cost, were with counterparties that were unrated. The NRSRO ratings may differ from any internal ratings of the investments, if applicable. Allowance for Credit Losses. At September 30, 2023 and December 31, 2022, based on our evaluations, no allowance for credit losses on any of our short-term investments was deemed necessary. Investment Securities. Trading Securities. Major Security Types. The following table presents our trading securities by type of security. Security Type September 30, 2023 December 31, 2022 U.S. Treasury obligations $ 446,617 $ 2,230,248 Total trading securities at estimated fair value $ 446,617 $ 2,230,248 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. Three Months Ended September 30, Nine Months Ended 2023 2022 2023 2022 Net gains (losses) on trading securities held at period end $ 2,141 $ (459) $ 4,537 $ (32,361) Net gains (losses) on trading securities that matured/sold during the period — 841 6,676 (5,672) Net gains (losses) on trading securities $ 2,141 $ 382 $ 11,213 $ (38,033) Available-for-Sale Securities. Major Security Types. The following table presents our AFS securities by type of security. September 30, 2023 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value U.S. Treasury obligations $ 5,457,656 $ 14,687 $ (1,486) $ 5,470,857 GSE and TVA debentures 1,745,997 18,756 — 1,764,753 GSE multifamily MBS 6,423,213 12,377 (57,797) 6,377,793 Total AFS securities $ 13,626,866 $ 45,820 $ (59,283) $ 13,613,403 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 (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. At September 30, 2023 and December 31, 2022, net unamortized discounts totaled $(291,143) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(1,393,645) and $(1,099,886), respectively. Excludes accrued interest Unrealized Loss Positions. The following table presents our 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. September 30, 2023 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 $ 1,115,689 $ (1,346) $ 231,738 $ (140) $ 1,347,427 $ (1,486) GSE multifamily MBS 1,810,455 (10,429) 2,743,071 (47,368) 4,553,526 (57,797) Total impaired AFS securities $ 2,926,144 $ (11,775) $ 2,974,809 $ (47,508) $ 5,900,953 $ (59,283) 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) Contractual Maturity. The amortized cost and estimated fair value of our 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. September 30, 2023 December 31, 2022 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Non-MBS: Due in 1 year or less $ 278,296 $ 279,554 $ 131,329 $ 131,517 Due after 1 through 5 years 3,740,367 3,765,153 1,575,581 1,594,583 Due after 5 through 10 years 3,184,990 3,190,903 4,383,866 4,386,277 Total non-MBS 7,203,653 7,235,610 6,090,776 6,112,377 Total MBS 6,423,213 6,377,793 6,099,000 6,067,460 Total AFS securities $ 13,626,866 $ 13,613,403 $ 12,189,776 $ 12,179,837 Realized Gains and Losses. During the three and nine months ended September 30, 2023 , for strategic and economic reasons, we sold a portion of our AFS securities. Proceeds from the sales totaled $507,547 and $592,660 , respectively, resulting in net realized losses, excluding swap termination fees received, of $(6,568) and $(6,710), respectively, determined by the specific identification method. There were no sales during the three and nine months ended September 30, 2022. Allowance for Credit Losses. At September 30, 2023 and December 31, 2022 , 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. At September 30, 2023 and December 31, 2022, certain of our AFS securities were in an unrealized loss position; howev er, no allowance for credit losses was deemed necessary because those losses were considered temporary and recovery of the entire amortized cost basis on these securities at maturity was expected. Held-to-Maturity Securities. Major Security Types. The following table presents our HTM securities by type of security. September 30, 2023 Gross Gross Unrecognized Unrecognized Amortized Holding Holding Estimated Security Type Cost (1) Gains Losses Fair Value MBS: Other U.S. obligations - guaranteed single-family $ 4,145,163 $ 3,226 $ (37,043) $ 4,111,346 GSE single-family 649,833 440 (47,080) 603,193 GSE multifamily 564,710 — (5,027) 559,683 Total HTM securities $ 5,359,706 $ 3,666 $ (89,150) $ 5,274,222 December 31, 2022 Gross Gross Unrecognized Unrecognized Amortized Holding Holding Estimated Security Type Cost (1) Gains Losses Fair Value MBS: Other U.S. obligations - guaranteed 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 (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 September 30, 2023 and December 31, 2022 to tale d $22,662 and $26,125, 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 nine months ended September 30, 2023 and 2022, we sold a portion of our HTM MBS for which 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. Proceeds from the sales during the nine months ended September 30, 2023 and 2022 totaled $9,769 and $63,111 , respectively, resulting in net realized losses of $(71) and $(1,033), respectively, determined by the specific identification method. Allowance for Credit Losses. At September 30, 2023 and December 31, 2022 , 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. At September 30, 2023 and December 31, 2022, based on our evaluation, no allowance for credit losses on any of our HTM securities was deemed necessary. |
Advances
Advances | 9 Months Ended |
Sep. 30, 2023 | |
Advances [Abstract] | |
Advances | Note 4 - Advances The following table presents our advances outstanding by redemption term. September 30, 2023 December 31, 2022 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 18 7.73 $ 430 6.74 Due in 1 year or less 9,873,503 4.75 14,517,059 3.77 Due after 1 through 2 years 3,925,830 3.14 2,726,023 2.82 Due after 2 through 3 years 2,632,172 3.22 3,316,683 2.73 Due after 3 through 4 years 3,300,243 4.10 2,045,370 2.70 Due after 4 through 5 years 6,540,352 4.16 3,938,017 3.96 Thereafter 9,356,901 3.39 10,747,880 2.70 Total advances, par value 35,629,019 3.93 37,291,462 3.26 Fair-value hedging basis adjustments, net (852,723) (615,859) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 5,194 6,856 Total advances (1) $ 34,781,490 $ 36,682,459 (1) Carrying value equals amortized cost, which excludes accrued interest receivable The following table presents our advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption Earlier of Redemption Term September 30, December 31, September 30, December 31, Overdrawn demand and overnight deposit accounts $ 18 $ 430 $ 18 $ 430 Due in 1 year or less 14,832,005 19,337,582 14,363,003 20,226,164 Due after 1 through 2 years 3,363,030 2,299,023 4,691,730 3,207,023 Due after 2 through 3 years 2,204,582 2,385,483 3,345,172 4,082,583 Due after 3 through 4 years 1,957,633 1,592,245 3,535,343 2,045,370 Due after 4 through 5 years 5,685,099 2,773,917 5,720,352 4,173,117 Thereafter 7,586,652 8,902,782 3,973,401 3,556,775 Total advances, par value $ 35,629,019 $ 37,291,462 $ 35,629,019 $ 37,291,462 Advance Concentrations. At September 30, 2023 and December 31, 2022, our top five borrowers held 36% and 41%, respectively, of total advances outstanding at par. At September 30, 2023 and December 31, 2022, our top borrower held 12%. Allowance for Credit Losses. At September 30, 2023 and December 31, 2022, based upon the collateral held as security, our credit extension and collateral policies, our credit analysis and the repayment history on advances, no allowance for credit losses on advances was deemed necessary. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 5 - Mortgage Loans Held for Portfolio The following tables present information on our mortgage loans held for portfolio by term and type. Term September 30, 2023 December 31, 2022 Fixed-rate long-term mortgages $ 7,335,205 $ 6,676,752 Fixed-rate medium-term (1) mortgages 770,265 856,446 Total mortgage loans held for portfolio, UPB 8,105,470 7,533,198 Unamortized premiums 174,065 168,593 Unamortized discounts (11,418) (9,466) Hedging basis adjustments, net (6,558) (5,670) Total mortgage loans held for portfolio 8,261,559 7,686,655 Allowance for credit losses (125) (200) Total mortgage loans held for portfolio, net (2) $ 8,261,434 $ 7,686,455 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable Type September 30, 2023 December 31, 2022 Conventional $ 7,965,829 $ 7,383,168 Government-guaranteed or -insured 139,641 150,030 Total mortgage loans held for portfolio, UPB $ 8,105,470 $ 7,533,198 Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. 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. September 30, 2023 Origination Year Payment Status Prior to 2019 2019 to 2023 Total Past due: 30-59 days $ 19,600 $ 21,268 $ 40,868 60-89 days 4,268 795 5,063 90 days or more 4,088 1,565 5,653 Total past due 27,956 23,628 51,584 Total current 2,463,750 5,605,111 8,068,861 Total conventional mortgage loans, amortized cost $ 2,491,706 $ 5,628,739 $ 8,120,445 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 September 30, 2023 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 675 $ — $ 675 Serious delinquency rate (2) 0.07 % 0.70 % 0.08 % Past due 90 days or more still accruing interest (3) $ 2,261 $ 992 $ 3,253 On non-accrual status (4) $ 8,354 $ — $ 8,354 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 (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 respective amount of mortgage loans outstanding. The total rate is a weighted-average rate. 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 Federal Housing Administration 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 September 30, 2023 and December 31, 2022, of these conventional mortgage loans on non-accrual status, $970 and $3,160, 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. The table below presents a rollforward of our allowance for credit losses. Three Months Ended Nine Months Ended Rollforward of Allowance 2023 2022 2023 2022 Balance, beginning of period $ 200 $ 200 $ 200 $ 200 (Charge-offs), net of recoveries 158 8 159 68 Provision for (reversal of) credit losses (233) (8) (234) (68) Balance, end of period $ 125 $ 200 $ 125 $ 200 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Note 6 - Derivatives and Hedging Activities Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions. Uncleared Derivatives. We became subject to two-way initial margin regulatory requirements for uncleared derivative transactions executed on or after September 1, 2022 when our aggregate uncleared derivative exposure to a single counterparty exceeded a specified threshold during 2023. However, at September 30, 2023, we did not have any such exposure and therefore none of our securities were pledged as collateral. 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 September 30, 2023 or December 31, 2022. Cleared Derivatives. At September 30, 2023 and December 31, 2022, we were not required by our clearing agents to post any additional margin. Financial Statement Effect and Additional Financial Information. 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 our derivative assets and liabilities. September 30, 2023 December 31, 2022 Notional Derivative Derivative Notional Derivative Derivative Amount Assets Liabilities Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 78,478,162 $ 1,183,118 $ 2,118,828 $ 66,103,220 $ 919,089 $ 2,178,897 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 460,000 11 184 6,200,000 599 525 Interest-rate caps/floors 811,000 2,622 — 611,000 1,310 — Interest-rate forwards 160,700 414 146 30,200 131 — MDCs 158,701 68 500 30,855 50 102 Total derivatives not designated as hedging instruments 1,590,401 3,115 830 6,872,055 2,090 627 Total derivatives before adjustments $ 80,068,563 1,186,233 2,119,658 $ 72,975,275 921,179 2,179,524 Netting adjustments and cash collateral (1) (649,362) (2,104,332) (486,758) (2,160,315) Total derivatives, net, at estimated fair value $ 536,871 $ 15,326 $ 434,421 $ 19,209 (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 September 30, 2023 and December 31, 2022, including accrued interest, totaled $1,642,233 and $1,854,876, respectively. Cash collateral received from counterparties and held at September 30, 2023 and December 31, 2022, including accrued interest, totaled $187,263 and $181,319, respectively . The following table presents separately the estimated fair value of our derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral. September 30, 2023 December 31, 2022 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 1,182,615 $ 2,096,260 $ 892,313 $ 2,178,098 Cleared 3,136 22,752 28,685 1,324 Total gross recognized amount 1,185,751 2,119,012 920,998 2,179,422 Gross amounts of netting adjustments and cash collateral Uncleared (1,144,406) (2,081,580) (884,451) (2,158,991) Cleared 495,044 (22,752) 397,693 (1,324) Total gross amounts of netting adjustments and cash collateral (649,362) (2,104,332) (486,758) (2,160,315) Net amounts after netting adjustments and cash collateral Uncleared 38,209 14,680 7,862 19,107 Cleared 498,180 — 426,378 — Total net amounts after netting adjustments and cash collateral 536,389 14,680 434,240 19,107 Derivative instruments not meeting netting requirements (1) 482 646 181 102 Total derivatives, net, at estimated fair value $ 536,871 $ 15,326 $ 434,421 $ 19,209 (1) Includes MDCs and certain interest-rate forwards. The following table presents the impact of our qualifying fair-value hedging relationships on net interest income by hedged item, excluding any offsetting interest income/expense of the associated hedged items. Three Months Ended September 30, 2023 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 160,877 $ 129,012 $ (253,041) $ 36,848 Net gains (losses) on derivatives (2) 119,264 143,987 (37,173) 226,078 Net gains (losses) on hedged items (3) (130,274) (169,185) 46,695 (252,764) Net impact on net interest income $ 149,867 $ 103,814 $ (243,519) $ 10,162 Total interest income (expense) recorded in the statement of income (4) $ 502,373 $ 212,408 $ (598,526) $ 116,255 Three Months Ended September 30, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 27,902 $ 23,579 $ (58,110) $ (6,629) Net gains (losses) on derivatives (2) 253,211 172,199 (716,889) (291,479) Net gains (losses) on hedged items (3) (253,803) (190,174) 713,132 269,155 Net impact on net interest income $ 27,310 $ 5,604 $ (61,867) $ (28,953) Total interest income (expense) recorded in the statement of income (4) $ 187,002 $ 88,443 $ (218,109) $ 57,336 Nine Months Ended September 30, 2023 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 427,432 $ 343,187 $ (694,942) $ 75,677 Net gains (losses) on derivatives (2) 157,566 128,284 92,024 377,874 Net gains (losses) on hedged items (3) (177,409) (188,067) (83,198) (448,674) Net impact on net interest income $ 407,589 $ 283,404 $ (686,116) $ 4,877 Total interest income (expense) recorded in the statement of income (4) $ 1,428,357 $ 584,634 $ (1,588,952) $ 424,039 Nine Months Ended September 30, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (31,122) $ (10,549) $ 24,554 $ (17,117) Net gains (losses) on derivatives (2) 751,782 456,209 (2,006,955) (798,964) Net gains (losses) on hedged items (3) (754,378) (504,453) 1,995,737 736,906 Net impact on net interest income $ (33,718) $ (58,793) $ 13,336 $ (79,175) Total interest income (expense) recorded in the statement of income (4) $ 289,605 $ 149,451 $ (369,000) $ 70,056 (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 our net gains (losses) on derivatives reported in other income. Three Months Ended September 30, Nine Months Ended Type of Hedge 2023 2022 2023 2022 Net gains (losses) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ 26 $ (5,903) $ (8,145) $ 32,560 Interest-rate caps/floors 431 1,150 2 1,281 Interest-rate forwards 794 1,428 852 8,454 Net interest settlements (1) 4,878 14,018 17,322 12,881 MDCs (1,246) (1,709) (1,541) (8,995) Net gains (losses) on derivatives in other income $ 4,883 $ 8,984 $ 8,490 $ 46,181 (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, our hedged items in qualifying fair-value hedging relationships. September 30, 2023 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 22,539,611 $ 13,626,866 $ 37,746,065 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ (852,723) $ (1,642,606) $ (2,034,532) For discontinued fair-value hedging relationships — 248,961 — Total cumulative fair-value hedging basis adjustments on hedged items $ (852,723) $ (1,393,645) $ (2,034,532) 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) (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. |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2023 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 7 - Consolidated Obligations 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 both September 30, 2023 and December 31, 2022 totaled $1.2 trillion. As provided by the Federal Home Loan Bank Act of 1932 and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks. Discount Notes. The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes September 30, 2023 December 31, 2022 Book value $ 17,457,879 $ 27,387,492 Par value 17,557,626 27,533,665 Weighted average effective interest rate 5.39 % 4.16 % CO Bonds. The following table presents our CO bonds outstanding by contractual maturity. September 30, 2023 December 31, 2022 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 20,145,400 4.27 $ 10,016,310 3.05 Due after 1 through 2 years 10,361,030 1.94 8,014,590 1.48 Due after 2 through 3 years 6,616,580 1.38 6,278,940 1.37 Due after 3 through 4 years 3,435,010 1.66 7,130,600 1.25 Due after 4 through 5 years 1,807,290 2.56 2,312,540 1.76 Thereafter 7,545,380 2.66 8,249,080 2.35 Total CO bonds, par value 49,910,690 2.92 42,002,060 1.99 Unamortized premiums 36,556 45,535 Unamortized discounts (9,269) (10,165) Unamortized concessions (7,880) (7,174) Fair-value hedging basis adjustments, net (2,034,532) (2,147,802) Total CO bonds $ 47,895,565 $ 39,882,454 The following tables present the par value of our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Call Feature September 30, 2023 December 31, 2022 Non-callable / non-putable $ 12,629,865 $ 11,979,560 Callable 37,280,825 30,022,500 Total CO bonds, par value $ 49,910,690 $ 42,002,060 Year of Contractual Maturity or Next Call Date September 30, 2023 December 31, 2022 Due in 1 year or less $ 44,977,900 $ 37,066,810 Due after 1 through 2 years 2,054,030 1,444,590 Due after 2 through 3 years 865,080 770,940 Due after 3 through 4 years 230,010 804,100 Due after 4 through 5 years 580,290 268,540 Thereafter 1,203,380 1,647,080 Total CO bonds, par value $ 49,910,690 $ 42,002,060 The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type September 30, 2023 December 31, 2022 Fixed-rate $ 46,556,690 $ 36,957,560 Step-up 1,418,500 2,268,500 Simple variable-rate 1,935,500 2,776,000 Total CO bonds, par value $ 49,910,690 $ 42,002,060 |
Affordable Housing Program
Affordable Housing Program | 9 Months Ended |
Sep. 30, 2023 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program | Note 8 - Affordable Housing Program The following table summarizes the activity in our AHP funding obligation. Three Months Ended September 30, Nine Months Ended AHP Activity 2023 2022 2023 2022 Liability at beginning of period $ 53,135 $ 28,953 $ 38,170 $ 31,049 Assessments (1) 10,568 5,218 31,849 12,046 Subsidy usage, net (2) (5,659) (2,978) (11,975) (11,902) Liability at end of period $ 58,044 $ 31,193 $ 58,044 $ 31,193 (1) Assessments are reported separately on the Statement of Income as a reduction to income before assessments. (2) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital
Capital | 9 Months Ended |
Sep. 30, 2023 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Note 9 - Capital Classes of Capital Stock. The following table presents our capital stock outstanding by sub-series. Capital Stock Sub-Series September 30, 2023 December 31, 2022 Class B-1 (1) $ 546,166 $ 535,345 Class B-2 (2) 1,681,080 1,587,780 Total Class B $ 2,227,246 $ 2,123,125 (1) Non-activity-based stock. (2) Activity-based stock. Mandatorily Redeemable Capital Stock. The following table presents the activity in our MRCS. Three Months Ended September 30, Nine Months Ended MRCS Activity 2023 2022 2023 2022 Liability at beginning of period $ 370,622 $ 45,583 $ 372,503 $ 50,422 Reclassification from capital stock — — 13 — Redemptions/repurchases (2,714) (2,293) (4,608) (7,132) Liability at end of period $ 367,908 $ 43,290 $ 367,908 $ 43,290 The following table presents our 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 September 30, 2023 December 31, 2022 Past contractual redemption date (1) $ 763 $ 498 Year 1 (2) 15,047 10,048 Year 2 3,530 9,872 Year 3 19,323 19,179 Year 4 — 3,674 Year 5 329,245 329,232 Total MRCS $ 367,908 $ 372,503 (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 September 30, 2023 and December 31, 2022 includes $5,175 and $9,585 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 our MRCS. Three Months Ended September 30, Nine Months Ended MRCS Distributions 2023 2022 2023 2022 Recorded as interest expense $ 4,348 $ 408 $ 12,828 $ 922 Recorded as distributions from retained earnings — — 707 — Total $ 4,348 $ 408 $ 13,535 $ 922 Capital Requirements. We are subject to three capital requirements under our capital plan and Finance Agency regulations as disclosed in Note 12 - Capital in our 2022 Form 10-K. As presented in the following table, we were in compliance with these Finance Agency capital requirements at September 30, 2023 and December 31, 2022. September 30, 2023 December 31, 2022 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 1,111,684 $ 4,064,101 $ 489,240 $ 3,781,992 Total regulatory capital $ 2,841,645 $ 4,064,101 $ 2,891,351 $ 3,781,992 Total regulatory capital-to-assets ratio 4.00% 5.72% 4.00% 5.23% Leverage capital $ 3,552,056 $ 6,096,151 $ 3,614,189 $ 5,672,988 Leverage ratio 5.00% 8.58% 5.00% 7.85% |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 9 Months Ended |
Sep. 30, 2023 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Accumulated Other Comprehensive Income | Note 10 - Accumulated Other Comprehensive Income The following table presents a summary of the changes in the components of our AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI (Loss) Balance, June 30, 2023 $ 3,995 $ (14,306) $ (10,311) OCI before reclassifications: Net change in unrealized gains (losses) (24,026) — (24,026) Reclassifications from OCI to net income: Net realized losses from sales of AFS securities 6,568 — 6,568 Pension benefits, net — 547 547 Total other comprehensive income (17,458) 547 (16,911) Balance, September 30, 2023 $ (13,463) $ (13,759) $ (27,222) Balance, June 30, 2022 $ 32,251 $ (18,095) $ 14,156 OCI before reclassifications: Net change in unrealized gains (losses) (16,452) — (16,452) Reclassifications from OCI to net income: Pension benefits, net — 609 609 Total other comprehensive income (loss) (16,452) 609 (15,843) Balance, September 30, 2022 $ 15,799 $ (17,486) $ (1,687) AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI (Loss) Balance, December 31, 2022 $ (9,939) $ (15,852) $ (25,791) OCI before reclassifications: Net change in unrealized gains (losses) (10,234) — (10,234) Reclassifications from OCI to net income: Net realized losses from sales of AFS securities 6,710 — 6,710 Pension benefits, net — 2,093 2,093 Total other comprehensive income (3,524) 2,093 (1,431) Balance, September 30, 2023 $ (13,463) $ (13,759) $ (27,222) Balance, December 31, 2021 $ 151,942 $ (18,884) $ 133,058 OCI before reclassifications: Net change in unrealized gains (losses) (136,143) — (136,143) Reclassifications from OCI to net income: Pension benefits, net — 1,398 1,398 Total other comprehensive income (loss) (136,143) 1,398 (134,745) Balance, September 30, 2022 $ 15,799 $ (17,486) $ (1,687) |
Segment Information
Segment Information | 9 Months Ended |
Sep. 30, 2023 | |
Segment Reporting [Abstract] | |
Segment Information | Note 11 - Segment Information The following table presents our financial performance by operating segment. Three Months Ended September 30, 2023 Three Months Ended September 30, 2022 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 115,311 $ 12,644 $ 127,955 $ 59,854 $ 12,721 $ 72,575 Provision for (reversal of) credit losses — (233) (233) — (8) (8) Other income (loss) 481 (384) 97 7,367 (167) 7,200 Other expenses 23,111 3,840 26,951 23,879 4,134 28,013 Income before assessments 92,681 8,653 101,334 43,342 8,428 51,770 Affordable Housing Program assessments 9,703 865 10,568 4,375 843 5,218 Net income $ 82,978 $ 7,788 $ 90,766 $ 38,967 $ 7,585 $ 46,552 Nine Months Ended September 30, 2023 Nine Months Ended September 30, 2022 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 318,114 $ 37,084 $ 355,198 $ 163,325 $ 37,656 $ 200,981 Provision for (reversal of) credit losses — (234) (234) — (68) (68) Other income (loss) 39,764 (369) 39,395 (1,575) (325) (1,900) Other expenses 77,383 11,786 89,169 68,081 11,529 79,610 Income before assessments 280,495 25,163 305,658 93,669 25,870 119,539 Affordable Housing Program assessments 29,333 2,516 31,849 9,459 2,587 12,046 Net income $ 251,162 $ 22,647 $ 273,809 $ 84,210 $ 23,283 $ 107,493 The following table presents our asset balances by operating segment. Date Traditional Mortgage Loans Total September 30, 2023 $ 62,779,683 $ 8,261,434 $ 71,041,117 December 31, 2022 64,597,325 7,686,455 72,283,780 |
Estimated Fair Values
Estimated Fair Values | 9 Months Ended |
Sep. 30, 2023 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Note 12 - Estimated Fair Values 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. September 30, 2023 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 56,465 $ 56,465 $ 56,465 $ — $ — $ — Interest-bearing deposits 860,058 860,058 860,016 42 — — Securities purchased under agreements to resell 3,450,000 3,450,000 — 3,450,000 — — Federal funds sold 3,392,000 3,392,000 — 3,392,000 — — Trading securities 446,617 446,617 — 446,617 — — AFS securities 13,613,403 13,613,403 — 13,613,403 — — HTM securities 5,359,706 5,274,222 — 5,274,222 — — Advances 34,781,490 34,594,500 — 34,594,500 — — Mortgage loans held for portfolio, net 8,261,434 7,155,691 — 7,152,361 3,330 — Accrued interest receivable 183,321 183,321 — 183,321 — — Derivative assets, net 536,871 536,871 — 1,186,233 — (649,362) Grantor trust assets (2) 56,016 56,016 56,016 — — — Liabilities: Deposits 602,721 602,721 — 602,721 — — Consolidated obligations: Discount notes 17,457,879 17,459,771 — 17,459,771 — — Bonds 47,895,565 46,732,215 — 46,732,215 — — Accrued interest payable 356,061 356,061 — 356,061 — — Derivative liabilities, net 15,326 15,326 — 2,119,658 — (2,104,332) MRCS 367,908 367,908 367,908 — — — 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 — — — (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. A description of the valuation techniques, significant inputs, and levels of fair value hierarchy is disclosed in Note 16 - Estimated Fair Values in our 2022 Form 10-K. No significant changes have been made in the current year. 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. September 30, 2023 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 446,617 $ — $ 446,617 $ — $ — Total trading securities 446,617 — 446,617 — — AFS securities: U.S. Treasury obligations 5,470,857 — 5,470,857 — — GSE and TVA debentures 1,764,753 — 1,764,753 — — GSE multifamily MBS 6,377,793 — 6,377,793 — — Total AFS securities 13,613,403 — 13,613,403 — — Derivative assets: Interest-rate related 536,803 — 1,186,165 — (649,362) MDCs 68 — 68 — — Total derivative assets, net 536,871 — 1,186,233 — (649,362) Other assets: Grantor trust assets 56,016 56,016 — — — Total assets at recurring estimated fair value $ 14,652,907 $ 56,016 $ 15,246,253 $ — $ (649,362) Derivative liabilities: Interest-rate related $ 14,826 $ — $ 2,119,158 $ — $ (2,104,332) MDCs 500 — 500 — — Total derivative liabilities, net 15,326 — 2,119,658 — (2,104,332) Total liabilities at recurring estimated fair value $ 15,326 $ — $ 2,119,658 $ — $ (2,104,332) 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) (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. |
Commitments and Contingencies
Commitments and Contingencies | 3 Months Ended |
Sep. 30, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 13 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts. September 30, 2023 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 826,846 $ 361,161 $ 1,188,007 Commitments for standby bond purchases — 195,914 195,914 Unused lines of credit (2) 1,162,674 — 1,162,674 Commitments to fund additional advances (3) 13,850 4,087 17,937 Commitments to purchase mortgage loans, net (4) 158,701 — 158,701 Unsettled discount notes, at par 302,970 — 302,970 (1) There were no unconditional commitments to issue standby letters of credit at September 30, 2023 . (2) Maximum line of credit amount per member is $100,000. (3) Generally for periods up to six months. (4) Generally for periods up to 91 days. Pledged Collateral. Cash pledged as collateral to counterparties and clearing agents at September 30, 2023 and December 31, 2022 totaled $1,637,346 and $1,849,797, respectively . No securities were pledged as collateral to counterparties at September 30, 2023 or December 31, 2022. Standby Bond Purchase Agreements. During the nine months ended September 30, 2023 , we entered into multiple agreements with a state housing authority within our district whereby we could be required under the terms of the agreements to purchase and hold the state housing authority's bonds until its designated marketing agent can find a suitable investor or the state housing authority repurchases the bond according to a schedule established by the standby agreements. These standby bond purchase commitments have original expiration periods of up to five years, expiring no later than 2028, although some may be renewable at our option. We had not purchas ed any bon ds under these agreements as of September 30, 2023. 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 4 - Advances; Note 5 - Mortgage Loans Held for Portfolio; Note 6 - Derivatives and Hedging Activities; Note 7 - Consolidated Obligations; Note 9 - Capital; and Note 12 - Estimated Fair Values . |
Related Party and Other Transac
Related Party and Other Transactions | 9 Months Ended |
Sep. 30, 2023 | |
Related Party Transactions [Abstract] | |
Related Party and Other Transactions | Note 14 - Related Party and Other Transactions Transactions with Directors Financial Institutions. 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. Transactions with Directors' Financial Institutions Three Months Ended September 30, Nine Months Ended 2023 2022 2023 2022 Net capital stock issuances (redemptions and repurchases) $ 137 $ 6,839 $ 3,942 $ (40,144) Net advances (repayments) 35,232 519,393 (90,280) 1,754,096 Mortgage loan purchases 14,386 1,736 28,390 14,483 The following table presents the aggregate balances of capital stock and advances outstanding for our directors' financial institutions and their balances as a percent of the total balances on our statement of condition. September 30, 2023 December 31, 2022 Balances with Directors' Financial Institutions Par Value % of Total Par Value % of Total Capital stock $ 56,358 2 % $ 49,869 2 % Advances 773,720 2 % 886,191 2 % The composition of our directors' financial institutions changed due to changes in board membership on January 1, 2023 resulting from the 2022 board of directors' election and on April 1, 2023 resulting from the election by the board of directors of new directors to fill unexpired terms. Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks in order to manage FHLB System-wide liquidity. These loans and borrowings are transacted at current market rates when traded. There were no loans to or borrowings from other FHLBanks that remained outstandin g at September 30, 2023 or December 31, 2022. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 9 Months Ended |
Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation. The accompanying interim financial statements have been prepared in accordance with GAAP and SEC requirements for interim financial information. Accordingly, they do not include all of the information and disclosures required by GAAP for complete financial statements. Certain disclosures that would have substantially duplicated the disclosures in the financial statements, and notes thereto, included in our 2022 Form 10-K have been omitted unless the information contained in those disclosures materially changed. Therefore, these interim financial statements should be read in conjunction with our audited financial statements, and notes thereto, included in our 2022 Form 10-K. 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 interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full calendar year or any other interim period. |
Use of Estimates | Use of Estimates . |
Financing Receivable, Held-for-investment | Mortgage Loan Modifications. Under the new accounting guidance, we are required to evaluate whether the terms of a loan modification made for borrowers experiencing financial difficulty are such that the modified loan should be accounted for as a new loan or a continuation of an existing loan. Prior to January 1, 2023, we evaluated mortgage loan modifications resulting from borrowers experiencing financial difficulty utilizing the troubled debt restructuring ("TDR") guidance. For more information, see Note 1 - Summary of Significant Accounting Policies in our 2022 Form 10-K. |
Significant Accounting Policies | Allowance for Credit Losses on Mortgage Loans . |
Recently 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), as amended . As a part of finalizing the transition of all outstanding LIBOR-indexed instruments to reference SOFR, we adopted certain practical expedients in Topic 848 for qualifying contract modifications related to reference rate reform, including with respect to qualifying hedge relationships. The adoption of this guidance did not have a material impact on the Bank's financial condition, results of operations, or cash flows. Recently Issued Accounting Guidance |
Investments (Tables)
Investments (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Debt and Equity Securities, FV-NI [Line Items] | |
Available-for-Sale (AFS) Securities by Major Security Type | The following table presents our AFS securities by type of security. September 30, 2023 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value U.S. Treasury obligations $ 5,457,656 $ 14,687 $ (1,486) $ 5,470,857 GSE and TVA debentures 1,745,997 18,756 — 1,764,753 GSE multifamily MBS 6,423,213 12,377 (57,797) 6,377,793 Total AFS securities $ 13,626,866 $ 45,820 $ (59,283) $ 13,613,403 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 (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. At September 30, 2023 and December 31, 2022, net unamortized discounts totaled $(291,143) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(1,393,645) and $(1,099,886), respectively. Excludes accrued interest |
Available-for-sale (AFS) Securities in an Unrealized Loss Position | The following table presents our 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. September 30, 2023 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 $ 1,115,689 $ (1,346) $ 231,738 $ (140) $ 1,347,427 $ (1,486) GSE multifamily MBS 1,810,455 (10,429) 2,743,071 (47,368) 4,553,526 (57,797) Total impaired AFS securities $ 2,926,144 $ (11,775) $ 2,974,809 $ (47,508) $ 5,900,953 $ (59,283) 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) |
HTM Securities by Major Security Type | The following table presents our HTM securities by type of security. September 30, 2023 Gross Gross Unrecognized Unrecognized Amortized Holding Holding Estimated Security Type Cost (1) Gains Losses Fair Value MBS: Other U.S. obligations - guaranteed single-family $ 4,145,163 $ 3,226 $ (37,043) $ 4,111,346 GSE single-family 649,833 440 (47,080) 603,193 GSE multifamily 564,710 — (5,027) 559,683 Total HTM securities $ 5,359,706 $ 3,666 $ (89,150) $ 5,274,222 December 31, 2022 Gross Gross Unrecognized Unrecognized Amortized Holding Holding Estimated Security Type Cost (1) Gains Losses Fair Value MBS: Other U.S. obligations - guaranteed 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 (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 September 30, 2023 and December 31, 2022 to tale d $22,662 and $26,125, respectively. |
Debt Securities, Trading, and Equity Securities, FV-NI | The following table presents our trading securities by type of security. Security Type September 30, 2023 December 31, 2022 U.S. Treasury obligations $ 446,617 $ 2,230,248 Total trading securities at estimated fair value $ 446,617 $ 2,230,248 |
AFS Securities | |
Debt and Equity Securities, FV-NI [Line Items] | |
AFS Securities by Contractual Maturity | The amortized cost and estimated fair value of our 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. September 30, 2023 December 31, 2022 Amortized Estimated Amortized Estimated Year of Contractual Maturity Cost Fair Value Cost Fair Value Non-MBS: Due in 1 year or less $ 278,296 $ 279,554 $ 131,329 $ 131,517 Due after 1 through 5 years 3,740,367 3,765,153 1,575,581 1,594,583 Due after 5 through 10 years 3,184,990 3,190,903 4,383,866 4,386,277 Total non-MBS 7,203,653 7,235,610 6,090,776 6,112,377 Total MBS 6,423,213 6,377,793 6,099,000 6,067,460 Total AFS securities $ 13,626,866 $ 13,613,403 $ 12,189,776 $ 12,179,837 |
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. Three Months Ended September 30, Nine Months Ended 2023 2022 2023 2022 Net gains (losses) on trading securities held at period end $ 2,141 $ (459) $ 4,537 $ (32,361) Net gains (losses) on trading securities that matured/sold during the period — 841 6,676 (5,672) Net gains (losses) on trading securities $ 2,141 $ 382 $ 11,213 $ (38,033) |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents our advances outstanding by redemption term. September 30, 2023 December 31, 2022 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 18 7.73 $ 430 6.74 Due in 1 year or less 9,873,503 4.75 14,517,059 3.77 Due after 1 through 2 years 3,925,830 3.14 2,726,023 2.82 Due after 2 through 3 years 2,632,172 3.22 3,316,683 2.73 Due after 3 through 4 years 3,300,243 4.10 2,045,370 2.70 Due after 4 through 5 years 6,540,352 4.16 3,938,017 3.96 Thereafter 9,356,901 3.39 10,747,880 2.70 Total advances, par value 35,629,019 3.93 37,291,462 3.26 Fair-value hedging basis adjustments, net (852,723) (615,859) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 5,194 6,856 Total advances (1) $ 34,781,490 $ 36,682,459 (1) Carrying value equals amortized cost, which excludes accrued interest receivable The following table presents our advances outstanding by the earlier of the redemption date or the next call date and next put date. Earlier of Redemption Earlier of Redemption Term September 30, December 31, September 30, December 31, Overdrawn demand and overnight deposit accounts $ 18 $ 430 $ 18 $ 430 Due in 1 year or less 14,832,005 19,337,582 14,363,003 20,226,164 Due after 1 through 2 years 3,363,030 2,299,023 4,691,730 3,207,023 Due after 2 through 3 years 2,204,582 2,385,483 3,345,172 4,082,583 Due after 3 through 4 years 1,957,633 1,592,245 3,535,343 2,045,370 Due after 4 through 5 years 5,685,099 2,773,917 5,720,352 4,173,117 Thereafter 7,586,652 8,902,782 3,973,401 3,556,775 Total advances, par value $ 35,629,019 $ 37,291,462 $ 35,629,019 $ 37,291,462 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | The following tables present information on our mortgage loans held for portfolio by term and type. Term September 30, 2023 December 31, 2022 Fixed-rate long-term mortgages $ 7,335,205 $ 6,676,752 Fixed-rate medium-term (1) mortgages 770,265 856,446 Total mortgage loans held for portfolio, UPB 8,105,470 7,533,198 Unamortized premiums 174,065 168,593 Unamortized discounts (11,418) (9,466) Hedging basis adjustments, net (6,558) (5,670) Total mortgage loans held for portfolio 8,261,559 7,686,655 Allowance for credit losses (125) (200) Total mortgage loans held for portfolio, net (2) $ 8,261,434 $ 7,686,455 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable Type September 30, 2023 December 31, 2022 Conventional $ 7,965,829 $ 7,383,168 Government-guaranteed or -insured 139,641 150,030 Total mortgage loans held for portfolio, UPB $ 8,105,470 $ 7,533,198 |
Key Credit Quality Indicators | 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. September 30, 2023 Origination Year Payment Status Prior to 2019 2019 to 2023 Total Past due: 30-59 days $ 19,600 $ 21,268 $ 40,868 60-89 days 4,268 795 5,063 90 days or more 4,088 1,565 5,653 Total past due 27,956 23,628 51,584 Total current 2,463,750 5,605,111 8,068,861 Total conventional mortgage loans, amortized cost $ 2,491,706 $ 5,628,739 $ 8,120,445 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 |
Other Delinquency Statistics | September 30, 2023 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 675 $ — $ 675 Serious delinquency rate (2) 0.07 % 0.70 % 0.08 % Past due 90 days or more still accruing interest (3) $ 2,261 $ 992 $ 3,253 On non-accrual status (4) $ 8,354 $ — $ 8,354 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 (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 respective amount of mortgage loans outstanding. The total rate is a weighted-average rate. 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 Federal Housing Administration 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 September 30, 2023 and December 31, 2022, of these conventional mortgage loans on non-accrual status, $970 and $3,160, 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. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | The table below presents a rollforward of our allowance for credit losses. Three Months Ended Nine Months Ended Rollforward of Allowance 2023 2022 2023 2022 Balance, beginning of period $ 200 $ 200 $ 200 $ 200 (Charge-offs), net of recoveries 158 8 159 68 Provision for (reversal of) credit losses (233) (8) (234) (68) Balance, end of period $ 125 $ 200 $ 125 $ 200 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Notional Amount and Estimated Fair Value of Derivative Instruments | The following table presents the notional amount and estimated fair value of our derivative assets and liabilities. September 30, 2023 December 31, 2022 Notional Derivative Derivative Notional Derivative Derivative Amount Assets Liabilities Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 78,478,162 $ 1,183,118 $ 2,118,828 $ 66,103,220 $ 919,089 $ 2,178,897 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 460,000 11 184 6,200,000 599 525 Interest-rate caps/floors 811,000 2,622 — 611,000 1,310 — Interest-rate forwards 160,700 414 146 30,200 131 — MDCs 158,701 68 500 30,855 50 102 Total derivatives not designated as hedging instruments 1,590,401 3,115 830 6,872,055 2,090 627 Total derivatives before adjustments $ 80,068,563 1,186,233 2,119,658 $ 72,975,275 921,179 2,179,524 Netting adjustments and cash collateral (1) (649,362) (2,104,332) (486,758) (2,160,315) Total derivatives, net, at estimated fair value $ 536,871 $ 15,326 $ 434,421 $ 19,209 (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 September 30, 2023 and December 31, 2022, including accrued interest, totaled $1,642,233 and $1,854,876, respectively. Cash collateral received from counterparties and held at September 30, 2023 and December 31, 2022, including accrued interest, totaled $187,263 and $181,319, respectively . |
Offsetting of Derivative Assets and Derivative Liabilities | The following table presents separately the estimated fair value of our derivative instruments meeting and not meeting netting requirements, including the effect of the related collateral. September 30, 2023 December 31, 2022 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 1,182,615 $ 2,096,260 $ 892,313 $ 2,178,098 Cleared 3,136 22,752 28,685 1,324 Total gross recognized amount 1,185,751 2,119,012 920,998 2,179,422 Gross amounts of netting adjustments and cash collateral Uncleared (1,144,406) (2,081,580) (884,451) (2,158,991) Cleared 495,044 (22,752) 397,693 (1,324) Total gross amounts of netting adjustments and cash collateral (649,362) (2,104,332) (486,758) (2,160,315) Net amounts after netting adjustments and cash collateral Uncleared 38,209 14,680 7,862 19,107 Cleared 498,180 — 426,378 — Total net amounts after netting adjustments and cash collateral 536,389 14,680 434,240 19,107 Derivative instruments not meeting netting requirements (1) 482 646 181 102 Total derivatives, net, at estimated fair value $ 536,871 $ 15,326 $ 434,421 $ 19,209 (1) Includes MDCs and certain interest-rate forwards. |
Components of Net Gains (Losses) on Derivatives and Hedging Activities in Net Interest Income | The following table presents the impact of our qualifying fair-value hedging relationships on net interest income by hedged item, excluding any offsetting interest income/expense of the associated hedged items. Three Months Ended September 30, 2023 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 160,877 $ 129,012 $ (253,041) $ 36,848 Net gains (losses) on derivatives (2) 119,264 143,987 (37,173) 226,078 Net gains (losses) on hedged items (3) (130,274) (169,185) 46,695 (252,764) Net impact on net interest income $ 149,867 $ 103,814 $ (243,519) $ 10,162 Total interest income (expense) recorded in the statement of income (4) $ 502,373 $ 212,408 $ (598,526) $ 116,255 Three Months Ended September 30, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 27,902 $ 23,579 $ (58,110) $ (6,629) Net gains (losses) on derivatives (2) 253,211 172,199 (716,889) (291,479) Net gains (losses) on hedged items (3) (253,803) (190,174) 713,132 269,155 Net impact on net interest income $ 27,310 $ 5,604 $ (61,867) $ (28,953) Total interest income (expense) recorded in the statement of income (4) $ 187,002 $ 88,443 $ (218,109) $ 57,336 Nine Months Ended September 30, 2023 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 427,432 $ 343,187 $ (694,942) $ 75,677 Net gains (losses) on derivatives (2) 157,566 128,284 92,024 377,874 Net gains (losses) on hedged items (3) (177,409) (188,067) (83,198) (448,674) Net impact on net interest income $ 407,589 $ 283,404 $ (686,116) $ 4,877 Total interest income (expense) recorded in the statement of income (4) $ 1,428,357 $ 584,634 $ (1,588,952) $ 424,039 Nine Months Ended September 30, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (31,122) $ (10,549) $ 24,554 $ (17,117) Net gains (losses) on derivatives (2) 751,782 456,209 (2,006,955) (798,964) Net gains (losses) on hedged items (3) (754,378) (504,453) 1,995,737 736,906 Net impact on net interest income $ (33,718) $ (58,793) $ 13,336 $ (79,175) Total interest income (expense) recorded in the statement of income (4) $ 289,605 $ 149,451 $ (369,000) $ 70,056 (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 our net gains (losses) on derivatives reported in other income. Three Months Ended September 30, Nine Months Ended Type of Hedge 2023 2022 2023 2022 Net gains (losses) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ 26 $ (5,903) $ (8,145) $ 32,560 Interest-rate caps/floors 431 1,150 2 1,281 Interest-rate forwards 794 1,428 852 8,454 Net interest settlements (1) 4,878 14,018 17,322 12,881 MDCs (1,246) (1,709) (1,541) (8,995) Net gains (losses) on derivatives in other income $ 4,883 $ 8,984 $ 8,490 $ 46,181 (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, our hedged items in qualifying fair-value hedging relationships. September 30, 2023 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 22,539,611 $ 13,626,866 $ 37,746,065 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ (852,723) $ (1,642,606) $ (2,034,532) For discontinued fair-value hedging relationships — 248,961 — Total cumulative fair-value hedging basis adjustments on hedged items $ (852,723) $ (1,393,645) $ (2,034,532) 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) (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. |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
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 September 30, 2023 December 31, 2022 Book value $ 17,457,879 $ 27,387,492 Par value 17,557,626 27,533,665 Weighted average effective interest rate 5.39 % 4.16 % |
CO Bonds by Redemption Feature | The following tables present the par value of our CO bonds outstanding by redemption feature and the earlier of the year of contractual maturity or next call date. Call Feature September 30, 2023 December 31, 2022 Non-callable / non-putable $ 12,629,865 $ 11,979,560 Callable 37,280,825 30,022,500 Total CO bonds, par value $ 49,910,690 $ 42,002,060 |
CO Bonds by Year of Contractual Maturity | The following table presents our CO bonds outstanding by contractual maturity. September 30, 2023 December 31, 2022 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 20,145,400 4.27 $ 10,016,310 3.05 Due after 1 through 2 years 10,361,030 1.94 8,014,590 1.48 Due after 2 through 3 years 6,616,580 1.38 6,278,940 1.37 Due after 3 through 4 years 3,435,010 1.66 7,130,600 1.25 Due after 4 through 5 years 1,807,290 2.56 2,312,540 1.76 Thereafter 7,545,380 2.66 8,249,080 2.35 Total CO bonds, par value 49,910,690 2.92 42,002,060 1.99 Unamortized premiums 36,556 45,535 Unamortized discounts (9,269) (10,165) Unamortized concessions (7,880) (7,174) Fair-value hedging basis adjustments, net (2,034,532) (2,147,802) Total CO bonds $ 47,895,565 $ 39,882,454 Year of Contractual Maturity or Next Call Date September 30, 2023 December 31, 2022 Due in 1 year or less $ 44,977,900 $ 37,066,810 Due after 1 through 2 years 2,054,030 1,444,590 Due after 2 through 3 years 865,080 770,940 Due after 3 through 4 years 230,010 804,100 Due after 4 through 5 years 580,290 268,540 Thereafter 1,203,380 1,647,080 Total CO bonds, par value $ 49,910,690 $ 42,002,060 |
CO Bonds Outstanding by Interest Payment Type | The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type September 30, 2023 December 31, 2022 Fixed-rate $ 46,556,690 $ 36,957,560 Step-up 1,418,500 2,268,500 Simple variable-rate 1,935,500 2,776,000 Total CO bonds, par value $ 49,910,690 $ 42,002,060 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Affordable Housing Program [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation | The following table summarizes the activity in our AHP funding obligation. Three Months Ended September 30, Nine Months Ended AHP Activity 2023 2022 2023 2022 Liability at beginning of period $ 53,135 $ 28,953 $ 38,170 $ 31,049 Assessments (1) 10,568 5,218 31,849 12,046 Subsidy usage, net (2) (5,659) (2,978) (11,975) (11,902) Liability at end of period $ 58,044 $ 31,193 $ 58,044 $ 31,193 (1) Assessments are reported separately on the Statement of Income as a reduction to income before assessments. (2) Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Capital Stock Outstanding by Sub-series | The following table presents our capital stock outstanding by sub-series. Capital Stock Sub-Series September 30, 2023 December 31, 2022 Class B-1 (1) $ 546,166 $ 535,345 Class B-2 (2) 1,681,080 1,587,780 Total Class B $ 2,227,246 $ 2,123,125 (1) Non-activity-based stock. (2) Activity-based stock. |
Mandatorily Redeemable Capital Stock | The following table presents the activity in our MRCS. Three Months Ended September 30, Nine Months Ended MRCS Activity 2023 2022 2023 2022 Liability at beginning of period $ 370,622 $ 45,583 $ 372,503 $ 50,422 Reclassification from capital stock — — 13 — Redemptions/repurchases (2,714) (2,293) (4,608) (7,132) Liability at end of period $ 367,908 $ 43,290 $ 367,908 $ 43,290 The following table presents our 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 September 30, 2023 December 31, 2022 Past contractual redemption date (1) $ 763 $ 498 Year 1 (2) 15,047 10,048 Year 2 3,530 9,872 Year 3 19,323 19,179 Year 4 — 3,674 Year 5 329,245 329,232 Total MRCS $ 367,908 $ 372,503 (1) Balance represents Class B stock that will not be redeemed until the associated credit products and other obligations are no longer outstanding. |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | The following table presents the distributions related to our MRCS. Three Months Ended September 30, Nine Months Ended MRCS Distributions 2023 2022 2023 2022 Recorded as interest expense $ 4,348 $ 408 $ 12,828 $ 922 Recorded as distributions from retained earnings — — 707 — Total $ 4,348 $ 408 $ 13,535 $ 922 |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As presented in the following table, we were in compliance with these Finance Agency capital requirements at September 30, 2023 and December 31, 2022. September 30, 2023 December 31, 2022 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 1,111,684 $ 4,064,101 $ 489,240 $ 3,781,992 Total regulatory capital $ 2,841,645 $ 4,064,101 $ 2,891,351 $ 3,781,992 Total regulatory capital-to-assets ratio 4.00% 5.72% 4.00% 5.23% Leverage capital $ 3,552,056 $ 6,096,151 $ 3,614,189 $ 5,672,988 Leverage ratio 5.00% 8.58% 5.00% 7.85% |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Changes in the Components of AOCI | The following table presents a summary of the changes in the components of our AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI (Loss) Balance, June 30, 2023 $ 3,995 $ (14,306) $ (10,311) OCI before reclassifications: Net change in unrealized gains (losses) (24,026) — (24,026) Reclassifications from OCI to net income: Net realized losses from sales of AFS securities 6,568 — 6,568 Pension benefits, net — 547 547 Total other comprehensive income (17,458) 547 (16,911) Balance, September 30, 2023 $ (13,463) $ (13,759) $ (27,222) Balance, June 30, 2022 $ 32,251 $ (18,095) $ 14,156 OCI before reclassifications: Net change in unrealized gains (losses) (16,452) — (16,452) Reclassifications from OCI to net income: Pension benefits, net — 609 609 Total other comprehensive income (loss) (16,452) 609 (15,843) Balance, September 30, 2022 $ 15,799 $ (17,486) $ (1,687) AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI (Loss) Balance, December 31, 2022 $ (9,939) $ (15,852) $ (25,791) OCI before reclassifications: Net change in unrealized gains (losses) (10,234) — (10,234) Reclassifications from OCI to net income: Net realized losses from sales of AFS securities 6,710 — 6,710 Pension benefits, net — 2,093 2,093 Total other comprehensive income (3,524) 2,093 (1,431) Balance, September 30, 2023 $ (13,463) $ (13,759) $ (27,222) Balance, December 31, 2021 $ 151,942 $ (18,884) $ 133,058 OCI before reclassifications: Net change in unrealized gains (losses) (136,143) — (136,143) Reclassifications from OCI to net income: Pension benefits, net — 1,398 1,398 Total other comprehensive income (loss) (136,143) 1,398 (134,745) Balance, September 30, 2022 $ 15,799 $ (17,486) $ (1,687) |
Segment Information (Tables)
Segment Information (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Three Months Ended September 30, 2023 Three Months Ended September 30, 2022 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 115,311 $ 12,644 $ 127,955 $ 59,854 $ 12,721 $ 72,575 Provision for (reversal of) credit losses — (233) (233) — (8) (8) Other income (loss) 481 (384) 97 7,367 (167) 7,200 Other expenses 23,111 3,840 26,951 23,879 4,134 28,013 Income before assessments 92,681 8,653 101,334 43,342 8,428 51,770 Affordable Housing Program assessments 9,703 865 10,568 4,375 843 5,218 Net income $ 82,978 $ 7,788 $ 90,766 $ 38,967 $ 7,585 $ 46,552 Nine Months Ended September 30, 2023 Nine Months Ended September 30, 2022 Traditional Mortgage Loans Total Traditional Mortgage Loans Total Net interest income $ 318,114 $ 37,084 $ 355,198 $ 163,325 $ 37,656 $ 200,981 Provision for (reversal of) credit losses — (234) (234) — (68) (68) Other income (loss) 39,764 (369) 39,395 (1,575) (325) (1,900) Other expenses 77,383 11,786 89,169 68,081 11,529 79,610 Income before assessments 280,495 25,163 305,658 93,669 25,870 119,539 Affordable Housing Program assessments 29,333 2,516 31,849 9,459 2,587 12,046 Net income $ 251,162 $ 22,647 $ 273,809 $ 84,210 $ 23,283 $ 107,493 |
Schedule of Segment Assets by Segment | The following table presents our asset balances by operating segment. Date Traditional Mortgage Loans Total September 30, 2023 $ 62,779,683 $ 8,261,434 $ 71,041,117 December 31, 2022 64,597,325 7,686,455 72,283,780 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
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. September 30, 2023 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 56,465 $ 56,465 $ 56,465 $ — $ — $ — Interest-bearing deposits 860,058 860,058 860,016 42 — — Securities purchased under agreements to resell 3,450,000 3,450,000 — 3,450,000 — — Federal funds sold 3,392,000 3,392,000 — 3,392,000 — — Trading securities 446,617 446,617 — 446,617 — — AFS securities 13,613,403 13,613,403 — 13,613,403 — — HTM securities 5,359,706 5,274,222 — 5,274,222 — — Advances 34,781,490 34,594,500 — 34,594,500 — — Mortgage loans held for portfolio, net 8,261,434 7,155,691 — 7,152,361 3,330 — Accrued interest receivable 183,321 183,321 — 183,321 — — Derivative assets, net 536,871 536,871 — 1,186,233 — (649,362) Grantor trust assets (2) 56,016 56,016 56,016 — — — Liabilities: Deposits 602,721 602,721 — 602,721 — — Consolidated obligations: Discount notes 17,457,879 17,459,771 — 17,459,771 — — Bonds 47,895,565 46,732,215 — 46,732,215 — — Accrued interest payable 356,061 356,061 — 356,061 — — Derivative liabilities, net 15,326 15,326 — 2,119,658 — (2,104,332) MRCS 367,908 367,908 367,908 — — — 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 — — — (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. |
Schedule of Fair Value, Assets and Liabilities Measured 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. September 30, 2023 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 446,617 $ — $ 446,617 $ — $ — Total trading securities 446,617 — 446,617 — — AFS securities: U.S. Treasury obligations 5,470,857 — 5,470,857 — — GSE and TVA debentures 1,764,753 — 1,764,753 — — GSE multifamily MBS 6,377,793 — 6,377,793 — — Total AFS securities 13,613,403 — 13,613,403 — — Derivative assets: Interest-rate related 536,803 — 1,186,165 — (649,362) MDCs 68 — 68 — — Total derivative assets, net 536,871 — 1,186,233 — (649,362) Other assets: Grantor trust assets 56,016 56,016 — — — Total assets at recurring estimated fair value $ 14,652,907 $ 56,016 $ 15,246,253 $ — $ (649,362) Derivative liabilities: Interest-rate related $ 14,826 $ — $ 2,119,158 $ — $ (2,104,332) MDCs 500 — 500 — — Total derivative liabilities, net 15,326 — 2,119,658 — (2,104,332) Total liabilities at recurring estimated fair value $ 15,326 $ — $ 2,119,658 $ — $ (2,104,332) 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) (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. |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. September 30, 2023 Type of Commitment Expire within one year Expire after one year Total Standby letters of credit outstanding (1) $ 826,846 $ 361,161 $ 1,188,007 Commitments for standby bond purchases — 195,914 195,914 Unused lines of credit (2) 1,162,674 — 1,162,674 Commitments to fund additional advances (3) 13,850 4,087 17,937 Commitments to purchase mortgage loans, net (4) 158,701 — 158,701 Unsettled discount notes, at par 302,970 — 302,970 (1) There were no unconditional commitments to issue standby letters of credit at September 30, 2023 . (2) Maximum line of credit amount per member is $100,000. (3) Generally for periods up to six months. (4) Generally for periods up to 91 days. |
Related Party and Other Trans_2
Related Party and Other Transactions (Tables) | 9 Months Ended |
Sep. 30, 2023 | |
Related Party Transactions [Abstract] | |
Directors' Financial institutions Activity | 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. Transactions with Directors' Financial Institutions Three Months Ended September 30, Nine Months Ended 2023 2022 2023 2022 Net capital stock issuances (redemptions and repurchases) $ 137 $ 6,839 $ 3,942 $ (40,144) Net advances (repayments) 35,232 519,393 (90,280) 1,754,096 Mortgage loan purchases 14,386 1,736 28,390 14,483 |
Outstanding Balances with Respect to Transactions with Related Parties | The following table presents the aggregate balances of capital stock and advances outstanding for our directors' financial institutions and their balances as a percent of the total balances on our statement of condition. September 30, 2023 December 31, 2022 Balances with Directors' Financial Institutions Par Value % of Total Par Value % of Total Capital stock $ 56,358 2 % $ 49,869 2 % Advances 773,720 2 % 886,191 2 % |
Investments - Narrative (Detail
Investments - Narrative (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Short-Term Investments [Line Items] | ||
InterestBearingDepositsSecuritiesPurchasedUnderAgreementsToResellAndFederalFundsSoldPercentageRatedBelowTripleB | 0% | 0% |
Investments with unrated counterparties (percent) | 5% | 5% |
InterestBearingDepositsFederalFundsSoldSecuritiesPurchasedUnderAgreementstoResellMember [Member] | ||
Short-Term Investments [Line Items] | ||
Allowance for credit loss | $ 0 | $ 0 |
Investments - Trading Securitie
Investments - Trading Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Debt and Equity Securities, FV-NI [Line Items] | |||||
Total trading securities at estimated fair value | $ 446,617 | $ 446,617 | $ 2,230,248 | ||
Debt Securities, Trading, Gain (Loss) [Abstract] | |||||
Net gains (losses) on trading securities held at period end | 2,141 | $ (459) | 4,537 | $ (32,361) | |
Net gains (losses) on trading securities that matured/sold during the period | 0 | 841 | 6,676 | (5,672) | |
Net gains (losses) on trading securities | 2,141 | $ 382 | 11,213 | $ (38,033) | |
U.S. Treasury obligations | |||||
Debt and Equity Securities, FV-NI [Line Items] | |||||
Total trading securities at estimated fair value | $ 446,617 | $ 446,617 | $ 2,230,248 |
Investments - AFS Securities -
Investments - AFS Securities - Major Security Types (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | [1] | $ 13,626,866 | $ 12,189,776 |
Gross Unrealized Gains | 45,820 | 43,710 | |
Gross Unrealized Losses | (59,283) | (53,649) | |
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |
Unamortized premium (discount) | (291,143) | (294,587) | |
Applicable fair value hedging-basis adjustment | (1,393,645) | (1,099,886) | |
Accrued interest receivable | $ 72,474 | $ 53,358 | |
Debt Securities, Available-for-Sale, Excluded Accrued Interest from Amortized Cost [true false] | true | true | |
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] | |||
Amortized Cost | $ 5,457,656 | $ 4,207,974 | |
Gross Unrealized Gains | 14,687 | 3,502 | |
Gross Unrealized Losses | (1,486) | (1,802) | |
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 5,470,857 | 4,209,674 | |
GSE and TVA debentures | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 1,745,997 | 1,882,802 | |
Gross Unrealized Gains | 18,756 | 20,144 | |
Gross Unrealized Losses | 0 | (243) | |
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 1,764,753 | 1,902,703 | |
GSE multifamily MBS | Multifamily | |||
Debt Securities, Available-for-sale [Line Items] | |||
Amortized Cost | 6,423,213 | 6,099,000 | |
Gross Unrealized Gains | 12,377 | 20,064 | |
Gross Unrealized Losses | (57,797) | (51,604) | |
Debt Securities, Available-for-Sale, Excluding Accrued Interest | $ 6,377,793 | $ 6,067,460 | |
[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. At September 30, 2023 and December 31, 2022, net unamortized discounts totaled $(291,143) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(1,393,645) and $(1,099,886), respectively. Excludes accrued interest |
Investments - AFS Securities _2
Investments - AFS Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 2,926,144 | $ 5,395,432 |
Less than 12 Months, Unrealized Losses | (11,775) | (43,091) |
12 Months or More, Estimated Fair Value | 2,974,809 | 301,339 |
12 Months or More, Unrealized Losses | (47,508) | (10,558) |
Total Estimated Fair Value | 5,900,953 | 5,696,771 |
Total Unrealized Losses | (59,283) | (53,649) |
U.S. Treasury obligations | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 1,115,689 | 1,836,099 |
Less than 12 Months, Unrealized Losses | (1,346) | (1,802) |
12 Months or More, Estimated Fair Value | 231,738 | 0 |
12 Months or More, Unrealized Losses | (140) | 0 |
Total Estimated Fair Value | 1,347,427 | 1,836,099 |
Total Unrealized Losses | (1,486) | (1,802) |
GSE and TVA debentures | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 75,024 | |
Less than 12 Months, Unrealized Losses | (243) | |
12 Months or More, Estimated Fair Value | 0 | |
12 Months or More, Unrealized Losses | 0 | |
Total Estimated Fair Value | 75,024 | |
Total Unrealized Losses | (243) | |
GSE multifamily MBS | Multifamily | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 1,810,455 | 3,484,309 |
Less than 12 Months, Unrealized Losses | (10,429) | (41,046) |
12 Months or More, Estimated Fair Value | 2,743,071 | 301,339 |
12 Months or More, Unrealized Losses | (47,368) | (10,558) |
Total Estimated Fair Value | 4,553,526 | 3,785,648 |
Total Unrealized Losses | $ (57,797) | $ (51,604) |
Investments - AFS Securities _3
Investments - AFS Securities - Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Amortized Cost | |||
Amortized Cost | [1] | $ 13,626,866 | $ 12,189,776 |
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |
Available for Sale Securities Other Than MBS and ABS | |||
Amortized Cost | |||
Due in 1 year or less, Amortized cost | 278,296 | 131,329 | |
Due after 1 year through 5 years, Amortized cost | 3,740,367 | 1,575,581 | |
Due after 5 through 10 years | 3,184,990 | 4,383,866 | |
Amortized Cost | 7,203,653 | 6,090,776 | |
Due in 1 year or less, Fair value | 279,554 | 131,517 | |
Due in 1 year through 5 years, Fair value | 3,765,153 | 1,594,583 | |
Due in 5 years through 10 years, Fair value | 3,190,903 | 4,386,277 | |
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 7,235,610 | 6,112,377 | |
Mortgage Backed Securities | |||
Amortized Cost | |||
Total MBS, Amortized cost | 6,423,213 | 6,099,000 | |
Total MBS, Fair value | $ 6,377,793 | $ 6,067,460 | |
[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. At September 30, 2023 and December 31, 2022, net unamortized discounts totaled $(291,143) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(1,393,645) and $(1,099,886), respectively. Excludes accrued interest |
Investments - AFS Narrative (De
Investments - AFS Narrative (Details) - USD ($) | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |||||
Proceeds from sales | $ 507,547,000 | $ 0 | $ 592,660,000 | $ 0 | |
Net realized gains on AFS securities | $ (6,568,000) | $ (6,710,000) | |||
AFS and HTM securities, based on amortized cost, rated single-A or above (percent) | 100% | 100% | 100% | ||
AFS securities allowance for credit loss | $ 0 | $ 0 | $ 0 |
Investments - HTM Securities -
Investments - HTM Securities - Major Security Types (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | [1] | $ 5,359,706 | $ 4,240,201 |
Gross Unrecognized Holding Gains | 3,666 | 2,646 | |
Gross Unrecognized Holding Losses | (89,150) | (86,629) | |
Estimated fair value | 5,274,222 | 4,156,218 | |
Unamortized premium, net | 22,662 | 26,125 | |
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | 649,833 | 619,910 | |
Gross Unrecognized Holding Gains | 440 | 518 | |
Gross Unrecognized Holding Losses | (47,080) | (39,634) | |
Estimated fair value | 603,193 | 580,794 | |
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | 564,710 | 628,589 | |
Gross Unrecognized Holding Gains | 0 | 0 | |
Gross Unrecognized Holding Losses | (5,027) | (3,889) | |
Estimated fair value | 559,683 | 624,700 | |
Residential Mortgage Backed Securities Other US Obligations | Single Family | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | 4,145,163 | 2,991,702 | |
Gross Unrecognized Holding Gains | 3,226 | 2,128 | |
Gross Unrecognized Holding Losses | (37,043) | (43,106) | |
Estimated fair value | $ 4,111,346 | $ 2,950,724 | |
[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 September 30, 2023 and December 31, 2022 to tale d $22,662 and $26,125, respectively. |
Investments - HTM Securities _2
Investments - HTM Securities - Narrative (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |||
Held to maturity principal outstanding, percentage collected prior to sale | 85% | ||
Proceeds from sales | $ 9,769 | $ 63,111 | |
Debt Securities, Held-to-Maturity, Sold, Realized Gain (Loss), Excluding Other-than-temporary Impairment | (71) | $ (1,033) | |
HTM securities allowance for credit loss | $ 0 | $ 0 |
Advances - Advances by Year of
Advances - Advances by Year of Contractual Maturity (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Year of Contractual Maturity, Amount | |||
Overdrawn demand and overnight deposit accounts | $ 18 | $ 430 | |
Due in 1 year or less | 9,873,503 | 14,517,059 | |
Due after 1 through 2 years | 3,925,830 | 2,726,023 | |
Due after 2 through 3 years | 2,632,172 | 3,316,683 | |
Due after 3 through 4 years | 3,300,243 | 2,045,370 | |
Due after 4 through 5 years | 6,540,352 | 3,938,017 | |
Thereafter | 9,356,901 | 10,747,880 | |
Total advances, par value | 35,629,019 | 37,291,462 | |
Fair-value hedging basis adjustments, net | (852,723) | (615,859) | |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 5,194 | 6,856 | |
Total Advances | [1] | $ 34,781,490 | $ 36,682,459 |
Year of Contractual Maturity, WAIR % | |||
Overdrawn demand and overnight deposit accounts | 7.73% | 6.74% | |
Due in 1 year or less | 4.75% | 3.77% | |
Due after 1 through 2 years | 3.14% | 2.82% | |
Due after 2 through 3 years | 3.22% | 2.73% | |
Due after 3 through 4 years | 4.10% | 2.70% | |
Due after 4 through 5 years | 4.16% | 3.96% | |
Thereafter | 3.39% | 2.70% | |
Total advances, par value | 3.93% | 3.26% | |
Federal Home Loan Bank, Advances [Line Items] | |||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Accrued interest | $ 55,800 | $ 50,446 | |
[1]Carrying value equals amortized cost, which excludes accrued interest receivable |
Advances - Advances Outstanding
Advances - Advances Outstanding Earlier of Contractual Maturity or Next Call Date and Year of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 18 | $ 430 |
Due in 1 year or less | 14,832,005 | 19,337,582 |
Due after 1 through 2 years | 3,363,030 | 2,299,023 |
Due after 2 through 3 years | 2,204,582 | 2,385,483 |
Due after 3 through 4 years | 1,957,633 | 1,592,245 |
Due after 4 through 5 years | 5,685,099 | 2,773,917 |
Thereafter | 7,586,652 | 8,902,782 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand and overnight deposit accounts | 18 | 430 |
Due in 1 year or less | 14,363,003 | 20,226,164 |
Due after 1 through 2 years | 4,691,730 | 3,207,023 |
Due after 2 through 3 years | 3,345,172 | 4,082,583 |
Due after 3 through 4 years | 3,535,343 | 2,045,370 |
Due after 4 through 5 years | 5,720,352 | 4,173,117 |
Thereafter | 3,973,401 | 3,556,775 |
Total advances, par value | $ 35,629,019 | $ 37,291,462 |
Advances - Narrative (Details)
Advances - Narrative (Details) - USD ($) | Sep. 30, 2023 | Dec. 31, 2022 |
Advances [Abstract] | ||
Percent of advances par value held by top five borrowers | 36% | 41% |
Percent of Advances Par Value Held by Top Borrower | 12% | 12% |
Federal Home Loan Bank Advances Receivable | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Allowance for credit loss | $ 0 | $ 0 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio Mortgage Loans (Details) - USD ($) $ in Thousands | 9 Months Ended | ||||||
Sep. 30, 2023 | Jun. 30, 2023 | Dec. 31, 2022 | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | ||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Total mortgage loans held for portfolio, net (2) | $ 8,261,434 | $ 7,686,455 | |||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |||||
Residential Portfolio Segment | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held | $ 8,105,470 | $ 7,533,198 | |||||
Unamortized premiums | 174,065 | 168,593 | |||||
Unamortized discounts | (11,418) | (9,466) | |||||
Hedging basis adjustments, net | (6,558) | (5,670) | |||||
Total | 8,261,559 | 7,686,655 | |||||
Allowance for credit losses | (125) | (200) | |||||
Total mortgage loans held for portfolio, net (2) | [1] | 8,261,434 | 7,686,455 | ||||
Accrued interest | 36,654 | 30,396 | |||||
Residential Portfolio Segment | Government-guaranteed or -insured | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held | 139,641 | 150,030 | |||||
Fixed-rate long-term mortgages | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held | 7,335,205 | 6,676,752 | |||||
Loans Receivable With Fixed Rates Of Interest Medium Term | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held | [2] | $ 770,265 | 856,446 | ||||
Loans Receivable With Fixed Rates Of Interest Medium Term | Maximum | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Origination term | 15 years | ||||||
Conventional | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Total | $ 8,120,445 | 7,534,978 | |||||
Conventional | Residential Portfolio Segment | |||||||
Loans and Leases Receivable Disclosure [Line Items] | |||||||
Mortgage loans held | 7,965,829 | 7,383,168 | |||||
Allowance for credit losses | $ (125) | $ (200) | $ (200) | $ (200) | $ (200) | $ (200) | |
[1]Excludes accrued interest receivable |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio - Credit Quality Indicators (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Financing Receivable, Past Due [Line Items] | |||
In process of foreclosure | [1] | $ 675 | $ 1,655 |
Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Total | 8,261,559 | 7,686,655 | |
Past due 90 days or more still accruing interest | [2] | 3,253 | 7,835 |
On non-accrual status | [3] | $ 8,354 | $ 10,984 |
90 days or more | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Serious delinquency rate (in percent) | [4] | 0.08% | 0.18% |
Government | |||
Financing Receivable, Past Due [Line Items] | |||
In process of foreclosure | [1] | $ 0 | $ 0 |
Government | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Past due 90 days or more still accruing interest | [2] | 992 | 1,552 |
On non-accrual status | [3] | $ 0 | $ 0 |
Government | 90 days or more | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Serious delinquency rate (in percent) | [4] | 0.70% | 1.07% |
Conventional | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | $ 2,491,706 | $ 2,454,550 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 5,628,739 | 5,080,428 | |
Total | 8,120,445 | 7,534,978 | |
In process of foreclosure | [1] | 675 | 1,655 |
Conventional | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Past due 90 days or more still accruing interest | [2] | 2,261 | 6,283 |
On non-accrual status | [3] | 8,354 | 10,984 |
Financing Receivable, Excluding Accrued Interest, Nonaccrual, No Allowance | 970 | 3,160 | |
Conventional | 30-59 days | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 19,600 | 17,892 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 21,268 | 13,041 | |
Total | 40,868 | 30,933 | |
Conventional | 60-89 days | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 4,268 | 4,537 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 795 | 1,992 | |
Total | 5,063 | 6,529 | |
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 | 4,088 | 9,498 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 1,565 | 2,979 | |
Total | $ 5,653 | $ 12,477 | |
Conventional | 90 days or more | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Serious delinquency rate (in percent) | [4] | 0.07% | 0.16% |
Conventional | Financial Asset, Past Due | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | $ 27,956 | $ 31,927 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 23,628 | 18,012 | |
Total | 51,584 | 49,939 | |
Conventional | Financial Asset, Not Past Due | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 2,463,750 | 2,422,623 | |
Mortgages originated in current fiscal year and preceding 4 fiscal years | 5,605,111 | 5,062,416 | |
Total | $ 8,068,861 | $ 7,485,039 | |
[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]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.[3]As of September 30, 2023 and December 31, 2022, of these conventional mortgage loans on non-accrual status, $970 and $3,160, respectively, of UPB did not have a related allowance for credit losses because these loans were either previously charged off to the expected recoverable value and/or the fair value of the underlying collateral, including any credit enhancements, exceeded the amortized cost of the loans.[4]Represents loans 90 days or more past due (including loans in process of foreclosure) expressed as a percentage of the respective amount of mortgage loans outstanding. The total rate is a weighted-average rate. The percentage excludes principal and interest amounts previously paid in full by the servicers on conventional loans that are pending resolution of potential loss claims. Our servicers repurchase seriously delinquent government loans, including Federal Housing Administration loans, when certain criteria are met. |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio - Rollforward (Details) - Residential Portfolio Segment - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Rollforward of Allowance | ||||
Balance, beginning of period | $ 200 | |||
Balance, end of period | $ 125 | 125 | ||
Conventional | ||||
Rollforward of Allowance | ||||
Balance, beginning of period | 200 | $ 200 | 200 | $ 200 |
Financing Receivable, Excluding Accrued Interest, Allowance for Credit Loss, Writeoff (Recovery) | 158 | 8 | 159 | 68 |
Provision for (reversal of) credit losses | (233) | (8) | (234) | (68) |
Balance, end of period | $ 125 | $ 200 | $ 125 | $ 200 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities Derivative Notional Amounts (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Derivatives, Fair Value [Line Items] | |||
Securities pledged as collateral | $ 0 | ||
Net liability position, aggregate fair value | $ 0 | 0 | |
Notional amount of derivatives | 80,068,563 | 72,975,275 | |
Estimated fair value of derivative assets | 1,186,233 | 921,179 | |
Estimated fair value of derivative liabilities | 2,119,658 | 2,179,524 | |
Netting adjustments and cash collateral, derivative asset | [1],[2] | (649,362) | (486,758) |
Netting adjustments and cash collateral, derivative liability | [1],[2] | (2,104,332) | (2,160,315) |
Total derivatives, net, at estimated fair value | 536,871 | 434,421 | |
Total derivatives, net, at estimated fair value | 15,326 | 19,209 | |
Cash collateral pledged to counterparties | 1,642,233 | 1,854,876 | |
Cash collateral received from counterparties | 187,263 | 181,319 | |
Uncleared | |||
Derivatives, Fair Value [Line Items] | |||
Securities pledged as collateral | 0 | ||
Netting adjustments and cash collateral, derivative asset | (1,144,406) | (884,451) | |
Netting adjustments and cash collateral, derivative liability | (2,081,580) | (2,158,991) | |
Derivatives designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 78,478,162 | 66,103,220 | |
Estimated fair value of derivative assets | 1,183,118 | 919,089 | |
Estimated fair value of derivative liabilities | 2,118,828 | 2,178,897 | |
Derivatives not designated as hedging instruments | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 1,590,401 | 6,872,055 | |
Estimated fair value of derivative assets | 3,115 | 2,090 | |
Estimated fair value of derivative liabilities | 830 | 627 | |
Derivatives not designated as hedging instruments | Interest-rate swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 460,000 | 6,200,000 | |
Estimated fair value of derivative assets | 11 | 599 | |
Estimated fair value of derivative liabilities | 184 | 525 | |
Derivatives not designated as hedging instruments | Interest-rate caps/floors | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 811,000 | 611,000 | |
Estimated fair value of derivative assets | 2,622 | 1,310 | |
Estimated fair value of derivative liabilities | 0 | 0 | |
Derivatives not designated as hedging instruments | Interest-rate forwards | Mortgage Backed Securities | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 160,700 | 30,200 | |
Estimated fair value of derivative assets | 414 | 131 | |
Estimated fair value of derivative liabilities | 146 | 0 | |
MDCs | Derivatives not designated as hedging instruments | Interest-rate forwards | |||
Derivatives, Fair Value [Line Items] | |||
Notional amount of derivatives | 158,701 | 30,855 | |
Estimated fair value of derivative assets | 68 | 50 | |
Estimated fair value of derivative liabilities | $ 500 | $ 102 | |
[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 September 30, 2023 and December 31, 2022, including accrued interest, totaled $1,642,233 and $1,854,876, respectively. Cash collateral received from counterparties and held at September 30, 2023 and December 31, 2022, including accrued interest, totaled $187,263 and $181,319, respectively . |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities Offsetting of Derivative Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Derivative Assets | |||
Gross recognized amount | $ 1,185,751 | $ 920,998 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (649,362) | (486,758) |
Net amounts after netting adjustments and cash collateral | 536,389 | 434,240 | |
Derivative instruments not meeting netting requirements | [3] | 482 | 181 |
Derivative assets, net | 536,871 | 434,421 | |
Derivative Liabilities | |||
Gross recognized amount | 2,119,012 | 2,179,422 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (2,104,332) | (2,160,315) |
Net amounts after netting adjustments and cash collateral | 14,680 | 19,107 | |
Derivative instruments not meeting netting requirements | [3] | 646 | 102 |
Derivative liabilities, net (Note 6) | 15,326 | 19,209 | |
Uncleared | |||
Derivative Assets | |||
Gross recognized amount | 1,182,615 | 892,313 | |
Gross amounts of netting adjustments and cash collateral | (1,144,406) | (884,451) | |
Net amounts after netting adjustments and cash collateral | 38,209 | 7,862 | |
Derivative Liabilities | |||
Gross recognized amount | 2,096,260 | 2,178,098 | |
Gross amounts of netting adjustments and cash collateral | (2,081,580) | (2,158,991) | |
Net amounts after netting adjustments and cash collateral | 14,680 | 19,107 | |
Cleared | |||
Derivative Assets | |||
Gross recognized amount | 3,136 | 28,685 | |
Gross amounts of netting adjustments and cash collateral | 495,044 | 397,693 | |
Net amounts after netting adjustments and cash collateral | 498,180 | 426,378 | |
Derivative Liabilities | |||
Gross recognized amount | 22,752 | 1,324 | |
Gross amounts of netting adjustments and cash collateral | (22,752) | (1,324) | |
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. Cash collateral pledged to counterparties at September 30, 2023 and December 31, 2022, including accrued interest, totaled $1,642,233 and $1,854,876, respectively. Cash collateral received from counterparties and held at September 30, 2023 and December 31, 2022, including accrued interest, totaled $187,263 and $181,319, respectively . |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) on derivatives | $ 226,078 | [1] | $ (291,479) | $ 377,874 | $ (798,964) | |
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 | ||
Total interest income (expense) recorded in the Statement of Income | $ 127,955 | $ 72,575 | $ 355,198 | $ 200,981 | ||
Interest Income (Expense), Net | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net interest settlements on derivatives | [2] | 36,848 | (6,629) | 75,677 | (17,117) | |
Net gains (losses) on hedged items | [3] | (252,764) | 269,155 | (448,674) | 736,906 | |
Net changes in fair value before price alignment interest | 10,162 | (28,953) | 4,877 | (79,175) | ||
Total interest income (expense) recorded in the Statement of Income | [4] | $ 116,255 | $ 57,336 | $ 424,039 | $ 70,056 | |
Advances | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Advances | Advances | Advances | Advances | ||
Advances | Interest-rate swaps | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) on derivatives | $ 119,264 | [1] | $ 253,211 | $ 157,566 | $ 751,782 | |
Advances | Interest Income | Interest-rate swaps | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net interest settlements on derivatives | [2] | 160,877 | 27,902 | 427,432 | (31,122) | |
Net gains (losses) on hedged items | [3] | (130,274) | (253,803) | (177,409) | (754,378) | |
Net changes in fair value before price alignment interest | 149,867 | 27,310 | 407,589 | (33,718) | ||
Total interest income (expense) recorded in the Statement of Income | [4] | $ 502,373 | $ 187,002 | $ 1,428,357 | $ 289,605 | |
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 | Available-for-sale securities | ||
AFS Securities | Interest-rate swaps | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) on derivatives | $ 143,987 | [1] | $ 172,199 | $ 128,284 | $ 456,209 | |
AFS Securities | Interest Income | Interest-rate swaps | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net interest settlements on derivatives | [2] | 129,012 | 23,579 | 343,187 | (10,549) | |
Net gains (losses) on hedged items | [3] | (169,185) | (190,174) | (188,067) | (504,453) | |
Net changes in fair value before price alignment interest | 103,814 | 5,604 | 283,404 | (58,793) | ||
Total interest income (expense) recorded in the Statement of Income | [4] | 212,408 | 88,443 | 584,634 | 149,451 | |
Consolidated obligations: | Interest-rate swaps | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net gains (losses) on derivatives | (37,173) | [1] | (716,889) | 92,024 | (2,006,955) | |
Consolidated obligations: | Interest Expense | Interest-rate swaps | ||||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||||
Net interest settlements on derivatives | [2] | (253,041) | (58,110) | (694,942) | 24,554 | |
Net gains (losses) on hedged items | [3] | 46,695 | 713,132 | (83,198) | 1,995,737 | |
Net changes in fair value before price alignment interest | (243,519) | (61,867) | (686,116) | 13,336 | ||
Total interest income (expense) recorded in the Statement of Income | [4] | $ (598,526) | $ (218,109) | $ (1,588,952) | $ (369,000) | |
Consolidation Obligation Bond Member | ||||||
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 | Consolidated obligation bonds | ||
[1]Includes effective and ineffective fair-value hedging relationships. Excludes any offsetting effect of the net estimated fair value of the associated derivatives.[2]Represents interest income/expense on derivatives in qualifying fair-value hedging relationships. Net interest settlements on derivatives that are not in qualifying fair-value hedging relationships are reported in other income.[3] 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. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivatives Reported in Other Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) on derivatives in other income | $ 4,883 | $ 8,984 | $ 8,490 | $ 46,181 | |
Interest-rate swaps | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) on derivatives in other income | 26 | (5,903) | (8,145) | 32,560 | |
Interest-rate caps/floors | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) on derivatives in other income | 431 | 1,150 | 2 | 1,281 | |
Interest-rate forwards | Mortgage Backed Securities | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) on derivatives in other income | 794 | 1,428 | 852 | 8,454 | |
Net interest rate settlements | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) on derivatives in other income | [1] | 4,878 | 14,018 | 17,322 | 12,881 |
MDCs | Interest-rate forwards | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Net gains (losses) on derivatives in other income | $ (1,246) | $ (1,709) | $ (1,541) | $ (8,995) | |
[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. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Advances | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | $ 22,539,611 | $ 20,766,832 |
For active fair-value hedging relationships | [2] | (852,723) | (615,898) |
For discontinued fair-value hedging relationships | 0 | 39 | |
Total cumulative fair-value hedging basis adjustments on hedged items | (852,723) | (615,859) | |
AFS Securities | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | 13,626,866 | 12,189,776 |
For active fair-value hedging relationships | [2] | (1,642,606) | (1,417,774) |
For discontinued fair-value hedging relationships | 248,961 | 317,888 | |
Total cumulative fair-value hedging basis adjustments on hedged items | (1,393,645) | (1,099,886) | |
Consolidated obligations: | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | 37,746,065 | 28,717,246 |
For active fair-value hedging relationships | [2] | (2,034,532) | (2,147,802) |
For discontinued fair-value hedging relationships | 0 | 0 | |
Total cumulative fair-value hedging basis adjustments on hedged items | $ (2,034,532) | $ (2,147,802) | |
[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. |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2023 | Dec. 31, 2022 | |
Schedule of Short-term and Long-term Debt [Line Items] | ||
FHLB system outstanding consolidated obligations | $ 1,200,000,000 | $ 1,200,000,000 |
Discount notes maturity period | 1 year | |
Discount Notes | ||
Book value | $ 17,457,879 | $ 27,387,492 |
Weighted average effective interest rate | 5.39% | 4.16% |
CO Bonds [Abstract] | ||
Bonds | $ 47,895,565 | $ 39,882,454 |
Unsecured Debt | ||
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | 20,145,400 | 10,016,310 |
Due after 1 year through 2 years, amount | 10,361,030 | 8,014,590 |
Due after 2 years through 3 years, amount | 6,616,580 | 6,278,940 |
Due after 3 years through 4 years, amount | 3,435,010 | 7,130,600 |
Due after 4 years through 5 years, amount | 1,807,290 | 2,312,540 |
Thereafter, amount | 7,545,380 | 8,249,080 |
Total CO bonds, par value | 49,910,690 | 42,002,060 |
Unamortized premiums | 36,556 | 45,535 |
Unamortized discounts | (9,269) | (10,165) |
Unamortized concessions | (7,880) | (7,174) |
Fair-value hedging basis adjustments, net | (2,034,532) | (2,147,802) |
Bonds | $ 47,895,565 | $ 39,882,454 |
Due in 1 year or less, WAIR % | 4.27% | 3.05% |
Due after 1 year through 2 years, WAIR % | 1.94% | 1.48% |
Due after 2 years through 3 years, WAIR % | 1.38% | 1.37% |
Due after 3 years through 4 years, WAIR % | 1.66% | 1.25% |
Due after 4 years through 5 years, WAIR % | 2.56% | 1.76% |
Thereafter, WAIR % | 2.66% | 2.35% |
Total CO bonds, par value, WAIR % | 2.92% | 1.99% |
Year of Contractual Maturity or Next Call Date | Unsecured Debt | ||
CO Bonds [Abstract] | ||
Due in 1 year or less, amount | $ 44,977,900 | $ 37,066,810 |
Due after 1 year through 2 years, amount | 2,054,030 | 1,444,590 |
Due after 2 years through 3 years, amount | 865,080 | 770,940 |
Due after 3 years through 4 years, amount | 230,010 | 804,100 |
Due after 4 years through 5 years, amount | 580,290 | 268,540 |
Thereafter, amount | 1,203,380 | 1,647,080 |
Short-term Debt | ||
Discount Notes | ||
Par value | 17,557,626 | 27,533,665 |
Non-callable / non-putable | Unsecured Debt | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | 12,629,865 | 11,979,560 |
Callable | Unsecured Debt | ||
CO Bonds [Abstract] | ||
Total CO bonds, par value | $ 37,280,825 | $ 30,022,500 |
Consolidated Obligations Intere
Consolidated Obligations Interest-rate Payment Terms (Details) - Unsecured Debt - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 |
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 49,910,690 | $ 42,002,060 |
Fixed-rate | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | 46,556,690 | 36,957,560 |
Step-up | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | 1,418,500 | 2,268,500 |
Simple variable-rate | ||
Debt Instrument [Line Items] | ||
Total CO bonds, par value | $ 1,935,500 | $ 2,776,000 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | ||
Affordable Housing Program Funding Obligation [Roll Forward] | |||||
Balance at beginning of period | $ 53,135 | $ 28,953 | $ 38,170 | $ 31,049 | |
Assessments (1) | [1] | 10,568 | 5,218 | 31,849 | 12,046 |
Subsidy usage, net | [2] | (5,659) | (2,978) | (11,975) | (11,902) |
Balance at end of period | $ 58,044 | $ 31,193 | $ 58,044 | $ 31,193 | |
[1]Assessments are reported separately on the Statement of Income as a reduction to income before assessments.[2]Subsidies disbursed are reported net of returns/recaptures of previously disbursed subsidies. |
Capital - Class B Shares (Detai
Capital - Class B Shares (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |
Class of Stock [Line Items] | |||
Class B issued and outstanding | $ 2,227,246 | $ 2,123,125 | |
Class B | |||
Class of Stock [Line Items] | |||
Class B issued and outstanding | 2,227,246 | 2,123,125 | |
Class B-1 | |||
Class of Stock [Line Items] | |||
Class B issued and outstanding | [1] | 546,166 | 535,345 |
Class B-2 | |||
Class of Stock [Line Items] | |||
Class B issued and outstanding | [2] | $ 1,681,080 | $ 1,587,780 |
[1]Non-activity-based stock.[2]Activity-based stock. |
Capital - Mandatorily Redeemabl
Capital - Mandatorily Redeemable Capital Stock (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2023 USD ($) capital_requirement | Sep. 30, 2022 USD ($) | Sep. 30, 2023 USD ($) capital_requirement | Sep. 30, 2022 USD ($) | Dec. 31, 2022 USD ($) | ||
Banking Regulation, Total Capital [Abstract] | ||||||
Redemption period | 5 years | |||||
Mandatorily Redeemable Capital Stock Activity [Roll Forward] | ||||||
Liability at beginning of period | $ 370,622 | $ 45,583 | $ 372,503 | $ 50,422 | ||
Reclassification from capital stock | 0 | 0 | 13 | 0 | ||
Repayments of Mandatory Redeemable Capital Securities | 2,714 | 2,293 | 4,608 | 7,132 | ||
Liability at end of period | 367,908 | 43,290 | 367,908 | 43,290 | ||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||||
Past contractual redemption date | [1] | 763 | 763 | $ 498 | ||
Year 1 | [2] | 15,047 | 15,047 | 10,048 | ||
Year 2 | 3,530 | 3,530 | 9,872 | |||
Year 3 | 19,323 | 19,323 | 19,179 | |||
Year 4 | 0 | 0 | 3,674 | |||
Year 5 | 329,245 | 329,245 | 329,232 | |||
Total MRCS | 367,908 | 43,290 | 367,908 | 43,290 | 372,503 | |
Outstanding Class B stock held by captive insurer | 5,175 | 5,175 | 9,585 | |||
MRCS Distributions [Abstract] | ||||||
Recorded as interest expense | 4,348 | 408 | 12,828 | 922 | ||
Recorded as distributions from retained earnings | 0 | 0 | 707 | 0 | ||
Total | $ 4,348 | $ 408 | $ 13,535 | $ 922 | ||
Regulatory Capital Requirements | ||||||
Number of regulatory capital requirements | capital_requirement | 3 | 3 | ||||
Risk-based capital, required | $ 1,111,684 | $ 1,111,684 | 489,240 | |||
Risk-based capital, actual | 4,064,101 | 4,064,101 | 3,781,992 | |||
Regulatory capital, required | 2,841,645 | 2,841,645 | 2,891,351 | |||
Regulatory capital, actual | $ 4,064,101 | $ 4,064,101 | $ 3,781,992 | |||
Regulatory permanent capital-to-asset ratio, required | 4% | 4% | 4% | |||
Regulatory permanent capital-to-asset ratio, actual | 5.72% | 5.72% | 5.23% | |||
Leverage capital, required | $ 3,552,056 | $ 3,552,056 | $ 3,614,189 | |||
Leverage capital, actual | $ 6,096,151 | $ 6,096,151 | $ 5,672,988 | |||
Leverage ratio, required | 5% | 5% | 5% | |||
Leverage ratio, actual | 8.58% | 8.58% | 7.85% | |||
[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 September 30, 2023 and December 31, 2022 includes $5,175 and $9,585 of Class B stock held by one captive insurance company whose membership was terminated on February 19, 2021. The stock is not past its contractual redemption date, but will be redeemed as soon as the associated credit products and other obligations are no longer outstanding. |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | |
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | $ 3,783,652 | $ 3,476,711 | $ 3,383,698 | $ 3,556,331 |
Total other comprehensive income (loss) | (16,911) | (15,843) | (1,431) | (134,745) |
Ending Balance | 3,668,971 | 3,563,612 | 3,668,971 | 3,563,612 |
Unrealized Gains (Losses) on AFS Securities | ||||
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | 3,995 | 32,251 | (9,939) | 151,942 |
Net change in unrealized gains (losses) | (24,026) | (16,452) | (10,234) | (136,143) |
Reclassification of net realized losses included in net income | 6,568 | 6,710 | ||
Pension benefits, net | 0 | 0 | 0 | 0 |
Total other comprehensive income (loss) | (17,458) | (16,452) | (3,524) | (136,143) |
Ending Balance | (13,463) | 15,799 | (13,463) | 15,799 |
Pension Benefits | ||||
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | (14,306) | (18,095) | (15,852) | (18,884) |
Net change in unrealized gains (losses) | 0 | 0 | 0 | 0 |
Reclassification of net realized losses included in net income | 0 | 0 | ||
Pension benefits, net | 547 | 609 | 2,093 | 1,398 |
Total other comprehensive income (loss) | 547 | 609 | 2,093 | 1,398 |
Ending Balance | (13,759) | (17,486) | (13,759) | (17,486) |
Accumulated Other Comprehensive Income (Loss) | ||||
Accumulated Other Comprehensive Income (Loss) before Tax [Roll Forward] | ||||
Beginning Balance | (10,311) | 14,156 | (25,791) | 133,058 |
Net change in unrealized gains (losses) | (24,026) | (16,452) | (10,234) | (136,143) |
Reclassification of net realized losses included in net income | 6,568 | 6,710 | ||
Pension benefits, net | 547 | 609 | 2,093 | 1,398 |
Total other comprehensive income (loss) | (16,911) | (15,843) | (1,431) | (134,745) |
Ending Balance | $ (27,222) | $ (1,687) | $ (27,222) | $ (1,687) |
Segment Information (Details)
Segment Information (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | ||
Segment Reporting Information [Line Items] | ||||||
Net interest income | $ 127,955 | $ 72,575 | $ 355,198 | $ 200,981 | ||
Provision for (reversal of) credit losses | (233) | (8) | (234) | (68) | ||
Other income (loss) | 97 | 7,200 | 39,395 | (1,900) | ||
Other expenses | 26,951 | 28,013 | 89,169 | 79,610 | ||
Income before assessments | 101,334 | 51,770 | 305,658 | 119,539 | ||
Affordable Housing Program assessments | [1] | 10,568 | 5,218 | 31,849 | 12,046 | |
Net income | 90,766 | 46,552 | 273,809 | 107,493 | ||
Assets | 71,041,117 | 71,041,117 | $ 72,283,780 | |||
Traditional | ||||||
Segment Reporting Information [Line Items] | ||||||
Net interest income | 115,311 | 59,854 | 318,114 | 163,325 | ||
Provision for (reversal of) credit losses | 0 | 0 | 0 | 0 | ||
Other income (loss) | 481 | 7,367 | 39,764 | (1,575) | ||
Other expenses | 23,111 | 23,879 | 77,383 | 68,081 | ||
Income before assessments | 92,681 | 43,342 | 280,495 | 93,669 | ||
Affordable Housing Program assessments | 9,703 | 4,375 | 29,333 | 9,459 | ||
Net income | 82,978 | 38,967 | 251,162 | 84,210 | ||
Assets | 62,779,683 | 62,779,683 | 64,597,325 | |||
Mortgage Loans | ||||||
Segment Reporting Information [Line Items] | ||||||
Net interest income | 12,644 | 12,721 | 37,084 | 37,656 | ||
Provision for (reversal of) credit losses | (233) | (8) | (234) | (68) | ||
Other income (loss) | (384) | (167) | (369) | (325) | ||
Other expenses | 3,840 | 4,134 | 11,786 | 11,529 | ||
Income before assessments | 8,653 | 8,428 | 25,163 | 25,870 | ||
Affordable Housing Program assessments | 865 | 843 | 2,516 | 2,587 | ||
Net income | 7,788 | $ 7,585 | 22,647 | $ 23,283 | ||
Assets | $ 8,261,434 | $ 8,261,434 | $ 7,686,455 | |||
[1]Assessments are reported separately on the Statement of Income as a reduction to income before assessments. |
Estimated Fair Values - Carryin
Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Jun. 30, 2023 | Dec. 31, 2022 | Sep. 30, 2022 | Jun. 30, 2022 | Dec. 31, 2021 | |
Assets: | |||||||
Cash and due from banks | $ 56,465 | $ 21,161 | |||||
Trading securities | 446,617 | 2,230,248 | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | [1] | 5,359,706 | 4,240,201 | ||||
HTM securities | 5,274,222 | 4,156,218 | |||||
Accrued interest receivable | 183,321 | 152,867 | |||||
Derivative assets, net | 536,871 | 434,421 | |||||
Netting adjustments and cash collateral, derivative asset | [2],[3] | (649,362) | (486,758) | ||||
Consolidated obligations: | |||||||
Loans from other FHLBanks | 0 | 0 | |||||
Accrued interest payable | 356,061 | 162,584 | |||||
Derivative liabilities, net | 15,326 | 19,209 | |||||
Netting adjustments and cash collateral, derivative liability | [2],[3] | (2,104,332) | (2,160,315) | ||||
MRCS | 367,908 | $ 370,622 | 372,503 | $ 43,290 | $ 45,583 | $ 50,422 | |
Level 1 | |||||||
Assets: | |||||||
Cash and due from banks | 56,465 | 21,161 | |||||
Interest-bearing deposits | 860,016 | 856,019 | |||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities | 0 | 0 | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||||
HTM securities | 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] | 56,016 | 53,166 | ||||
Liabilities: | |||||||
Deposits | 0 | 0 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities, net | 0 | 0 | |||||
MRCS | 367,908 | 372,503 | |||||
Level 2 | |||||||
Assets: | |||||||
Cash and due from banks | 0 | 0 | |||||
Interest-bearing deposits | 42 | 41 | |||||
Securities purchased under agreements to resell | 3,450,000 | 4,550,000 | |||||
Federal funds sold | 3,392,000 | 3,148,000 | |||||
Trading securities | 446,617 | 2,230,248 | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||||
HTM securities | 5,274,222 | 4,156,218 | |||||
Advances | 34,594,500 | 36,468,949 | |||||
Mortgage loans held for portfolio, net | 7,152,361 | 6,859,956 | |||||
Accrued interest receivable | 183,321 | 152,867 | |||||
Derivative assets, net | 1,186,233 | 921,179 | |||||
Grantor trust assets | [4] | 0 | 0 | ||||
Liabilities: | |||||||
Deposits | 602,721 | 595,907 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 356,061 | 162,584 | |||||
Derivative liabilities, net | 2,119,658 | 2,179,524 | |||||
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 | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||||
HTM securities | 0 | 0 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net | 3,330 | 7,948 | |||||
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 | |||||
Carrying value | |||||||
Assets: | |||||||
Cash and due from banks | 56,465 | 21,161 | |||||
Interest-bearing deposits | 860,058 | 856,060 | |||||
Securities purchased under agreements to resell | 3,450,000 | 4,550,000 | |||||
Federal funds sold | 3,392,000 | 3,148,000 | |||||
Trading securities | 446,617 | 2,230,248 | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | 5,359,706 | 4,240,201 | |||||
Advances | 34,781,490 | 36,682,459 | |||||
Mortgage loans held for portfolio, net | 8,261,434 | 7,686,455 | |||||
Accrued interest receivable | 183,321 | 152,867 | |||||
Derivative assets, net | 536,871 | 434,421 | |||||
Grantor trust assets | [4] | 56,016 | 53,166 | ||||
Liabilities: | |||||||
Deposits | 602,721 | 595,907 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 356,061 | 162,584 | |||||
Derivative liabilities, net | 15,326 | 19,209 | |||||
MRCS | 367,908 | 372,503 | |||||
Fair Value | |||||||
Assets: | |||||||
Cash and due from banks | 56,465 | 21,161 | |||||
Interest-bearing deposits | 860,058 | 856,060 | |||||
Securities purchased under agreements to resell | 3,450,000 | 4,550,000 | |||||
Federal funds sold | 3,392,000 | 3,148,000 | |||||
Trading securities | 446,617 | 2,230,248 | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||||
HTM securities | 5,274,222 | 4,156,218 | |||||
Advances | 34,594,500 | 36,468,949 | |||||
Mortgage loans held for portfolio, net | 7,155,691 | 6,867,904 | |||||
Accrued interest receivable | 183,321 | 152,867 | |||||
Derivative assets, net | 536,871 | 434,421 | |||||
Grantor trust assets | [4] | 56,016 | 53,166 | ||||
Liabilities: | |||||||
Deposits | 602,721 | 595,907 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 356,061 | 162,584 | |||||
Derivative liabilities, net | 15,326 | 19,209 | |||||
MRCS | 367,908 | 372,503 | |||||
Discount notes | Level 1 | |||||||
Consolidated obligations: | |||||||
Discount notes | 0 | 0 | |||||
Discount notes | Level 2 | |||||||
Consolidated obligations: | |||||||
Discount notes | 17,459,771 | 27,387,547 | |||||
Discount notes | Level 3 | |||||||
Consolidated obligations: | |||||||
Discount notes | 0 | 0 | |||||
Discount notes | Carrying value | |||||||
Consolidated obligations: | |||||||
Discount notes | 17,457,879 | 27,387,492 | |||||
Discount notes | Fair Value | |||||||
Consolidated obligations: | |||||||
Discount notes | 17,459,771 | 27,387,547 | |||||
Consolidated obligations: | Level 1 | |||||||
Consolidated obligations: | |||||||
Bonds | 0 | 0 | |||||
Consolidated obligations: | Level 2 | |||||||
Consolidated obligations: | |||||||
Bonds | 46,732,215 | 38,690,400 | |||||
Consolidated obligations: | Level 3 | |||||||
Consolidated obligations: | |||||||
Bonds | 0 | 0 | |||||
Consolidated obligations: | Carrying value | |||||||
Consolidated obligations: | |||||||
Bonds | 47,895,565 | 39,882,454 | |||||
Consolidated obligations: | Fair Value | |||||||
Consolidated obligations: | |||||||
Bonds | $ 46,732,215 | $ 38,690,400 | |||||
[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 September 30, 2023 and December 31, 2022 to tale d $22,662 and $26,125, respectively. 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 September 30, 2023 and December 31, 2022, including accrued interest, totaled $1,642,233 and $1,854,876, respectively. Cash collateral received from counterparties and held at September 30, 2023 and December 31, 2022, including accrued interest, totaled $187,263 and $181,319, respectively . |
Estimated Fair Values - Recurri
Estimated Fair Values - Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Sep. 30, 2023 | Dec. 31, 2022 | |||
Derivative Asset [Abstract] | |||||
Trading securities | $ 446,617 | $ 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||
Derivative assets, net | 536,871 | 434,421 | |||
Netting adjustments and cash collateral, derivative asset | [1],[2] | (649,362) | (486,758) | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 15,326 | 19,209 | |||
Netting adjustments and cash collateral, derivative liability | [1],[2] | (2,104,332) | (2,160,315) | ||
Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Netting adjustments and cash collateral, derivative asset | (649,362) | [2] | (486,758) | [3] | |
Derivative Liability [Abstract] | |||||
Netting adjustments and cash collateral, derivative liability | (2,104,332) | [2] | (2,160,315) | [3] | |
Fair Value, Measurements, Recurring | Interest-rate swaps | |||||
Derivative Asset [Abstract] | |||||
Netting adjustments and cash collateral, derivative asset | (649,362) | [2] | (486,758) | [3] | |
Derivative Liability [Abstract] | |||||
Netting adjustments and cash collateral, derivative liability | (2,104,332) | [2] | (2,160,315) | [3] | |
Level 1 | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 56,016 | 53,166 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | 56,016 | 53,166 | |||
Total assets at estimated fair value | 56,016 | 53,166 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at recurring estimated fair value | 0 | 0 | |||
Level 1 | Fair Value, Measurements, Recurring | Interest-rate swaps | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 2 | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 446,617 | 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||
Derivative assets, net | 1,186,233 | 921,179 | |||
Grantor trust assets | [4] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 2,119,658 | 2,179,524 | |||
Level 2 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 446,617 | 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||
Derivative assets, net | 1,186,233 | 921,179 | |||
Grantor trust assets | 0 | 0 | |||
Total assets at estimated fair value | 15,246,253 | 15,331,264 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 2,119,658 | 2,179,524 | |||
Total liabilities at recurring estimated fair value | 2,119,658 | 2,179,524 | |||
Level 2 | Fair Value, Measurements, Recurring | Interest-rate swaps | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 1,186,165 | 921,129 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 2,119,158 | 2,179,422 | |||
Level 3 | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | [4] | 0 | 0 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets | 0 | 0 | |||
Total assets at estimated fair value | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at recurring estimated fair value | 0 | 0 | |||
Level 3 | Fair Value, Measurements, Recurring | Interest-rate swaps | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
U.S. Treasury obligations | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 446,617 | 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 5,470,857 | 4,209,674 | |||
U.S. Treasury obligations | Level 1 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
U.S. Treasury obligations | Level 2 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 446,617 | 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 5,470,857 | 4,209,674 | |||
U.S. Treasury obligations | Level 3 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 0 | 0 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
GSE and TVA debentures | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 1,764,753 | 1,902,703 | |||
GSE and TVA debentures | Level 1 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
GSE and TVA debentures | Level 2 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 1,764,753 | 1,902,703 | |||
GSE and TVA debentures | Level 3 | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 6,377,793 | 6,067,460 | |||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises [Member] | Level 1 | Fair Value, Measurements, Recurring | Multifamily | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises [Member] | Level 2 | Fair Value, Measurements, Recurring | Multifamily | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 6,377,793 | 6,067,460 | |||
Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises [Member] | Level 3 | Fair Value, Measurements, Recurring | Multifamily | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 0 | 0 | |||
MDCs | Level 1 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
MDCs | Level 2 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 68 | 50 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 500 | 102 | |||
MDCs | Level 3 | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 446,617 | 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||
Derivative assets, net | 536,871 | 434,421 | |||
Grantor trust assets | [4] | 56,016 | 53,166 | ||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 15,326 | 19,209 | |||
Total | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 446,617 | 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 13,613,403 | 12,179,837 | |||
Derivative assets, net | 536,871 | 434,421 | |||
Grantor trust assets | 56,016 | 53,166 | |||
Total assets at estimated fair value | 14,652,907 | 14,897,672 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 15,326 | 19,209 | |||
Total liabilities at recurring estimated fair value | 15,326 | 19,209 | |||
Total | Fair Value, Measurements, Recurring | Interest-rate swaps | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 536,803 | 434,371 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | 14,826 | 19,107 | |||
Total | U.S. Treasury obligations | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Trading securities | 446,617 | 2,230,248 | |||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 5,470,857 | 4,209,674 | |||
Total | GSE and TVA debentures | Fair Value, Measurements, Recurring | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 1,764,753 | 1,902,703 | |||
Total | Mortgage-Backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring | Multifamily | |||||
Derivative Asset [Abstract] | |||||
Debt Securities, Available-for-Sale, Excluding Accrued Interest | 6,377,793 | 6,067,460 | |||
Total | MDCs | Fair Value, Measurements, Recurring | Interest-rate forwards | |||||
Derivative Asset [Abstract] | |||||
Derivative assets, net | 68 | 50 | |||
Derivative Liability [Abstract] | |||||
Derivative liabilities, net | $ 500 | $ 102 | |||
[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 September 30, 2023 and December 31, 2022, including accrued interest, totaled $1,642,233 and $1,854,876, respectively. Cash collateral received from counterparties and held at September 30, 2023 and December 31, 2022, including accrued interest, totaled $187,263 and $181,319, respectively . |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2023 | Sep. 30, 2023 | Dec. 31, 2022 | ||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Commitments to fund additional Advances are generally for periods up | 6 months | |||
Period of time commitments unconditionally obligate to fund or purchase mortgage loans and participation interests | 91 days | |||
Cash Collateral Pledged | $ 1,637,346,000 | $ 1,637,346,000 | $ 1,849,797,000 | |
Securities pledged as collateral | $ 0 | |||
Commitment Expiration Year | 2028 | |||
Standby Bond Purchase Agreements, Acquired and Sold at Par During the Period | $ 0 | |||
Uncleared | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Securities pledged as collateral | 0 | 0 | ||
Standby letters of credit outstanding (1) | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Off-balance-sheet commitments expire within one year | [1] | 826,846,000 | 826,846,000 | |
Off-balance-sheet commitments expire after one year | [1] | 361,161,000 | 361,161,000 | |
Off-balance-sheet commitments, Total | [1] | $ 1,188,007,000 | 1,188,007,000 | |
Guarantor Obligations, Term | five years | |||
Commitments for standby bond purchases | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Off-balance-sheet commitments expire within one year | $ 0 | 0 | ||
Off-balance-sheet commitments expire after one year | 195,914,000 | 195,914,000 | ||
Off-balance-sheet commitments, Total | 195,914,000 | 195,914,000 | ||
Unused lines of credit (2) | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Off-balance-sheet commitments expire within one year | [2] | 1,162,674,000 | 1,162,674,000 | |
Off-balance-sheet commitments expire after one year | [2] | 0 | 0 | |
Off-balance-sheet commitments, Total | [2] | 1,162,674,000 | 1,162,674,000 | |
Commitments to fund additional advances (3) | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Off-balance-sheet commitments expire within one year | [3] | 13,850,000 | 13,850,000 | |
Off-balance-sheet commitments expire after one year | [3] | 4,087,000 | 4,087,000 | |
Off-balance-sheet commitments, Total | [3] | 17,937,000 | 17,937,000 | |
Discount notes | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Off-balance-sheet commitments expire within one year | 302,970,000 | 302,970,000 | ||
Off-balance-sheet commitments expire after one year | 0 | 0 | ||
Off-balance-sheet commitments, Total | 302,970,000 | 302,970,000 | ||
Standby Letters of Credit Issuance Commitments | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Off-balance-sheet commitments, Total | 0 | 0 | ||
Unused lines of credit | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Maximum line of credit | 100,000,000 | 100,000,000 | ||
Mortgage Receivable | Commitments to purchase mortgage loans, net (4) | ||||
Fair Value, Off-balance Sheet Risks, Disclosure Information [Line Items] | ||||
Off-balance-sheet commitments expire within one year | [4] | 158,701,000 | 158,701,000 | |
Off-balance-sheet commitments expire after one year | [4] | 0 | 0 | |
Off-balance-sheet commitments, Total | [4] | $ 158,701,000 | $ 158,701,000 | |
[1]There were no unconditional commitments to issue standby letters of credit at September 30, 2023 . |
Related Party and Other Trans_3
Related Party and Other Transactions (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2023 | Sep. 30, 2022 | Sep. 30, 2023 | Sep. 30, 2022 | Dec. 31, 2022 | |
Related Party Transaction [Line Items] | |||||
Advances, par value | $ 35,629,019 | $ 35,629,019 | $ 37,291,462 | ||
Loans from other FHLBanks | 0 | 0 | 0 | ||
Directors' Financial Institutions | |||||
Related Party Transaction [Line Items] | |||||
Net capital stock issuances (redemptions and repurchases) | 137 | $ 6,839 | 3,942 | $ (40,144) | |
Net advances (repayments) | 35,232 | 519,393 | (90,280) | 1,754,096 | |
Mortgage loan purchases | 14,386 | $ 1,736 | 28,390 | $ 14,483 | |
Capital stock, par value | $ 56,358 | $ 56,358 | $ 49,869 | ||
Capital stock, % of total | 2% | 2% | 2% | ||
Advances, par value | $ 773,720 | $ 773,720 | $ 886,191 | ||
Advances, % of total | 2% | 2% | 2% |