Cover Page
Cover Page - USD ($) $ in Billions | 12 Months Ended | ||
Dec. 31, 2023 | Feb. 29, 2024 | Jun. 30, 2023 | |
Document Information [Line Items] | |||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2023 | ||
Current Fiscal Year End Date | --12-31 | ||
Document Transition Report | false | ||
Entity File Number | 000-51404 | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||
Entity Incorporation, State or Country Code | X1 | ||
Entity Tax Identification Number | 35-6001443 | ||
Entity Address, Address Line One | 8250 Woodfield Crossing Blvd. | ||
Entity Address, City or Town | Indianapolis | ||
Entity Address, State or Province | IN | ||
Entity Address, Postal Zip Code | 46240 | ||
City Area Code | 317 | ||
Local Phone Number | 465-0200 | ||
Title of 12(g) Security | Class B capital stock, par value $100 per share | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Filer Category | Non-accelerated Filer | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
ICFR Auditor Attestation Flag | true | ||
Entity Shell Company | false | ||
Entity Public Float | $ 2.8 | ||
Entity Central Index Key | 0001331754 | ||
Document Fiscal Year Focus | 2023 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Document Financial Statement Error Correction [Flag] | false | ||
Class A | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 0 | ||
Class B | |||
Document Information [Line Items] | |||
Entity Common Stock, Shares Outstanding | 26,908,316 |
Audit Information
Audit Information | 12 Months Ended |
Dec. 31, 2023 | |
Audit Information [Abstract] | |
Auditor Firm ID | 238 |
Auditor Name | PricewaterhouseCoopers LLP |
Auditor Location | Indianapolis, Indiana |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Assets: | |||
Cash and due from banks (Note 3) | $ 58,844 | $ 21,161 | |
Interest-bearing deposits (Note 4) | 892,049 | 856,060 | |
Securities purchased under agreements to resell (Note 4) | 6,500,000 | 4,550,000 | |
Federal funds sold (Note 4) | 4,101,000 | 3,148,000 | |
Trading securities: | 600,063 | 2,230,248 | |
AFS securities | 14,194,326 | 12,179,837 | |
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | [1] | 5,256,803 | 4,240,201 |
Advances (Note 5) | [2] | 35,561,844 | 36,682,459 |
Mortgage loans held for portfolio, net (Note 6) | 8,613,844 | 7,686,455 | |
Accrued interest receivable | 203,809 | 152,867 | |
Derivative assets, net (Note 8) | 521,164 | 434,421 | |
Other assets | 104,658 | 102,071 | |
Total assets | 76,608,404 | 72,283,780 | |
Liabilities: | |||
Deposits (Note 9) | 628,811 | 595,907 | |
Consolidated obligations (Note 10): | |||
Discount notes | 22,621,837 | 27,387,492 | |
Bonds | 48,431,566 | 39,882,454 | |
Total consolidated obligations, net | 71,053,403 | 67,269,946 | |
Accrued interest payable | 327,237 | 162,584 | |
Affordable Housing Program payable (Note 11) | 68,301 | 38,170 | |
Derivative liabilities, net (Note 8) | 6,940 | 19,209 | |
Mandatorily redeemable capital stock (Note 12) | 369,041 | 372,503 | |
Other liabilities | 410,774 | 441,763 | |
Total liabilities | 72,864,507 | 68,900,082 | |
Commitments and contingencies (Note 17) | |||
Retained earnings: | |||
Unrestricted | 1,134,132 | 963,812 | |
Restricted | 398,039 | 322,552 | |
Total retained earnings | 1,532,171 | 1,286,364 | |
Total accumulated other comprehensive income (loss) (Note 13) | (73,532) | (25,791) | |
Total capital | 3,743,897 | 3,383,698 | |
Total liabilities and capital | 76,608,404 | 72,283,780 | |
Class B | |||
Capital stock (putable at par value of $100 per share): | |||
Class B issued and outstanding shares: 22,852,579 and 21,231,253 | $ 2,285,258 | $ 2,123,125 | |
[1] (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2023 and 2022 to tale d $21,942 and $26,125, respectively. Carrying value equals amortized cost, which excludes accrued interest |
Statements of Condition Parenth
Statements of Condition Parenthetical - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
AFS securities, Amortized Cost | [1] | $ 14,254,103 | $ 12,189,776 |
HTM securities, fair value | $ 5,179,399 | $ 4,156,218 | |
Class B | |||
Common stock putable (in USD per share) | $ 100 | $ 100 | |
Common stock issued (in shares) | 22,852,579 | 21,231,253 | |
Common stock outstanding (in shares) | 22,852,579 | 21,231,253 | |
[1] (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. At December 31, 2023 and 2022, net unamortized discounts totaled $(278,669) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(778,882) and $(1,099,886), respectively. Excludes accrued interest |
Statements of Income
Statements of Income - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Interest Income: | ||||
Advances | $ 1,943,129 | $ 634,269 | $ 115,634 | |
Interest-bearing deposits | 123,858 | 37,303 | 534 | |
Securities purchased under agreements to resell | 118,571 | 53,496 | 1,730 | |
Federal funds sold | 240,388 | 78,004 | 2,821 | |
Trading securities | 12,894 | 25,965 | 48,510 | |
Available-for-sale securities | [1] | 808,400 | 285,252 | 99,646 |
Held-to-maturity securities | 254,469 | 69,363 | 31,792 | |
Mortgage loans held for portfolio | 254,140 | 206,984 | 169,132 | |
Total interest income | 3,755,849 | 1,390,636 | 469,799 | |
Interest Expense: | ||||
Consolidated obligation discount notes | 1,001,022 | 373,757 | 9,067 | |
Consolidated obligation bonds | [1] | 2,203,964 | 712,038 | 206,429 |
Deposits | 37,868 | 12,003 | 162 | |
Mandatorily redeemable capital stock | 17,540 | 2,140 | 2,601 | |
Total interest expense | 3,260,394 | 1,099,938 | 218,259 | |
Net interest income | 495,455 | 290,698 | 251,540 | |
Provision for (reversal of) credit losses | (220) | (74) | (108) | |
Net interest income after reversal of credit losses | 495,675 | 290,772 | 251,648 | |
Other Income: | ||||
Net gains (losses) on sales of available-for-sale and held-to-maturity securities | (6,781) | (1,059) | 0 | |
Net gains (losses) on trading securities | 19,616 | (22,574) | (47,314) | |
Net gains (losses) on derivatives | 181 | 48,429 | 3,684 | |
Gain (Loss) on Extinguishment of Debt | 19,846 | 0 | 0 | |
Other, net | 13,033 | (5,352) | 9,811 | |
Total other income (loss) | 45,895 | 19,444 | (33,819) | |
Other Expenses: | ||||
Compensation and benefits | 65,174 | 59,006 | 60,622 | |
Other operating expenses | 33,621 | 30,836 | 30,089 | |
Federal Housing Finance Agency | 6,530 | 7,229 | 6,336 | |
Office of Finance | 4,659 | 5,437 | 6,377 | |
Other, net | 10,264 | 11,086 | 9,801 | |
Total other expenses | 120,248 | 113,594 | 113,225 | |
Income (loss) before assessments | 421,322 | 196,622 | 104,604 | |
Affordable Housing Program assessments | 43,886 | 19,876 | 10,720 | |
Net income | $ 377,436 | $ 176,746 | $ 93,884 | |
[1] For advances, AFS securities and CO bonds only. |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Statement of Comprehensive Income [Abstract] | |||
Net income | $ (377,436) | $ (176,746) | $ (93,884) |
Other Comprehensive Income: | |||
Net change in unrealized gains (losses) on available-for-sale securities | (49,838) | (161,881) | 15,021 |
Pension benefits, net (Note 14) | 2,097 | 3,032 | 12,635 |
Total other comprehensive income (loss) | (47,741) | (158,849) | 27,656 |
Total comprehensive income | $ 329,695 | $ 17,897 | $ 121,540 |
Statements of Capital
Statements of Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | $ 3,383,698 | $ 3,556,331 | $ 3,450,302 |
Comprehensive income | 329,695 | 17,897 | 121,540 |
Proceeds from issuance of capital stock | 363,614 | 368,041 | 99,638 |
Redemption/repurchase of capital stock | (200,309) | (161,885) | (56,277) |
Shares reclassified to mandatorily redeemable capital stock, net | (1,172) | (329,232) | (4,730) |
Cash dividends on capital stock | (131,629) | (67,454) | (54,142) |
Ending Balance | $ 3,743,897 | $ 3,383,698 | $ 3,556,331 |
Capital Stock | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance (in shares) | 21,231 | 22,462 | 22,076 |
Beginning Balance | $ 2,123,125 | $ 2,246,201 | $ 2,207,570 |
Proceeds from issuance of capital stock (in shares) | 3,636 | 3,680 | 996 |
Proceeds from issuance of capital stock | $ 363,614 | $ 368,041 | $ 99,638 |
Redemption/repurchase of capital stock (in shares) | (2,003) | (1,619) | (563) |
Redemption/repurchase of capital stock | $ (200,309) | $ (161,885) | $ (56,277) |
Shares reclassified to mandatorily redeemable capital stock, net (in shares) | (12) | (3,292) | (47) |
Shares reclassified to mandatorily redeemable capital stock, net | $ (1,172) | $ (329,232) | $ (4,730) |
Ending Balance (in shares) | 22,852 | 21,231 | 22,462 |
Ending Balance | $ 2,285,258 | $ 2,123,125 | $ 2,246,201 |
Retained Earnings Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 1,286,364 | 1,177,072 | 1,137,330 |
Comprehensive income | 377,436 | 176,746 | 93,884 |
Cash dividends on capital stock | (131,629) | (67,454) | (54,142) |
Ending Balance | 1,532,171 | 1,286,364 | 1,177,072 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 963,812 | 889,869 | 868,904 |
Comprehensive income | 301,949 | 141,397 | 75,107 |
Cash dividends on capital stock | (131,629) | (67,454) | (54,142) |
Ending Balance | 1,134,132 | 963,812 | 889,869 |
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | 322,552 | 287,203 | 268,426 |
Comprehensive income | 75,487 | 35,349 | 18,777 |
Cash dividends on capital stock | 0 | 0 | 0 |
Ending Balance | 398,039 | 322,552 | 287,203 |
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Beginning Balance | (25,791) | 133,058 | 105,402 |
Comprehensive income | (47,741) | (158,849) | 27,656 |
Ending Balance | $ (73,532) | $ (25,791) | $ 133,058 |
Statements of Capital Parenthet
Statements of Capital Parenthetical | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Statement of Stockholders' Equity [Abstract] | |||
Annualized cash dividend rate on capital stock (percent) | 5.71% | 2.95% | 2.44% |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Operating Activities: | ||||
Net income | $ 377,436 | $ 176,746 | $ 93,884 | |
Adjustments to reconcile net income to net cash provided by operating activities: | ||||
Amortization and depreciation | 63,069 | 167,348 | 84,157 | |
Changes in net derivative and hedging activities | (391,229) | 1,086,752 | 178,305 | |
Gain (Loss) on Extinguishment of Debt | (19,846) | 0 | 0 | |
Reversal of credit losses | (220) | (74) | (108) | |
Net (gains) losses on trading securities | (19,616) | 22,574 | 47,314 | |
Other adjustments | 6,781 | 1,059 | 0 | |
Changes in: | ||||
Accrued interest receivable | (50,328) | (77,386) | 21,671 | |
Other assets | (5,770) | 14,333 | (21,453) | |
Accrued interest payable | 164,746 | 75,115 | 24,487 | |
Other liabilities | 64,338 | (1,749) | 15,743 | |
Total adjustments, net | (188,075) | 1,287,972 | 350,116 | |
Net cash provided by operating activities | 189,361 | 1,464,718 | 444,000 | |
Net change in: | ||||
Interest-bearing deposits | 366,590 | (2,090,076) | 487,626 | |
Securities purchased under agreements to resell | (1,950,000) | (1,050,000) | (1,000,000) | |
Federal funds sold | (953,000) | (568,000) | (1,365,000) | |
Trading securities: | ||||
Proceeds from maturities | 1,500,000 | 3,425,000 | 2,950,000 | |
Proceeds from sales | 494,063 | 200,000 | 50,006 | |
Purchases | (344,261) | (1,930,219) | (1,899,417) | |
Available-for-sale securities: | ||||
Proceeds from paydowns and maturities | 195,419 | 730,132 | 835,255 | |
Proceeds from sales | 592,660 | 0 | 0 | |
Purchases | (2,539,432) | (5,195,686) | (319,623) | |
Held-to-maturity securities: | ||||
Proceeds from paydowns and maturities | 455,929 | 890,409 | 996,151 | |
Proceeds from sales | 9,769 | 69,919 | 0 | |
Purchases | (1,558,464) | (817,170) | (784,446) | |
Advances: | ||||
Principal repayments | 281,391,014 | 251,196,945 | 224,935,571 | |
Disbursements to members | (279,976,584) | (261,178,835) | (221,554,319) | |
Mortgage loans held for portfolio: | ||||
Principal collections | 704,481 | 1,006,896 | 2,849,214 | |
Purchases from members | (1,642,690) | (1,156,327) | (2,150,713) | |
Purchases of premises, software, and equipment | (5,255) | (4,916) | (4,411) | |
Loans to other Federal Home Loan Banks: | ||||
Principal repayments | 1,090,000 | 1,050,000 | 40,000 | |
Disbursements | (1,090,000) | (1,050,000) | (40,000) | |
Net cash provided by (used in) investing activities | (3,259,761) | (16,471,928) | 4,025,894 | |
Net Change In: | ||||
Net change in deposits | (7,237) | (590,663) | (8,809) | |
Net proceeds (payments) on derivative contracts with financing elements | 9,464 | 900 | (25,365) | |
Net proceeds from issuance of consolidated obligations: | ||||
Discount notes | 809,172,093 | 835,663,808 | 291,172,745 | |
Bonds | 21,966,675 | 17,914,235 | 43,151,651 | |
Payments for matured and retired consolidated obligations: | ||||
Discount notes | (813,966,061) | (820,497,490) | (295,668,613) | |
Bonds | (14,093,893) | (18,461,850) | (43,819,310) | |
Proceeds from borrowings | 500,000 | 0 | 0 | |
Principal repayments | (500,000) | 0 | 0 | |
Proceeds from issuance of capital stock | 363,614 | 368,041 | 99,638 | |
Payments for redemption/repurchase of capital stock | (200,309) | (161,885) | (56,277) | |
Payments for redemption/repurchase of mandatorily redeemable capital stock | (4,634) | (7,151) | (205,076) | |
Dividend payments on capital stock | (131,629) | (67,454) | (54,142) | |
Net cash provided by (used in) financing activities | 3,108,083 | 14,160,491 | (5,413,558) | |
Net increase (decrease) in cash and due from banks | 37,683 | (846,719) | (943,664) | |
Cash and due from banks at beginning of year | 21,161 | 867,880 | 1,811,544 | |
Cash and due from banks at end of year | 58,844 | 21,161 | 867,880 | |
Supplemental Disclosures: | ||||
Interest payments | 2,978,983 | 738,492 | 265,209 | |
Affordable Housing Program payments | [1] | 15,618 | 16,914 | 14,073 |
Purchases of investment securities, traded but not yet settled | $ 0 | $ 72,788 | $ 0 | |
[1] (1) |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2023 | |
Accounting Policies [Abstract] | |
Nature of Operations | These Notes to Financial Statements should be read in conjunction with the Statements of Condition as of December 31, 2023 and 2022, and the Statements of Income, Comprehensive Income, Capital, and Cash Flows for the years ended December 31, 2023, 2022, and 2021. Acronyms and terms used throughout these Notes to Financial Statements are defined herein or in the Defined Terms . Unless the context otherwise requires, the terms "we," "us," "our," and "Bank" refer to the Federal Home Loan Bank of Indianapolis or its management. Background Information The Federal Home Loan Bank of Indianapolis, a federally chartered corporation, is one of 11 regional wholesale FHLBanks in the United States. The FHLBanks are GSEs that were organized under the Bank Act to serve the public by enhancing the availability of credit for residential mortgages and targeted community development. Even though the Bank is part of the FHLBank System, we operate as a separate entity with our own management, employees, shareholders and board of directors. Each FHLBank is a financial cooperative that provides a readily available, competitively-priced source of funds to its member institutions. Regulated financial depositories and non-captive insurance companies engaged in residential housing finance that have their principal place of business located in, or are domiciled in, our district states of Michigan or Indiana are eligible for membership. Additionally, qualified CDFIs are eligible to be members. Housing Associates, including state and local housing authorities, that meet certain statutory and regulatory criteria may also borrow from us, but are not members and, as such, are not allowed to hold our capital stock. Each member must purchase a minimum amount of our capital stock based on the amount of its total assets. A member may be required to purchase additional activity-based capital stock as it engages in certain business activities with us. Members and former members own all of our capital stock. Former members (including certain non-member institutions that own our capital stock as a result of a merger with or acquisition of a member) hold our capital stock beyond the redemption period solely to support credit products or mortgage loans still outstanding on our statement of condition. All owners of our capital stock, to the extent declared by our board of directors, receive dividends on their capital stock, subject to applicable regulations. The FHLBanks' Office of Finance facilitates the issuance and servicing of the debt instruments of the FHLBanks, known as consolidated obligations, consisting of bonds and discount notes, and prepares and publishes the FHLBanks' combined quarterly and annual financial reports. Proceeds from the issuance of consolidated obligations are the primary source of funds for the FHLBanks. We primarily use these funds to: • disburse advances to members; • acquire mortgage loans from PFIs through our MPP; • maintain a portfolio of readily available liquid assets; and • invest in MBS and other opportunities to support the residential housing market. We also provide correspondent services, such as wire transfer, security safekeeping, and settlement services, to our members. The Finance Agency is the independent federal regulator of the FHLBanks, Freddie Mac, and Fannie Mae. The Finance Agency's stated mission is to ensure that the housing GSEs operate in a safe and sound manner so that they serve as a reliable source of liquidity and funding for housing finance and community investment. |
Summary of Significant Accounting Policies | Note 1 - Summary of Significant Accounting Policies Basis of Presentation. The accompanying financial statements have been prepared in accordance with GAAP and SEC requirements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank's financial position, results of operations and cash flows for the periods presented. All such adjustments were of a normal recurring nature. Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to the fair values of financial instruments, specifically our derivatives and associated hedged items. Estimated Fair Value. The estimated fair value amounts, recorded on the statement of condition and presented in the accompanying disclosures, reflect appropriate valuation methods and were determined based on the assumptions that we believe market participants would use in pricing the asset or liability. Although we use our best judgment in estimating fair value, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions on the reporting dates. For more information, see Note 16 - Estimated Fair Values . Changes in Estimates. Changes in estimates are accounted for prospectively, i.e. in the period of change, and do not result in a revision or restatement of prior period amounts. Reclassifications. We have reclassified certain amounts reported in prior periods to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income or net cash flows. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. Securities purchased under agreements to resell are treated as short-term, collateralized financings and are generally transacted with an overnight term. These securities are held in safekeeping in the Bank's name by third-party custodians approved by us. For securities outstanding longer than overnight, if the market value of the underlying assets declines below the market value required as collateral, the counterparty must (i) place an equivalent amount of additional securities in safekeeping in the Bank's name, and/or (ii) remit an equivalent amount of cash to the Bank. Federal funds sold are short-term, unsecured loans that are generally transacted with an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit an individual FHLBank may extend to a counterparty. Investment Securities. Purchases and sales of securities are recorded on a trade date basis. We classify investments as trading, HTM or AFS at the date of acquisition. Trading Securities. Securities classified as trading are held for liquidity purposes and carried at estimated fair value. Changes in the fair value of these securities are recorded through other income as net gains (losses) on trading securities. Finance Agency regulation and our risk management policies prohibit the speculative use of these instruments and limit the credit risk arising from these securities. HTM Securities. Securities for which we have both the positive intent and ability to hold to maturity are classified as HTM and carried at amortized cost. The carrying value includes adjustments made to the cost basis of the security for purchase discount and related accretion, purchase premium and related amortization, and collection of principal. AFS Securities. Securities that are not classified as trading or HTM are classified as AFS and carried at estimated fair value. Changes in the fair value of these securities are recorded in OCI as net change in unrealized gains (losses) on AFS securities, except for AFS securities in hedging relationships that qualify as fair-value hedges. For those securities, the portion of the change in fair value attributable to the risk being hedged is recorded in interest income together with the related change in the fair value of the derivative, and the remainder of the change in the fair value of the security is recorded in OCI as net change in unrealized gains (losses) on AFS securities. Amortization or Accretion of Purchase Premiums and Discounts. Since the Bank holds a large number of similar loans underlying its MBS, for which prepayments are probable and the timing and amount of prepayments can be reasonably estimated, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments on MBS to interest income using a level-yield under the retrospective interest method. This method requires that we estimate prepayments over the estimated life of each security and retrospectively adjust the effective yield each time the estimated remaining cash flows change as if the new estimate had been used since the original acquisition date. Changes in interest rates are a significant assumption used in estimating the timing and amount of prepayments. For all non-MBS, prepayments are not estimated but only taken into account as they actually occur. For all non-MBS not classified as trading, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments to interest income using a level-yield methodology over the contractual life of each security, with the exception of our callable non-MBS not classified as trading, on which the purchase premium is amortized to the next call date. For our non-MBS classified as trading, the amortization and accretion of purchase premiums and discounts are considered components of the security's unrealized gains and losses and are recorded in other income as net gains (losses) on trading securities. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income as net gains (losses) on sales of available-for-sale and held-to-maturity securities. Advances. We record advances at amortized cost, adjusted to include deferred swap termination fees associated with modified advances, net of deferred prepayment fees, and cumulative fair-value hedging basis adjustments. We amortize such fees and hedging basis adjustments t o interest income using a level-yield methodology over the contractual life of the advance. When an advance is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Prepayment Fees. We charge a prepayment fee when a borrower repays certain advances prior to maturity. We report prepayment fees, net of any associated swap termination fees and cumulative fair-value hedging basis adjustments, in interest income on advances. Advance Modifications. When the Bank funds a new advance concurrent with, or within a short period of time after, the prepayment of an original advance, we determine whether the transaction is effectively either (i) two separate transactions (the prepayment of the original advance and the disbursement of a new advance), defined as an advance extinguishment, or (ii) the continuation of the original advance as modified, defined as an advance modification. We account for the transaction as an extinguishment if both of the following criteria are met: (i) the effective yield of the new advance is at least equal to the effective yield for a comparable advance to a member with similar collection risks who is not prepaying, and (ii) modifications of the original advance are determined to be more than minor, i.e., if the present value of the cash flows under the terms of the new advance is at least 10% different from the present value of the remaining cash flows under the original advance, or through an evaluation of qualitative factors, which may include changes in the interest-rate exposure to the member by moving from a fixed to an adjustable-rate advance. In all other instances, the transaction is accounted for as an advance modification. If the transaction is determined to be an advance extinguishment, we recognize income from nonrefundable prepayment fees, net of associated swap termination fees, in the period that the extinguishment occurs. Alternatively, if no prepayment fees are received (e.g., the member requests that we embed the prepayment fee into the rate of the new advance), the excess of the present value of the cash flows of the new advance over those of an advance with a current market rate and otherwise comparable terms is immediately recognized in income, and the basis of the new advance is adjusted accordingly. If the transaction is determined to be an advance modification, the nonrefundable prepayment fees, net of associated swap termination fees, are not immediately recognized in income but are (i) included in the carrying value of the modified advance and amortized into interest income over the life of the new advance using a level-yield methodology or (ii) embedded into the rate of the modified advance and recorded as an adjustment to the interest accrual. Mortgage Loans Held for Portfolio . W e classify mortgage loans, for which we have the positive intent and ability to hold for the foreseeable future or until maturity or payoff, as held for portfolio. Accordingly, these mortgage loans are carried at amortized cost, adjusted to include premiums paid to and discounts received from PFIs, hedging basis adjustments, and the allowance for credit losses. Amortization or Accretion of Purchase Premiums and Discounts. We amortize or accrete premiums and discounts and hedging basis adjustments to interest income using a level-yield methodology over the contractual life of each loan. When a loan is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Non-accrual Loans. We place a conventional mortgage loan on non-accrual status if it is determined that either (i) the collection of interest or principal is doubtful, or (ii) interest or principal is past due for 90 days or more, except when the loan is well secured and in the process of collection (e.g., through credit enhancements and monthly servicer remittances on a scheduled/scheduled basis in which we receive monthly principal and interest payments from the servicer regardless of whether the borrower has made payments to the servicer). Monthly servicer remittances for loans on an actual/actual basis may also be well secured; however, servicers on actual/actual remittance do not advance principal and interest due, regardless of borrower creditworthiness, until the payments are received from the borrower or when the loan is repaid. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. A government-guaranteed or -insured mortgage loan is not placed on non-accrual status when the collection of the contractual principal or interest is 90 days or more past due because of the contractual obligation of the loan servicer to pay defaulted interest at the contractual rate. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income (for any interest accrued in the current year) and/or the allowance for credit losses (for any interest accrued in the previous year). We record payments received on non-accrual loans as a direct reduction of the amortized cost of the loan. When the amortized cost has been fully collected, any additional amounts collected are recognized as interest income. A loan on non-accrual status may be restored to accrual status when it becomes current (zero days past due) and three consecutive and timely monthly payments have been received. Mortgage Loan Modifications. As a result of prospectively adopting new accounting guidance on January 1, 2023, which discontinued the recognition and measurement guidance on troubled debt restructurings (TDRs), we 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 TDR guidance. Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) of a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we determine that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. Allowance for Credit Losses on Financial Instruments. The Bank's financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, and Note 6 - Mortgage Loans Held for Portfolio. Financial Instruments Meeting Netting Requirements. We present certain financial instruments on a net basis when the Bank has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). Derivatives and Hedging Activities. We record derivative instruments, including related cash collateral and accrued interest, on a net basis, by clearing agent and/or by counterparty, as either derivative assets or derivative liabilities at their estimated fair values. Changes in the estimated fair value of derivatives are recorded in current period earnings. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset, respectively. For derivative instruments that do not meet the netting requirements, cash collateral is recognized as an interest-bearing asset or liability, as appropriate. Additional information regarding these transactions is provided in Note 8 - Derivatives and Hedging Activities. Designations. Derivatives are recorded beginning on the trade date and typically executed and designated in a qualifying hedging relationship at the same time as the acquisition of the associated hedged item. We may also designate the hedging relationship upon the Bank's commitment to disburse an advance, purchase financial instruments, or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. Each derivative is designated as one of the following: (i) a qualifying hedge of the change in fair value of a recognized asset or liability (e.g., advances, AFS investments, and CO bonds) or an unrecognized firm commitment (fair-value hedge); or (ii) a non-qualifying hedge for asset/liability management purposes (economic hedge). In all cases involving a fair-value hedge of a recognized asset, liability or firm commitment, the designated risk being hedged is the risk of changes in the fair value of the hedged item attributable to changes in the designated benchmark interest rate. Accounting for Qualifying Hedges. Generally, we endeavor to use derivatives that qualify for fair-value hedge accounting. To qualify for hedge accounting, hedging relationships must meet certain criteria including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective. Two approaches to account for qualifying fair-value hedge relationships include: (i) Shortcut hedge accounting - Hedging relationships that meet certain criteria qualify for the shortcut method of hedge accounting. Under the shortcut method, an assumption can be made that the entire change in fair value of a hedged item, due to changes in the benchmark interest rate, equates to the entire change in fair value of the related derivative. As a result, the derivative is considered to be perfectly effective in achieving offsetting changes in the fair value of the hedged asset or liability attributable to the hedged risk. When applying the shortcut method, we document, at inception of the hedging relationship, a quantitative long-haul method that we can apply should we subsequently determine a hedging relationship no longer qualifies for shortcut hedge accounting; or (ii) Long-haul hedge accounting - T he application of long-haul hedge accounting requires us to assess whether the derivatives used in hedging relationships are highly effective in achieving offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to continue to be highly effective in future periods. As part of the assessment, a regression analysis is performed at the inception of each hedging relationship and at each month-end thereafter. If the hedging relationship fails the effectiveness test at inception, we do not apply hedge accounting. If the hedging relationship fails the effectiveness test during the life of the relationship, hedge accounting is discontinued. While a number of long-haul methods and techniques are permissible, we utilize the following: • Total Contractual Coupon Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the estimated coupon cash flows are based on the full contractual coupon. • Benchmark Component Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the credit and any other risks embedded in the contractual coupon rate are excluded from the estimated cash flows by aligning the interest component of the derivative with the hedged item. Given this alignment, the application of the benchmark component method generally results in less hedge ineffectiveness in comparison to the total contractual coupon method. Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Accounting for Non-Qualifying Hedges. An economic hedge is defined as a derivative that hedges specific or non-specific underlying assets, liabilities, or firm commitments and does not qualify, or was not designated, for hedge accounting. As a result, we recognize the net interest settlements and the change in fair value of these derivatives in other income with no offsetting fair-value adjustments in earnings for the hedged assets, liabilities, or firm commitments. An economic hedge by definition, therefore, introduces the potential for earnings variability. Accrued Interest Receivables and Payables. The difference between the interest receivable and payable on a derivative designated as a qualifying hedge is recognized as a net adjustment to the interest income or expense of the designated hedged item. The difference between the interest receivable and payable on an economic hedge is recognized in other income as net gains (losses) on derivatives. Discontinuance of Hedge Accounting. We discontinue hedge accounting prospectively when: (i) the hedging relationship ceases to be highly effective or is otherwise discontinued; (ii) the derivative and/or the hedged item expires or matures, is sold, terminated, transferred or exercised; or (iii) a hedged firm commitment no longer meets the definition of a firm commitment. When hedge accounting is discontinued and the derivative and hedged item remain, we: (i) continue to carry the derivative on the statement of condition at fair value as an economic hedge; (ii) cease adjusting the hedged asset or liability for changes in fair value; and (iii) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. When we discontinue a qualifying hedge relationship by terminating the derivative and subsequently designating the associated hedged item into a new qualifying hedge relationship, we: (i) recognize the cumulative gain (loss) on the derivative in current period earnings; (ii) pay or receive a termination fee with the counterparty, substantially offsetting the recognized gain (loss) on the derivative; (iii) cease adjusting the hedged asset or liability for changes in fair value; and (iv) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. Premises, Software, and Equipment. We record premises, software, and equipment at cost, less accumulated depreciation and am ortization, in other assets, and compute depreciation and amortization using the straight-line method over their respective estimated useful lives, which range from 3 to 40 years. W e capitalize building improvements, but expense maintenance and repairs when incurred. In addition, we capitalize software development costs for internal use software and use the straight-line method for computing amortization. We include any gain or loss on disposal (other than abandonment) of premises, software, and equipment in other income. Any loss on abandonment is included in other operating expenses. Consolidated Obligations. Consolidated obligations are carried at amortized cost, adjusted to include concessions, discounts, premiums, principal payments, and cumulative fair-value hedging basis adjustments. Concessions. Concessions are paid to dealers in connection with the issuance of certain consolidated obligations. The Office of Finance prorates the amount of the Bank's concession based upon the percentage of the debt issued on the Bank's behalf. We record concessions paid on consolidated obligations as a direct deduction from their carrying amounts, consistent with the presentation of discounts on consolidated obligations. The concessions are deferred and amortized, using a level-yield methodology, to interest expense over the term to contractual maturity of the corresponding consolidated obligation. When we prepay a CO bond, a proportionate share of any remaining balance of concessions is recognized as interest expense. Discounts and Premiums. We accrete or amortize the discounts and premiums as well as cumulative fair-value hedging basis adjustments to interest expense using a level-yield methodology over the term to contractual maturity of the corresponding CO bond. When we prepay a CO bond, a proportionate share of the remaining balance of those adjustments is recognized as interest income. Debt Extinguishments. When we extinguish a CO prior to the contractual maturity date on other than a call date, any gain or loss resulting from the extinguishment is recorded in other income (loss) as the difference between the cash paid (market price) and the current carrying value. We do not consider these gains or losses to be extraordinary. Mandatorily Redeemable Capital Stock. When a member withdraws or attains non-member status by merger or acquisition, charter termination, relocation or other involuntary termination from membership, the member's shares of Class B stock are then subject to redemption, at which time a five-year redemption period commences. Since the shares meet the definition of a mandatorily redeemable financial instrument, the shares are reclassified from capital to liabilities as MRCS at estimated fair value, which is equal to par value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reported as interest expense. We reclassify MRCS from liabilities to capital when non-members subsequently become members through either acquisition, merger, or election. After the reclassification, dividends declared on that capital stock are no longer classified as interest expense. Employee Retirement and Deferred Compensation Plans. We recognize the required contribution to the DB Plan ratably over the plan year to which it relates. Without a prefunding election, any contribution made in excess of the minimum required contribution is recorded as an expense in the quarterly reporting period in which the contribution is made; with a prefunding election, such excess contribution is recorded as a prepaid asset. Settlement gains and losses are recognized in earnings only when the total cost of all settlements during a year exceeds the sum of the service and interest cost components of the net periodic pension cost for the year. Finance Agency Expenses. The portion of the Finance Agency's expenses and working capital fund not allocated to Freddie Mac and Fannie Mae is allocated among the FHLBanks as assessments, which are based on the ratio of each FHLBank's minimum required regulatory capital to the aggregate minimum required regulatory capital of every FHLBank. We record our share of these assessments in other expenses. Office of Finance Expenses. Our proportionate share of the Office of Finance's operating and capital expenditures is calculated based upon two components as follows: (i) two-thirds based on our share of total consolidated obligations outstanding and (ii) one-third base d on equal pro-rata allocation. We record our share of these expenditures in other expenses. Cash Flows. We consider cash and due from banks on the statement of condition as cash and cash equivalents within the statement of cash flows because of their highly liquid nature. Federal funds sold, securities purchased under agreements to resell, and interest-bearing deposits are not treated as cash and cash equivalents, but instead are treated as short-term investments. Accordingly, their associated cash flows are reported in the investing activities section of the statement of cash flows. |
Recently Adopted and Issued Acc
Recently Adopted and Issued Accounting Guidance | 12 Months Ended |
Dec. 31, 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 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. Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures (ASU 2023-07). On November 27, 2023, the FASB issued guidance to improve reportable segment disclosures, primarily through requiring enhanced disclosures about significant segment expenses and other segment items included in an entity's reported measure of segment profit and loss. The guidance is effective for fiscal years beginning after December 15, 2023, and interim periods beginning after December 15, 2024, although early adoption is permitted. Upon adoption, the retrospective application of this guidance will have no effect on our financial condition, results of operations, or cash flows, but will expand our segment disclosures included in Note 15 - Segment Information. |
Cash and Due from Banks
Cash and Due from Banks | 12 Months Ended |
Dec. 31, 2023 | |
Cash and Due from Banks [Abstract] | |
Cash and Due from Banks | Note 3 - Cash and Due from Banks Compensating Balances. Periodically, we maintain cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions on the withdrawal of funds. The average cash balances for the years ended December 31, 2023, 2022, and 2021 were $9,129, $104,501 , and $227,913, respectively. |
Investments
Investments | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Investments | Note 4 - Investments Short-term Investments. We invest in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold to provide short-term liquidity. At December 31, 2023 and 2022, 97% and 96%, respectively, of these investments, based on amortized cost, were with counterparties rated by an NRSRO as investment grade (BBB or higher). The remaining investments were with unrated counterparties. The N RSRO ratings may differ from any internal ratings of the investments, if applicable. Allowance for Credit Losses. Interest-Bearing Deposits. Interest-bearing deposits are considered overnight investments given our ability to withdraw funds from these accounts at any ti me. At December 31, 2023 and 2022, based on our evaluations, no allowance for credit losses on any of these investments was deemed necessary Securities Purchased Under Agreements to Resell. We use the collateral maintenance provision with our counterparties as a practical expedient for securities purchased under agreements to resell whereby a credit loss is recognized only if there is a collateral shortfall which we do not believe the counterparty is willing or able to replenish in accordance with the contractual terms. The credit loss would be limited to the difference between the estimated fair value of the collateral and the investment’s amortized cost. At December 31, 2023 and 2022, based upon the collateral held as security and collateral maintenance provisions with our counterparties, no allowance for credit losses was deemed necessary for securities purchased under agreements to resell. Federal Funds Sold. As our investments in federal funds sold are typically transacted on an overnight term, we would only evaluate these instruments for expected credit losses if they were not repaid according to their contractual terms at maturity. At December 31, 2023 and 2022, all investments in federal funds sold were repaid according to their contractual terms and, therefore, no allowance for credit losses was deemed necessary. Investment Securities. Trading Securities. Major Security Types. The following table presents our trading securities by type of security. Security Type December 31, 2023 December 31, 2022 U.S. Treasury obligations $ 600,063 $ 2,230,248 Total trading securities at estimated fair value $ 600,063 $ 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. Years Ended December 31, 2023 2022 2021 Net gains (losses) on trading securities held at year end $ 11,534 $ (18,461) $ (17,608) Net gains (losses) on trading securities that matured/sold during the year 8,082 (4,113) (29,706) Net gains (losses) on trading securities $ 19,616 $ (22,574) $ (47,314) Available-for-Sale Securities. Major Security Types. The following table presents our AFS securities by type of security. December 31, 2023 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value U.S. Treasury obligations $ 5,708,713 $ 738 $ (12,595) $ 5,696,856 GSE and TVA debentures 1,792,310 14,628 — 1,806,938 GSE multifamily MBS 6,753,080 7,571 (70,119) 6,690,532 Total AFS securities $ 14,254,103 $ 22,937 $ (82,714) $ 14,194,326 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 December 31, 2023 and 2022, net unamortized discounts totaled $(278,669) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(778,882) 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. December 31, 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 $ 4,785,547 $ (11,716) $ 239,902 $ (879) $ 5,025,449 $ (12,595) GSE multifamily MBS 2,163,506 (14,970) 2,982,742 (55,149) 5,146,248 (70,119) Total impaired AFS securities $ 6,949,053 $ (26,686) $ 3,222,644 $ (56,028) $ 10,171,697 $ (82,714) 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. December 31, 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 $ 305,208 $ 306,380 $ 131,329 $ 131,517 Due after 1 year through 5 years 4,628,067 4,636,683 1,575,581 1,594,583 Due after 5 years through 10 years 2,567,748 2,560,731 4,383,866 4,386,277 Total non-MBS 7,501,023 7,503,794 6,090,776 6,112,377 Total MBS 6,753,080 6,690,532 6,099,000 6,067,460 Total AFS securities $ 14,254,103 $ 14,194,326 $ 12,189,776 $ 12,179,837 Realized Gains and Losses. During the year ended December 31, 2023, for strategic and economic reasons, we sold a portion of our AFS securities. Proceeds from the sales totaled $592,660, resulting in a net realized losses, excluding swap termination fees received, of $(6,710) determined by the specific identification method. There were no sales during the years ended December 31, 2022 or 2021. Allowance for Credit Losses. At December 31, 2023 and 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. We individually evaluate our AFS securities for impairment. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows that are contractually due by evaluating several qualitative factors. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security to its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded, but the allowance is limited to the amount of the unrealized loss. If we do not intend to sell an impaired AFS security and it is not more likely than not that we will be required to sell the security before recovery of its amortized cost basis, net of the allowance for credit losses, any difference between the security’s estimated fair value and net amortized cost is recorded to net unrealized gains (losses) on AFS securities within OCI. If we intend to sell an impaired AFS security, or more likely than not we will be required to sell the security before recovery of its amortized cost basis, any allowance for credit losses is reversed and the amortized cost is written down to the security’s estimated fair value at the reporting date with any such impairment reported in earnings. At December 31, 2023 and 2022, certain of our AFS securities were in an unrealized loss position; however, 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 based upon the following qualitative factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, (iii) the U.S., GSE, and other Agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero, and (iv) we had no intention of selling any of these securities nor did we consider it more likely than not that we will be required to sell any of these securities before recovery of each security's remaining amortized cost basis. Held-to-Maturity Securities. Major Security Types. The following table presents our HTM securities by type of security. December 31, 2023 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses Value MBS: Other U.S. obligations - guaranteed single-family $ 4,009,493 $ 1,836 $ (39,223) $ 3,972,106 GSE single-family 683,944 1,454 (36,334) 649,064 GSE multifamily 563,366 — (5,137) 558,229 Total HTM securities $ 5,256,803 $ 3,290 $ (80,694) $ 5,179,399 December 31, 2022 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses 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 December 31, 2023 and 2022 to tale d $21,942 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 years ended December 31, 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 totaled $9,769 and $69,919, respectively, resulting in net realized losses of $(71) and $(1,059), respectively, determined by the specific identification method. Allowance for Credit Losses. At December 31, 2023 and 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. Our HTM securities are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. We consider several qualitative factors when evaluating the potential for credit losses on our HTM securities and, if deemed necessary, an allowance for credit losses is recorded. At December 31, 2023 and 2022, based on our evaluation, no allowance for credit losses on any of our HTM securities was deemed necessary based on the following qualitative factors: (i) all securities were highly-rated, (ii) we have not experienced, nor do we expect, any payment defaults on the securities, and (iii) the U.S., GSE, and other Agency obligations carry an explicit or implicit government guarantee such that we consider the risk of nonpayment to be zero. |
Advances
Advances | 12 Months Ended |
Dec. 31, 2023 | |
Advances [Abstract] | |
Advances | Note 5 - Advances We offer a wide range of fixed- and adjustable-rate advance products with various maturities, interest rates, payment characteristics and optionality. Adjustable-rate advances have interest rates that reset periodically at a fixed spread to SOFR or another specified index. The following table presents our advances outstanding by redemption term. December 31, 2023 December 31, 2022 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 2 7.76 $ 430 6.74 Due in 1 year or less 9,780,116 4.88 14,517,059 3.77 Due after 1 year through 2 years 4,362,389 3.33 2,726,023 2.82 Due after 2 years through 3 years 2,683,356 3.25 3,316,683 2.73 Due after 3 years through 4 years 4,573,456 4.37 2,045,370 2.70 Due after 4 years through 5 years 5,531,135 4.30 3,938,017 3.96 Thereafter 8,946,614 3.44 10,747,880 2.70 Total advances, par value 35,877,068 4.06 37,291,462 3.26 Fair-value hedging basis adjustments, net (319,721) (615,859) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 4,497 6,856 Total advances (1) $ 35,561,844 $ 36,682,459 (1) Carrying value equals amortized cost, which excludes accrued interest We offer our members certain advances that provide them the right, at predetermined future dates, to call (i.e., prepay) the advance prior to maturity without incurring prepayment or termination fees. We also offer certain adjustable-rate advances that may be contractually prepaid by the borrower at the interest-rate reset date without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance. We also offer putable advances. Under the terms of a putable advance, we retain the right to extinguish or put the fixed-rate advance to the member on predetermined future dates and offer replacement funding at current market rates, subject to certain conditions. The following table presents 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 December 31, December 31, Term 2023 2022 2023 2022 Overdrawn demand and overnight deposit accounts $ 2 $ 430 $ 2 $ 430 Due in 1 year or less 14,901,928 19,337,582 13,910,616 20,226,164 Due after 1 year through 2 years 3,641,289 2,299,023 5,102,289 3,207,023 Due after 2 years through 3 years 2,370,466 2,385,483 3,581,356 4,082,583 Due after 3 years through 4 years 3,328,746 1,592,245 4,808,556 2,045,370 Due after 4 years through 5 years 4,502,482 2,773,917 4,661,135 4,173,117 Thereafter 7,132,155 8,902,782 3,813,114 3,556,775 Total advances, par value $ 35,877,068 $ 37,291,462 $ 35,877,068 $ 37,291,462 Advance Concentrations. At December 31, 2023 and 2022, our top borrower held 12% of total advances outstanding at par and our top five borrowers held 35% and 41%, respectively. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. We determine the estimated value of the collateral required to secure each member's advances by applying collateral discounts, or haircuts, to the market value or UPB of the collateral, as applicable. At December 31, 2023 and 2022, we had rights to collateral on a borrower-by-borrower basis with an estimated lendable value equal to or in excess of our advances outstanding. At December 31, 2023 and 2022, we did not have any advances that were past due, on non-accrual status, or considered impaired. In addition, there were no modifications related to advances to borrowers experiencing financial difficulties during the year ended December 31, 2023 and no troubled debt restructurings for the years ended December 31, 2022 or 2021. At December 31, 2023 and 2022, b ased upon the collateral held as security, our credit extension and collateral policies, 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 | 12 Months Ended |
Dec. 31, 2023 | |
Receivables [Abstract] | |
Mortgage Loans Held for Portfolio | Note 6 - Mortgage Loans Held for Portfolio Mortgage loans held for portfolio consist substantially of residential loans acquired from our members through the MPP. The mortgage loans are fixed-rate and either credit enhanced by PFIs, if conventional, or guaranteed or insured by government agencies. The following tables present information on our mortgage loans held for portfolio by term and type. Term December 31, 2023 December 31, 2022 Fixed-rate long-term mortgages $ 7,711,709 $ 6,676,752 Fixed-rate medium-term (1) mortgages 740,859 856,446 Total mortgage loans held for portfolio, UPB 8,452,568 7,533,198 Unamortized premiums 179,499 168,593 Unamortized discounts (11,844) (9,466) Hedging basis adjustments, net (6,254) (5,670) Total mortgage loans held for portfolio 8,613,969 7,686,655 Allowance for credit losses (125) (200) Total mortgage loans held for portfolio, net (2) $ 8,613,844 $ 7,686,455 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable Type December 31, 2023 December 31, 2022 Conventional $ 8,298,188 $ 7,383,168 Government-guaranteed or -insured 154,380 150,030 Total mortgage loans held for portfolio, UPB $ 8,452,568 $ 7,533,198 Conventional MPP. Our management of credit risk considers the several layers of loss protection that are defined in our agreements with the PFIs. Our loss protection consists of the following loss layers, in order of priority, (i) borrower equity; (ii) PMI up to coverage limits (when applicable for the acquisition of mortgages with an initial LTV ratio of over 80% at the time of purchase); (iii) available funds remaining in the LRA; and (iv) SMI coverage (as applicable) purchased by the seller from a third-party provider naming the Bank as the beneficiary, up to the policy limits. Any losses not absorbed by the loss protection are borne by the Bank. Government-Guaranteed or -Insured Mortgage Loans. These fixed-rate mortgage loans are guaranteed or insured by the FHA, Department of Veterans Affairs, Rural Housing Service of the Department of Agriculture, or United States Department of Housing and Urban Development . The servicer provides and maintains a guaranty or insurance from the applicable government agency. The servicer is responsible for compliance with all government agency requirements and for obtaining the benefit of the applicable guaranty or insurance with respect to defaulted government-guaranteed or -insured mortgage loans. Any losses incurred on these loans that are not recovered from the insurer or guarantor are absorbed by the servicers. Credit Quality Indicators for Conventional Mortgage Loans and Other Delinquency Statistics. Payment status is the key credit quality indicator for conventional mortgage loans and allows us to monitor the migration of past due loans. Past due loans are those where the borrower has failed to make timely payments of principal and/or interest in accordance with the terms of the loan. Other delinquency statistics include non-accrual loans and loans in process of foreclosure. The tables below present the key credit quality indicators and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the most recent five origination years and (ii) all other prior origination years. Amounts are based on amortized cost, which excludes accrued interest receivable. December 31, 2023 Origination Year Payment Status Prior to 2019 2019 to 2023 Total Past due: 30-59 days $ 20,204 $ 26,731 $ 46,935 60-89 days 3,097 4,698 7,795 90 days or more 5,206 1,364 6,570 Total past due 28,507 32,793 61,300 Total current 2,391,451 6,004,929 8,396,380 Total conventional mortgage loans, amortized cost $ 2,419,958 $ 6,037,722 $ 8,457,680 December 31, 2022 Origination Year Payment Status Prior to 2018 2018 to 2022 Total Past due: 30-59 days $ 17,892 $ 13,041 $ 30,933 60-89 days 4,537 1,992 6,529 90 days or more 9,498 2,979 12,477 Total past due 31,927 18,012 49,939 Total current 2,422,623 5,062,416 7,485,039 Total conventional mortgage loans, amortized cost $ 2,454,550 $ 5,080,428 $ 7,534,978 December 31, 2023 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 728 $ — $ 728 Serious delinquency rate (2) 0.08 % 0.64 % 0.09 % Past due 90 days or more still accruing interest (3) $ 2,513 $ 939 $ 3,452 On non-accrual status $ 7,601 $ — $ 7,601 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 $ 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 FHA loans, when certain criteria are met. (3) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status as they are well-secured and in the process of collection. Allowance for Credit Losses. We apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, historical and current economic conditions, and reasonable and supportable forecasts of expected economic conditions. We estimate expected losses on our conventional mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate any remaining exposure to delinquent conventional MPP loans paid in full by servicers and collateral-dependent loans. Loans are considered collateral-dependent when a borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and then reduce the allowance accordingly because the credit enhancements are entered into in conjunction with the purchase of a loan and cannot be both legally detached and separately exercised. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both historical and current information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure over the estimated lives of the loans. One such key input is a 3-year forecast of housing prices with a 2-year gradual transition to full reversion to historical inputs after 5 years. Additionally, the evaluation is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans 180 days or more past due and not charged-off are also collectively evaluated at the pool level based on loan-specific attribution data, including the use of loan-level property values from a third-party. Qualitative Factors. We also assess multiple qualitative factors in our estimation of credit losses. These factors represent a subjective management judgment based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and therefore may not otherwise be captured in our methodology. Rollforward of Allowance for Credit Losses. The table below presents a rollforward of our allowance for credit losses. Rollforward of Allowance 2023 2022 2021 Balance, beginning of year $ 200 $ 200 $ 350 (Charge-offs), net of recoveries 145 74 (42) Reversal of credit losses (220) (74) (108) Balance, end of year $ 125 $ 200 $ 200 Government-Guaranteed or -Insured Mortgage Loans . Based on the U.S. government guarantee or insurance on these loans, our assessment of our servicers, and the collateral backing the loans, we did not record an allowance for credit losses for government-guaranteed or -insured mortgage loans at December 31, 2023 or 2022. Furthermore, none of these mortgage loans have been placed on non-accrual status due to the U.S. government guarantee or insurance on these loans and the contractual obligation of the loan servicer to repurchase the loans when certain criteria are met. |
Premises, Software and Equipmen
Premises, Software and Equipment | 12 Months Ended |
Dec. 31, 2023 | |
Property, Plant and Equipment [Abstract] | |
Premises, Software and Equipment | Note 7 - Premises, Software and Equipment The following table presents the types of our premises, software and equipment. Type December 31, 2023 December 31, 2022 Premises $ 14,238 $ 14,768 Computer software 53,230 51,601 Equipment 10,219 12,278 Premises, software and equipment, in service 77,687 78,647 Accumulated depreciation and amortization (58,670) (54,068) Premises, software and equipment, in service, net 19,017 24,579 Capitalized assets in progress 5,543 2,726 Premises, software and equipment, net $ 24,560 $ 27,305 |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Note 8 - Derivatives and Hedging Activities Nature of Business Activity. We are exposed to interest-rate risk primarily from the effect of changes in market interest rates on our interest-earning assets and on our interest-bearing liabilities that finance those assets. The goal of our interest-rate risk management strategies is not to eliminate interest-rate risk, but to manage it within appropriate limits. To mitigate the risk of loss, we have established policies and procedures, which include guidelines on the extent of exposure to changes in interest rates that we are willing to accept. In addition, we monitor the risk to our interest income, net interest margin and average maturity of interest-earning assets and interest-bearing liabilities. We use derivative financial instruments when they are the most cost-effective alternative to achieve our financial and risk management objectives. The most common ways in which we use derivatives are to: • reduce the interest-rate sensitivity and repricing gaps of assets and liabilities; • protect the value of existing asset and liability positions or of commitments and forecasted transactions; • mitigate the adverse earnings effects of the shortening or extension of the duration of certain assets (e.g., advances or mortgage assets) and liabilities; • reduce funding costs by executing a derivative concurrently with the issuance of a consolidated obligation as the cost of a combined funding structure can be lower than the cost of a comparable CO bond; • preserve a favorable interest-rate spread between the yield of an asset (e.g., an advance) and the cost of the related liability (e.g., CO bond used to fund advance); • manage embedded options in assets and liabilities; and • manage our overall asset/liability structure. We reevaluate our hedging strategies from time to time and, consequently, we may adopt new strategies or change our hedging techniques. However, Finance Agency regulation and our risk management policies prohibit trading in, or the speculative use of, these derivative instruments and limit credit risk arising from these instruments. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. We are not a derivatives dealer and thus do not trade derivatives for short-term profit. Derivative transactions may be either executed with a counterparty over-the-counter (uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) with a Clearinghouse (cleared derivatives). Once a derivative transaction has been accepted for clearing by a Clearinghouse, the derivative transaction is novated, and the executing counterparty is replaced by the Clearinghouse. Types of Derivatives. We use the following types of derivative instruments. Interest-Rate Swaps. We use interest-rate swaps to hedge the risk of changes in the fair value of certain of our assets and liabilities due to changes in market interest rates. The variable rate we receive or pay in most interest-rate swaps is currently indexed to EFFR or SOFR. Interest-Rate Cap and Floor Agreements. We use caps and floors to protect against interest rates on variable-rate assets or liabilities rising above or falling below certain levels. Interest-Rate Swaptions. We utilize payer or receiver swaptions to protect against the adverse effects of sudden increases or decreases in interest rates, respectively. Forward Contracts. We normally sell TBA MBS or other derivatives for forward settlement to protect against changes in the market values of fixed-rate MDCs resulting from changes in market interest rates. Types of Hedged Items. We document at inception all relationships between the derivatives designated as hedging instruments and the hedged items, our risk management objectives and strategies for undertaking various hedge transactions, and our method of assessing effectiveness. We have the following types of hedged items: Investments. We primarily invest in Agency MBS, U.S. Treasury obligations, and GSE and TVA debentures, which may be classified as trading, HTM or AFS securities. The interest-rate, prepayment and duration risks associated with these investment securities are managed through a combination of debt issuance and derivatives. We may manage those risks by funding these investment securities with CO bonds that contain call features. We may also hedge the prepayment risk with caps or floors, callable swaps or swaptions. We may manage the risk and volatility arising from changing market prices of investment securities by matching the cash outflows on the derivatives with the cash inflows on the investment securities. Certain of these derivatives qualify as fair-value hedges while others are designated as economic hedges. Advances. We offer a wide range of fixed- and adjustable-rate advance products with various maturities, interest rates, payment characteristics, and optionality. We may use derivatives to manage the repricing and/or options characteristics of advances in order to more closely match the characteristics of our funding liabilities. In general, whenever a member executes a fixed-rate advance or an adjustable-rate advance with embedded options, we may simultaneously execute a derivative with terms that offset the terms and embedded options in the advance. For example, we may hedge a fixed-rate advance with an interest-rate swap where we pay a fixed rate and receive a variable rate, effectively converting the fixed-rate advance to an adjustable-rate advance. This type of hedge is typically treated as a fair-value hedge. In addition, we may hedge a callable, prepayable or putable advance by entering into a cancellable interest-rate swap. Mortgage Loans. We invest in fixed-rate mortgage loans. The prepayment options embedded in these mortgage loans can result in extensions or contractions in the expected repayment of these loans, depending on changes in prepayment speeds. We may purchase interest-rate caps and floors, swaptions, callable swaps, calls, and puts to minimize the prepayment risk embedded in the loans. These derivatives are considered economic hedges against the prepayment risk of the loans, but they are not specifically linked to individual loans. Consolidated Obligations. We may enter into derivatives to hedge the interest-rate risk associated with our debt issuances. We manage the risk and volatility arising from changing market prices of consolidated obligations by matching the cash inflows on the derivatives with the cash outflows on the consolidated obligations. In a typical transaction, we issue a fixed-rate consolidated obligation and simultaneously enter into a matching derivative in which the counterparty pays fixed cash flows to us designed to match in timing and amount the cash outflows we pay on the consolidated obligation. In turn, we pay a variable cash flow to the counterparty that closely matches the interest payments we receive on short-term or variable-rate advances. These transactions are typically treated as fair-value hedges. Additionally, we may issue variable-rate CO bonds indexed to SOFR or the United States prime rate and simultaneously execute interest-rate swaps to hedge the basis risk of the variable-rate debt. Firm Commitments. In connection with our purchases of mortgage loans, we enter into MDCs. Certain MDCs entered into by us are considered derivatives. The MDC and the TBA used in the firm commitment hedging strategy are treated as an economic hedge and are marked to fair value through earnings. When the MDC settles, the current fair value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Managing Credit Risk on Derivatives. We are subject to credit risk due to the risk of nonperformance by the counterparties to our derivative transactions. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies, the United States Commodity Futures Trading Commission regulations, and Finance Agency regulations. Uncleared Derivatives. For uncleared derivatives, the degree of credit risk depends on the extent to which master netting arrangements are included in such contracts to mitigate the risk. We require collateral agreements with our uncleared derivatives. During the year ended December 31, 2023 , we became subject to two-way initial margin regulatory requirements for uncleared derivative transactions as our aggregate uncleared derivative exposure to a single counterparty exceeded a specified threshold. Required initial margin must be in the form of non-cash collateral and held at a third-party custodian but such posting does not change ownership of the initial margin. Rather, the counterparty has a security interest in the required initial margin and can only take ownership upon the occurrence of certain events, including an event of default due to bankruptcy, insolvency, or similar proceeding. As a result, at December 31, 2023 , our securities pledged as collateral totaled $15,670 , which cannot be sold or repledged by the counterparty. Cleared Derivatives. For cleared derivatives, the Clearinghouse is our counterparty. We use LCH.UK and CME Clearing as Clearinghouses for all cleared derivative transactions. Collateral is required to be posted daily for changes in the value of cleared derivatives to mitigate each counterparty's credit risk. The Clearinghouse notifies the clearing agent of the required initial and variation margin, and the clearing agent notifies us. The requirement that we post initial and variation margin through the clearing agent for the benefit of the Clearinghouse exposes us to institutional credit risk in the event that the clearing agent or Clearinghouse fails to meet its obligations. At both Clearinghouses, initial margin is considered cash collateral and variation margin is characterized as a daily settlement payment. The Clearinghouse determines margin requirements which are generally not based on credit ratings. However, clearing agents may require additional margin to be posted by us based on credit considerations, including but not limited to any credit rating downgrades. At December 31, 2023, we were not required by our clearing agents to post any additional margin. Financial Statement Effect and Additional Financial Information. The notional amount of derivatives serves as a factor in determining periodic interest payments, or cash flows received and paid. The notional amount of derivatives also reflects the extent of our involvement in the various classes of financial instruments but represents neither the actual amounts exchanged nor our overall exposure to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the hedged items. We record derivative instruments, related cash collateral received or pledged/posted and associated accrued interest on a net basis, by clearing agent and/or by counterparty when the netting requirements have been met. The following table presents the notional amount and estimated fair value of our derivative assets and liabilities. December 31, 2023 December 31, 2022 Notional Derivative Derivative Notional Derivative Derivative Amount Assets Liabilities Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 75,336,530 $ 736,648 $ 1,533,144 $ 66,103,220 $ 919,089 $ 2,178,897 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 610,000 100 319 6,200,000 599 525 Interest-rate caps/floors 811,000 887 — 611,000 1,310 — Interest-rate forwards 57,300 — 337 30,200 131 — MDCs 57,270 207 12 30,855 50 102 Total derivatives not designated as hedging instruments 1,535,570 1,194 668 6,872,055 2,090 627 Total derivatives before adjustments $ 76,872,100 737,842 1,533,812 $ 72,975,275 921,179 2,179,524 Netting adjustments and cash collateral (1) (216,678) (1,526,872) (486,758) (2,160,315) Total derivatives, net, at estimated fair value $ 521,164 $ 6,940 $ 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 December 31, 2023 and 2022, including accrued interest, totaled $1,451,464 and $1,854,876, respectively. Cash collateral received from counterparties and held at December 31, 2023 and 2022, including accrued interest, totaled $141,271 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. December 31, 2023 December 31, 2022 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 736,071 $ 1,521,576 $ 892,313 $ 2,178,098 Cleared 1,564 11,887 28,685 1,324 Total gross recognized amount 737,635 1,533,463 920,998 2,179,422 Gross amounts of netting adjustments and cash collateral Uncleared (727,850) (1,514,985) (884,451) (2,158,991) Cleared 511,172 (11,887) 397,693 (1,324) Total gross amounts of netting adjustments and cash collateral (216,678) (1,526,872) (486,758) (2,160,315) Net amounts after netting adjustments and cash collateral Uncleared 8,221 6,591 7,862 19,107 Cleared 512,736 — 426,378 — Total net amounts after netting adjustments and cash collateral 520,957 6,591 434,240 19,107 Derivative instruments not meeting netting requirements (1) 207 349 181 102 Total derivatives, net, at estimated fair value $ 521,164 $ 6,940 $ 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. Year Ended December 31, 2023 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 578,797 $ 474,849 $ (950,685) $ 102,961 Net gains (losses) on derivatives (2) (283,523) (64,225) 722,878 375,130 Net gains (losses) on hedged items (3) 254,122 (14,754) (707,220) (467,852) Net impact on net interest income $ 549,396 $ 395,870 $ (935,027) $ 10,239 Total interest income (expense) recorded in the statement of income (4) $ 1,942,905 $ 808,400 $ (2,203,964) $ 547,341 Year Ended December 31, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 52,810 $ 58,755 $ (136,188) $ (24,623) Net gains (losses) on derivatives (2) 725,919 432,904 (1,909,780) (750,957) Net gains (losses) on hedged items (3) (731,398) (502,643) 1,900,103 666,062 Net impact on net interest income $ 47,331 $ (10,984) $ (145,865) $ (109,518) Total interest income (expense) recorded in the statement of income (4) $ 634,148 $ 285,252 $ (712,038) $ 207,362 Year Ended December 31, 2021 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (183,075) $ (110,510) $ 103,143 $ (190,442) Net gains (losses) on derivatives (2) 425,804 303,349 (272,157) 456,996 Net gains (losses) on hedged items (3) (429,900) (321,097) 269,447 (481,550) Net impact on net interest income $ (187,171) $ (128,258) $ 100,433 $ (214,996) Total interest income (expense) recorded in the statement of income (4) $ 115,634 $ 99,646 $ (206,429) $ 8,851 (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, price alignme nt interest and swap termination fees . (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. Years Ended December 31, Type of Hedge 2023 2022 2021 Net gains (losses) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (17,369) $ 15,731 $ 13,347 Interest-rate caps/floors (1,746) 233 (36) Interest-rate forwards (308) 7,824 3,350 Net interest settlements (1) 20,370 33,391 (9,137) MDCs (766) (8,750) (3,840) Net gains (losses) on derivatives in other income $ 181 $ 48,429 $ 3,684 (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. December 31, 2023 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 21,624,453 $ 14,254,103 $ 36,682,911 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ (319,721) $ (1,013,707) $ (1,410,511) For discontinued fair-value hedging relationships — 234,825 — Total cumulative fair-value hedging basis adjustments on hedged items $ (319,721) $ (778,882) $ (1,410,511) 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. |
Deposit Liabilities
Deposit Liabilities | 12 Months Ended |
Dec. 31, 2023 | |
Deposits [Abstract] | |
Deposit Liabilities | Note 9 - Deposit Liabilities We offer demand and overnight deposits to members and qualifying non-members. In addition, we offer short-term interest-bearing deposit programs to members. A member that services mortgage loans may deposit funds collected in connection with the mortgage loans, pending disbursement of such funds to the owners of the mortgage loans. We classify these items as other deposits. Demand, overnight, and other deposits pay interest based on a daily interest rate. Time deposits pay interest based on a fixed rate determined at the origination of the deposit. The following table presents the types of our deposits. Type December 31, 2023 December 31, 2022 Interest-bearing: Demand and overnight $ 608,697 $ 571,971 Time 20,100 23,898 Other 14 38 Total interest-bearing 628,811 595,907 Total deposits $ 628,811 $ 595,907 |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2023 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Note 10 - Consolidated Obligations Consolidated obligations consist of CO bonds and discount notes. CO bonds may be issued to raise short-, intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Discount notes are issued primarily to raise short-term funds and have original maturities of up to one year. These notes generally sell at less than their face amount and are redeemed at par value when they mature. The FHLBanks issue consolidated obligations through the Office of Finance as their agent under the oversight of the Finance Agency and the United States Secretary of the Treasury. In connection with each debt issuance, each FHLBank specifies the amount of debt to be issued on its behalf. Each FHLBank records as a liability the specific portion of consolidated obligations issued on its behalf and for which it is the primary obligor. In addition to being the primary obligor for all consolidated obligations issued on our behalf, we are jointly and severally liable with each of the other FHLBanks for the payment of the principal and interest on all of the FHLBanks' consolidated obligations outstanding. The par values of the FHLBanks' consolidated obligations outstanding at December 31, 2023 and 2022 totaled $1.2 trillion. As provided by the Bank Act and Finance Agency regulations, consolidated obligations are backed only by the financial resources of all FHLBanks. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation whether or not the consolidated obligation represents a primary liability of that FHLBank. Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if that event should occur, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement for any payments made on behalf of another FHLBank and other associated costs, including interest to be determined by the Finance Agency. If, however, the Finance Agency determines that such other FHLBank is unable to satisfy its repayment obligations to the paying FHLBank, then the Finance Agency may allocate the outstanding liability of such other FHLBank among the remaining FHLBanks on a pro-rata basis in proportion to their participation in all outstanding consolidated obligations, or in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. We do not believe that it is probable that we will be asked or required to make principal or interest payments on behalf of another FHLBank. Discount Notes. The following table presents our discount notes outstanding, all of which are due within one year of issuance. Discount Notes December 31, 2023 December 31, 2022 Par value $ 22,737,397 $ 27,533,665 Unamortized discounts (115,297) (145,726) Unamortized concessions (263) (447) Book value $ 22,621,837 $ 27,387,492 Weighted average effective interest rate 5.35 % 4.16 % CO Bonds. CO bonds are issued with either fixed-rate or variable-rate coupon payment terms that may use a variety of indices for interest-rate resets, such as SOFR or the United States prime rate. To meet the specific needs of certain investors in CO bonds, both fixed-rate and variable-rate CO bonds may contain features that result in complex coupon payment terms and call options. When these CO bonds are issued, we may enter into derivatives containing features that offset the terms and embedded options, if any, of the CO bonds. In addition to CO bonds with fixed-rate or simple variable-rate interest payment terms, step-up CO bonds pay interest at increasing fixed rates for specified intervals over their lives and generally contain provisions enabling us to call them at our option on the step-up dates. The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type December 31, 2023 December 31, 2022 Fixed-rate $ 45,009,050 $ 36,957,560 Simple variable-rate 3,389,500 2,776,000 Step-up 1,428,500 2,268,500 Total CO bonds, par value $ 49,827,050 $ 42,002,060 The following table presents our CO bonds outstanding by contractual maturity. December 31, 2023 December 31, 2022 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 20,137,240 3.76 $ 10,016,310 3.05 Due after 1 year through 2 years 10,415,280 2.96 8,014,590 1.48 Due after 2 years through 3 years 7,537,350 1.48 6,278,940 1.37 Due after 3 years through 4 years 2,356,530 1.85 7,130,600 1.25 Due after 4 years through 5 years 2,254,120 3.06 2,312,540 1.76 Thereafter 7,126,530 2.81 8,249,080 2.35 Total CO bonds, par value 49,827,050 2.99 42,002,060 1.99 Unamortized premiums 33,792 45,535 Unamortized discounts (10,093) (10,165) Unamortized concessions (8,672) (7,174) Fair-value hedging basis adjustments, net (1,410,511) (2,147,802) Total CO bonds $ 48,431,566 $ 39,882,454 CO bonds with call options may be redeemed in whole or in part, at our discretion, on predetermined call dates according to the terms of the offerings. The following tables present the par value of our CO bonds outstanding by call features and the earlier of the year of contractual maturity or next call date. Call Feature December 31, 2023 December 31, 2022 Non-callable / non-putable $ 14,027,225 $ 11,979,560 Callable 35,799,825 30,022,500 Total CO bonds, par value $ 49,827,050 $ 42,002,060 Year of Contractual Maturity or Next Call Date December 31, 2023 December 31, 2022 Due in 1 year or less $ 42,512,740 $ 37,066,810 Due after 1 year through 2 years 4,389,780 1,444,590 Due after 2 years through 3 years 895,850 770,940 Due after 3 years through 4 years 327,530 804,100 Due after 4 years through 5 years 1,051,620 268,540 Thereafter 649,530 1,647,080 Total CO bonds, par value $ 49,827,050 $ 42,002,060 |
Affordable Housing Program
Affordable Housing Program | 12 Months Ended |
Dec. 31, 2023 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program | Note 11 - Affordable Housing Program The Bank Act requires each FHLBank to establish an AHP, in which the FHLBank provides subsidies in the form of direct grants to members that use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must set aside for the AHP the greater of the aggregate of $100 million or 10% of each FHLBank's net earnings. For purposes of the AHP calculation, net earnings is defined in a Finance Agency Advisory Bulletin as income before assessments, plus interest expense related to MRCS. Our required AHP expense, based on 10% of our net earnings, is reported separately as AHP assessments on the Statement of Income as a reduction to income before assessments. Voluntary contributions to our AHP are reported within other expenses. The following table summarizes the activity in our AHP funding obligation. AHP Activity 2023 2022 2021 Liability at beginning of year $ 38,170 $ 31,049 $ 34,402 Assessments 43,886 19,876 10,720 Voluntary contributions to AHP 1,863 4,159 — Subsidy usage, net (1) (15,618) (16,914) (14,073) Liability at end of year $ 68,301 $ 38,170 $ 31,049 (1) |
Capital
Capital | 12 Months Ended |
Dec. 31, 2023 | |
Banking Regulation, Total Capital [Abstract] | |
Capital | Note 12 - Capital We are a financial cooperative whose member and former member institutions (or legal successors) own all of our outstanding capital stock. Former members (including certain non-member institutions that own our capital stock as a result of a merger with or acquisition of a member) own our capital stock sole ly to support credit products or mortgage loans still outstanding on our statement of condition. Member shares cannot be purchased or sold except between us and our members or, with our written approval, among our members, at the par value of one hundred dollars per share, as mandated by our capital plan and Finance Agency regulation. Classes of Capital Stock. Our capital plan divides our Class B stock into two sub-series: Class B-1 and Class B-2. Class B-1 stock is held by our members to satisfy their membership stock requirements, while Class B-2 stock is held to satisfy their activity-based stock requirements. A member's Class B-1 stock is reclassified as B-2 as needed to help fulfill the member's activity-based stock requirement, and the member may be required to purchase additional Class B-2 stock to fully meet that requirement. Any excess stock (i.e., the amount of stock held by a member or former member in excess of the stock ownership requirement for that institution) is automatically classified as Class B-1. The following table presents our capital stock outstanding by sub-series. Capital Stock Sub-Series December 31, 2023 December 31, 2022 Class B-1 (1) $ 581,687 $ 535,345 Class B-2 (2) 1,703,571 1,587,780 Total Class B $ 2,285,258 $ 2,123,125 (1) Non-activity-based stock. (2) Activity-based stock. Our capital plan also permits the board of directors to authorize the issuance of Class A stock although, as of December 31, 2023, the board of directors had not authorized such issuance. If authorized, a member may elect to purchase Class A stock, rather than Class B-2 stock, to satisfy the member’s activity-based stock requirement, subject to certain restrictions. Dividends. Our board of directors may, but is not required to, declare and pay dividends on our Class B stock in either cash or capital stock or a combination thereof, as long as we are in compliance with Finance Agency regulations. The amount of the dividend to be paid is based on the average number of shares of each sub-series held by the member during the dividend payment period (applicable quarter). Our capital plan does not mandate a specific difference between Class B-1 and Class B-2 dividend rates. Rather, the board of directors may declare a dividend rate on Class B-2 stock that is equal to or greater than the rate on Class B-1 stock. The plan also authorizes the board of directors to declare a dividend rate on Class A stock (if issued and outstanding) that is equal to or greater than the rate on Class B-1 stock. Stock Redemption and Repurchase. In accordance with the Bank Act, our capital stock is considered putable by the member. Members can redeem Class B stock, subject to certain restrictions, by giving five years' written notice. Members can redeem Class A stock, subject to certain restrictions, by giving six months written notice. Any member that withdraws from membership or otherwise has had its membership terminated may not be readmitted as a member for a period of five years from the divestiture date for all capital stock that was held as a condition of membership, as set forth in our capital plan and Finance Agency regulations, unless the member has canceled or revoked its notice of withdrawal prior to the end of the applicable redemption period. This restriction does not apply if the member is transferring its membership from one FHLBank to another on an uninterrupted basis. We are not required to redeem a member's required capital stock until the expiration of the notice of redemption, or until the activity to which the capital stock relates no longer remains outstanding, whichever is later. However, we may repurchase, at our sole discretion, any member's capital stock that exceeds the required minimum amount, subject to significant statutory and regulatory restrictions on our right to repurchase, or obligation to redeem, the outstanding stock. As a result, whether or not a member may have its capital stock repurchased or redeemed will depend, in part, on whether we are in compliance with those restrictions. A member may cancel or revoke its written notice of redemption or its notice of withdrawal from membership prior to the conclusion of the applicable redemption period. However, our capital plan provides that we may charge a cancellation fee to a member that cancels or revokes its withdrawal notice. Restricted Retained Earnings. In accordance with our JCEA, we allocate 20% of the Bank's net income each quarter to a separate restricted retained earnings account until the balance of that account, calculated as of the last day of each quarter, equals at least 1% of the average balance of the Bank's outstanding consolidated obligations for the quarter. Mandatorily Redeemable Capital Stock. When a member withdraws or otherwise attains non-member status, the member's shares are then subject to redemption and become mandatorily redeemable, resulting in a reclassification of the member's capital stock to a liability as MRCS at estimated fair value, which is equal to par value. The following table presents the activity in our MRCS. MRCS Activity 2023 2022 2021 Liability at beginning of year $ 372,503 $ 50,422 $ 250,768 Reclassification from capital stock 1,172 329,232 4,730 Redemptions/repurchases (4,634) (7,151) (205,076) Liability at end of year $ 369,041 $ 372,503 $ 50,422 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 December 31, 2023 December 31, 2022 Past contractual redemption date (1) $ 738 $ 498 Year 1 (2) 15,047 10,048 Year 2 19,179 9,872 Year 3 3,674 19,179 Year 4 329,232 3,674 Year 5 1,171 329,232 Total MRCS $ 369,041 $ 372,503 (1) Balance represents Class B stock that will not be redeemed until the associated credit products or mortgage loans are no longer outstanding. (2) Balance at December 31, 2023 and 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 are no longer outstanding. If a member's membership status changes to a non-member during a quarterly dividend period, but not at the beginning or the end of a quarterly period, any dividends for that quarterly period are allocated between distributions from retained earnings for the shares held as capital stock during that period and interest expense for the shares held as MRCS during that period. Therefore, the distributions from retained earnings represent dividends to former members for only the portion of the period that they were members. The amounts recorded to interest expense represent dividends to former members for the portion of that period and subsequent periods that they were not members. The following table presents the distributions related to our MRCS. Years Ended December 31, MRCS Distributions 2023 2022 2021 Recorded as interest expense $ 17,540 $ 2,140 $ 2,601 Recorded as distributions from retained earnings 716 2,067 97 Total $ 18,256 $ 4,207 $ 2,698 Capital Requirements. We are subject to three capital requirements under our capital plan and Finance Agency regulations: (i) Risk-based capital. We must maintain at all times permanent capital, defined as Class B stock (including MRCS) and retained earnings, in an amount at least equal to the sum of our credit risk, market risk, and operational risk capital requirements, all of which are calculated in accordance with Finance Agency regulations. The Finance Agency may require us to maintain a greater amount of permanent capital than is required by the risk-based capital requirements as defined. (ii) Total regulatory capital. We are required to maintain at all times a total capital-to-assets ratio of at least 4%. Total regulatory capital is the sum of permanent capital, any general loss allowance, if consistent with GAAP and not held against specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses. For regulatory capital purposes, AOCI is not considered capital. (iii) Leverage capital. We are required to maintain at all times a leverage capital-to-assets ratio of at least 5%. Leverage capital is defined as the sum of (a) permanent capital weighted 1.5 times and (b) all other components of total capital. As presented in the following table, we were in compliance with these Finance Agency capital requirements at December 31, 2023 and 2022. December 31, 2023 December 31, 2022 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 1,277,258 $ 4,186,470 $ 489,240 $ 3,781,992 Total regulatory capital $ 3,064,336 $ 4,186,470 $ 2,891,351 $ 3,781,992 Total regulatory capital-to-assets ratio 4.00% 5.46% 4.00% 5.23% Leverage capital $ 3,830,420 $ 6,279,705 $ 3,614,189 $ 5,672,988 Leverage ratio 5.00% 8.20% 5.00% 7.85% |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income | 12 Months Ended |
Dec. 31, 2023 | |
AOCI Attributable to Parent [Abstract] | |
Accumulated Other Comprehensive Income | Note 13 - Accumulated Other Comprehensive Income The following table presents a summary of the changes in the components of our AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402 OCI before reclassifications: Net change in unrealized gains (losses) 15,021 — 15,021 Reclassifications from OCI to net income: Pension benefits, net — 12,635 12,635 Total other comprehensive income 15,021 12,635 27,656 Balance, December 31, 2021 $ 151,942 $ (18,884) $ 133,058 OCI before reclassifications: Net change in unrealized gains (losses) (161,881) — (161,881) Reclassifications from OCI to net income: Pension benefits, net — 3,032 3,032 Total other comprehensive income (loss) (161,881) 3,032 (158,849) Balance, December 31, 2022 $ (9,939) $ (15,852) $ (25,791) OCI before reclassifications: Net change in unrealized gains (losses) (56,547) — (56,547) Reclassifications from OCI to net income: Net realized losses from sale of AFS securities 6,709 — 6,709 Pension benefits, net — 2,097 2,097 Total other comprehensive income (loss) (49,838) 2,097 (47,741) Balance, December 31, 2023 $ (59,777) $ (13,755) $ (73,532) |
Employee Retirement and Deferre
Employee Retirement and Deferred Compensation Plans | 12 Months Ended |
Dec. 31, 2023 | |
Retirement Benefits [Abstract] | |
Employee Retirement and Deferred Compensation Plans | Note 14 - Employee Retirement and Deferred Compensation Plans Qualified Defined Contribution Plan. We participate in a tax-qualified single-employer retirement savings plan. This DC plan covers our employees who meet certain eligibility requirements. The Bank makes a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. In addition, the Bank makes a non-elective contribution to the account of each participant who is not eligible to participate in the Bank's DB plan. During the years ended December 31, 2023, 2022 and 2021, the Bank contribut ed a total of $2,975, $2,742 , and $2,682, respectively. Qualified Defined Benefit Pension Plan. We participate in a tax-qualified, defined benefit pension plan for financial institutions administered by Pentegra Retirement Services. This DB Plan is treated as a multiemployer plan for accounting purposes but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 and the Internal Revenue Code. As a result, certain multiemployer plan disclosures are not applicable. Under the DB Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits to employees of that employer only. Also, in the event that a participating employer is unable to meet its contribution or funding requirements, the required contributions for the other participating employers (including us) could increase proportionately. Our DB Plan covers our employees who meet certain eligibility requirements, including an employment date prior to February 1, 2010. The DB Plan operates on a fiscal year from July 1 through June 30 and files one Form 5500 on behalf of all participating employers. The most recent Form 5500 available for the DB Plan is for the plan year ended June 30, 2022. The Bank's contributions did not exceed 5% of the total contributions to the DB Plan by all participating employers for the plan years ended June 30, 2022, 2021 and 2020, respectively. The Employer Identification Number is 13-5645888 and the three digit plan number is 333. There are no collective bargaining agreements in place. The DB Plan's annual valuation process includes calculating its funded status and separately calculating the funded status of each participating employer. The funded status is calculated as the market value of plan assets divided by the funding target which is equal to 100% of the present value of all benefits accrued, utilizing a discount rate calculation methodology prescribed by the 2012 Moving Ahead for Progress in the 21st Century Act ("MAP-21"). Such methodology continued to result in an otherwise higher discount rate at the plan valuation dates, which resulted in a lower funding target and a higher funded status each year. Over time, the favorable impact of MAP-21 may decline. As permitted by the Employee Retirement Income Security Act of 1974, the DB Plan accepts contributions for the prior plan year up to eig ht and a half months after the asset valuation date. As a result, the market value of plan assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30. The following table presents a summary of net pension costs charged to compensation and benefits expense and the DB Plan's funded status. DB Plan Net Pension Cost and Funded Status 2023 2022 2021 Net pension cost charged to compensation and benefits expense for the year ended December 31 (1) $ 5,754 $ 7,009 $ 5,482 DB Plan funded status as July 1 114 % (a) 119 % (b) 130 % Our funded status as of July 1 106 % 110 % 126 % (1) Includes voluntary contributions for the years ended December 31, 2023, 2022 and 2021 of $5,310, $6,301, and $4,112, respectively. (a) The DB Plan's funded status as of July 1, 2023 is preliminary and may increase because the participating employers are permitted to make designated contributions through March 15, 2024 for the plan year ended June 30, 2023. Any such contributions will be included in the final valuation as of July 1, 2023. The final funded status as of July 1, 2023 will not be available until the Form 5500 for the plan year ended June 30, 2024 is filed (no later than April 2025). (b) The DB Plan's final funded status as of July 1, 2022 will not be available until the Form 5500 for the plan year ended June 30, 2023 is filed (no later than April 2024). Nonqualified Defined Benefit Supplemental Retirement Plan. We participate in a nonqualified, single-employer, unfunded supplemental executive retirement plan. This SERP restores all of the defined benefits to participating employees who have had their qualified defined benefits limited by Internal Revenue Service regulations. Because the SERP is a nonqualified unfunded plan, no contributions are required to be made. However, we may elect to make contributions to a related grantor trust that we established to indirectly fund the SERP in order to maintain a desired funding level. Payments of benefits may be made from the related grantor trust or from our general assets. The following table presents the changes in our SERP benefit obligation. Change in benefit obligation 2023 2022 2021 Projected benefit obligation at beginning of year $ 51,916 $ 50,577 $ 58,330 Service cost 1,526 2,127 3,528 Interest cost 1,790 856 1,067 Actuarial (gain) loss (805) (1,121) 119 Benefits paid (196) (523) (523) Settlements (697) — (5,665) Plan amendment — — (6,279) Projected benefit obligation at end of year $ 53,534 $ 51,916 $ 50,577 The actuarial (gain) loss includes the impact of the changes in the discount rate, compensation, mortality, demographics and other components used to calculate the projected benefit obligation at December 31 of each year. The following table presents the key assumptions used in the actuarial calculations of the benefit obligation. December 31, 2023 2022 2021 Discount rate 4.69 % 4.86 % 2.29 % Compensation increases 5.50 % 5.50 % 5.50 % The discount rate represents a weighted average that was determined by a discounted cash-flow approach, which incorporates the timing of each expected future benefit payment. We estimate future benefit payments based on the census data of the SERP's participants, benefit formulas and provisions, and valuation assumptions reflecting the probability of decrement and survival. We then determine the present value of the future benefit payments by using duration-based interest-rate yields from the Financial Times Stock Exchange Pension Discount Curve as of the measurement date, and solving for the single discount rate that produces the same present value of the future benefit payments. The accumulated benefit obligation for the SERP, which excludes projected future salary increases as of December 31, 2023 and 2022 was $43,264 an d $41,457 , respectively. The unfunded benefit obligation is reported in other liabilities. Although there are no plan assets, the assets in the related grantor trust, included as a component of other assets, had a total estimated fair v alue at December 31, 2023 and 2022 of $53,434 and $46,688, respectively. The following table presents the components of the net periodic benefit cost for the SERP. Components Years Ended December 31, 2023 2022 2021 Portion recognized in compensation and benefits: Service cost $ 1,526 $ 2,127 $ 3,528 Total 1,526 2,127 3,528 Portion recognized in other expenses: Interest cost 1,790 856 1,067 Amortization of past service credit (873) (874) — Amortization of net actuarial loss 2,165 2,785 3,706 Accelerated amortization of net actuarial loss due to settlements — — 2,769 Total 3,082 2,767 7,542 Total net periodic benefit cost recognized in income before assessments 4,608 4,894 11,070 Pension benefits recognized in OCI: Actuarial loss (805) (1,121) 119 Amortization of net actuarial loss (2,165) (2,785) (3,706) Accelerated amortization of net actuarial loss due to settlements — — (2,769) Past service credit due to plan amendment — — (6,279) Amortization of past service credit 873 874 — Net pension benefits recognized in OCI (2,097) (3,032) (12,635) Net amount recognized as net periodic benefit cost (credit) $ 2,511 $ 1,862 $ (1,565) The following table presents the key assumptions used in the actuarial calculations to determine net periodic benefit cost for the SERP. Years Ended December 31, 2023 2022 2021 Discount rate (1) 4.86 % 2.29 % 2.06 % Compensation increases 5.50 % 5.50 % 5.50 % (1) The discount rate for 2021 was 1.54% for the first six months and 2.06% for the last six months. The following table presents the components of the pension benefits reported in AOCI for the SERP. December 31, 2023 December 31, 2022 Net actuarial loss $ (18,287) $ (21,257) Past service credit due to plan amendment 4,532 5,405 Net pension benefits reported in AOCI $ (13,755) $ (15,852) The net periodic benefit cost for the SERP, including the net amount to be amortized, for the year ending December 31, 2024 is projected to be approxima tely $4,407. The following table presents the estimated future benefit payments reflecting scheduled benefit payments for retired participants and the estimated payments to active participants, based on the form of payment elected by the participant and the actuarial probability of the participant retiring. Actual payments may differ significantly. For the Years Ending December 31, 2024 $ 28,957 2025 2,316 2026 2,431 2027 2,730 2028 3,223 2029 - 2033 15,551 |
Segment Information
Segment Information | 12 Months Ended |
Dec. 31, 2023 | |
Segment Reporting [Abstract] | |
Segment Information | Note 15 - Segment Information We report based on two operating segments: • Traditional, which consists of credit products (including advances, standby letters of credit, and lines of credit), investments (including federal funds sold, securities purchased under agreements to resell, interest-bearing demand deposit accounts, and investment securities), and correspondent services and deposits; and • Mortgage loans, which consists substantially of mortgage loans purchased from our members through our MPP. These segments reflect our two primary mission asset activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways we provide services to members. We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Traditional net interest income is derived primarily from the spread between the interest income earned on advances and investments and the borrowing costs related to those assets, net interest settlements and changes in fair value related to certain interest-rate swaps, and related premium and discount amortization. Traditional also includes the costs related to holding deposits for members and other miscellaneous borrowings. Mortgage loan net interest income is derived primarily from the spread between the interest income earned on mortgage loans, including the premium and discount amortization, and the borrowing costs related to those loans. Direct other income and expense also affect each segment's results. The traditional segment includes the direct earnings impact of certain derivatives and hedging activities related to advances, investments and consolidated obligations as well as all other miscellaneous income and expense not associated with mortgage loans. The mortgage loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct compensation, benefits and other expenses (including an allocation for indirect overhead) associated with operating the MPP and volume-driven costs associated with master servicing and quality control fees. The AHP assessments have been allocated to each segment based upon its proportionate share of income before assessments. The following table presents our financial performance by operating segment. Year Ended December 31, 2023 Traditional Mortgage Loans Total Net interest income $ 444,474 $ 50,981 $ 495,455 Provision for (reversal of) credit losses — (220) (220) Other income (loss) 46,588 (693) 45,895 Other expenses 103,662 16,586 120,248 Income before assessments 387,400 33,922 421,322 Affordable Housing Program assessments 40,494 3,392 43,886 Net income $ 346,906 $ 30,530 $ 377,436 Year Ended December 31, 2022 Traditional Mortgage Loans Total Net interest income $ 240,361 $ 50,337 $ 290,698 Provision for (reversal of) credit losses — (74) (74) Other income (loss) 20,101 (657) 19,444 Other expenses 97,158 16,436 113,594 Income before assessments 163,304 33,318 196,622 Affordable Housing Program assessments 16,544 3,332 19,876 Net income $ 146,760 $ 29,986 $ 176,746 Year Ended December 31, 2021 Traditional Mortgage Loans Total Net interest income $ 229,505 $ 22,035 $ 251,540 Provision for (reversal of) credit losses — (108) (108) Other income (loss) (33,495) (324) (33,819) Other expenses 96,760 16,465 113,225 Income before assessments 99,250 5,354 104,604 Affordable Housing Program assessments 10,185 535 10,720 Net income $ 89,065 $ 4,819 $ 93,884 We have not symmetrically allocated assets to each segment based upon financial results as it is impracticable to measure the performance of our segments from a total assets perspective. As a result, there is asymmetrical information presented in the tables above including, among other items, the allocation of depreciation without an allocation of the depreciable assets, derivatives and hedging earnings adjustments with no corresponding allocation to derivative assets, if any, and the recording of interest income with no allocation to accrued interest receivable. The following table presents our asset balances by operating segment. Date Traditional Mortgage Loans Total December 31, 2023 $ 67,994,560 $ 8,613,844 $ 76,608,404 December 31, 2022 64,597,325 7,686,455 72,283,780 |
Estimated Fair Values
Estimated Fair Values | 12 Months Ended |
Dec. 31, 2023 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Value | Note 16 - Estimated Fair Values We estimate fair value amounts by using available market and other pertinent information and the most appropriate valuation methods. Although we use our best judgment in estimating the fair values of financial instruments, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Certain estimates of the fair value of financial assets and liabilities are highly subjective and require judgments regarding significant factors such as the amount and timing of future cash flows, prepayment speeds, interest-rate volatility, and the discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Fair Value Hierarchy. GAAP establishes a fair value hierarchy and requires us to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring estimated fair value. The inputs are evaluated, and an overall level for the estimated fair value measurement is determined. This overall level is an indication of the extent of the market observability of the estimated fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs. Quoted prices (unadjusted) for identical assets or liabilities in an active market that we can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs. Inputs other than quoted prices within level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active; (iii) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (iv) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs. Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. There were no such reclassifications during the years ended December 31, 2023, 2022, or 2021. The following tables present the carrying value and estimated fair value of each of our financial instruments. The total of the estimated fair values does not represent an estimate of our overall market value as a going concern, which would take into account, among other considerations, future business opportunities and the net profitability of assets and liabilities. December 31, 2023 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 58,844 $ 58,844 $ 58,844 $ — $ — $ — Interest-bearing deposits 892,049 892,049 892,007 42 — — Securities purchased under agreements to resell 6,500,000 6,500,000 — 6,500,000 — — Federal funds sold 4,101,000 4,101,000 — 4,101,000 — — Trading securities 600,063 600,063 — 600,063 — — AFS securities 14,194,326 14,194,326 — 14,194,326 — — HTM securities 5,256,803 5,179,399 — 5,179,399 — — Advances 35,561,844 35,368,737 — 35,368,737 — — Mortgage loans held for portfolio, net 8,613,844 7,940,218 — 7,936,147 4,071 — Accrued interest receivable 203,809 203,809 — 203,809 — — Derivative assets, net 521,164 521,164 — 737,842 — (216,678) Grantor trust assets (2) 61,227 61,227 61,227 — — — Liabilities: Deposits 628,811 628,811 — 628,811 — — Consolidated obligations: Discount notes 22,621,837 22,620,613 — 22,620,613 — — Bonds 48,431,566 47,570,879 — 47,570,879 — — Accrued interest payable 327,237 327,237 — 327,237 — — Derivative liabilities, net 6,940 6,940 — 1,533,812 — (1,526,872) MRCS 369,041 369,041 369,041 — — — 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. The valuation techniques and significant inputs used to develop our measurement of estimated fair value for assets and liabilities that are measured at fair value on a recurring or non-recurring basis in the Statement Condition are listed below. Investment Securities - MBS. The estimated fair value incorporates prices from multiple third-party pricing vendors, when available. These pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources, including, but not limited to, benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers, and other market-related data. We conduct reviews of the pricing vendors' processes, methodologies and control procedures to confirm and further augment our understanding of the vendors' prices for our MBS. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by us. Our valuation technique for estimating the fair values of MBS initially requires the establishment of a "median" price for each security. All prices that are within a specified tolerance threshold of the median price are then included in the "cluster" of prices that are averaged to compute a "default" price. All prices that are outside the threshold (i.e., outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If so, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. In all cases, the final price is used to determine the estimated fair value of the security. As of December 31, 2023 and 2022, we obtained two or three prices for substantially all of our MBS. Investment Securities - non-MBS. The estimated fair value is determined using market-observable price quotes from third-party pricing vendors, such as the Composite Bloomberg Bond Trader screen, thus falling under the market approach. Derivative assets/liabilities. We base the estimated fair values of derivatives with similar terms on market prices when available. However, active markets do not exist for many of our derivatives. Consequently, fair values for these instruments are generally estimated using standard valuation techniques such as discounted cash-flow analysis and comparisons to similar instruments. In limited instances, fair value estimates for derivatives are obtained from dealers and are corroborated by using a pricing model and observable market data (e.g., the EFFR/SOFR curves). A discounted cash flow analysis utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • EFFR/SOFR curves - to project and discount cash flows for collateralized interest-rate swaps; and • Volatility assumption - market-based expectations of future interest-rate volatility implied from current market prices for similar options. TBAs: • TBA securities prices - market-based prices are determined by coupon, maturity and expected term until settlement. MDCs: • TBA securities prices - prices are then adjusted for differences in coupon, average loan rate and seasoning. The estimated fair values of our derivative assets and liabilities include accrued interest receivable/payable and related cash collateral. The estimated fair values of the accrued interest receivable/payable and cash collateral equal their carrying values due to their short-term nature. We adjust the estimated fair values of our derivatives for counterparty nonperformance risk, particularly credit risk, as appropriate. We compute our nonperformance risk adjustment by using observable credit default swap spreads and estimated probability default rates applied to our exposure after considering collateral held or placed. Grantor Trust Assets. Grantor trust assets, included as a component of other assets, are carried at estimated fair value based on quoted market prices as of the last business day of the reporting period. Estimated Fair Value Measurements. The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. December 31, 2023 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 600,063 $ — $ 600,063 $ — $ — Total trading securities 600,063 — 600,063 — — AFS securities: U.S. Treasury obligations 5,696,856 — 5,696,856 — — GSE and TVA debentures 1,806,938 — 1,806,938 — — GSE multifamily MBS 6,690,532 — 6,690,532 — — Total AFS securities 14,194,326 — 14,194,326 — — Derivative assets: Interest-rate related 520,957 — 737,635 — (216,678) MDCs 207 — 207 — — Total derivative assets, net 521,164 — 737,842 — (216,678) Other assets: Grantor trust assets 61,227 61,227 — — — Total assets at recurring estimated fair value $ 15,376,780 $ 61,227 $ 15,532,231 $ — $ (216,678) Derivative liabilities: Interest-rate related $ 6,928 $ — $ 1,533,800 $ — $ (1,526,872) MDCs 12 — 12 — — Total derivative liabilities, net 6,940 — 1,533,812 — (1,526,872) Total liabilities at recurring estimated fair value $ 6,940 $ — $ 1,533,812 $ — $ (1,526,872) 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) |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Note 17 - Commitments and Contingencies The following table presents our off-balance-sheet commitments at their notional amounts. December 31, 2023 December 31, 2022 Type of Commitment Expire within one year Expire after one year Total Total Standby letters of credit outstanding (1) $ 190,629 $ 321,294 $ 511,923 $ 471,877 Commitments for standby bond purchases — 184,960 184,960 — Unused lines of credit - advances (2) 1,196,988 — 1,196,988 1,026,035 Commitments to fund additional advances (3) 5,878 4,087 9,965 464,350 Commitments to purchase mortgage loans, net (4) 57,270 — 57,270 30,855 Unsettled CO bonds, at par — — — 75,000 Unsettled discount notes, at par — — — 5,000 (1) There were no unconditional commitments to issue standby letters of credit. (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. Commitments to Extend Credit. A standby letter of credit is a financing arrangement between us and one of our members for which we charge the member a commitment fee. If we are required to make a payment for a beneficiary's draw, the payment amount is converted into a collateralized advance to the member. Unearned fees on standby letters of credit are recorded in other liabilities and totaled $8,472 at December 31, 2023. Lines of credit allow members to fund short-term cash needs (up to one year) without submitting a new application for each request for funds. Liability for Credit Losses. We monitor the creditworthiness of our members that have standby letters of credit and lines of credit. As standby letters of credit and lines of credit are subject to the same collateralization and borrowing limits that apply to advances and are fully collateralized at the time of issuance, we have not recorded a liability for credit losses on these credit products. Commitments to Purchase Mortgage Loans. Commitments that unconditionally obligate us to purchase mortgage loans are generally for periods not to exceed 91 days. Such commitments are reported as derivative assets or derivative liabilities at their estimated fair value and are reported net of participating interests sold to other FHLBanks. Pledged Collateral. Cash pledged as collateral to counterparties and clearing agents at December 31, 2023 and 2022 totaled $1,447,218 and $1,849,797, respectively . Securities pledged as collateral to counterparties at December 31, 2023 and December 31, 2022 totaled $15,670 and $0, respectively. Standby Bond Purchase Agreements. During the year ended December 31, 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 t o five years, expiring no later than 2028, although some may be renewable at our option. We had not purchased any bonds under these agreements as of December 31, 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 5 - Advances; Note 6 - Mortgage Loans Held for Portfolio; Note 8 - Derivatives and Hedging Activities; Note 10 - Consolidated Obligations; Note 12 - Capital; and Note 14 - Employee Retirement and Deferred Compensation Plans . |
Related Party and Other Transac
Related Party and Other Transactions | 12 Months Ended |
Dec. 31, 2023 | |
Related Party Transactions [Abstract] | |
Related Party and Other Transactions | Note 18 - Related Party and Other Transactions We are a financial cooperative whose members and former members (or legal successors) own all of our outstanding capital stock. For more information, see Note 12 - Capital . Under GAAP, transactions with related parties include transactions with principal owners, i.e, owners of more than 10% of the voting interests of the entity. Due to the statutory limits on members' voting rights and the number of our members, no shareholder owned more than 10 percent of the total voting interests as of and for the three-year period ended December 31, 2023. Therefore, the Bank had no transactions with principal owners for any of the periods presented. Under GAAP, transactions with related parties also include transactions with management. Management is defined as persons who are responsible for achieving the objectives of the entity and who have the authority to establish policies and make decisions by which those objectives are to be pursued. For this purpose, management typically includes those who serve on our board of directors. Transactions with Directors Financial Institutions. The Bank provides, in the ordinary course of its business, products and services to members whose officers or directors may also serve as directors of the Bank, i.e., directors' financial institutions. However, Finance Agency regulations require that transactions with directors' financial institutions be made on the same terms as those with any other member. Therefore, all of our transactions with directors' financial institutions are subject to the same eligibility and credit criteria, as well as the same conditions, as comparable transactions with all other members. The following table presents our transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Years Ended December 31, Transactions with Directors' Financial Institutions 2023 2022 2021 Net capital stock issuances (redemptions and repurchases) $ 3,942 $ (33,580) $ 7,213 Net advances (repayments) (107,723) 3,850,669 (1,581,708) Mortgage loan purchases 40,331 17,584 58,830 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. December 31, 2023 December 31, 2022 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 56,763 2 % $ 49,869 2 % Advances 753,234 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 board's election of a new director to fill an unexpired term. Transactions with Members and Former Members. Substantially all advances are made to members, and all whole mortgage loans held for portfolio are purchased from members. We also maintain demand deposit accounts for members, primarily to facilitate settlement activities that are directly related to advances or mortgage loan purchases. Such transactions with members are entered into in the ordinary course of business. In addition, we may purchase investments in federal funds sold, securities purchased under agreements to resell, certificates of deposit, and MBS from members or their affiliates. All purchases are transacted at market prices without preference to the status of the counterparty or the issuer of the security as a member, nonmember, or affiliate thereof. Under our AHP, we provide subsidies to members, which may be in the form of direct grants or below-market-rate advances. All AHP subsidies are made in the ordinary course of business. Under our Community Investment Program and our Community Investment Cash Advances program, we provide subsidies in the form of below-market-rate advances to members or standby letters of credit to members for community lending and economic development projects. All Community Investment Cash Advances subsidies are made in the ordinary course of business. Transactions with Other FHLBanks. Occasionally, we loan or borrow short-term funds to/from other FHLBanks 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 outstanding at December 31, 2023 or 2022. Transactions with the Office of Finance. Our proportionate share of the cost of operating the Office of Finance is identified in our statement of income. For the determination of our proportionate share, see Note 1 - Summary of Significant Accounting Policies. |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation | Basis of Presentation. The accompanying financial statements have been prepared in accordance with GAAP and SEC requirements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank's financial position, results of operations and cash flows for the periods presented. All such adjustments were of a normal recurring nature. |
Use of Estimates | Use of Estimates. When preparing financial statements in accordance with GAAP, we are required to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. Although the reported amounts and disclosures reflect our best estimates, actual results could differ significantly from these estimates. The most significant estimates pertain to the fair values of financial instruments, specifically our derivatives and associated hedged items. Changes in Estimates. |
Fair Value Measurement | Estimated Fair Value. The estimated fair value amounts, recorded on the statement of condition and presented in the accompanying disclosures, reflect appropriate valuation methods and were determined based on the assumptions that we believe market participants would use in pricing the asset or liability. Although we use our best judgment in estimating fair value, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions on the reporting dates. For more information, see Note 16 - Estimated Fair Values . We estimate fair value amounts by using available market and other pertinent information and the most appropriate valuation methods. Although we use our best judgment in estimating the fair values of financial instruments, there are inherent limitations in any valuation technique. Therefore, these estimated fair values may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Certain estimates of the fair value of financial assets and liabilities are highly subjective and require judgments regarding significant factors such as the amount and timing of future cash flows, prepayment speeds, interest-rate volatility, and the discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. Fair Value Hierarchy. GAAP establishes a fair value hierarchy and requires us to maximize the use of significant observable inputs and minimize the use of significant unobservable inputs when measuring estimated fair value. The inputs are evaluated, and an overall level for the estimated fair value measurement is determined. This overall level is an indication of the extent of the market observability of the estimated fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs. Quoted prices (unadjusted) for identical assets or liabilities in an active market that we can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Level 2 Inputs. Inputs other than quoted prices within level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified or contractual term, a level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include (i) quoted prices for similar assets or liabilities in active markets; (ii) quoted prices for identical or similar assets or liabilities in markets that are not active; (iii) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals and implied volatilities); and (iv) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs. Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. |
Reclassifications | Reclassifications. We have reclassified certain amounts reported in prior periods to conform to the current period presentation. These reclassifications had no effect on total assets, total liabilities, total capital, net income, total comprehensive income or net cash flows. |
Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold | Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. These investments provide short-term liquidity and are carried at cost. Securities purchased under agreements to resell are treated as short-term, collateralized financings and are generally transacted with an overnight term. These securities are held in safekeeping in the Bank's name by third-party custodians approved by us. For securities outstanding longer than overnight, if the market value of the underlying assets declines below the market value required as collateral, the counterparty must (i) place an equivalent amount of additional securities in safekeeping in the Bank's name, and/or (ii) remit an equivalent amount of cash to the Bank. Federal funds sold are short-term, unsecured loans that are generally transacted with an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit an individual FHLBank may extend to a counterparty. |
Investment Securities | Investment Securities. Purchases and sales of securities are recorded on a trade date basis. We classify investments as trading, HTM or AFS at the date of acquisition. Trading Securities. Securities classified as trading are held for liquidity purposes and carried at estimated fair value. Changes in the fair value of these securities are recorded through other income as net gains (losses) on trading securities. Finance Agency regulation and our risk management policies prohibit the speculative use of these instruments and limit the credit risk arising from these securities. HTM Securities. Securities for which we have both the positive intent and ability to hold to maturity are classified as HTM and carried at amortized cost. The carrying value includes adjustments made to the cost basis of the security for purchase discount and related accretion, purchase premium and related amortization, and collection of principal. AFS Securities. Securities that are not classified as trading or HTM are classified as AFS and carried at estimated fair value. Changes in the fair value of these securities are recorded in OCI as net change in unrealized gains (losses) on AFS securities, except for AFS securities in hedging relationships that qualify as fair-value hedges. For those securities, the portion of the change in fair value attributable to the risk being hedged is recorded in interest income together with the related change in the fair value of the derivative, and the remainder of the change in the fair value of the security is recorded in OCI as net change in unrealized gains (losses) on AFS securities. Amortization or Accretion of Purchase Premiums and Discounts. Since the Bank holds a large number of similar loans underlying its MBS, for which prepayments are probable and the timing and amount of prepayments can be reasonably estimated, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments on MBS to interest income using a level-yield under the retrospective interest method. This method requires that we estimate prepayments over the estimated life of each security and retrospectively adjust the effective yield each time the estimated remaining cash flows change as if the new estimate had been used since the original acquisition date. Changes in interest rates are a significant assumption used in estimating the timing and amount of prepayments. For all non-MBS, prepayments are not estimated but only taken into account as they actually occur. For all non-MBS not classified as trading, we amortize or accrete premiums, discounts, and cumulative fair-value hedging basis adjustments to interest income using a level-yield methodology over the contractual life of each security, with the exception of our callable non-MBS not classified as trading, on which the purchase premium is amortized to the next call date. For our non-MBS classified as trading, the amortization and accretion of purchase premiums and discounts are considered components of the security's unrealized gains and losses and are recorded in other income as net gains (losses) on trading securities. Gains and Losses on Sales. We compute gains and losses on sales of investment securities using the specific identification method and include these gains and losses in other income as net gains (losses) on sales of available-for-sale and held-to-maturity securities. |
Advances | Advances. We record advances at amortized cost, adjusted to include deferred swap termination fees associated with modified advances, net of deferred prepayment fees, and cumulative fair-value hedging basis adjustments. We amortize such fees and hedging basis adjustments t o interest income using a level-yield methodology over the contractual life of the advance. When an advance is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Prepayment Fees. We charge a prepayment fee when a borrower repays certain advances prior to maturity. We report prepayment fees, net of any associated swap termination fees and cumulative fair-value hedging basis adjustments, in interest income on advances. Advance Modifications. When the Bank funds a new advance concurrent with, or within a short period of time after, the prepayment of an original advance, we determine whether the transaction is effectively either (i) two separate transactions (the prepayment of the original advance and the disbursement of a new advance), defined as an advance extinguishment, or (ii) the continuation of the original advance as modified, defined as an advance modification. We account for the transaction as an extinguishment if both of the following criteria are met: (i) the effective yield of the new advance is at least equal to the effective yield for a comparable advance to a member with similar collection risks who is not prepaying, and (ii) modifications of the original advance are determined to be more than minor, i.e., if the present value of the cash flows under the terms of the new advance is at least 10% different from the present value of the remaining cash flows under the original advance, or through an evaluation of qualitative factors, which may include changes in the interest-rate exposure to the member by moving from a fixed to an adjustable-rate advance. In all other instances, the transaction is accounted for as an advance modification. If the transaction is determined to be an advance extinguishment, we recognize income from nonrefundable prepayment fees, net of associated swap termination fees, in the period that the extinguishment occurs. Alternatively, if no prepayment fees are received (e.g., the member requests that we embed the prepayment fee into the rate of the new advance), the excess of the present value of the cash flows of the new advance over those of an advance with a current market rate and otherwise comparable terms is immediately recognized in income, and the basis of the new advance is adjusted accordingly. If the transaction is determined to be an advance modification, the nonrefundable prepayment fees, net of associated swap termination fees, are not immediately recognized in income but are (i) included in the carrying value of the modified advance and amortized into interest income over the life of the new advance using a level-yield methodology or (ii) embedded into the rate of the modified advance and recorded as an adjustment to the interest accrual. |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio . W e classify mortgage loans, for which we have the positive intent and ability to hold for the foreseeable future or until maturity or payoff, as held for portfolio. Accordingly, these mortgage loans are carried at amortized cost, adjusted to include premiums paid to and discounts received from PFIs, hedging basis adjustments, and the allowance for credit losses. Amortization or Accretion of Purchase Premiums and Discounts. We amortize or accrete premiums and discounts and hedging basis adjustments to interest income using a level-yield methodology over the contractual life of each loan. When a loan is prepaid, we amortize to interest income a proportionate share of the remaining balance of those adjustments. Non-accrual Loans. We place a conventional mortgage loan on non-accrual status if it is determined that either (i) the collection of interest or principal is doubtful, or (ii) interest or principal is past due for 90 days or more, except when the loan is well secured and in the process of collection (e.g., through credit enhancements and monthly servicer remittances on a scheduled/scheduled basis in which we receive monthly principal and interest payments from the servicer regardless of whether the borrower has made payments to the servicer). Monthly servicer remittances for loans on an actual/actual basis may also be well secured; however, servicers on actual/actual remittance do not advance principal and interest due, regardless of borrower creditworthiness, until the payments are received from the borrower or when the loan is repaid. As a result, these loans are placed on non-accrual status once they become 90 days delinquent. A government-guaranteed or -insured mortgage loan is not placed on non-accrual status when the collection of the contractual principal or interest is 90 days or more past due because of the contractual obligation of the loan servicer to pay defaulted interest at the contractual rate. For those mortgage loans placed on non-accrual status, accrued but uncollected interest is reversed against interest income (for any interest accrued in the current year) and/or the allowance for credit losses (for any interest accrued in the previous year). We record payments received on non-accrual loans as a direct reduction of the amortized cost of the loan. When the amortized cost has been fully collected, any additional amounts collected are recognized as interest income. A loan on non-accrual status may be restored to accrual status when it becomes current (zero days past due) and three consecutive and timely monthly payments have been received. Charge-Offs. A charge-off is recorded to the extent that the amortized cost (including UPB, unamortized premiums or discounts, and hedging basis adjustments) of a loan will not be fully recovered. We record a charge-off on a conventional mortgage loan against the credit loss allowance upon the occurrence of a confirming event. Confirming events include, but are not limited to, the settlement of a claim against any of the credit enhancements, delinquency in excess of 180 days unless we determine that the delinquent loan is well-secured and in-process of collection, and filing for bankruptcy protection. We charge off the portion of the outstanding conventional mortgage loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any available credit enhancements. |
Troubled Debt Restructuring | Mortgage Loan Modifications. As a result of prospectively adopting new accounting guidance on January 1, 2023, which discontinued the recognition and measurement guidance on troubled debt restructurings (TDRs), we 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 TDR guidance. |
Allowance for Credit Losses on Financial Instruments | Allowance for Credit Losses on Financial Instruments. The Bank's financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, and Note 6 - Mortgage Loans Held for Portfolio. We individually evaluate our AFS securities for impairment. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows that are contractually due by evaluating several qualitative factors. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security to its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded, but the allowance is limited to the amount of the unrealized loss. Our HTM securities are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. We consider several qualitative factors when evaluating the potential for credit losses on our HTM securities and, if deemed necessary, an allowance for credit losses is recorded. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. We determine the estimated value of the collateral required to secure each member's advances by applying collateral discounts, or haircuts, to the market value or UPB of the collateral, as applicable. At December 31, 2023 and 2022, we had rights to collateral on a borrower-by-borrower basis with an estimated lendable value equal to or in excess of our advances outstanding. Allowance for Credit Losses. We apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, historical and current economic conditions, and reasonable and supportable forecasts of expected economic conditions. We estimate expected losses on our conventional mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate any remaining exposure to delinquent conventional MPP loans paid in full by servicers and collateral-dependent loans. Loans are considered collateral-dependent when a borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and then reduce the allowance accordingly because the credit enhancements are entered into in conjunction with the purchase of a loan and cannot be both legally detached and separately exercised. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both historical and current information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure over the estimated lives of the loans. One such key input is a 3-year forecast of housing prices with a 2-year gradual transition to full reversion to historical inputs after 5 years. Additionally, the evaluation is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans 180 days or more past due and not charged-off are also collectively evaluated at the pool level based on loan-specific attribution data, including the use of loan-level property values from a third-party. Qualitative Factors. We also assess multiple qualitative factors in our estimation of credit losses. These factors represent a subjective management judgment based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and therefore may not otherwise be captured in our methodology. |
Financial Instruments Meeting Netting Requirements | Financial Instruments Meeting Netting Requirements. |
Derivatives and Hedging Activities | Derivatives and Hedging Activities. We record derivative instruments, including related cash collateral and accrued interest, on a net basis, by clearing agent and/or by counterparty, as either derivative assets or derivative liabilities at their estimated fair values. Changes in the estimated fair value of derivatives are recorded in current period earnings. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset, respectively. For derivative instruments that do not meet the netting requirements, cash collateral is recognized as an interest-bearing asset or liability, as appropriate. Additional information regarding these transactions is provided in Note 8 - Derivatives and Hedging Activities. Designations. Derivatives are recorded beginning on the trade date and typically executed and designated in a qualifying hedging relationship at the same time as the acquisition of the associated hedged item. We may also designate the hedging relationship upon the Bank's commitment to disburse an advance, purchase financial instruments, or trade a consolidated obligation in which settlement occurs within the shortest period of time possible for the type of instrument based on market settlement conventions. Each derivative is designated as one of the following: (i) a qualifying hedge of the change in fair value of a recognized asset or liability (e.g., advances, AFS investments, and CO bonds) or an unrecognized firm commitment (fair-value hedge); or (ii) a non-qualifying hedge for asset/liability management purposes (economic hedge). In all cases involving a fair-value hedge of a recognized asset, liability or firm commitment, the designated risk being hedged is the risk of changes in the fair value of the hedged item attributable to changes in the designated benchmark interest rate. Accounting for Qualifying Hedges. Generally, we endeavor to use derivatives that qualify for fair-value hedge accounting. To qualify for hedge accounting, hedging relationships must meet certain criteria including, but not limited to, formal documentation of the hedging relationship and an expectation to be highly effective. Two approaches to account for qualifying fair-value hedge relationships include: (i) Shortcut hedge accounting - Hedging relationships that meet certain criteria qualify for the shortcut method of hedge accounting. Under the shortcut method, an assumption can be made that the entire change in fair value of a hedged item, due to changes in the benchmark interest rate, equates to the entire change in fair value of the related derivative. As a result, the derivative is considered to be perfectly effective in achieving offsetting changes in the fair value of the hedged asset or liability attributable to the hedged risk. When applying the shortcut method, we document, at inception of the hedging relationship, a quantitative long-haul method that we can apply should we subsequently determine a hedging relationship no longer qualifies for shortcut hedge accounting; or (ii) Long-haul hedge accounting - T he application of long-haul hedge accounting requires us to assess whether the derivatives used in hedging relationships are highly effective in achieving offsetting changes in the fair value of hedged items or forecasted transactions attributable to the hedged risk and whether those derivatives may be expected to continue to be highly effective in future periods. As part of the assessment, a regression analysis is performed at the inception of each hedging relationship and at each month-end thereafter. If the hedging relationship fails the effectiveness test at inception, we do not apply hedge accounting. If the hedging relationship fails the effectiveness test during the life of the relationship, hedge accounting is discontinued. While a number of long-haul methods and techniques are permissible, we utilize the following: • Total Contractual Coupon Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the estimated coupon cash flows are based on the full contractual coupon. • Benchmark Component Method - In calculating the change in fair value of the hedged item attributable to changes in the benchmark interest rate, the credit and any other risks embedded in the contractual coupon rate are excluded from the estimated cash flows by aligning the interest component of the derivative with the hedged item. Given this alignment, the application of the benchmark component method generally results in less hedge ineffectiveness in comparison to the total contractual coupon method. Changes in the fair value of a derivative that is designated and qualifies as a fair-value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in net interest income in the same line as the earnings effect of the hedged item. Accounting for Non-Qualifying Hedges. An economic hedge is defined as a derivative that hedges specific or non-specific underlying assets, liabilities, or firm commitments and does not qualify, or was not designated, for hedge accounting. As a result, we recognize the net interest settlements and the change in fair value of these derivatives in other income with no offsetting fair-value adjustments in earnings for the hedged assets, liabilities, or firm commitments. An economic hedge by definition, therefore, introduces the potential for earnings variability. Accrued Interest Receivables and Payables. The difference between the interest receivable and payable on a derivative designated as a qualifying hedge is recognized as a net adjustment to the interest income or expense of the designated hedged item. The difference between the interest receivable and payable on an economic hedge is recognized in other income as net gains (losses) on derivatives. Discontinuance of Hedge Accounting. We discontinue hedge accounting prospectively when: (i) the hedging relationship ceases to be highly effective or is otherwise discontinued; (ii) the derivative and/or the hedged item expires or matures, is sold, terminated, transferred or exercised; or (iii) a hedged firm commitment no longer meets the definition of a firm commitment. When hedge accounting is discontinued and the derivative and hedged item remain, we: (i) continue to carry the derivative on the statement of condition at fair value as an economic hedge; (ii) cease adjusting the hedged asset or liability for changes in fair value; and (iii) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. When we discontinue a qualifying hedge relationship by terminating the derivative and subsequently designating the associated hedged item into a new qualifying hedge relationship, we: (i) recognize the cumulative gain (loss) on the derivative in current period earnings; (ii) pay or receive a termination fee with the counterparty, substantially offsetting the recognized gain (loss) on the derivative; (iii) cease adjusting the hedged asset or liability for changes in fair value; and (iv) amortize the cumulative basis adjustment on the hedged item into interest income over the remaining life of the hedged item using a level-yield methodology. |
Premises, Software, and Equipment | Premises, Software, and Equipment. We record premises, software, and equipment at cost, less accumulated depreciation and am ortization, in other assets, and compute depreciation and amortization using the straight-line method over their respective estimated useful lives, which range from 3 to 40 years. W |
Internal Use Software, Policy | In addition, we capitalize software development costs for internal use software and use the straight-line method for computing amortization. We include any gain or loss on disposal (other than abandonment) of premises, software, and equipment in other income. Any loss on abandonment is included in other operating expenses. |
Consolidated Obligations | Consolidated Obligations. Consolidated obligations are carried at amortized cost, adjusted to include concessions, discounts, premiums, principal payments, and cumulative fair-value hedging basis adjustments. Concessions. Concessions are paid to dealers in connection with the issuance of certain consolidated obligations. The Office of Finance prorates the amount of the Bank's concession based upon the percentage of the debt issued on the Bank's behalf. We record concessions paid on consolidated obligations as a direct deduction from their carrying amounts, consistent with the presentation of discounts on consolidated obligations. The concessions are deferred and amortized, using a level-yield methodology, to interest expense over the term to contractual maturity of the corresponding consolidated obligation. When we prepay a CO bond, a proportionate share of any remaining balance of concessions is recognized as interest expense. Discounts and Premiums. We accrete or amortize the discounts and premiums as well as cumulative fair-value hedging basis adjustments to interest expense using a level-yield methodology over the term to contractual maturity of the corresponding CO bond. When we prepay a CO bond, a proportionate share of the remaining balance of those adjustments is recognized as interest income. Debt Extinguishments. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock. When a member withdraws or attains non-member status by merger or acquisition, charter termination, relocation or other involuntary termination from membership, the member's shares of Class B stock are then subject to redemption, at which time a five-year redemption period commences. Since the shares meet the definition of a mandatorily redeemable financial instrument, the shares are reclassified from capital to liabilities as MRCS at estimated fair value, which is equal to par value. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reported as interest expense. We reclassify MRCS from liabilities to capital when non-members subsequently become members through either acquisition, merger, or election. After the reclassification, dividends declared on that capital stock are no longer classified as interest expense. |
Employee Retirement and Deferred Compensation Plans | Employee Retirement and Deferred Compensation Plans. We recognize the required contribution to the DB Plan ratably over the plan year to which it relates. Without a prefunding election, any contribution made in excess of the minimum required contribution is recorded as an expense in the quarterly reporting period in which the contribution is made; with a prefunding election, such excess contribution is recorded as a prepaid asset. Settlement gains and losses are recognized in earnings only when the total cost of all settlements during a year exceeds the sum of the service and interest cost components of the net periodic pension cost for the year. |
Finance Agency Expenses | Finance Agency Expenses. The portion of the Finance Agency's expenses and working capital fund not allocated to Freddie Mac and Fannie Mae is allocated among the FHLBanks as assessments, which are based on the ratio of each FHLBank's minimum required regulatory capital to the aggregate minimum required regulatory capital of every FHLBank. We record our share of these assessments in other expenses. |
Office of Finance Expenses | Office of Finance Expenses. Our proportionate share of the Office of Finance's operating and capital expenditures is calculated based upon two components as follows: (i) two-thirds based on our share of total consolidated obligations outstanding and (ii) one-third base d on equal pro-rata allocation. We record our share of these expenditures in other expenses. |
Cash Flows | Cash Flows. We consider cash and due from banks on the statement of condition as cash and cash equivalents within the statement of cash flows because of their highly liquid nature. Federal funds sold, securities purchased under agreements to resell, and interest-bearing deposits are not treated as cash and cash equivalents, but instead are treated as short-term investments. Accordingly, their associated cash flows are reported in the investing activities section of the statement of cash flows. |
Recently Adopted Accounting Guidance | Recently Adopted Accounting Guidance. Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). 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. Segment Reporting (Topic 280): Improvements to Reportable Segment Disclosures (ASU 2023-07). On November 27, 2023, the FASB issued guidance to improve reportable segment disclosures, primarily through requiring enhanced disclosures about significant segment expenses and other segment items included in an entity's reported measure of segment profit and loss. The guidance is effective for fiscal years beginning after December 15, 2023, and interim periods beginning after December 15, 2024, although early adoption is permitted. Upon adoption, the retrospective application of this guidance will have no effect on our financial condition, results of operations, or cash flows, but will expand our segment disclosures included in Note 15 - Segment Information. |
Segment Reporting | We report based on two operating segments: • Traditional, which consists of credit products (including advances, standby letters of credit, and lines of credit), investments (including federal funds sold, securities purchased under agreements to resell, interest-bearing demand deposit accounts, and investment securities), and correspondent services and deposits; and • Mortgage loans, which consists substantially of mortgage loans purchased from our members through our MPP. These segments reflect our two primary mission asset activities and the manner in which they are managed from the perspective of development, resource allocation, product delivery, pricing, credit risk and operational administration. The segments identify the principal ways we provide services to members. We measure the performance of each segment based upon the net interest spread of the underlying portfolio(s). Therefore, each segment's performance begins with net interest income. Traditional net interest income is derived primarily from the spread between the interest income earned on advances and investments and the borrowing costs related to those assets, net interest settlements and changes in fair value related to certain interest-rate swaps, and related premium and discount amortization. Traditional also includes the costs related to holding deposits for members and other miscellaneous borrowings. Mortgage loan net interest income is derived primarily from the spread between the interest income earned on mortgage loans, including the premium and discount amortization, and the borrowing costs related to those loans. Direct other income and expense also affect each segment's results. The traditional segment includes the direct earnings impact of certain derivatives and hedging activities related to advances, investments and consolidated obligations as well as all other miscellaneous income and expense not associated with mortgage loans. The mortgage loans segment includes the direct earnings impact of derivatives and hedging activities as well as direct compensation, benefits and other expenses (including an allocation for indirect overhead) associated with operating the MPP and volume-driven costs associated with master servicing and quality control fees. |
Fair Value Transfer | We review the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the inputs may result in a reclassification of certain assets or liabilities. |
Investments, Debt and Equity Se
Investments, Debt and Equity Securities (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
Investments, Debt and Equity Securities [Abstract] | |
Allowance for Credit Losses on Financial Instruments | Allowance for Credit Losses on Financial Instruments. The Bank's financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, and Note 6 - Mortgage Loans Held for Portfolio. We individually evaluate our AFS securities for impairment. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows that are contractually due by evaluating several qualitative factors. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security to its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded, but the allowance is limited to the amount of the unrealized loss. Our HTM securities are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. We consider several qualitative factors when evaluating the potential for credit losses on our HTM securities and, if deemed necessary, an allowance for credit losses is recorded. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. We determine the estimated value of the collateral required to secure each member's advances by applying collateral discounts, or haircuts, to the market value or UPB of the collateral, as applicable. At December 31, 2023 and 2022, we had rights to collateral on a borrower-by-borrower basis with an estimated lendable value equal to or in excess of our advances outstanding. Allowance for Credit Losses. We apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, historical and current economic conditions, and reasonable and supportable forecasts of expected economic conditions. We estimate expected losses on our conventional mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate any remaining exposure to delinquent conventional MPP loans paid in full by servicers and collateral-dependent loans. Loans are considered collateral-dependent when a borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and then reduce the allowance accordingly because the credit enhancements are entered into in conjunction with the purchase of a loan and cannot be both legally detached and separately exercised. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both historical and current information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure over the estimated lives of the loans. One such key input is a 3-year forecast of housing prices with a 2-year gradual transition to full reversion to historical inputs after 5 years. Additionally, the evaluation is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans 180 days or more past due and not charged-off are also collectively evaluated at the pool level based on loan-specific attribution data, including the use of loan-level property values from a third-party. Qualitative Factors. We also assess multiple qualitative factors in our estimation of credit losses. These factors represent a subjective management judgment based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and therefore may not otherwise be captured in our methodology. |
Financial Services, Federal Hom
Financial Services, Federal Home Loan Banks (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
Federal Home Loan Banks [Abstract] | |
Allowance for Credit Losses on Financial Instruments | Allowance for Credit Losses on Financial Instruments. The Bank's financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, and Note 6 - Mortgage Loans Held for Portfolio. We individually evaluate our AFS securities for impairment. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows that are contractually due by evaluating several qualitative factors. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security to its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded, but the allowance is limited to the amount of the unrealized loss. Our HTM securities are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. We consider several qualitative factors when evaluating the potential for credit losses on our HTM securities and, if deemed necessary, an allowance for credit losses is recorded. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. We determine the estimated value of the collateral required to secure each member's advances by applying collateral discounts, or haircuts, to the market value or UPB of the collateral, as applicable. At December 31, 2023 and 2022, we had rights to collateral on a borrower-by-borrower basis with an estimated lendable value equal to or in excess of our advances outstanding. Allowance for Credit Losses. We apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, historical and current economic conditions, and reasonable and supportable forecasts of expected economic conditions. We estimate expected losses on our conventional mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate any remaining exposure to delinquent conventional MPP loans paid in full by servicers and collateral-dependent loans. Loans are considered collateral-dependent when a borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and then reduce the allowance accordingly because the credit enhancements are entered into in conjunction with the purchase of a loan and cannot be both legally detached and separately exercised. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both historical and current information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure over the estimated lives of the loans. One such key input is a 3-year forecast of housing prices with a 2-year gradual transition to full reversion to historical inputs after 5 years. Additionally, the evaluation is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans 180 days or more past due and not charged-off are also collectively evaluated at the pool level based on loan-specific attribution data, including the use of loan-level property values from a third-party. Qualitative Factors. We also assess multiple qualitative factors in our estimation of credit losses. These factors represent a subjective management judgment based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and therefore may not otherwise be captured in our methodology. |
Mortgage Loans Held For Portf_2
Mortgage Loans Held For Portfolio - Allowance for Credit Losses (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract] | |
Allowance for Credit Losses on Financial Instruments | Allowance for Credit Losses on Financial Instruments. The Bank's financial instruments, i.e. interest-bearing deposits, securities purchased under agreements to resell, federal funds sold, investment securities, advances (including off-balance sheet credit exposures), and mortgage loans held for portfolio, are evaluated quarterly for expected credit losses. If necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision for credit losses. The allowance for credit losses excludes uncollectible accrued interest receivable for all instruments, which is measured separately. Any uncollectible accrued interest is written off by a reversal of interest income. For more information on the allowance methodology related to our financial instruments, see Note 4 - Investments, Note 5 - Advances, and Note 6 - Mortgage Loans Held for Portfolio. We individually evaluate our AFS securities for impairment. Impairment exists when the estimated fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there could be a shortfall in receiving all cash flows that are contractually due by evaluating several qualitative factors. In those instances where we determine a shortfall could exist, we compare the present value of cash flows to be collected from the security to its amortized cost. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded, but the allowance is limited to the amount of the unrealized loss. Our HTM securities are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the securities do not possess similar risk characteristics. We consider several qualitative factors when evaluating the potential for credit losses on our HTM securities and, if deemed necessary, an allowance for credit losses is recorded. Allowance for Credit Losses. Advances are evaluated for expected credit losses on a collective, or pooled, basis unless an individual assessment is deemed necessary, e.g. the advances do not possess similar risk characteristics. Using a risk-based approach, we consider the amount and quality of the collateral pledged and the borrower's financial condition to be the primary indicators of an advance's credit quality. We manage our exposure to advances outstanding through an integrated approach that generally includes establishing a credit limit for each borrower, and an ongoing review of each borrower's financial condition, coupled with conservative collateral/lending policies intended to limit the risk of loss while balancing the borrower's needs for a reliable source of funding. In addition, we lend to eligible borrowers in accordance with federal statutes and Finance Agency regulations. Specifically, we comply with the Bank Act, which requires us to obtain sufficient collateral to fully secure credit products. We evaluate and update our collateral guidelines, as necessary, based on current market conditions. We accept certain investment securities, residential mortgage loans, deposits, and other real estate-related assets as collateral. In addition, certain members that qualify as CFIs are eligible to utilize expanded statutory collateral provisions for small business and agriculture loans. Under the Bank Act, our capital stock owned by our members serves as additional security. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance; borrowing capacity; and overall credit exposure to the borrower. As part of our risk-based approach, we also evaluate and determine whether a borrower may retain physical possession of the collateral pledged to us or must specifically deliver the collateral to us or our document custody agent. Our evaluation of credit losses on advances utilizes a framework that considers the adequacy of the advances' associated collateral and the associated member's willingness and ability to pledge additional collateral to satisfy any current or anticipated future deficiency. Our agreements with borrowers allow us, at any time and in our sole discretion, to require substitution of collateral, adjust the over-collateralization requirements applied to collateral, or refuse to make extensions of credit against any collateral. We also may require borrowers to pledge additional collateral regardless of whether the collateral would be eligible to originate a new extension of credit. Our agreements with our borrowers also afford us the right, in our sole discretion, to declare any borrower to be in default if we deem the Bank to be inadequately secured. We determine the estimated value of the collateral required to secure each member's advances by applying collateral discounts, or haircuts, to the market value or UPB of the collateral, as applicable. At December 31, 2023 and 2022, we had rights to collateral on a borrower-by-borrower basis with an estimated lendable value equal to or in excess of our advances outstanding. Allowance for Credit Losses. We apply a systematic approach for estimating expected credit losses on our conventional mortgage loans over their estimated remaining lives through analyses that include, among other considerations, various loan portfolio and collateral-related characteristics, past loan performance, historical and current economic conditions, and reasonable and supportable forecasts of expected economic conditions. We estimate expected losses on our conventional mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected losses on an individual basis. In addition, we individually evaluate any remaining exposure to delinquent conventional MPP loans paid in full by servicers and collateral-dependent loans. Loans are considered collateral-dependent when a borrower is experiencing financial difficulty and repayment is expected to be substantially through the sale of the underlying collateral. We estimate expected losses on collateral-dependent loans by applying a practical expedient that considers the expected loss of a collateral-dependent loan to be equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. When determining the allowance for credit losses, we consider how credit enhancements are expected to mitigate credit losses and then reduce the allowance accordingly because the credit enhancements are entered into in conjunction with the purchase of a loan and cannot be both legally detached and separately exercised. Collectively Evaluated Mortgage Loans. Conventional loans current to 179 days past due are collectively evaluated at the pool level using a recognized third-party credit and prepayment model, which considers both historical and current information and events and reasonable and supportable forecasts that rely upon certain key inputs and assumptions, to estimate potential ranges of credit loss exposure over the estimated lives of the loans. One such key input is a 3-year forecast of housing prices with a 2-year gradual transition to full reversion to historical inputs after 5 years. Additionally, the evaluation is based upon distinct underlying loan characteristics, including loan vintage (year of origination), geographic location, credit support features and other factors, and a projected migration of loans through the various stages of delinquency. Seriously delinquent conventional loans 180 days or more past due and not charged-off are also collectively evaluated at the pool level based on loan-specific attribution data, including the use of loan-level property values from a third-party. Qualitative Factors. We also assess multiple qualitative factors in our estimation of credit losses. These factors represent a subjective management judgment based on facts and circumstances that exist as of the reporting date that are not ascribed to any specific measurable economic or credit event and therefore may not otherwise be captured in our methodology. |
Financial Services, Federal H_2
Financial Services, Federal Home Loan Banks (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank Assessments, Policy | The Bank Act requires each FHLBank to establish an AHP, in which the FHLBank provides subsidies in the form of direct grants to members that use the funds to assist in the purchase, construction, or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must set aside for the AHP the greater of the aggregate of $100 million or 10% of each FHLBank's net earnings. For purposes of the AHP calculation, net earnings is defined in a Finance Agency Advisory Bulletin as income before assessments, plus interest expense related to MRCS. |
Capital (Policies)
Capital (Policies) | 12 Months Ended |
Dec. 31, 2023 | |
Banking Regulation, Total Capital [Abstract] | |
Restricted Retained Earnings | Restricted Retained Earnings. In accordance with our JCEA, we allocate 20% of the Bank's net income each quarter to a separate restricted retained earnings account until the balance of that account, calculated as of the |
Investments (Tables)
Investments (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Debt and Equity Securities, FV-NI [Line Items] | |
Debt Securities, Trading, and Equity Securities, FV-NI | The following table presents our trading securities by type of security. Security Type December 31, 2023 December 31, 2022 U.S. Treasury obligations $ 600,063 $ 2,230,248 Total trading securities at estimated fair value $ 600,063 $ 2,230,248 |
Gain (Loss) on Securities | The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. Years Ended December 31, 2023 2022 2021 Net gains (losses) on trading securities held at year end $ 11,534 $ (18,461) $ (17,608) Net gains (losses) on trading securities that matured/sold during the year 8,082 (4,113) (29,706) Net gains (losses) on trading securities $ 19,616 $ (22,574) $ (47,314) |
Available-for-Sale (AFS) Securities by Major Security Type | The following table presents our AFS securities by type of security. December 31, 2023 Gross Gross Amortized Unrealized Unrealized Estimated Security Type Cost (1) Gains Losses Fair Value U.S. Treasury obligations $ 5,708,713 $ 738 $ (12,595) $ 5,696,856 GSE and TVA debentures 1,792,310 14,628 — 1,806,938 GSE multifamily MBS 6,753,080 7,571 (70,119) 6,690,532 Total AFS securities $ 14,254,103 $ 22,937 $ (82,714) $ 14,194,326 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 December 31, 2023 and 2022, net unamortized discounts totaled $(278,669) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(778,882) and $(1,099,886), respectively. Excludes accrued interest |
AFS Securities in a Continuous 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. December 31, 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 $ 4,785,547 $ (11,716) $ 239,902 $ (879) $ 5,025,449 $ (12,595) GSE multifamily MBS 2,163,506 (14,970) 2,982,742 (55,149) 5,146,248 (70,119) Total impaired AFS securities $ 6,949,053 $ (26,686) $ 3,222,644 $ (56,028) $ 10,171,697 $ (82,714) 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. December 31, 2023 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses Value MBS: Other U.S. obligations - guaranteed single-family $ 4,009,493 $ 1,836 $ (39,223) $ 3,972,106 GSE single-family 683,944 1,454 (36,334) 649,064 GSE multifamily 563,366 — (5,137) 558,229 Total HTM securities $ 5,256,803 $ 3,290 $ (80,694) $ 5,179,399 December 31, 2022 Gross Gross Unrecognized Unrecognized Estimated Amortized Holding Holding Fair Security Type Cost (1) Gains Losses 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 December 31, 2023 and 2022 to tale d $21,942 and $26,125, respectively. |
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. December 31, 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 $ 305,208 $ 306,380 $ 131,329 $ 131,517 Due after 1 year through 5 years 4,628,067 4,636,683 1,575,581 1,594,583 Due after 5 years through 10 years 2,567,748 2,560,731 4,383,866 4,386,277 Total non-MBS 7,501,023 7,503,794 6,090,776 6,112,377 Total MBS 6,753,080 6,690,532 6,099,000 6,067,460 Total AFS securities $ 14,254,103 $ 14,194,326 $ 12,189,776 $ 12,179,837 |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Advances [Abstract] | |
Summary of Advances Redemption Terms | The following table presents our advances outstanding by redemption term. December 31, 2023 December 31, 2022 Redemption Term Amount WAIR % Amount WAIR % Overdrawn demand and overnight deposit accounts $ 2 7.76 $ 430 6.74 Due in 1 year or less 9,780,116 4.88 14,517,059 3.77 Due after 1 year through 2 years 4,362,389 3.33 2,726,023 2.82 Due after 2 years through 3 years 2,683,356 3.25 3,316,683 2.73 Due after 3 years through 4 years 4,573,456 4.37 2,045,370 2.70 Due after 4 years through 5 years 5,531,135 4.30 3,938,017 3.96 Thereafter 8,946,614 3.44 10,747,880 2.70 Total advances, par value 35,877,068 4.06 37,291,462 3.26 Fair-value hedging basis adjustments, net (319,721) (615,859) Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees 4,497 6,856 Total advances (1) $ 35,561,844 $ 36,682,459 (1) Carrying value equals amortized cost, which excludes accrued interest We offer our members certain advances that provide them the right, at predetermined future dates, to call (i.e., prepay) the advance prior to maturity without incurring prepayment or termination fees. We also offer certain adjustable-rate advances that may be contractually prepaid by the borrower at the interest-rate reset date without incurring prepayment or termination fees. All other advances may only be prepaid by paying a fee that is sufficient to make us financially indifferent to the prepayment of the advance. We also offer putable advances. Under the terms of a putable advance, we retain the right to extinguish or put the fixed-rate advance to the member on predetermined future dates and offer replacement funding at current market rates, subject to certain conditions. The following table presents 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 December 31, December 31, Term 2023 2022 2023 2022 Overdrawn demand and overnight deposit accounts $ 2 $ 430 $ 2 $ 430 Due in 1 year or less 14,901,928 19,337,582 13,910,616 20,226,164 Due after 1 year through 2 years 3,641,289 2,299,023 5,102,289 3,207,023 Due after 2 years through 3 years 2,370,466 2,385,483 3,581,356 4,082,583 Due after 3 years through 4 years 3,328,746 1,592,245 4,808,556 2,045,370 Due after 4 years through 5 years 4,502,482 2,773,917 4,661,135 4,173,117 Thereafter 7,132,155 8,902,782 3,813,114 3,556,775 Total advances, par value $ 35,877,068 $ 37,291,462 $ 35,877,068 $ 37,291,462 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2023 December 31, 2022 Fixed-rate long-term mortgages $ 7,711,709 $ 6,676,752 Fixed-rate medium-term (1) mortgages 740,859 856,446 Total mortgage loans held for portfolio, UPB 8,452,568 7,533,198 Unamortized premiums 179,499 168,593 Unamortized discounts (11,844) (9,466) Hedging basis adjustments, net (6,254) (5,670) Total mortgage loans held for portfolio 8,613,969 7,686,655 Allowance for credit losses (125) (200) Total mortgage loans held for portfolio, net (2) $ 8,613,844 $ 7,686,455 (1) Defined as a term of 15 years or less at origination. (2) Excludes accrued interest receivable Type December 31, 2023 December 31, 2022 Conventional $ 8,298,188 $ 7,383,168 Government-guaranteed or -insured 154,380 150,030 Total mortgage loans held for portfolio, UPB $ 8,452,568 $ 7,533,198 |
Recorded Investment in Delinquent Mortgage Loans | The tables below present the key credit quality indicators and other delinquency statistics for our mortgage loans held for portfolio aggregated by (i) the most recent five origination years and (ii) all other prior origination years. Amounts are based on amortized cost, which excludes accrued interest receivable. December 31, 2023 Origination Year Payment Status Prior to 2019 2019 to 2023 Total Past due: 30-59 days $ 20,204 $ 26,731 $ 46,935 60-89 days 3,097 4,698 7,795 90 days or more 5,206 1,364 6,570 Total past due 28,507 32,793 61,300 Total current 2,391,451 6,004,929 8,396,380 Total conventional mortgage loans, amortized cost $ 2,419,958 $ 6,037,722 $ 8,457,680 December 31, 2022 Origination Year Payment Status Prior to 2018 2018 to 2022 Total Past due: 30-59 days $ 17,892 $ 13,041 $ 30,933 60-89 days 4,537 1,992 6,529 90 days or more 9,498 2,979 12,477 Total past due 31,927 18,012 49,939 Total current 2,422,623 5,062,416 7,485,039 Total conventional mortgage loans, amortized cost $ 2,454,550 $ 5,080,428 $ 7,534,978 December 31, 2023 Other Delinquency Statistics Conventional Government Total In process of foreclosure (1) $ 728 $ — $ 728 Serious delinquency rate (2) 0.08 % 0.64 % 0.09 % Past due 90 days or more still accruing interest (3) $ 2,513 $ 939 $ 3,452 On non-accrual status $ 7,601 $ — $ 7,601 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 $ 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 FHA loans, when certain criteria are met. (3) Although our past due scheduled/scheduled MPP loans are classified as loans past due 90 days or more based on the loan's delinquency status, we do not consider these loans to be on non-accrual status as they are well-secured and in the process of collection. |
Rollforward of Allowance for Credit Losses on Mortgage Loans | The table below presents a rollforward of our allowance for credit losses. Rollforward of Allowance 2023 2022 2021 Balance, beginning of year $ 200 $ 200 $ 350 (Charge-offs), net of recoveries 145 74 (42) Reversal of credit losses (220) (74) (108) Balance, end of year $ 125 $ 200 $ 200 |
Premises, Software and Equipm_2
Premises, Software and Equipment (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Property, Plant and Equipment [Abstract] | |
Schedule of premises, software and equipment | The following table presents the types of our premises, software and equipment. Type December 31, 2023 December 31, 2022 Premises $ 14,238 $ 14,768 Computer software 53,230 51,601 Equipment 10,219 12,278 Premises, software and equipment, in service 77,687 78,647 Accumulated depreciation and amortization (58,670) (54,068) Premises, software and equipment, in service, net 19,017 24,579 Capitalized assets in progress 5,543 2,726 Premises, software and equipment, net $ 24,560 $ 27,305 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following table presents the notional amount and estimated fair value of our derivative assets and liabilities. December 31, 2023 December 31, 2022 Notional Derivative Derivative Notional Derivative Derivative Amount Assets Liabilities Amount Assets Liabilities Derivatives designated as hedging instruments: Interest-rate swaps $ 75,336,530 $ 736,648 $ 1,533,144 $ 66,103,220 $ 919,089 $ 2,178,897 Derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps 610,000 100 319 6,200,000 599 525 Interest-rate caps/floors 811,000 887 — 611,000 1,310 — Interest-rate forwards 57,300 — 337 30,200 131 — MDCs 57,270 207 12 30,855 50 102 Total derivatives not designated as hedging instruments 1,535,570 1,194 668 6,872,055 2,090 627 Total derivatives before adjustments $ 76,872,100 737,842 1,533,812 $ 72,975,275 921,179 2,179,524 Netting adjustments and cash collateral (1) (216,678) (1,526,872) (486,758) (2,160,315) Total derivatives, net, at estimated fair value $ 521,164 $ 6,940 $ 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 December 31, 2023 and 2022, including accrued interest, totaled $1,451,464 and $1,854,876, respectively. Cash collateral received from counterparties and held at December 31, 2023 and 2022, including accrued interest, totaled $141,271 and $181,319, respectively. |
Offsetting Derivative Assets and 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. December 31, 2023 December 31, 2022 Derivative Assets Derivative Liabilities Derivative Assets Derivative Liabilities Derivative instruments meeting netting requirements: Gross recognized amount Uncleared $ 736,071 $ 1,521,576 $ 892,313 $ 2,178,098 Cleared 1,564 11,887 28,685 1,324 Total gross recognized amount 737,635 1,533,463 920,998 2,179,422 Gross amounts of netting adjustments and cash collateral Uncleared (727,850) (1,514,985) (884,451) (2,158,991) Cleared 511,172 (11,887) 397,693 (1,324) Total gross amounts of netting adjustments and cash collateral (216,678) (1,526,872) (486,758) (2,160,315) Net amounts after netting adjustments and cash collateral Uncleared 8,221 6,591 7,862 19,107 Cleared 512,736 — 426,378 — Total net amounts after netting adjustments and cash collateral 520,957 6,591 434,240 19,107 Derivative instruments not meeting netting requirements (1) 207 349 181 102 Total derivatives, net, at estimated fair value $ 521,164 $ 6,940 $ 434,421 $ 19,209 (1) Includes MDCs and certain interest-rate forwards. |
Components of Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents the impact of our qualifying fair-value hedging relationships on net interest income by hedged item, excluding any offsetting interest income/expense of the associated hedged items. Year Ended December 31, 2023 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 578,797 $ 474,849 $ (950,685) $ 102,961 Net gains (losses) on derivatives (2) (283,523) (64,225) 722,878 375,130 Net gains (losses) on hedged items (3) 254,122 (14,754) (707,220) (467,852) Net impact on net interest income $ 549,396 $ 395,870 $ (935,027) $ 10,239 Total interest income (expense) recorded in the statement of income (4) $ 1,942,905 $ 808,400 $ (2,203,964) $ 547,341 Year Ended December 31, 2022 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ 52,810 $ 58,755 $ (136,188) $ (24,623) Net gains (losses) on derivatives (2) 725,919 432,904 (1,909,780) (750,957) Net gains (losses) on hedged items (3) (731,398) (502,643) 1,900,103 666,062 Net impact on net interest income $ 47,331 $ (10,984) $ (145,865) $ (109,518) Total interest income (expense) recorded in the statement of income (4) $ 634,148 $ 285,252 $ (712,038) $ 207,362 Year Ended December 31, 2021 Advances AFS Securities CO Bonds Total Net impact of fair-value hedging relationships on net interest income: Net interest settlements on derivatives (1) $ (183,075) $ (110,510) $ 103,143 $ (190,442) Net gains (losses) on derivatives (2) 425,804 303,349 (272,157) 456,996 Net gains (losses) on hedged items (3) (429,900) (321,097) 269,447 (481,550) Net impact on net interest income $ (187,171) $ (128,258) $ 100,433 $ (214,996) Total interest income (expense) recorded in the statement of income (4) $ 115,634 $ 99,646 $ (206,429) $ 8,851 (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, price alignme nt interest and swap termination fees . (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 Not Designated as Hedging Instruments | The following table presents the components of our net gains (losses) on derivatives reported in other income. Years Ended December 31, Type of Hedge 2023 2022 2021 Net gains (losses) on derivatives not designated as hedging instruments: Economic hedges: Interest-rate swaps $ (17,369) $ 15,731 $ 13,347 Interest-rate caps/floors (1,746) 233 (36) Interest-rate forwards (308) 7,824 3,350 Net interest settlements (1) 20,370 33,391 (9,137) MDCs (766) (8,750) (3,840) Net gains (losses) on derivatives in other income $ 181 $ 48,429 $ 3,684 (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. December 31, 2023 Advances AFS Securities CO Bonds Amortized cost of hedged items (1) $ 21,624,453 $ 14,254,103 $ 36,682,911 Cumulative basis adjustments included in amortized cost: For active fair-value hedging relationships (2) $ (319,721) $ (1,013,707) $ (1,410,511) For discontinued fair-value hedging relationships — 234,825 — Total cumulative fair-value hedging basis adjustments on hedged items $ (319,721) $ (778,882) $ (1,410,511) 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. |
Deposit Liabilities (Tables)
Deposit Liabilities (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Deposits [Abstract] | |
Summary of Deposits, by Type | The following table presents the types of our deposits. Type December 31, 2023 December 31, 2022 Interest-bearing: Demand and overnight $ 608,697 $ 571,971 Time 20,100 23,898 Other 14 38 Total interest-bearing 628,811 595,907 Total deposits $ 628,811 $ 595,907 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2023 December 31, 2022 Par value $ 22,737,397 $ 27,533,665 Unamortized discounts (115,297) (145,726) Unamortized concessions (263) (447) Book value $ 22,621,837 $ 27,387,492 Weighted average effective interest rate 5.35 % 4.16 % |
CO Bonds Outstanding | The following table presents our CO bonds outstanding by contractual maturity. December 31, 2023 December 31, 2022 Year of Contractual Maturity Amount WAIR% Amount WAIR% Due in 1 year or less $ 20,137,240 3.76 $ 10,016,310 3.05 Due after 1 year through 2 years 10,415,280 2.96 8,014,590 1.48 Due after 2 years through 3 years 7,537,350 1.48 6,278,940 1.37 Due after 3 years through 4 years 2,356,530 1.85 7,130,600 1.25 Due after 4 years through 5 years 2,254,120 3.06 2,312,540 1.76 Thereafter 7,126,530 2.81 8,249,080 2.35 Total CO bonds, par value 49,827,050 2.99 42,002,060 1.99 Unamortized premiums 33,792 45,535 Unamortized discounts (10,093) (10,165) Unamortized concessions (8,672) (7,174) Fair-value hedging basis adjustments, net (1,410,511) (2,147,802) Total CO bonds $ 48,431,566 $ 39,882,454 Year of Contractual Maturity or Next Call Date December 31, 2023 December 31, 2022 Due in 1 year or less $ 42,512,740 $ 37,066,810 Due after 1 year through 2 years 4,389,780 1,444,590 Due after 2 years through 3 years 895,850 770,940 Due after 3 years through 4 years 327,530 804,100 Due after 4 years through 5 years 1,051,620 268,540 Thereafter 649,530 1,647,080 Total CO bonds, par value $ 49,827,050 $ 42,002,060 |
CO Bonds by Redemption Feature | The following table presents the par value of our CO bonds outstanding by interest-rate payment type. Interest-Rate Payment Type December 31, 2023 December 31, 2022 Fixed-rate $ 45,009,050 $ 36,957,560 Simple variable-rate 3,389,500 2,776,000 Step-up 1,428,500 2,268,500 Total CO bonds, par value $ 49,827,050 $ 42,002,060 Call Feature December 31, 2023 December 31, 2022 Non-callable / non-putable $ 14,027,225 $ 11,979,560 Callable 35,799,825 30,022,500 Total CO bonds, par value $ 49,827,050 $ 42,002,060 |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Affordable Housing Program [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation | The following table summarizes the activity in our AHP funding obligation. AHP Activity 2023 2022 2021 Liability at beginning of year $ 38,170 $ 31,049 $ 34,402 Assessments 43,886 19,876 10,720 Voluntary contributions to AHP 1,863 4,159 — Subsidy usage, net (1) (15,618) (16,914) (14,073) Liability at end of year $ 68,301 $ 38,170 $ 31,049 (1) |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 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 December 31, 2023 December 31, 2022 Class B-1 (1) $ 581,687 $ 535,345 Class B-2 (2) 1,703,571 1,587,780 Total Class B $ 2,285,258 $ 2,123,125 |
Mandatorily Redeemable Capital Stock | The following table presents the activity in our MRCS. MRCS Activity 2023 2022 2021 Liability at beginning of year $ 372,503 $ 50,422 $ 250,768 Reclassification from capital stock 1,172 329,232 4,730 Redemptions/repurchases (4,634) (7,151) (205,076) Liability at end of year $ 369,041 $ 372,503 $ 50,422 |
Schedule of Distributions on Mandatorily Redeemable Capital Stock | 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 December 31, 2023 December 31, 2022 Past contractual redemption date (1) $ 738 $ 498 Year 1 (2) 15,047 10,048 Year 2 19,179 9,872 Year 3 3,674 19,179 Year 4 329,232 3,674 Year 5 1,171 329,232 Total MRCS $ 369,041 $ 372,503 (1) Balance represents Class B stock that will not be redeemed until the associated credit products or mortgage loans are no longer outstanding. (2) Balance at December 31, 2023 and 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 are no longer outstanding. The following table presents the distributions related to our MRCS. Years Ended December 31, MRCS Distributions 2023 2022 2021 Recorded as interest expense $ 17,540 $ 2,140 $ 2,601 Recorded as distributions from retained earnings 716 2,067 97 Total $ 18,256 $ 4,207 $ 2,698 |
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 December 31, 2023 and 2022. December 31, 2023 December 31, 2022 Regulatory Capital Requirements Required Actual Required Actual Risk-based capital $ 1,277,258 $ 4,186,470 $ 489,240 $ 3,781,992 Total regulatory capital $ 3,064,336 $ 4,186,470 $ 2,891,351 $ 3,781,992 Total regulatory capital-to-assets ratio 4.00% 5.46% 4.00% 5.23% Leverage capital $ 3,830,420 $ 6,279,705 $ 3,614,189 $ 5,672,988 Leverage ratio 5.00% 8.20% 5.00% 7.85% |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
AOCI Attributable to Parent [Abstract] | |
Schedule of Changes in the Components of AOCI | The following table presents a summary of the changes in the components of our AOCI. AOCI Rollforward Unrealized Gains (Losses) on AFS Securities Pension Benefits Total AOCI Balance, December 31, 2020 $ 136,921 $ (31,519) $ 105,402 OCI before reclassifications: Net change in unrealized gains (losses) 15,021 — 15,021 Reclassifications from OCI to net income: Pension benefits, net — 12,635 12,635 Total other comprehensive income 15,021 12,635 27,656 Balance, December 31, 2021 $ 151,942 $ (18,884) $ 133,058 OCI before reclassifications: Net change in unrealized gains (losses) (161,881) — (161,881) Reclassifications from OCI to net income: Pension benefits, net — 3,032 3,032 Total other comprehensive income (loss) (161,881) 3,032 (158,849) Balance, December 31, 2022 $ (9,939) $ (15,852) $ (25,791) OCI before reclassifications: Net change in unrealized gains (losses) (56,547) — (56,547) Reclassifications from OCI to net income: Net realized losses from sale of AFS securities 6,709 — 6,709 Pension benefits, net — 2,097 2,097 Total other comprehensive income (loss) (49,838) 2,097 (47,741) Balance, December 31, 2023 $ (59,777) $ (13,755) $ (73,532) |
Employee Retirement and Defer_2
Employee Retirement and Deferred Compensation Plans (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Retirement Benefits [Abstract] | |
Schedule of Net Funded Status | The following table presents a summary of net pension costs charged to compensation and benefits expense and the DB Plan's funded status. DB Plan Net Pension Cost and Funded Status 2023 2022 2021 Net pension cost charged to compensation and benefits expense for the year ended December 31 (1) $ 5,754 $ 7,009 $ 5,482 DB Plan funded status as July 1 114 % (a) 119 % (b) 130 % Our funded status as of July 1 106 % 110 % 126 % (1) Includes voluntary contributions for the years ended December 31, 2023, 2022 and 2021 of $5,310, $6,301, and $4,112, respectively. (a) The DB Plan's funded status as of July 1, 2023 is preliminary and may increase because the participating employers are permitted to make designated contributions through March 15, 2024 for the plan year ended June 30, 2023. Any such contributions will be included in the final valuation as of July 1, 2023. The final funded status as of July 1, 2023 will not be available until the Form 5500 for the plan year ended June 30, 2024 is filed (no later than April 2025). (b) The DB Plan's final funded status as of July 1, 2022 will not be available until the Form 5500 for the plan year ended June 30, 2023 is filed (no later than April 2024). |
Schedule of Changes in Projected Benefit Obligations | The following table presents the changes in our SERP benefit obligation. Change in benefit obligation 2023 2022 2021 Projected benefit obligation at beginning of year $ 51,916 $ 50,577 $ 58,330 Service cost 1,526 2,127 3,528 Interest cost 1,790 856 1,067 Actuarial (gain) loss (805) (1,121) 119 Benefits paid (196) (523) (523) Settlements (697) — (5,665) Plan amendment — — (6,279) Projected benefit obligation at end of year $ 53,534 $ 51,916 $ 50,577 |
Schedule of Assumptions Used | The following table presents the key assumptions used in the actuarial calculations of the benefit obligation. December 31, 2023 2022 2021 Discount rate 4.69 % 4.86 % 2.29 % Compensation increases 5.50 % 5.50 % 5.50 % The following table presents the key assumptions used in the actuarial calculations to determine net periodic benefit cost for the SERP. Years Ended December 31, 2023 2022 2021 Discount rate (1) 4.86 % 2.29 % 2.06 % Compensation increases 5.50 % 5.50 % 5.50 % (1) The discount rate for 2021 was 1.54% for the first six months and 2.06% for the last six months. |
Schedule of Net Benefit Costs | The following table presents the components of the net periodic benefit cost for the SERP. Components Years Ended December 31, 2023 2022 2021 Portion recognized in compensation and benefits: Service cost $ 1,526 $ 2,127 $ 3,528 Total 1,526 2,127 3,528 Portion recognized in other expenses: Interest cost 1,790 856 1,067 Amortization of past service credit (873) (874) — Amortization of net actuarial loss 2,165 2,785 3,706 Accelerated amortization of net actuarial loss due to settlements — — 2,769 Total 3,082 2,767 7,542 Total net periodic benefit cost recognized in income before assessments 4,608 4,894 11,070 Pension benefits recognized in OCI: Actuarial loss (805) (1,121) 119 Amortization of net actuarial loss (2,165) (2,785) (3,706) Accelerated amortization of net actuarial loss due to settlements — — (2,769) Past service credit due to plan amendment — — (6,279) Amortization of past service credit 873 874 — Net pension benefits recognized in OCI (2,097) (3,032) (12,635) Net amount recognized as net periodic benefit cost (credit) $ 2,511 $ 1,862 $ (1,565) |
Schedule of Amounts Recognized in Other Comprehensive Income (Loss) | The following table presents the components of the pension benefits reported in AOCI for the SERP. December 31, 2023 December 31, 2022 Net actuarial loss $ (18,287) $ (21,257) Past service credit due to plan amendment 4,532 5,405 Net pension benefits reported in AOCI $ (13,755) $ (15,852) |
Schedule of Expected Benefit Payments | The following table presents the estimated future benefit payments reflecting scheduled benefit payments for retired participants and the estimated payments to active participants, based on the form of payment elected by the participant and the actuarial probability of the participant retiring. Actual payments may differ significantly. For the Years Ending December 31, 2024 $ 28,957 2025 2,316 2026 2,431 2027 2,730 2028 3,223 2029 - 2033 15,551 |
Segment Information (Tables)
Segment Information (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Segment Reporting [Abstract] | |
Financial Performance by Operating Segment | The following table presents our financial performance by operating segment. Year Ended December 31, 2023 Traditional Mortgage Loans Total Net interest income $ 444,474 $ 50,981 $ 495,455 Provision for (reversal of) credit losses — (220) (220) Other income (loss) 46,588 (693) 45,895 Other expenses 103,662 16,586 120,248 Income before assessments 387,400 33,922 421,322 Affordable Housing Program assessments 40,494 3,392 43,886 Net income $ 346,906 $ 30,530 $ 377,436 Year Ended December 31, 2022 Traditional Mortgage Loans Total Net interest income $ 240,361 $ 50,337 $ 290,698 Provision for (reversal of) credit losses — (74) (74) Other income (loss) 20,101 (657) 19,444 Other expenses 97,158 16,436 113,594 Income before assessments 163,304 33,318 196,622 Affordable Housing Program assessments 16,544 3,332 19,876 Net income $ 146,760 $ 29,986 $ 176,746 Year Ended December 31, 2021 Traditional Mortgage Loans Total Net interest income $ 229,505 $ 22,035 $ 251,540 Provision for (reversal of) credit losses — (108) (108) Other income (loss) (33,495) (324) (33,819) Other expenses 96,760 16,465 113,225 Income before assessments 99,250 5,354 104,604 Affordable Housing Program assessments 10,185 535 10,720 Net income $ 89,065 $ 4,819 $ 93,884 |
Schedule of Segment Assets by Segment | The following table presents our asset balances by operating segment. Date Traditional Mortgage Loans Total December 31, 2023 $ 67,994,560 $ 8,613,844 $ 76,608,404 December 31, 2022 64,597,325 7,686,455 72,283,780 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 12 Months Ended |
Dec. 31, 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. December 31, 2023 Estimated Fair Value Carrying Netting Financial Instruments Value Total Level 1 Level 2 Level 3 Adjustments (1) Assets: Cash and due from banks $ 58,844 $ 58,844 $ 58,844 $ — $ — $ — Interest-bearing deposits 892,049 892,049 892,007 42 — — Securities purchased under agreements to resell 6,500,000 6,500,000 — 6,500,000 — — Federal funds sold 4,101,000 4,101,000 — 4,101,000 — — Trading securities 600,063 600,063 — 600,063 — — AFS securities 14,194,326 14,194,326 — 14,194,326 — — HTM securities 5,256,803 5,179,399 — 5,179,399 — — Advances 35,561,844 35,368,737 — 35,368,737 — — Mortgage loans held for portfolio, net 8,613,844 7,940,218 — 7,936,147 4,071 — Accrued interest receivable 203,809 203,809 — 203,809 — — Derivative assets, net 521,164 521,164 — 737,842 — (216,678) Grantor trust assets (2) 61,227 61,227 61,227 — — — Liabilities: Deposits 628,811 628,811 — 628,811 — — Consolidated obligations: Discount notes 22,621,837 22,620,613 — 22,620,613 — — Bonds 48,431,566 47,570,879 — 47,570,879 — — Accrued interest payable 327,237 327,237 — 327,237 — — Derivative liabilities, net 6,940 6,940 — 1,533,812 — (1,526,872) MRCS 369,041 369,041 369,041 — — — 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. |
Estimated Fair Value Measurements on Recurring and Nonrecurring Basis | The following tables present, by level within the fair value hierarchy, the estimated fair value of our financial assets and liabilities that are recorded at estimated fair value on a recurring or non-recurring basis on our statement of condition. December 31, 2023 Netting Financial Instruments Total Level 1 Level 2 Level 3 Adjustments (1) Trading securities: U.S. Treasury obligations $ 600,063 $ — $ 600,063 $ — $ — Total trading securities 600,063 — 600,063 — — AFS securities: U.S. Treasury obligations 5,696,856 — 5,696,856 — — GSE and TVA debentures 1,806,938 — 1,806,938 — — GSE multifamily MBS 6,690,532 — 6,690,532 — — Total AFS securities 14,194,326 — 14,194,326 — — Derivative assets: Interest-rate related 520,957 — 737,635 — (216,678) MDCs 207 — 207 — — Total derivative assets, net 521,164 — 737,842 — (216,678) Other assets: Grantor trust assets 61,227 61,227 — — — Total assets at recurring estimated fair value $ 15,376,780 $ 61,227 $ 15,532,231 $ — $ (216,678) Derivative liabilities: Interest-rate related $ 6,928 $ — $ 1,533,800 $ — $ (1,526,872) MDCs 12 — 12 — — Total derivative liabilities, net 6,940 — 1,533,812 — (1,526,872) Total liabilities at recurring estimated fair value $ 6,940 $ — $ 1,533,812 $ — $ (1,526,872) 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) |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2023 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents our off-balance-sheet commitments at their notional amounts. December 31, 2023 December 31, 2022 Type of Commitment Expire within one year Expire after one year Total Total Standby letters of credit outstanding (1) $ 190,629 $ 321,294 $ 511,923 $ 471,877 Commitments for standby bond purchases — 184,960 184,960 — Unused lines of credit - advances (2) 1,196,988 — 1,196,988 1,026,035 Commitments to fund additional advances (3) 5,878 4,087 9,965 464,350 Commitments to purchase mortgage loans, net (4) 57,270 — 57,270 30,855 Unsettled CO bonds, at par — — — 75,000 Unsettled discount notes, at par — — — 5,000 (1) There were no unconditional commitments to issue standby letters of credit. (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) | 12 Months Ended |
Dec. 31, 2023 | |
Related Party Transactions [Abstract] | |
Loans to Other Federal Home Loan Banks and Principal Repayments | The following table presents our transactions with directors' financial institutions, taking into account the beginning and ending dates of the directors' terms, merger activity and other changes in the composition of directors' financial institutions. Years Ended December 31, Transactions with Directors' Financial Institutions 2023 2022 2021 Net capital stock issuances (redemptions and repurchases) $ 3,942 $ (33,580) $ 7,213 Net advances (repayments) (107,723) 3,850,669 (1,581,708) Mortgage loan purchases 40,331 17,584 58,830 |
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. December 31, 2023 December 31, 2022 Balances with Directors' Financial Institutions Par value % of Total Par value % of Total Capital stock $ 56,763 2 % $ 49,869 2 % Advances 753,234 2 % 886,191 2 % |
Summary of Significant Accoun_3
Summary of Significant Accounting Policies (Details) | 12 Months Ended |
Dec. 31, 2023 component bank | |
Summary of Significant Accounting Policies [Line Items] | |
Number of regional wholesale FHLBanks | bank | 11 |
Number of components calculating proportionate share of Office of Finance operating and capital expenditures | component | 2 |
Portion based on share of total consolidated obligations outstanding (in percent) | 66.67% |
Portion base on equal pro-rate allocation (in percent) | 33.33% |
Class B | |
Summary of Significant Accounting Policies [Line Items] | |
Mandatorily redeemable capital stock, redemption period | 5 years |
Minimum | |
Summary of Significant Accounting Policies [Line Items] | |
Percentage of difference between present value of cash flows under terms of new advances and present value of remaining cash flows under terms of original advance | 10% |
Estimated useful life | 3 years |
Maximum | |
Summary of Significant Accounting Policies [Line Items] | |
Estimated useful life | 40 years |
Cash and Due from Banks (Detail
Cash and Due from Banks (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Cash and Due from Banks [Abstract] | |||
Average cash balances with commercial banks | $ 9,129 | $ 104,501 | $ 227,913 |
Investments - Short-term Invest
Investments - Short-term Investments (Details) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 |
Cash and Cash Equivalents [Line Items] | ||
Securities purchased under agreements to resell, allowance for credit loss | $ 0 | $ 0 |
Percentage of short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold assets with counterparties rated by an NRSRO as inv. grade | 97% | 96% |
Interest-bearing Deposits | ||
Cash and Cash Equivalents [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 0 | $ 0 |
Federal Funds Sold | ||
Cash and Cash Equivalents [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 0 | $ 0 |
Investments - Trading Securitie
Investments - Trading Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Debt and Equity Securities, FV-NI [Line Items] | ||
Total trading securities at estimated fair value | $ 600,063 | $ 2,230,248 |
U.S. Treasury obligations | ||
Debt and Equity Securities, FV-NI [Line Items] | ||
Total trading securities at estimated fair value | $ 600,063 | $ 2,230,248 |
Investments - Trading Securit_2
Investments - Trading Securities - Net Gains (Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Debt Securities, Trading, Gain (Loss) [Abstract] | |||
Net gains (losses) on trading securities held at year end | $ 11,534 | $ (18,461) | $ (17,608) |
Net gains (losses) on trading securities that matured/sold during the year | 8,082 | (4,113) | (29,706) |
Net gains (losses) on trading securities | $ 19,616 | $ (22,574) | $ (47,314) |
Investments AFS Securities - Ma
Investments AFS Securities - Major Security Types (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | ||
Debt Securities, Available-for-sale [Line Items] | |||
AFS securities, Amortized Cost | [1] | $ 14,254,103 | $ 12,189,776 |
Gross unrealized gains | 22,937 | 43,710 | |
Gross unrealized losses | (82,714) | (53,649) | |
AFS securities | 14,194,326 | 12,179,837 | |
Debt Securities, Available-for-Sale, Unamortized Discount, Net | (278,669) | (294,587) | |
Applicable fair-value hedging basis adjustment | (778,882) | (1,099,886) | |
Excluded accrued interest receivable | $ 72,005 | $ 53,358 | |
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |
Debt Securities, Available-for-Sale, Excluded Accrued Interest from Amortized Cost [true false] | true | true | |
U.S. Treasury obligations | |||
Debt Securities, Available-for-sale [Line Items] | |||
AFS securities, Amortized Cost | [1] | $ 5,708,713 | $ 4,207,974 |
Gross unrealized gains | 738 | 3,502 | |
Gross unrealized losses | (12,595) | (1,802) | |
AFS securities | 5,696,856 | 4,209,674 | |
GSE and TVA debentures | |||
Debt Securities, Available-for-sale [Line Items] | |||
AFS securities, Amortized Cost | [1] | 1,792,310 | 1,882,802 |
Gross unrealized gains | 14,628 | 20,144 | |
Gross unrealized losses | 0 | (243) | |
AFS securities | 1,806,938 | 1,902,703 | |
GSE multifamily MBS | Multifamily | |||
Debt Securities, Available-for-sale [Line Items] | |||
AFS securities, Amortized Cost | [1] | 6,753,080 | 6,099,000 |
Gross unrealized gains | 7,571 | 20,064 | |
Gross unrealized losses | (70,119) | (51,604) | |
AFS securities | $ 6,690,532 | $ 6,067,460 | |
[1] (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. At December 31, 2023 and 2022, net unamortized discounts totaled $(278,669) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(778,882) and $(1,099,886), respectively. Excludes accrued interest |
Investments AFS Securities - Un
Investments AFS Securities - Unrealized Loss Positions (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | $ 6,949,053 | $ 5,395,432 |
Less than 12 Months, Unrealized Losses | (26,686) | (43,091) |
12 Months or More, Estimated Fair Value | 3,222,644 | 301,339 |
12 Months or More, Unrealized Losses | (56,028) | (10,558) |
Total Estimated Fair Value | 10,171,697 | 5,696,771 |
Total Unrealized Losses | (82,714) | (53,649) |
U.S. Treasury obligations | ||
Available-for-sale Securities [Line Items] | ||
Less than 12 Months, Estimated Fair Value | 4,785,547 | 1,836,099 |
Less than 12 Months, Unrealized Losses | (11,716) | (1,802) |
12 Months or More, Estimated Fair Value | 239,902 | 0 |
12 Months or More, Unrealized Losses | (879) | 0 |
Total Estimated Fair Value | 5,025,449 | 1,836,099 |
Total Unrealized Losses | (12,595) | (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 | 2,163,506 | 3,484,309 |
Less than 12 Months, Unrealized Losses | (14,970) | (41,046) |
12 Months or More, Estimated Fair Value | 2,982,742 | 301,339 |
12 Months or More, Unrealized Losses | (55,149) | (10,558) |
Total Estimated Fair Value | 5,146,248 | 3,785,648 |
Total Unrealized Losses | $ (70,119) | $ (51,604) |
Investments AFS Securities - Re
Investments AFS Securities - Redemption Terms (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 14,254,103 | $ 12,189,776 |
Estimated Fair Value | 14,194,326 | 12,179,837 | |
Available for Sale Securities Other Than MBS and ABS | |||
Available-for-sale Securities [Line Items] | |||
Due in 1 year or less, Amortized Cost | 305,208 | 131,329 | |
Due after 1 year through 5 years, Amortized Cost | 4,628,067 | 1,575,581 | |
Due after 5 years through 10 years, Amortized Cost | 2,567,748 | 4,383,866 | |
Due in 1 year or less, Estimated Fair Value | 306,380 | 131,517 | |
Due after 1 year through 5 years, Estimated Fair Value | 4,636,683 | 1,594,583 | |
Due after 5 years through 10 years, Estimated Fair Value | 2,560,731 | 4,386,277 | |
Amortized Cost | 7,501,023 | 6,090,776 | |
Estimated Fair Value | 7,503,794 | 6,112,377 | |
Mortgage Backed Securities | |||
Available-for-sale Securities [Line Items] | |||
Total MBS, amortized cost basis | 6,753,080 | 6,099,000 | |
Total MBS, estimated fair value | $ 6,690,532 | $ 6,067,460 | |
[1] (1) Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. At December 31, 2023 and 2022, net unamortized discounts totaled $(278,669) and $(294,587), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(778,882) and $(1,099,886), respectively. Excludes accrued interest |
Investments - Narrative (Detail
Investments - Narrative (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Investments, Debt and Equity Securities [Abstract] | |||
Proceeds from sales | $ 592,660,000 | $ 0 | $ 0 |
Net realized gains on AFS securities | $ (6,710,000) | $ 0 | 0 |
AFS and HTM securities, based on amortized cost, rated single-A or above (percent) | 100% | 100% | |
Debt Securities, Available-for-Sale, Allowance for Credit Loss, Excluding Accrued Interest | $ 0 | $ 0 | |
Held to maturity principal outstanding, minimum percentage collected prior to sale | 85% | 85% | |
Proceeds from sales | $ 9,769,000 | $ 69,919,000 | $ 0 |
Net realized losses on HTM securities | (71,000) | (1,059,000) | |
Debt Securities, Held-to-Maturity, Allowance for Credit Loss, Excluding Accrued Interest | $ 0 | $ 0 |
Investments HTM Securities - Ma
Investments HTM Securities - Major Security Types (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | $ 5,256,803 | $ 4,240,201 |
Gross Unrecognized Holding Gains | 3,290 | 2,646 | |
Gross Unrecognized Holding Losses | (80,694) | (86,629) | |
Estimated Fair Value | 5,179,399 | 4,156,218 | |
Net unamortized premium | 21,942 | 26,125 | |
Other U.S. obligations - guaranteed MBS | Single Family | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 4,009,493 | 2,991,702 |
Gross Unrecognized Holding Gains | 1,836 | 2,128 | |
Gross Unrecognized Holding Losses | (39,223) | (43,106) | |
Estimated Fair Value | 3,972,106 | 2,950,724 | |
GSE MBS | Single Family | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 683,944 | 619,910 |
Gross Unrecognized Holding Gains | 1,454 | 518 | |
Gross Unrecognized Holding Losses | (36,334) | (39,634) | |
Estimated Fair Value | 649,064 | 580,794 | |
GSE MBS | Multifamily | |||
Schedule of Held-to-maturity Securities [Line Items] | |||
Amortized Cost | [1] | 563,366 | 628,589 |
Gross Unrecognized Holding Gains | 0 | 0 | |
Gross Unrecognized Holding Losses | (5,137) | (3,889) | |
Estimated Fair Value | $ 558,229 | $ 624,700 | |
[1] (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2023 and 2022 to tale d $21,942 and $26,125, respectively. |
Advances - Advances by Year of
Advances - Advances by Year of Redemption Term (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Overdrawn demand and overnight deposit accounts | $ 2 | $ 430 | |
Due in 1 year or less | 9,780,116 | 14,517,059 | |
Due after 1 year through 2 years | 4,362,389 | 2,726,023 | |
Due after 2 years through 3 years | 2,683,356 | 3,316,683 | |
Due after 3 years through 4 years | 4,573,456 | 2,045,370 | |
Due after 4 years through 5 years | 5,531,135 | 3,938,017 | |
Thereafter | 8,946,614 | 10,747,880 | |
Total advances, par value | 35,877,068 | 37,291,462 | |
Fair-value hedging basis adjustments, net | (319,721) | (615,859) | |
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 4,497 | 6,856 | |
Total Advances | [1] | $ 35,561,844 | $ 36,682,459 |
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, Weighted Average Interest Rate, Rolling Year [Abstract] | |||
Overdrawn demand and overnight deposit accounts | 7.76% | 6.74% | |
Due in 1 year or less | 4.88% | 3.77% | |
Due after 1 year through 2 years | 3.33% | 2.82% | |
Due after 2 years through 3 years | 3.25% | 2.73% | |
Due after 3 years through 4 years | 4.37% | 2.70% | |
Due after 4 years through 5 years | 4.30% | 3.96% | |
Thereafter | 3.44% | 2.70% | |
Total advances, par value | 4.06% | 3.26% | |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | |||
Excluded accrued interest receivable | $ 63,775 | $ 50,446 | |
[1] Carrying value equals amortized cost, which excludes accrued interest |
Advances - Earlier of Contractu
Advances - Earlier of Contractual Maturity or Next Call Date and Year of Redemption Term or Next Put Date (Details) - USD ($) $ in Thousands | Dec. 31, 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 | $ 2 | $ 430 |
Due in 1 year or less | 14,901,928 | 19,337,582 |
Due after 1 year through 2 years | 3,641,289 | 2,299,023 |
Due after 2 years through 3 years | 2,370,466 | 2,385,483 |
Due after 3 years through 4 years | 3,328,746 | 1,592,245 |
Due after 4 years through 5 years | 4,502,482 | 2,773,917 |
Thereafter | 7,132,155 | 8,902,782 |
Total advances, par value | 35,877,068 | 37,291,462 |
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 | 2 | 430 |
Due in 1 year or less | 13,910,616 | 20,226,164 |
Due after 1 year through 2 years | 5,102,289 | 3,207,023 |
Due after 2 years through 3 years | 3,581,356 | 4,082,583 |
Due after 3 years through 4 years | 4,808,556 | 2,045,370 |
Due after 4 years through 5 years | 4,661,135 | 4,173,117 |
Thereafter | 3,813,114 | 3,556,775 |
Total advances, par value | $ 35,877,068 | $ 37,291,462 |
Advances - Narrative (Details)
Advances - Narrative (Details) - USD ($) | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 |
Federal Home Loan Bank, Advances [Line Items] | |||
Percent of Advances Par Value Held by Top Borrower | 12% | 12% | |
Percent of advances par value held by top five borrowers | 35% | 41% | |
Federal Home Loan Bank Advances Receivable | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, before Allowance for Credit Loss | $ 0 | $ 0 | |
Financing Receivable, Excluding Accrued Interest, Nonaccrual | 0 | 0 | |
TDRs related to advances | 0 | 0 | $ 0 |
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | 0 | 0 | |
Federal Home Loan Bank Advances Receivable | Total past due | |||
Federal Home Loan Bank, Advances [Line Items] | |||
Advances considered impaired | $ 0 | $ 0 |
Mortgage Loans Held for Portf_4
Mortgage Loans Held for Portfolio - Mortgage Loans By Term and Type (Details) $ in Thousands | 12 Months Ended | ||||
Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | ||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Total mortgage loans held for portfolio, net (2) | $ 8,613,844 | $ 7,686,455 | |||
Original term | 15 years | ||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Accrued interest receivable | Accrued interest receivable | |||
Conventional | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Total mortgage loans held for portfolio | $ 8,457,680 | $ 7,534,978 | |||
Mortgage Purchase Program | Conventional | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
PMI LTV ratio threshold | 0.80 | ||||
Fixed-rate long-term mortgages | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Total mortgage loans held for portfolio, UPB | $ 7,711,709 | 6,676,752 | |||
Fixed-rate medium-term (1) mortgages | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Total mortgage loans held for portfolio, UPB | [1] | $ 740,859 | 856,446 | ||
Fixed-rate medium-term (1) mortgages | Maximum | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Original term | 15 years | ||||
Residential Portfolio Segment | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Total mortgage loans held for portfolio, UPB | $ 8,452,568 | 7,533,198 | |||
Unamortized premiums | 179,499 | 168,593 | |||
Unamortized discounts | (11,844) | (9,466) | |||
Hedging basis adjustments, net | (6,254) | (5,670) | |||
Total mortgage loans held for portfolio | 8,613,969 | 7,686,655 | |||
Allowance for credit losses | (125) | (200) | |||
Total mortgage loans held for portfolio, net (2) | [2] | 8,613,844 | 7,686,455 | ||
Excluded accrued interest receivable | 41,403 | 30,396 | |||
Residential Portfolio Segment | Government-guaranteed or -insured | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Total mortgage loans held for portfolio, UPB | 154,380 | 150,030 | |||
Allowance for credit losses | 0 | 0 | |||
Residential Portfolio Segment | Conventional | |||||
Loans and Leases Receivable Disclosure [Line Items] | |||||
Total mortgage loans held for portfolio, UPB | 8,298,188 | 7,383,168 | |||
Allowance for credit losses | $ (125) | $ (200) | $ (200) | $ (350) | |
[1] Defined as a term of 15 years or less at origination. Excludes accrued interest receivable |
Mortgage Loans Held for Portf_5
Mortgage Loans Held for Portfolio - Credit Quality Indicators and Other Delinquency Statistics (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | ||
Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Total mortgage loans held for portfolio | $ 8,613,969 | $ 7,686,655 | |
In process of foreclosure (1) | [1] | 728 | 1,655 |
Past due 90 days or more still accruing interest (3) | [2] | 3,452 | 7,835 |
Financing Receivable, Excluding Accrued Interest, Nonaccrual | $ 7,601 | $ 10,984 | |
Period loan receivable becomes nonaccrual status | 90 days | 90 days | |
90 days or more | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Serious delinquency rate (2) | [3] | 0.09% | 0.18% |
Government | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
In process of foreclosure (1) | [1] | $ 0 | $ 0 |
Past due 90 days or more still accruing interest (3) | [2] | 939 | 1,552 |
Financing Receivable, Excluding Accrued Interest, Nonaccrual | $ 0 | $ 0 | |
Government | 90 days or more | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Serious delinquency rate (2) | [3] | 0.64% | 1.07% |
Conventional | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | $ 2,419,958 | $ 2,454,550 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 6,037,722 | 5,080,428 | |
Total mortgage loans held for portfolio | 8,457,680 | 7,534,978 | |
Conventional | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
In process of foreclosure (1) | [1] | 728 | 1,655 |
Past due 90 days or more still accruing interest (3) | [2] | 2,513 | 6,283 |
Financing Receivable, Excluding Accrued Interest, Nonaccrual | 7,601 | 10,984 | |
Conventional | 30-59 days | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 20,204 | 17,892 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 26,731 | 13,041 | |
Total mortgage loans held for portfolio | 46,935 | 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 | 3,097 | 4,537 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 4,698 | 1,992 | |
Total mortgage loans held for portfolio | 7,795 | 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 | 5,206 | 9,498 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 1,364 | 2,979 | |
Total mortgage loans held for portfolio | $ 6,570 | $ 12,477 | |
Conventional | 90 days or more | Residential Portfolio Segment | |||
Financing Receivable, Past Due [Line Items] | |||
Serious delinquency rate (2) | [3] | 0.08% | 0.16% |
Conventional | Total past due | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | $ 28,507 | $ 31,927 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 32,793 | 18,012 | |
Total mortgage loans held for portfolio | 61,300 | 49,939 | |
Conventional | Total current | |||
Financing Receivable, Past Due [Line Items] | |||
Financing Receivable, Excluding Accrued Interest, Originated, More than Five Years before Current Fiscal Year | 2,391,451 | 2,422,623 | |
Financing Receivable, Excluding Accrued Interest, Originated, Current Fiscal Year and Preceding Four Fiscal Years | 6,004,929 | 5,062,416 | |
Total mortgage loans held for portfolio | $ 8,396,380 | $ 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. 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. 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 FHA loans, when certain criteria are met. |
Mortgage Loans Held For Portf_6
Mortgage Loans Held For Portfolio - Allowance for Credit Losses Narrative (Details) | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Maximum | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Period for collective evaluation for impairment at the pool level using a recognized third-party credit model | 179 days | 179 days |
Minimum | ||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||
Period for collective evaluation at the pool level based on loan specific attribute data | 180 days | 180 days |
Mortgage Loans Held for Portf_7
Mortgage Loans Held for Portfolio - Allowance for Credit Losses Rollforward (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Allowance for Loan and Lease Losses [Roll Forward] | |||
Reversal of credit losses | $ (220) | $ (74) | $ (108) |
Residential Portfolio Segment | |||
Allowance for Loan and Lease Losses [Roll Forward] | |||
Balance, beginning of year | 200 | ||
Balance, end of year | 125 | 200 | |
Financing Receivable, Excluding Accrued Interest, Nonaccrual | 7,601 | 10,984 | |
Residential Portfolio Segment | Government-guaranteed or -insured | |||
Allowance for Loan and Lease Losses [Roll Forward] | |||
Balance, beginning of year | 0 | ||
Balance, end of year | 0 | 0 | |
Financing Receivable, Excluding Accrued Interest, Nonaccrual | 0 | 0 | |
Conventional | Residential Portfolio Segment | |||
Allowance for Loan and Lease Losses [Roll Forward] | |||
Balance, beginning of year | 200 | 200 | 350 |
(Charge-offs), net of recoveries | 145 | 74 | (42) |
Reversal of credit losses | (220) | (74) | (108) |
Balance, end of year | 125 | 200 | $ 200 |
Financing Receivable, Excluding Accrued Interest, Nonaccrual | $ 7,601 | $ 10,984 |
Premises, Software and Equipm_3
Premises, Software and Equipment (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Property, Plant and Equipment [Abstract] | |||
Premises | $ 14,238 | $ 14,768 | |
Computer software | 53,230 | 51,601 | |
Equipment | 10,219 | 12,278 | |
Premises, software and equipment, in service | 77,687 | 78,647 | |
Accumulated depreciation and amortization | (58,670) | (54,068) | |
Premises, software and equipment, in service, net | 19,017 | 24,579 | |
Capitalized assets in progress | 5,543 | 2,726 | |
Premises, software and equipment, net | 24,560 | 27,305 | |
Depreciation and amortization expense for premises, software and equipment | 8,001 | 8,182 | $ 7,833 |
Amortization of computer software | $ 5,690 | $ 5,935 | $ 5,547 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities - Narrative (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | ||
Securities pledged as collateral | $ 15,670 | $ 0 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities - Derivatives in Statement of Condition (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |||
Derivatives, Fair Value [Line Items] | |||||
Notional amount of derivatives | $ 76,872,100 | $ 72,975,275 | |||
Estimated fair value of derivative assets | 737,842 | 921,179 | |||
Estimated fair value of derivative liabilities | 1,533,812 | 2,179,524 | |||
Gross amounts of netting adjustments and cash collateral | [2] | (216,678) | [1] | (486,758) | [3] |
Gross amounts of netting adjustments and cash collateral | [2] | (1,526,872) | [1] | (2,160,315) | [3] |
Derivative assets, net | 521,164 | 434,421 | |||
Derivative liabilities, net | 6,940 | 19,209 | |||
Cash collateral pledged to counterparties, including accrued interest | 1,451,464 | 1,854,876 | |||
Cash collateral received from counterparties, including accrued interest | 141,271 | 181,319 | |||
Designated as Hedging Instrument | Interest Rate Swap | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional amount of derivatives | 75,336,530 | 66,103,220 | |||
Estimated fair value of derivative assets | 736,648 | 919,089 | |||
Estimated fair value of derivative liabilities | 1,533,144 | 2,178,897 | |||
Not Designated as Hedging Instrument | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional amount of derivatives | 1,535,570 | 6,872,055 | |||
Estimated fair value of derivative assets | 1,194 | 2,090 | |||
Estimated fair value of derivative liabilities | 668 | 627 | |||
Not Designated as Hedging Instrument | Interest Rate Swap | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional amount of derivatives | 610,000 | 6,200,000 | |||
Estimated fair value of derivative assets | 100 | 599 | |||
Estimated fair value of derivative liabilities | 319 | 525 | |||
Not Designated as Hedging Instrument | Interest-rate caps/floors | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional amount of derivatives | 811,000 | 611,000 | |||
Estimated fair value of derivative assets | 887 | 1,310 | |||
Estimated fair value of derivative liabilities | 0 | 0 | |||
Not Designated as Hedging Instrument | Interest-rate forwards | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional amount of derivatives | 57,300 | 30,200 | |||
Estimated fair value of derivative assets | 0 | 131 | |||
Estimated fair value of derivative liabilities | 337 | 0 | |||
MDCs | Not Designated as Hedging Instrument | Interest-rate forwards | |||||
Derivatives, Fair Value [Line Items] | |||||
Notional amount of derivatives | 57,270 | 30,855 | |||
Estimated fair value of derivative assets | 207 | 50 | |||
Estimated fair value of derivative liabilities | $ 12 | $ 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. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2023 and 2022, including accrued interest, totaled $1,451,464 and $1,854,876, respectively. Cash collateral received from counterparties and held at December 31, 2023 and 2022, including accrued interest, totaled $141,271 and $181,319, respectively. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities - Offsetting Derivative Assets and Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |||
Derivative Assets | |||||
Gross recognized amount | $ 737,635 | $ 920,998 | |||
Gross amounts of netting adjustments and cash collateral | [2] | (216,678) | [1] | (486,758) | [3] |
Derivative Asset, Subject to Master Netting Arrangement, after Offset | 520,957 | 434,240 | |||
Derivative instruments not meeting netting requirements | [4] | 207 | 181 | ||
Derivative assets, net | 521,164 | 434,421 | |||
Derivative Liabilities | |||||
Gross recognized amount | 1,533,463 | 2,179,422 | |||
Gross amounts of netting adjustments and cash collateral | [2] | (1,526,872) | [1] | (2,160,315) | [3] |
Derivative Liability, Subject to Master Netting Arrangement, after Offset | 6,591 | 19,107 | |||
Derivative instruments not meeting netting requirements | [4] | 349 | 102 | ||
Derivative liabilities, net | 6,940 | 19,209 | |||
Uncleared | |||||
Derivative Assets | |||||
Gross recognized amount | 736,071 | 892,313 | |||
Gross amounts of netting adjustments and cash collateral | (727,850) | (884,451) | |||
Derivative Asset, Subject to Master Netting Arrangement, after Offset | 8,221 | 7,862 | |||
Derivative Liabilities | |||||
Gross recognized amount | 1,521,576 | 2,178,098 | |||
Gross amounts of netting adjustments and cash collateral | (1,514,985) | (2,158,991) | |||
Derivative Liability, Subject to Master Netting Arrangement, after Offset | 6,591 | 19,107 | |||
Cleared | |||||
Derivative Assets | |||||
Gross recognized amount | 1,564 | 28,685 | |||
Gross amounts of netting adjustments and cash collateral | 511,172 | 397,693 | |||
Derivative Asset, Subject to Master Netting Arrangement, after Offset | 512,736 | 426,378 | |||
Derivative Liabilities | |||||
Gross recognized amount | 11,887 | 1,324 | |||
Gross amounts of netting adjustments and cash collateral | (11,887) | (1,324) | |||
Derivative Liability, Subject to Master Netting Arrangement, after Offset | $ 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. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2023 and 2022, including accrued interest, totaled $1,451,464 and $1,854,876, respectively. Cash collateral received from counterparties and held at December 31, 2023 and 2022, including accrued interest, totaled $141,271 and $181,319, respectively. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. Includes MDCs and certain interest-rate forwards. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities - Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Income, Federal Home Loan Bank Advances - Excluding Advance Prepayment Fees | [1] | $ 1,942,905 | $ 634,148 | $ 115,634 |
Available-for-sale securities | [1] | 808,400 | 285,252 | 99,646 |
Consolidated obligation bonds | [1] | (2,203,964) | (712,038) | (206,429) |
Total Interest Income (Expense) Recorded on Statement of Income - Advances (exlcuding advance prepayment fees), AFS securities, and CO Bonds | [1] | 547,341 | 207,362 | 8,851 |
Interest-rate related | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | $ 10,239 | $ (109,518) | $ (214,996) | |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Net interest income | Net interest income | Net interest income | |
Interest-rate related | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | $ 549,396 | $ 47,331 | $ (187,171) | |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Advances | Advances | Advances | |
Interest-rate related | AFS Securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | $ 395,870 | $ (10,984) | $ (128,258) | |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Available-for-sale securities | Available-for-sale securities | Available-for-sale securities | |
Interest-rate related | Unsettled CO bonds, at par | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative, Gain (Loss) on Derivative, Net | $ (935,027) | $ (145,865) | $ 100,433 | |
Derivative, Gain (Loss), Statement of Income or Comprehensive Income [Extensible Enumeration] | Consolidated obligation bonds | Consolidated obligation bonds | Consolidated obligation bonds | |
Interest Income (Expense), Net | Interest-rate related | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net interest settlements on derivatives | [2] | $ 102,961 | $ (24,623) | $ (190,442) |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | [3] | 375,130 | (750,957) | 456,996 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | [4] | (467,852) | 666,062 | (481,550) |
Interest Income | Interest-rate related | Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net interest settlements on derivatives | [2] | 578,797 | 52,810 | (183,075) |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | [3] | (283,523) | 725,919 | 425,804 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | [4] | 254,122 | (731,398) | (429,900) |
Interest Income | Interest-rate related | AFS Securities | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net interest settlements on derivatives | [2] | 474,849 | 58,755 | (110,510) |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | [3] | (64,225) | 432,904 | 303,349 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | [4] | (14,754) | (502,643) | (321,097) |
Interest Expense | Interest-rate related | Unsettled CO bonds, at par | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net interest settlements on derivatives | [2] | (950,685) | (136,188) | 103,143 |
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | [3] | 722,878 | (1,909,780) | (272,157) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | [4] | $ (707,220) | $ 1,900,103 | $ 269,447 |
[1] For advances, AFS securities and CO bonds only. 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. Includes increases (decreases) in estimated fair value, price alignme nt interest and swap termination fees . Includes increases (decreases) in estimated fair value and amortization of net losses on ineffective and discontinued fair-value hedging relationships. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities - Derivatives in Statement of Income (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives | $ 181 | $ 48,429 | $ 3,684 | |
Interest Rate Swap | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives not designated as hedging instruments: | (17,369) | 15,731 | 13,347 | |
Interest-rate caps/floors | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives not designated as hedging instruments: | (1,746) | 233 | (36) | |
Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives not designated as hedging instruments: | (308) | 7,824 | 3,350 | |
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives not designated as hedging instruments: | [1] | 20,370 | 33,391 | (9,137) |
MDCs | Interest-rate forwards | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) on derivatives not designated as hedging instruments: | $ (766) | $ (8,750) | $ (3,840) | |
[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_8
Derivatives and Hedging Activities - Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | $ 36,682,911 | $ 28,717,246 |
Advances | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | $ 21,624,453 | $ 20,766,832 |
Hedged Asset, Statement of Financial Position [Extensible Enumeration] | Advances (Note 5) | Advances (Note 5) | |
For active fair-value hedging relationships | [2] | $ (319,721) | $ (615,898) |
For discontinued fair-value hedging relationships | 0 | 39 | |
Total cumulative fair-value hedging basis adjustments on hedged items | (319,721) | (615,859) | |
AFS Securities | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Amortized cost of hedged items | [1] | $ 14,254,103 | $ 12,189,776 |
Hedged Asset, Statement of Financial Position [Extensible Enumeration] | AFS securities | AFS securities | |
For active fair-value hedging relationships | [2] | $ (1,013,707) | $ (1,417,774) |
For discontinued fair-value hedging relationships | 234,825 | 317,888 | |
Total cumulative fair-value hedging basis adjustments on hedged items | $ (778,882) | $ (1,099,886) | |
Unsettled CO bonds, at par | |||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | |||
Hedged Liability, Statement of Financial Position [Extensible Enumeration] | Bonds | Bonds | |
For active fair-value hedging relationships | [2] | $ (1,410,511) | $ (2,147,802) |
For discontinued fair-value hedging relationships | 0 | 0 | |
Total cumulative fair-value hedging basis adjustments on hedged items | $ (1,410,511) | $ (2,147,802) | |
[1] Includes the amortized cost of the hedged items in active or discontinued fair-value hedging relationships. Includes effective and ineffective fair-value hedging relationships. Excludes any offsetting effect of the net estimated fair value of the associated derivatives. |
Deposit Liabilities (Details)
Deposit Liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Interest-bearing: | ||
Demand and overnight | $ 608,697 | $ 571,971 |
Time | 20,100 | 23,898 |
Other | 14 | 38 |
Total interest-bearing | 628,811 | 595,907 |
Total deposits | $ 628,811 | $ 595,907 |
Consolidated Obligations - Narr
Consolidated Obligations - Narrative (Details) - USD ($) $ in Thousands | 12 Months Ended | |
Dec. 31, 2023 | Dec. 31, 2022 | |
Debt Disclosure [Abstract] | ||
Discount notes maturity period | 1 year | |
FHLB system outstanding consolidation obligations | $ 1,200,000,000 | $ 1,200,000,000 |
Consolidated Obligations - Disc
Consolidated Obligations - Discount Notes (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Short-term Debt [Line Items] | ||
Discount notes | $ 22,621,837 | $ 27,387,492 |
Weighted average effective interest rate | 5.35% | 4.16% |
Short-term Debt | ||
Short-term Debt [Line Items] | ||
Par value | $ 22,737,397 | $ 27,533,665 |
Unamortized discounts | (115,297) | (145,726) |
Unamortized concessions | $ (263) | $ (447) |
Consolidated Obligations - CO B
Consolidated Obligations - CO Bonds by Interest-rate Payment Type (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Long-Term Debt, Gross | $ 49,827,050 | $ 42,002,060 |
Fixed-rate | ||
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Long-Term Debt, Gross | 45,009,050 | 36,957,560 |
Simple variable-rate | ||
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Long-Term Debt, Gross | 3,389,500 | 2,776,000 |
Step-up | ||
Consolidated Obligation Bonds by Interest-rate Payment [Line Items] | ||
Long-Term Debt, Gross | $ 1,428,500 | $ 2,268,500 |
Consolidated Obligations - Cont
Consolidated Obligations - Contractual Maturity (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Amount | ||
Total CO bonds, par value | $ 49,827,050 | $ 42,002,060 |
Total CO bonds | 48,431,566 | 39,882,454 |
Unsecured Debt | ||
Amount | ||
Due in 1 year or less | 20,137,240 | 10,016,310 |
Due after 1 year through 2 years | 10,415,280 | 8,014,590 |
Due after 2 years through 3 years | 7,537,350 | 6,278,940 |
Due after 3 years through 4 years | 2,356,530 | 7,130,600 |
Due after 4 years through 5 years | 2,254,120 | 2,312,540 |
Thereafter | 7,126,530 | 8,249,080 |
Total CO bonds, par value | 49,827,050 | 42,002,060 |
Unamortized premiums | 33,792 | 45,535 |
Unamortized discounts | (10,093) | (10,165) |
Unamortized concessions | (8,672) | (7,174) |
Fair-value hedging basis adjustments, net | (1,410,511) | (2,147,802) |
Total CO bonds | $ 48,431,566 | $ 39,882,454 |
WAIR% | ||
Due in 1 year or less | 3.76% | 3.05% |
Due after 1 year through 2 years | 2.96% | 1.48% |
Due after 2 years through 3 years | 1.48% | 1.37% |
Due after 3 years through 4 years | 1.85% | 1.25% |
Due after 4 years through 5 years | 3.06% | 1.76% |
Thereafter | 2.81% | 2.35% |
Total CO bonds, par value | 2.99% | 1.99% |
Year of Contractual Maturity or Next Call Date | Unsecured Debt | ||
Amount | ||
Due in 1 year or less | $ 42,512,740 | $ 37,066,810 |
Due after 1 year through 2 years | 4,389,780 | 1,444,590 |
Due after 2 years through 3 years | 895,850 | 770,940 |
Due after 3 years through 4 years | 327,530 | 804,100 |
Due after 4 years through 5 years | 1,051,620 | 268,540 |
Thereafter | 649,530 | 1,647,080 |
Total CO bonds, par value | $ 49,827,050 | $ 42,002,060 |
Consolidated Obligations - Bond
Consolidated Obligations - Bonds by Callable Feature (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 |
Debt Instrument [Line Items] | ||
Long-Term Debt, Gross | $ 49,827,050 | $ 42,002,060 |
Non-callable / non-putable | ||
Debt Instrument [Line Items] | ||
Long-Term Debt, Gross | 14,027,225 | 11,979,560 |
Callable | ||
Debt Instrument [Line Items] | ||
Long-Term Debt, Gross | $ 35,799,825 | $ 30,022,500 |
Affordable Housing Program (Det
Affordable Housing Program (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Affordable Housing Program [Abstract] | ||||
Minimum amount required to set aside for AHP | $ 100,000 | |||
Percentage of net earnings required to set aside for AHP | 10% | |||
Affordable Housing Program Funding Obligation [Roll Forward] | ||||
Balance at beginning of year | $ 38,170 | $ 31,049 | $ 34,402 | |
Assessments | 43,886 | 19,876 | 10,720 | |
Voluntary contributions to AHP | 1,863 | 4,159 | 0 | |
Subsidy usage, net (1) | [1] | (15,618) | (16,914) | (14,073) |
Balance at end of year | $ 68,301 | $ 38,170 | $ 31,049 | |
[1] (1) |
Capital - Narrative (Details)
Capital - Narrative (Details) | 12 Months Ended |
Dec. 31, 2023 numberOfSub-seriesOfStock | |
Banking Regulation, Total Capital [Abstract] | |
Number of Sub-series of Stock | 2 |
Percentage of quarterly net income allocated to separate restricted retained earnings account | 20% |
Restricted retained earnings as percentage of average balance of outstanding consolidated obligations for quarter | 1% |
Capital - Capital Stock by Sub-
Capital - Capital Stock by Sub-Series (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |
Class B | |||
Class of Stock [Line Items] | |||
Capital Stock Sub-Series | $ 2,285,258 | $ 2,123,125 | |
Class B-1 | |||
Class of Stock [Line Items] | |||
Capital Stock Sub-Series | [1] | 581,687 | 535,345 |
Class B-2 | |||
Class of Stock [Line Items] | |||
Capital Stock Sub-Series | [2] | $ 1,703,571 | $ 1,587,780 |
[1] (1) Non-activity-based stock. (2) Activity-based stock. |
Capital - Mandatorily Redeemabl
Capital - Mandatorily Redeemable Capital Stock Rollforward (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Mandatorily Redeemable Capital Stock Acitvity [Roll Forward] | |||
Liability at beginning of year | $ 372,503 | $ 50,422 | $ 250,768 |
Reclassification from capital stock | 1,172 | 329,232 | 4,730 |
Redemptions/repurchases | (4,634) | (7,151) | (205,076) |
Liability at end of year | $ 369,041 | $ 372,503 | $ 50,422 |
Capital - MRCS Contractual Year
Capital - MRCS Contractual Year Redemption (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | |||||
Stock not redeemed after redemption period | [1] | $ 738 | $ 498 | ||
Year 1 | [2] | 15,047 | 10,048 | ||
Year 2 | 19,179 | 9,872 | |||
Year 3 | 3,674 | 19,179 | |||
Year 4 | 329,232 | 3,674 | |||
Year 5 | 1,171 | 329,232 | |||
Total MRCS | 369,041 | 372,503 | $ 50,422 | $ 250,768 | |
Financial Instruments Subject to Mandatory Redemption, Non-member captive borrowers, due to outstanding activity | $ 5,175 | $ 9,585 | |||
[1]Balance represents Class B stock that will not be redeemed until the associated credit products or mortgage loans are no longer outstanding. |
Capital - MRCS Distributions (D
Capital - MRCS Distributions (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Banking Regulation, Total Capital [Abstract] | |||
Recorded as interest expense | $ 17,540 | $ 2,140 | $ 2,601 |
Recorded as distributions from retained earnings | 716 | 2,067 | 97 |
Total | $ 18,256 | $ 4,207 | $ 2,698 |
Capital - Regulatory Capital Re
Capital - Regulatory Capital Requirements (Details) $ in Thousands | Dec. 31, 2023 USD ($) capital_requirement | Dec. 31, 2022 USD ($) |
Banking Regulation, Total Capital [Abstract] | ||
Number of capital requirements | capital_requirement | 3 | |
Total regulatory capital-to-assets ratio, required | 4% | 4% |
Multiplier for capital in leverage capital calculation | 1.5 | |
Leverage ratio, required | 5% | 5% |
Risk-based capital, required | $ 1,277,258 | $ 489,240 |
Risk-based capital, actual | 4,186,470 | 3,781,992 |
Total regulatory capital, required | 3,064,336 | 2,891,351 |
Total regulatory capital, actual | $ 4,186,470 | $ 3,781,992 |
Total regulatory capital-to-assets ratio, actual | 5.46% | 5.23% |
Leverage capital, required | $ 3,830,420 | $ 3,614,189 |
Leverage capital, actual | $ 6,279,705 | $ 5,672,988 |
Leverage ratio, actual | 8.20% | 7.85% |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | $ 3,383,698 | $ 3,556,331 | $ 3,450,302 |
Total other comprehensive income (loss) | (47,741) | (158,849) | 27,656 |
Ending Balance | 3,743,897 | 3,383,698 | 3,556,331 |
Accumulated Other Comprehensive Income (Loss) | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | (25,791) | 133,058 | 105,402 |
Net change in unrealized gains (losses) | (56,547) | (161,881) | 15,021 |
Pension benefits, net | 2,097 | 3,032 | 12,635 |
Reclassification of net realized gains from sale to other income (loss) | 6,709 | ||
Total other comprehensive income (loss) | (47,741) | (158,849) | 27,656 |
Ending Balance | (73,532) | (25,791) | 133,058 |
Unrealized Gains (Losses) on AFS Securities | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | (9,939) | 151,942 | 136,921 |
Net change in unrealized gains (losses) | (56,547) | (161,881) | 15,021 |
Pension benefits, net | 0 | 0 | 0 |
Reclassification of net realized gains from sale to other income (loss) | 6,709 | ||
Total other comprehensive income (loss) | (49,838) | (161,881) | 15,021 |
Ending Balance | (59,777) | (9,939) | 151,942 |
Pension Benefits | |||
Accumulated Other Comprehensive Income [Roll Forward] | |||
Beginning Balance | (15,852) | (18,884) | (31,519) |
Net change in unrealized gains (losses) | 0 | 0 | 0 |
Pension benefits, net | 2,097 | 3,032 | 12,635 |
Reclassification of net realized gains from sale to other income (loss) | 0 | ||
Total other comprehensive income (loss) | 2,097 | 3,032 | 12,635 |
Ending Balance | $ (13,755) | $ (15,852) | $ (18,884) |
Employee Retirement and Defer_3
Employee Retirement and Deferred Compensation Plans - Qualified Defined Benefit Multiemployer Plan (Details) $ in Thousands | 12 Months Ended | ||||||||
Dec. 31, 2023 USD ($) | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | Jun. 30, 2023 | Jun. 30, 2022 | Jun. 30, 2021 | ||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||||||
Employer contribution amount | $ 2,975 | $ 2,742 | $ 2,682 | ||||||
Entity Tax Identification Number | 35-6001443 | ||||||||
Pentegra Defined Benefit Plan | |||||||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||||||
Net pension cost charged to compensation and benefits expense for the year ended December 31 | [1] | $ 5,754 | $ 7,009 | $ 5,482 | |||||
DB Plan funded status as July 1 | 114% | [2] | 119% | [3] | 130% | ||||
Our funded status as of July 1 | 106% | 110% | 126% | ||||||
Pentegra Defined Benefit Plan, Voluntary Contribution | |||||||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||||||
Voluntary contributions by employer | $ 5,310 | $ 6,301 | $ 4,112 | ||||||
Multiemployer Plans, Pension | |||||||||
Defined Benefit Plans and Other Postretirement Benefit Plans Table Text Block [Line Items] | |||||||||
Maximum percentage of contributions by participating employer | 5% | 5% | 5% | ||||||
Entity Tax Identification Number | 13-5645888 | ||||||||
Multiemployer plan number | 333 | ||||||||
Number of Collective Borrowing Arrangements Associated with Qualified Defined Benefit Plan | 0 | ||||||||
Qualified Defined Benefit Pension Plan Funding Target | 100% | ||||||||
[1] Includes voluntary contributions for the years ended December 31, 2023, 2022 and 2021 of $5,310, $6,301, and $4,112, respectively. The DB Plan's funded status as of July 1, 2023 is preliminary and may increase because the participating employers are permitted to make designated contributions through March 15, 2024 for the plan year ended June 30, 2023. Any such contributions will be included in the final valuation as of July 1, 2023. The final funded status as of July 1, 2023 will not be available until the Form 5500 for the plan year ended June 30, 2024 is filed (no later than April 2025). The DB Plan's final funded status as of July 1, 2022 will not be available until the Form 5500 for the plan year ended June 30, 2023 is filed (no later than April 2024). |
Employee Retirement and Defer_4
Employee Retirement and Deferred Compensation Plans - Nonqualified Defined Benefit Plan (Details) - USD ($) $ in Thousands | 6 Months Ended | 12 Months Ended | |||
Jun. 30, 2021 | Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | ||
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | |||||
Net pension benefits recognized in OCI | $ (2,097) | $ (3,032) | $ (12,635) | ||
Supplemental Executive Retirement Plan | |||||
Defined Benefit Plan, Change in Benefit Obligation [Roll Forward] | |||||
Projected benefit obligation at beginning of year | $ 58,330 | 51,916 | 50,577 | 58,330 | |
Service cost | 1,526 | 2,127 | 3,528 | ||
Interest cost | 1,790 | 856 | 1,067 | ||
Actuarial (gain) loss | (805) | (1,121) | 119 | ||
Benefits paid | (196) | (523) | (523) | ||
Settlements | (697) | 0 | (5,665) | ||
Plan amendment | 0 | 0 | (6,279) | ||
Projected benefit obligation at end of year | 53,534 | 51,916 | $ 50,577 | ||
Accumulated benefit obligation | 43,264 | 41,457 | |||
Grantor trust assets at fair value | $ 53,434 | $ 46,688 | |||
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Benefit Obligation [Abstract] | |||||
Discount rate | 4.69% | 4.86% | 2.29% | ||
Compensation increases | 5.50% | 5.50% | 5.50% | ||
Defined Benefit Plan, Net Periodic Benefit Cost (Credit) [Abstract] | |||||
Service cost | $ 1,526 | $ 2,127 | $ 3,528 | ||
Total | 1,526 | 2,127 | 3,528 | ||
Interest cost | 1,790 | 856 | 1,067 | ||
Amortization of past service credit | (873) | (874) | 0 | ||
Amortization of net actuarial loss | 2,165 | 2,785 | 3,706 | ||
Accelerated amortization of net actuarial loss due to settlements | 0 | 0 | (2,769) | ||
Total | 3,082 | 2,767 | 7,542 | ||
Total net periodic benefit cost recognized in income before assessments | 4,608 | 4,894 | 11,070 | ||
Defined Benefit Plan, Amounts Recognized in Other Comprehensive Income (Loss) [Abstract] | |||||
Actuarial loss | (805) | (1,121) | 119 | ||
Amortization of net actuarial loss | (2,165) | (2,785) | (3,706) | ||
Accelerated amortization of net actuarial loss due to settlements | 0 | 0 | (2,769) | ||
Past service credit due to plan amendment | 0 | 0 | (6,279) | ||
Amortization of past service credit | 873 | 874 | 0 | ||
Net pension benefits recognized in OCI | (2,097) | (3,032) | (12,635) | ||
Net amount recognized as net periodic benefit cost (credit) | $ 2,511 | $ 1,862 | $ (1,565) | ||
Defined Benefit Plan, Weighted Average Assumptions Used in Calculating Net Periodic Benefit Cost [Abstract] | |||||
Discount rate | 1.54% | 4.86% | 2.29% | 2.06% | [1] |
Compensation increases | 5.50% | 5.50% | 5.50% | ||
Defined Benefit Plan, Accumulated Other Comprehensive (Income) Loss, before Tax [Abstract] | |||||
Net actuarial loss | $ (18,287) | $ (21,257) | |||
Past service credit due to plan amendment | 4,532 | 5,405 | |||
Net pension benefits reported in AOCI | (13,755) | $ (15,852) | |||
Expected net periodic benefit cost in next fiscal year | 4,407 | ||||
Defined Benefit Plan, Expected Future Benefit Payment [Abstract] | |||||
2024 | 28,957 | ||||
2025 | 2,316 | ||||
2026 | 2,431 | ||||
2027 | 2,730 | ||||
2028 | 3,223 | ||||
2029 - 2033 | $ 15,551 | ||||
[1] (1) The discount rate for 2021 was 1.54% for the first six months and 2.06% for the last six months. |
Segment Information (Details)
Segment Information (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 USD ($) segment | Dec. 31, 2022 USD ($) | Dec. 31, 2021 USD ($) | |
Segment Reporting Information [Line Items] | |||
Number of operating segments | segment | 2 | ||
Net interest income | $ 495,455 | $ 290,698 | $ 251,540 |
Provision for (reversal of) credit losses | (220) | (74) | (108) |
Other income (loss) | 45,895 | 19,444 | (33,819) |
Other expenses | 120,248 | 113,594 | 113,225 |
Income (loss) before assessments | 421,322 | 196,622 | 104,604 |
Affordable Housing Program assessments | 43,886 | 19,876 | 10,720 |
Net income | 377,436 | 176,746 | 93,884 |
Assets | 76,608,404 | 72,283,780 | |
Traditional | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 444,474 | 240,361 | 229,505 |
Provision for (reversal of) credit losses | 0 | 0 | 0 |
Other income (loss) | 46,588 | 20,101 | (33,495) |
Other expenses | 103,662 | 97,158 | 96,760 |
Income (loss) before assessments | 387,400 | 163,304 | 99,250 |
Affordable Housing Program assessments | 40,494 | 16,544 | 10,185 |
Net income | 346,906 | 146,760 | 89,065 |
Assets | 67,994,560 | 64,597,325 | |
Mortgage Loans | |||
Segment Reporting Information [Line Items] | |||
Net interest income | 50,981 | 50,337 | 22,035 |
Provision for (reversal of) credit losses | (220) | (74) | (108) |
Other income (loss) | (693) | (657) | (324) |
Other expenses | 16,586 | 16,436 | 16,465 |
Income (loss) before assessments | 33,922 | 33,318 | 5,354 |
Affordable Housing Program assessments | 3,392 | 3,332 | 535 |
Net income | 30,530 | 29,986 | $ 4,819 |
Assets | $ 8,613,844 | $ 7,686,455 |
Estimated Fair Values - Carryin
Estimated Fair Values - Carrying Value and Fair Value of Financial Instruments (Details) $ in Thousands | Dec. 31, 2023 USD ($) price | Dec. 31, 2022 USD ($) price | Dec. 31, 2021 USD ($) | Dec. 31, 2020 USD ($) | |||
Assets: | |||||||
Cash and due from banks | $ 58,844 | $ 21,161 | |||||
Trading securities: | 600,063 | 2,230,248 | |||||
AFS securities | 14,194,326 | 12,179,837 | |||||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | [1] | 5,256,803 | 4,240,201 | ||||
HTM securities, fair value | 5,179,399 | 4,156,218 | |||||
Accrued interest receivable | 203,809 | 152,867 | |||||
Derivative assets, net | 521,164 | 434,421 | |||||
Gross amounts of netting adjustments and cash collateral | [3] | (216,678) | [2] | (486,758) | [4] | ||
Consolidated obligations: | |||||||
Accrued interest payable | 327,237 | 162,584 | |||||
Derivative liabilities, net | 6,940 | 19,209 | |||||
Netting adjustments and cash collateral, liabilities | [3] | (1,526,872) | [2] | (2,160,315) | [4] | ||
MRCS | $ 369,041 | $ 372,503 | $ 50,422 | $ 250,768 | |||
Minimum | |||||||
Consolidated obligations: | |||||||
Number of prices received for MBS | price | 2 | 2 | |||||
Maximum | |||||||
Consolidated obligations: | |||||||
Number of prices received for MBS | price | 3 | 3 | |||||
Level 1 | |||||||
Assets: | |||||||
Cash and due from banks | $ 58,844 | $ 21,161 | |||||
Interest-bearing deposits | 892,007 | 856,019 | |||||
Securities purchased under agreements to resell | 0 | 0 | |||||
Federal funds sold | 0 | 0 | |||||
Trading securities: | 0 | 0 | |||||
AFS securities | 0 | 0 | |||||
HTM securities, fair value | 0 | 0 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net | 0 | 0 | |||||
Accrued interest receivable | 0 | 0 | |||||
Derivative assets, net | 0 | 0 | |||||
Grantor trust assets | [5] | 61,227 | 53,166 | ||||
Liabilities: | |||||||
Deposits | 0 | 0 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities, net | 0 | 0 | |||||
MRCS | 369,041 | 372,503 | |||||
Level 2 | |||||||
Assets: | |||||||
Cash and due from banks | 0 | 0 | |||||
Interest-bearing deposits | 42 | 41 | |||||
Securities purchased under agreements to resell | 6,500,000 | 4,550,000 | |||||
Federal funds sold | 4,101,000 | 3,148,000 | |||||
Trading securities: | 600,063 | 2,230,248 | |||||
AFS securities | 14,194,326 | 12,179,837 | |||||
HTM securities, fair value | 5,179,399 | 4,156,218 | |||||
Advances | 35,368,737 | 36,468,949 | |||||
Mortgage loans held for portfolio, net | 7,936,147 | 6,859,956 | |||||
Accrued interest receivable | 203,809 | 152,867 | |||||
Derivative assets, net | 737,842 | 921,179 | |||||
Grantor trust assets | [5] | 0 | 0 | ||||
Liabilities: | |||||||
Deposits | 628,811 | 595,907 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 327,237 | 162,584 | |||||
Derivative liabilities, net | 1,533,812 | 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 | |||||
AFS securities | 0 | 0 | |||||
HTM securities, fair value | 0 | 0 | |||||
Advances | 0 | 0 | |||||
Mortgage loans held for portfolio, net | 4,071 | 7,948 | |||||
Accrued interest receivable | 0 | 0 | |||||
Derivative assets, net | 0 | 0 | |||||
Grantor trust assets | [5] | 0 | 0 | ||||
Liabilities: | |||||||
Deposits | 0 | 0 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 0 | 0 | |||||
Derivative liabilities, net | 0 | 0 | |||||
MRCS | 0 | 0 | |||||
Bonds | Level 1 | |||||||
Consolidated obligations: | |||||||
Bonds | 0 | 0 | |||||
Bonds | Level 2 | |||||||
Consolidated obligations: | |||||||
Bonds | 47,570,879 | 38,690,400 | |||||
Bonds | Level 3 | |||||||
Consolidated obligations: | |||||||
Bonds | 0 | 0 | |||||
Unsettled discount notes, at par | Level 1 | |||||||
Consolidated obligations: | |||||||
Discount notes | 0 | 0 | |||||
Unsettled discount notes, at par | Level 2 | |||||||
Consolidated obligations: | |||||||
Discount notes | 22,620,613 | 27,387,547 | |||||
Unsettled discount notes, at par | Level 3 | |||||||
Consolidated obligations: | |||||||
Discount notes | 0 | 0 | |||||
Carrying Value | |||||||
Assets: | |||||||
Cash and due from banks | 58,844 | 21,161 | |||||
Interest-bearing deposits | 892,049 | 856,060 | |||||
Securities purchased under agreements to resell | 6,500,000 | 4,550,000 | |||||
Federal funds sold | 4,101,000 | 3,148,000 | |||||
Trading securities: | 600,063 | 2,230,248 | |||||
AFS securities | 14,194,326 | 12,179,837 | |||||
Debt Securities, Held-to-Maturity, Excluding Accrued Interest, after Allowance for Credit Loss | 5,256,803 | 4,240,201 | |||||
Advances | 35,561,844 | 36,682,459 | |||||
Mortgage loans held for portfolio, net | 8,613,844 | 7,686,455 | |||||
Accrued interest receivable | 203,809 | 152,867 | |||||
Derivative assets, net | 521,164 | 434,421 | |||||
Grantor trust assets | [5] | 61,227 | 53,166 | ||||
Liabilities: | |||||||
Deposits | 628,811 | 595,907 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 327,237 | 162,584 | |||||
Derivative liabilities, net | 6,940 | 19,209 | |||||
MRCS | 369,041 | 372,503 | |||||
Carrying Value | Bonds | |||||||
Consolidated obligations: | |||||||
Bonds | 48,431,566 | 39,882,454 | |||||
Carrying Value | Unsettled discount notes, at par | |||||||
Consolidated obligations: | |||||||
Discount notes | 22,621,837 | 27,387,492 | |||||
Total | |||||||
Assets: | |||||||
Cash and due from banks | 58,844 | 21,161 | |||||
Interest-bearing deposits | 892,049 | 856,060 | |||||
Securities purchased under agreements to resell | 6,500,000 | 4,550,000 | |||||
Federal funds sold | 4,101,000 | 3,148,000 | |||||
Trading securities: | 600,063 | 2,230,248 | |||||
AFS securities | 14,194,326 | 12,179,837 | |||||
HTM securities, fair value | 5,179,399 | 4,156,218 | |||||
Advances | 35,368,737 | 36,468,949 | |||||
Mortgage loans held for portfolio, net | 7,940,218 | 6,867,904 | |||||
Accrued interest receivable | 203,809 | 152,867 | |||||
Derivative assets, net | 521,164 | 434,421 | |||||
Grantor trust assets | [5] | 61,227 | 53,166 | ||||
Liabilities: | |||||||
Deposits | 628,811 | 595,907 | |||||
Consolidated obligations: | |||||||
Accrued interest payable | 327,237 | 162,584 | |||||
Derivative liabilities, net | 6,940 | 19,209 | |||||
MRCS | 369,041 | 372,503 | |||||
Total | Bonds | |||||||
Consolidated obligations: | |||||||
Bonds | 47,570,879 | 38,690,400 | |||||
Total | Unsettled discount notes, at par | |||||||
Consolidated obligations: | |||||||
Discount notes | $ 22,620,613 | $ 27,387,547 | |||||
[1] (1) Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at December 31, 2023 and 2022 to tale d $21,942 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. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2023 and 2022, including accrued interest, totaled $1,451,464 and $1,854,876, respectively. Cash collateral received from counterparties and held at December 31, 2023 and 2022, including accrued interest, totaled $141,271 and $181,319, respectively. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. Included in other assets on the statement of condition. |
Estimated Fair Values - Recurri
Estimated Fair Values - Recurring and Non-Recurring Basis (Details) - USD ($) $ in Thousands | Dec. 31, 2023 | Dec. 31, 2022 | |||
Assets [Abstract] | |||||
Trading securities | $ 600,063 | $ 2,230,248 | |||
AFS securities | 14,194,326 | 12,179,837 | |||
Derivative assets, net | 521,164 | 434,421 | |||
Netting adjustments and cash collateral, assets | [2] | 216,678 | [1] | 486,758 | [3] |
Liabilities [Abstract] | |||||
Derivative liabilities, net | 6,940 | 19,209 | |||
Netting adjustments and cash collateral, liabilities | [2] | 1,526,872 | [1] | 2,160,315 | [3] |
Recurring | |||||
Assets [Abstract] | |||||
Netting adjustments and cash collateral, assets | [1] | 216,678 | 486,758 | ||
Liabilities [Abstract] | |||||
Netting adjustments and cash collateral, liabilities | [1] | 1,526,872 | 2,160,315 | ||
Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Netting adjustments and cash collateral, assets | [1] | 216,678 | 486,758 | ||
Liabilities [Abstract] | |||||
Netting adjustments and cash collateral, liabilities | [1] | 1,526,872 | 2,160,315 | ||
Level 1 | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | [4] | 61,227 | 53,166 | ||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 1 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | 61,227 | 53,166 | |||
Total assets at estimated fair value | 61,227 | 53,166 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at estimated fair value | 0 | 0 | |||
Level 1 | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 2 | |||||
Assets [Abstract] | |||||
Trading securities | 600,063 | 2,230,248 | |||
AFS securities | 14,194,326 | 12,179,837 | |||
Derivative assets, net | 737,842 | 921,179 | |||
Grantor trust assets at fair value | [4] | 0 | 0 | ||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 1,533,812 | 2,179,524 | |||
Level 2 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 600,063 | 2,230,248 | |||
AFS securities | 14,194,326 | 12,179,837 | |||
Derivative assets, net | 737,842 | 921,179 | |||
Grantor trust assets at fair value | 0 | 0 | |||
Total assets at estimated fair value | 15,532,231 | 15,331,264 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 1,533,812 | 2,179,524 | |||
Total liabilities at estimated fair value | 1,533,812 | 2,179,524 | |||
Level 2 | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 737,635 | 921,129 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 1,533,800 | 2,179,422 | |||
Level 3 | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | [4] | 0 | 0 | ||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Level 3 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
Derivative assets, net | 0 | 0 | |||
Grantor trust assets at fair value | 0 | 0 | |||
Total assets at estimated fair value | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total liabilities at estimated fair value | 0 | 0 | |||
Level 3 | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
U.S. Treasury obligations | |||||
Assets [Abstract] | |||||
Trading securities | 600,063 | 2,230,248 | |||
AFS securities | 5,696,856 | 4,209,674 | |||
U.S. Treasury obligations | Level 1 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
U.S. Treasury obligations | Level 2 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 600,063 | 2,230,248 | |||
AFS securities | 5,696,856 | 4,209,674 | |||
U.S. Treasury obligations | Level 3 | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 0 | 0 | |||
AFS securities | 0 | 0 | |||
GSE and TVA debentures | |||||
Assets [Abstract] | |||||
AFS securities | 1,806,938 | 1,902,703 | |||
GSE and TVA debentures | Level 1 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE and TVA debentures | Level 2 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 1,806,938 | 1,902,703 | |||
GSE and TVA debentures | Level 3 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | 0 | |||
GSE multifamily MBS | Multifamily | |||||
Assets [Abstract] | |||||
AFS securities | 6,690,532 | 6,067,460 | |||
GSE multifamily MBS | Level 1 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | ||||
GSE multifamily MBS | Level 1 | Recurring | Multifamily | |||||
Assets [Abstract] | |||||
AFS securities | 0 | ||||
GSE multifamily MBS | Level 2 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 6,067,460 | ||||
GSE multifamily MBS | Level 2 | Recurring | Multifamily | |||||
Assets [Abstract] | |||||
AFS securities | 6,690,532 | ||||
GSE multifamily MBS | Level 3 | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 0 | ||||
GSE multifamily MBS | Level 3 | Recurring | Multifamily | |||||
Assets [Abstract] | |||||
AFS securities | 0 | ||||
MDCs | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Netting adjustments and cash collateral, assets | [1] | 0 | 0 | ||
Liabilities [Abstract] | |||||
Netting adjustments and cash collateral, liabilities | [1] | 0 | 0 | ||
MDCs | Level 1 | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
MDCs | Level 2 | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Derivative assets, net | 207 | 50 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 12 | 102 | |||
MDCs | Level 3 | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Derivative assets, net | 0 | 0 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 0 | 0 | |||
Total | |||||
Assets [Abstract] | |||||
Trading securities | 600,063 | 2,230,248 | |||
AFS securities | 14,194,326 | 12,179,837 | |||
Derivative assets, net | 521,164 | 434,421 | |||
Grantor trust assets at fair value | [4] | 61,227 | 53,166 | ||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 6,940 | 19,209 | |||
Total | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 600,063 | 2,230,248 | |||
AFS securities | 14,194,326 | 12,179,837 | |||
Derivative assets, net | 521,164 | 434,421 | |||
Grantor trust assets at fair value | 61,227 | 53,166 | |||
Total assets at estimated fair value | 15,376,780 | 14,897,672 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 6,940 | 19,209 | |||
Total liabilities at estimated fair value | 6,940 | 19,209 | |||
Total | Recurring | Interest-rate related | |||||
Assets [Abstract] | |||||
Derivative assets, net | 520,957 | 434,371 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | 6,928 | 19,107 | |||
Total | U.S. Treasury obligations | Recurring | |||||
Assets [Abstract] | |||||
Trading securities | 600,063 | 2,230,248 | |||
AFS securities | 5,696,856 | 4,209,674 | |||
Total | GSE and TVA debentures | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 1,806,938 | 1,902,703 | |||
Total | GSE multifamily MBS | Recurring | |||||
Assets [Abstract] | |||||
AFS securities | 6,067,460 | ||||
Total | GSE multifamily MBS | Recurring | Multifamily | |||||
Assets [Abstract] | |||||
AFS securities | 6,690,532 | ||||
Total | MDCs | Recurring | MDCs | |||||
Assets [Abstract] | |||||
Derivative assets, net | 207 | 50 | |||
Liabilities [Abstract] | |||||
Derivative liabilities, net | $ 12 | $ 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. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed, with the same clearing agent and/or counterparty. Cash collateral pledged to counterparties at December 31, 2023 and 2022, including accrued interest, totaled $1,451,464 and $1,854,876, respectively. Cash collateral received from counterparties and held at December 31, 2023 and 2022, including accrued interest, totaled $141,271 and $181,319, respectively. Represents the application of the netting requirements that allow us to settle (i) positive and negative positions and (ii) cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparty. Included in other assets on the statement of condition. |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | ||
Loss Contingencies [Line Items] | |||
Maximum Line of Credit Extended to Members | $ 100,000 | ||
Carrying value of guarantees related to standby letters of credit | 410,774 | $ 441,763 | |
Off-Balance-Sheet, Credit Loss, Liability | 0 | ||
Cash collateral pledged | 1,447,218 | 1,849,797 | |
Securities pledged as collateral | 15,670 | 0 | |
Stand by Bond Purchase Agreements, Acquired And Sold At Par, During the Period | $ 0 | ||
Maximum | |||
Loss Contingencies [Line Items] | |||
General Time Period of Commitment to Fund Additional Advances | 6 months | ||
Period of time commitments unconditionally obligate to fund or purchase mortgage loans and participation interests | 91 days | ||
Period of time for short-term cash needs | 1 year | ||
Standby letters of credit outstanding (1) | |||
Loss Contingencies [Line Items] | |||
Expire within one year | [1] | $ 190,629 | |
Expire after one year | [1] | 321,294 | |
Total | [1] | 511,923 | 471,877 |
Carrying value of guarantees related to standby letters of credit | 8,472 | ||
Commitments for standby bond purchases | |||
Loss Contingencies [Line Items] | |||
Expire within one year | 0 | ||
Expire after one year | 184,960 | ||
Total | $ 184,960 | 0 | |
Guarantor Obligations, Term | five years | ||
Unused lines of credit - advances (2) | |||
Loss Contingencies [Line Items] | |||
Expire within one year | [2] | $ 1,196,988 | |
Expire after one year | [2] | 0 | |
Total | [2] | 1,196,988 | 1,026,035 |
Commitments to fund additional advances (3) | |||
Loss Contingencies [Line Items] | |||
Expire within one year | [3] | 5,878 | |
Expire after one year | [3] | 4,087 | |
Total | [3] | 9,965 | 464,350 |
Commitments to purchase mortgage loans, net (4) | MDCs | |||
Loss Contingencies [Line Items] | |||
Expire within one year | [4] | 57,270 | |
Expire after one year | [4] | 0 | |
Total | [4] | 57,270 | 30,855 |
Unsettled CO bonds, at par | |||
Loss Contingencies [Line Items] | |||
Expire within one year | 0 | ||
Expire after one year | 0 | ||
Total | 0 | 75,000 | |
Unsettled discount notes, at par | |||
Loss Contingencies [Line Items] | |||
Expire within one year | 0 | ||
Expire after one year | 0 | ||
Total | 0 | 5,000 | |
standby letters of credit issuance commitments | |||
Loss Contingencies [Line Items] | |||
Total | $ 0 | $ 0 | |
[1]There were no unconditional commitments to issue standby letters of credit[2] Maximum line of credit amount per member is $100,000. Generally for periods up to six months. Generally for periods up to 91 days. |
Related Party and Other Trans_3
Related Party and Other Transactions (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | |
Related Party Transaction [Line Items] | |||
Minimum percentage of voting interests needed to be classified as a principal owner. | 10% | ||
Transactions with principal owners | $ 0 | $ 0 | $ 0 |
Total advances, par value | 35,877,068 | 37,291,462 | |
Loans to other FHLBanks | 0 | 0 | |
Loans from other FHLBanks | 0 | 0 | |
Directors' Financial Institutions | |||
Related Party Transaction [Line Items] | |||
Net capital stock issuances (redemptions and repurchases) | 3,942 | (33,580) | 7,213 |
Net advances (repayments) | (107,723) | 3,850,669 | (1,581,708) |
Mortgage loan purchases | 40,331 | 17,584 | $ 58,830 |
Capital Stock, par value | $ 56,763 | $ 49,869 | |
Capital Stock, % of Total | 2% | 2% | |
Total advances, par value | $ 753,234 | $ 886,191 | |
Advances, % of Total | 2% | 2% |