Document and Entity Information
Document and Entity Information Document - shares | 9 Months Ended | |
Sep. 30, 2022 | Nov. 04, 2022 | |
Entity Information [Line Items] | ||
Entity Registrant Name | FEDERAL HOME LOAN BANK OF DALLAS | |
Entity Central Index Key | 0001331757 | |
Current Fiscal Year End Date | --12-31 | |
Entity Filer Category | Non-accelerated Filer | |
Document Type | 10-Q | |
Document Period End Date | Sep. 30, 2022 | |
Document Fiscal Year Focus | 2022 | |
Document Fiscal Period Focus | Q3 | |
Amendment Flag | false | |
Entity Common Stock, Shares Outstanding | 37,540,061 | |
Entity Current Reporting Status | Yes | |
Entity Emerging Growth Company | false | |
Entity Shell Company | false | |
Entity Small Business | false | |
Entity Address, City or Town | Irving, | |
Entity Address, State or Province | TX | |
Entity Address, Postal Zip Code | 75063-2547 | |
City Area Code | (214) | |
Local Phone Number | 441-8500 | |
Entity Tax Identification Number | 71-6013989 | |
Entity File Number | 000-51405 | |
Entity Address, Address Line One | 8500 Freeport Parkway South, Suite 600 | |
Entity Incorporation, State or Country Code | X1 | |
Document Quarterly Report | true | |
Document Transition Report | false | |
Entity Interactive Data Current | Yes |
Statements of Condition (Unaudi
Statements of Condition (Unaudited) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
ASSETS | |||
Cash and due from banks | $ 70,520 | $ 542,801 | |
Interest-bearing deposits (Notes 8 and 9) | 1,820,227 | 885,745 | |
Securities purchased under agreements to resell (Notes 8, 9 and 12) | 14,600,000 | 10,650,000 | |
Federal funds sold (Notes 8 and 9) | 9,294,000 | 4,781,000 | |
Trading securities (Notes 3 and 8) | 685,677 | 2,454,870 | |
Available-for-sale securities (a) (Notes 4, 8, 9, 12 and 17) ($437,864 and $529,596 pledged at September 30, 2022 and December 31, 2021, respectively, which could be rehypothecated) | [1] | 14,002,273 | 15,288,032 |
Held-to-maturity securities (b) (Notes 5, 8 and 9) | [2] | 327,122 | 593,555 |
Advances (Notes 6, 8 and 9) | 44,238,384 | 24,637,464 | |
Mortgage loans held for portfolio, net of allowance for credit losses of $3,221 and $3,124 at September 30, 2022 and December 31, 2021, respectively (Notes 7, 8 and 9) | 4,240,222 | 3,491,265 | |
Accrued interest receivable (Note 8) | 149,929 | 91,581 | |
Premises and equipment, net | 15,205 | 15,485 | |
Derivative assets (Notes 12 and 13) | 66,354 | 7,077 | |
Other assets (including $15,048 and $17,574 of securities held at fair value at September 30, 2022 and December 31, 2021, respectively) | 40,919 | 49,501 | |
TOTAL ASSETS | 89,550,832 | 63,488,376 | |
LIABILITIES AND CAPITAL | |||
Deposits (including $20 of non-interest bearing deposits at September 30, 2022 and December 31, 2021) | 1,746,156 | 1,590,188 | |
Consolidated obligations (Note 10) | |||
Discount notes | 29,590,696 | 11,003,026 | |
Bonds | 51,838,498 | 44,514,220 | |
Total consolidated obligations | 81,429,194 | 55,517,246 | |
Mandatorily redeemable capital stock | 12,895 | 6,657 | |
Accrued interest payable | 138,348 | 73,038 | |
Affordable Housing Program (Note 11) | 65,235 | 60,133 | |
Derivative liabilities (Notes 12 and 13) | 18,270 | 13,956 | |
Other liabilities (Notes 3 and 4) | 1,139,315 | 2,293,467 | |
Total liabilities | 84,549,413 | 59,554,685 | |
Capital stock | |||
Total Class B Capital Stock | 3,012,726 | 2,192,504 | |
Retained earnings | |||
Unrestricted | 1,434,099 | 1,291,656 | |
Restricted | 307,029 | 266,761 | |
Total retained earnings | 1,741,128 | 1,558,417 | |
Accumulated other comprehensive income (Note 20) | 247,565 | 182,770 | |
Total capital | 5,001,419 | 3,933,691 | |
TOTAL LIABILITIES AND CAPITAL | 89,550,832 | 63,488,376 | |
Capital Stock - Class B-1 putable ($100 par value) issued and outstanding shares: 12,825,865 and 12,818,137 shares at September 30, 2022 and December 31, 2021, respectively | |||
Capital stock | |||
Total Class B Capital Stock | 1,282,586 | 1,281,814 | |
Capital Stock - Class B-2 putable ($100 par value) issued and outstanding shares: 17,301,396 and 9,106,902 shares at September 30, 2022 and December 31, 2021, respectively | |||
Capital stock | |||
Total Class B Capital Stock | $ 1,730,140 | $ 910,690 | |
[1]Amortized cost: $13,835,643 and $15,046,972 at September 30, 2022 and December 31, 2021, respectively.[2]Fair values: $330,195 and $606,352 at September 30, 2022 and December 31, 2021, respectively. |
Statements of Condition (Unau_2
Statements of Condition (Unaudited) Parenthetical - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
ASSETS | ||
Held-to-maturity securities, Fair Value | $ 330,195 | $ 606,352 |
Debt Securities, Available-for-sale, Amortized Cost | 13,835,643 | 15,046,972 |
Other Assets, Fair Value Disclosure | 15,048 | 17,574 |
Liabilities [Abstract] | ||
Non-interest bearing deposits | $ 20 | $ 20 |
Capital Stock - Class B-1 - Membership/Excess | ||
CAPITAL (Note 14) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 12,825,865 | 12,818,137 |
Common Stock, Shares, Outstanding | 12,825,865 | 12,818,137 |
Capital Stock Class B-2 - Activity | ||
CAPITAL (Note 14) | ||
Common Stock, Par or Stated Value Per Share | $ 100 | $ 100 |
Common Stock, Shares, Issued | 17,301,396 | 9,106,902 |
Common Stock, Shares, Outstanding | 17,301,396 | 9,106,902 |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | ||
ASSETS | ||
Derivative, Collateral, Right to Reclaim Securities | $ 437,864 | $ 529,596 |
Conventional Mortgage Loan [Member] | ||
ASSETS | ||
Loans and Leases Receivable, Allowance | $ 3,221 | $ 3,124 |
Statements of Income (Unaudited
Statements of Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
INTEREST INCOME | ||||
Advances | $ 266,919 | $ 29,124 | $ 408,121 | $ 90,790 |
Prepayment fees on advances, net | 1,067 | 921 | 8,900 | 4,460 |
Interest-bearing deposits | 19,261 | 308 | 24,752 | 858 |
Securities purchased under agreements to resell | 4,451 | 58 | 6,068 | 94 |
Federal funds sold | 47,371 | 858 | 60,898 | 2,138 |
Trading securities | 2,893 | 868 | 10,725 | 7,979 |
Available-for-sale securities | 121,020 | 32,843 | 243,484 | 107,895 |
Held-to-maturity securities | 2,695 | 1,256 | 5,386 | 4,127 |
Mortgage loans held for portfolio | 31,677 | 20,300 | 82,990 | 56,719 |
Total interest income | 497,354 | 86,536 | 851,324 | 275,060 |
Consolidated obligations | ||||
Bonds | 235,395 | 12,922 | 341,963 | 54,142 |
Discount notes | 117,830 | 6,412 | 169,600 | 22,793 |
Deposits | 7,726 | 124 | 11,059 | 265 |
Mandatorily redeemable capital stock | 54 | 5 | 101 | 19 |
Other borrowings | 122 | 0 | 124 | (11) |
Total interest expense | 361,127 | 19,463 | 522,847 | 77,208 |
NET INTEREST INCOME | 136,227 | 67,073 | 328,477 | 197,852 |
Provision (reversal) for mortgage loan losses | 130 | (184) | 97 | (622) |
NET INTEREST INCOME AFTER PROVISION (REVERSAL) FOR MORTGAGE LOAN LOSSES | 136,097 | 67,257 | 328,380 | 198,474 |
OTHER INCOME (LOSS) | ||||
Net losses on trading securities | (3,227) | (871) | (22,428) | (7,777) |
Net gains (losses) on derivatives and hedging activities | (6,983) | 438 | (21,255) | 620 |
Net gains (losses) on other assets carried at fair value | (551) | (56) | (2,891) | 1,153 |
Realized gains on sales of held-to-maturity securities | 127 | 0 | 127 | 0 |
Letter of credit fees | 3,181 | 3,545 | 9,928 | 10,849 |
Other, net | 1,356 | 1,544 | 3,879 | 3,835 |
Total other income (loss) | (6,097) | 4,600 | (32,640) | 8,680 |
OTHER EXPENSE | ||||
Compensation and benefits | 11,211 | 12,948 | 32,702 | 40,197 |
Other operating expenses | 10,083 | 8,473 | 28,718 | 25,782 |
Finance Agency | 1,669 | 1,554 | 5,126 | 4,662 |
Office of Finance | 1,188 | 1,475 | 3,735 | 3,992 |
Discretionary grants and donations | 377 | 1,316 | 691 | 1,586 |
Derivative clearing fees | 276 | 244 | 1,046 | 758 |
Total other expense | 24,804 | 26,010 | 72,018 | 76,977 |
INCOME BEFORE ASSESSMENTS | 105,196 | 45,847 | 223,722 | 130,177 |
Affordable Housing Program assessment | 10,525 | 4,586 | 22,382 | 13,020 |
NET INCOME | $ 94,671 | $ 41,261 | $ 201,340 | $ 117,157 |
Statements of Comprehensive Inc
Statements of Comprehensive Income (Unaudited) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
NET INCOME | $ 94,671 | $ 41,261 | $ 201,340 | $ 117,157 |
OTHER COMPREHENSIVE INCOME (LOSS) | ||||
Net unrealized gains (losses) on available-for-sale securities, net of unrealized gains and losses relating to hedged interest rate risk included in net income | 22,679 | (38,154) | (74,430) | 94,060 |
Unrealized gains on cash flow hedges | 47,679 | 4,004 | 129,188 | 33,914 |
Reclassification adjustment for losses on cash flow hedges included in net income | 292 | 5,658 | 9,134 | 16,677 |
Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities | 213 | 471 | 945 | 1,490 |
Postretirement benefit plan | ||||
Amortization of prior service cost included in net periodic benefit cost/credit | 5 | 5 | 15 | 15 |
Amortization of net actuarial gain included in net periodic benefit cost/credit | (19) | (16) | (57) | (50) |
Total other comprehensive income (loss) | 70,849 | (28,032) | 64,795 | 146,106 |
TOTAL COMPREHENSIVE INCOME | $ 165,520 | $ 13,229 | $ 266,135 | $ 263,263 |
Statements of Capital (Unaudite
Statements of Capital (Unaudited) - USD ($) shares in Thousands, $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning Balance | $ 4,632,122 | $ 3,791,040 | $ 3,933,691 | $ 3,556,885 | ||
Proceeds from sale of capital stock | 866,909 | 342,922 | 2,387,568 | 1,027,691 | ||
Repurchase/redemption of capital stock | (663,072) | (284,047) | (1,576,454) | (984,548) | ||
Shares reclassified to mandatorily redeemable capital stock | (9,320) | (40) | ||||
Comprehensive income (loss) | ||||||
Net income | 94,671 | 41,261 | 201,340 | 117,157 | ||
Other comprehensive income (loss) | 70,849 | (28,032) | 64,795 | 146,106 | ||
Dividends on capital stock | ||||||
Cash | (60) | (53) | (179) | [1] | (160) | [2] |
Mandatorily redeemable capital stock | (22) | |||||
Ending Balance | 5,001,419 | 3,863,091 | 5,001,419 | 3,863,091 | ||
Retained Earnings | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning Balance | 1,657,025 | 1,476,903 | 1,558,417 | 1,408,245 | ||
Comprehensive income (loss) | ||||||
Net income | 94,671 | 41,261 | 201,340 | 117,157 | ||
Dividends on capital stock | ||||||
Cash | (60) | (53) | (179) | (160) | ||
Mandatorily redeemable capital stock | (22) | |||||
Stock | (10,508) | (3,280) | (18,428) | (10,411) | ||
Ending Balance | 1,741,128 | 1,514,831 | 1,741,128 | 1,514,831 | ||
Retained Earnings, Restricted | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning Balance | 288,095 | 249,065 | 266,761 | 233,886 | ||
Comprehensive income (loss) | ||||||
Net income | 18,934 | 8,252 | 40,268 | 23,431 | ||
Dividends on capital stock | ||||||
Ending Balance | 307,029 | 257,317 | 307,029 | 257,317 | ||
Retained Earnings, Unrestricted | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning Balance | 1,368,930 | 1,227,838 | 1,291,656 | 1,174,359 | ||
Comprehensive income (loss) | ||||||
Net income | 75,737 | 33,009 | 161,072 | 93,726 | ||
Dividends on capital stock | ||||||
Cash | (60) | (53) | (179) | (160) | ||
Mandatorily redeemable capital stock | (22) | |||||
Stock | (10,508) | (3,280) | (18,428) | (10,411) | ||
Ending Balance | 1,434,099 | 1,257,514 | 1,434,099 | 1,257,514 | ||
Accumulated Other Comprehensive Income (Loss) | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning Balance | 176,716 | 221,398 | 182,770 | 47,260 | ||
Comprehensive income (loss) | ||||||
Other comprehensive income (loss) | 70,849 | (28,032) | 64,795 | 146,106 | ||
Dividends on capital stock | ||||||
Ending Balance | $ 247,565 | $ 193,366 | $ 247,565 | $ 193,366 | ||
Parent | Capital Stock Class B-2 - Activity | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance, shares | 13,885 | 9,339 | 9,107 | 11,969 | ||
Beginning Balance | $ 1,388,493 | $ 933,906 | $ 910,690 | $ 1,196,932 | ||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | (5,221) | (3,337) | (15,545) | (12,688) | ||
Net transfers of shares between Class B-1 and Class B-2 Stock, value | $ (522,079) | $ (333,706) | $ (1,554,460) | $ (1,268,787) | ||
Proceeds from sale of capital stock, shares | 8,637 | 3,359 | 23,739 | 10,080 | ||
Proceeds from sale of capital stock | $ 863,726 | $ 335,921 | $ 2,373,910 | $ 1,007,976 | ||
Repurchase/redemption of capital stock, shares | 0 | 0 | 0 | 0 | ||
Repurchase/redemption of capital stock | $ 0 | $ 0 | $ 0 | $ 0 | ||
Shares reclassified to mandatorily redeemable capital stock, shares | 0 | 0 | ||||
Shares reclassified to mandatorily redeemable capital stock | $ 0 | $ 0 | ||||
Dividends on capital stock | ||||||
Stock, shares | 0 | 0 | 0 | 0 | ||
Stock | $ 0 | $ 0 | $ 0 | $ 0 | ||
Ending balance, shares | 17,301 | 9,361 | 17,301 | 9,361 | ||
Ending Balance | $ 1,730,140 | $ 936,121 | $ 1,730,140 | $ 936,121 | ||
Parent | Capital Stock - Class B-1 - Membership/Excess | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Beginning balance, shares | 14,099 | 11,588 | 12,818 | 9,044 | ||
Beginning Balance | $ 1,409,888 | $ 1,158,833 | $ 1,281,814 | $ 904,448 | ||
Net transfers of shares between between Class B-1 and Class B-2 Stock, shares | 5,221 | 3,337 | 15,545 | 12,688 | ||
Net transfers of shares between Class B-1 and Class B-2 Stock, value | $ 522,079 | $ 333,706 | $ 1,554,460 | $ 1,268,787 | ||
Proceeds from sale of capital stock, shares | 32 | 70 | 137 | 197 | ||
Proceeds from sale of capital stock | $ 3,183 | $ 7,001 | $ 13,658 | $ 19,715 | ||
Repurchase/redemption of capital stock, shares | (6,631) | (2,840) | (15,765) | (9,845) | ||
Repurchase/redemption of capital stock | $ (663,072) | $ (284,047) | $ (1,576,454) | $ (984,548) | ||
Shares reclassified to mandatorily redeemable capital stock, shares | (93) | 0 | ||||
Shares reclassified to mandatorily redeemable capital stock | $ (9,320) | $ (40) | ||||
Dividends on capital stock | ||||||
Stock, shares | 105 | 33 | 184 | 104 | ||
Stock | $ 10,508 | $ 3,280 | $ 18,428 | $ 10,411 | ||
Ending balance, shares | 12,826 | 12,188 | 12,826 | 12,188 | ||
Ending Balance | $ 1,282,586 | $ 1,218,773 | $ 1,282,586 | $ 1,218,773 | ||
[1] (a) Dividends were paid at annualized rates of 0.09 percent and 1.09 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2022, at annualized rates of 0.23 percent and 1.23 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the second quarter of 2022 and at annualized rates of 1.02 percent and 2.02 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the third quarter of 2022. (b) Dividends were paid at annualized rates of 0.15 percent and 1.15 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the first quarter of 2021, at annualized rates of 0.12 percent and 1.12 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the second quarter of 2021 and at annualized rates of 0.10 percent and 1.10 percent on Class B-1 Stock and Class B-2 Stock, respectively, in the third quarter of 2021. |
Statements of Capital (Unaudi_2
Statements of Capital (Unaudited) Parenthetical | 3 Months Ended | |||||
Sep. 30, 2022 | Jun. 30, 2022 | Mar. 31, 2022 | Sep. 30, 2021 | Jun. 30, 2021 | Mar. 31, 2021 | |
Capital Stock - Class B-1 - Membership/Excess | ||||||
Capital Unit [Line Items] | ||||||
Dividends stock annualized percentage | 1.02% | 0.23% | 0.09% | 0.10% | 0.12% | 0.15% |
Capital Stock Class B-2 - Activity | ||||||
Capital Unit [Line Items] | ||||||
Dividends stock annualized percentage | 2.02% | 1.23% | 1.09% | 1.10% | 1.12% | 1.15% |
Statements of Cash Flows (Unaud
Statements of Cash Flows (Unaudited) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
OPERATING ACTIVITIES | ||
Net income | $ 201,340 | $ 117,157 |
Depreciation and amortization | ||
Net premiums and discounts on advances, consolidated obligations, investments and mortgage loans | 111,368 | 43,045 |
Concessions on consolidated obligations | 3,465 | 1,887 |
Premises, equipment and computer software costs | 3,710 | 3,959 |
Non-cash interest on mandatorily redeemable capital stock | 66 | 27 |
Provision (reversal) for mortgage loan losses | 97 | (622) |
Gains on sales of held-to-maturity securities | (127) | 0 |
Net losses (gains) on other assets carried at fair value | 2,891 | (1,153) |
Net losses on trading securities | 22,428 | 7,777 |
Net change in derivative and hedging activities | 1,433,015 | 506,865 |
Decrease (increase) in accrued interest receivable | (62,352) | 15,044 |
Decrease (increase) in other assets | 4,906 | (2,800) |
Increase (decrease) in Affordable Housing Program (AHP) liability | 5,102 | (5,811) |
Increase in accrued interest payable | 65,310 | 16,752 |
Increase in other liabilities | 7,011 | 5,247 |
Total adjustments | 1,596,890 | 590,217 |
Net cash provided by operating activities | 1,798,230 | 707,374 |
INVESTING ACTIVITIES | ||
Net decrease (increase) in interest-bearing deposits, including swap collateral pledged | (2,500,042) | 11,155 |
Net increase in securities purchased under agreements to resell | (3,950,000) | (9,750,000) |
Net increase in federal funds sold | (4,513,000) | (2,209,000) |
Purchases of trading securities | (8,598,654) | (8,070,992) |
Proceeds from maturities of trading securities | 2,776,300 | 11,361,650 |
Proceeds from sales of trading securities | 5,321,059 | 1,493,529 |
Purchases of available-for-sale securities | (1,511,803) | 0 |
Principal collected on available-for-sale securities | 2,258,367 | 219,232 |
Proceeds from sales of held-to-maturity securities | 100,365 | 0 |
Principal collected on held-to-maturity securities | 167,357 | 223,100 |
Principal collected on advances | 741,988,017 | 463,265,046 |
Advances made | (762,397,504) | (455,819,196) |
Principal collected on mortgage loans held for portfolio | 419,386 | 1,013,038 |
Purchases of mortgage loans held for portfolio | (1,178,644) | (950,513) |
Purchases of premises, equipment and computer software | (2,615) | (4,281) |
Net cash provided by (used in) investing activities | (31,621,411) | 782,768 |
FINANCING ACTIVITIES | ||
Net increase in deposit liabilities, including swap collateral held | 149,003 | 199,387 |
Net proceeds from derivative contracts with financing elements | 234,972 | 49,571 |
Net proceeds from issuance of consolidated obligations | ||
Discount notes | 86,405,624 | 23,935,360 |
Bonds | 28,531,236 | 42,632,286 |
Debt issuance costs | (3,788) | (1,034) |
Payments for maturing and retiring consolidated obligations | ||
Discount notes | (67,901,602) | (40,944,728) |
Bonds | (18,872,310) | (30,334,285) |
Proceeds from issuance of capital stock | 2,387,568 | 1,027,691 |
Proceeds from issuance of mandatorily redeemable capital stock | 13 | 22 |
Payments for redemption of mandatorily redeemable capital stock | (3,183) | (7,294) |
Payments for repurchase/redemption of capital stock | (1,576,454) | (984,548) |
Cash dividends paid | (179) | (160) |
Net cash provided by (used in) financing activities | 29,350,900 | (4,427,732) |
Net decrease in cash and cash equivalents | (472,281) | (2,937,590) |
Cash and cash equivalents at beginning of the period | 542,801 | 3,178,281 |
Cash and cash equivalents at end of the period | 70,520 | 240,691 |
Supplemental Disclosures: | ||
Interest paid | 324,427 | 93,648 |
AHP payments, net | 17,280 | 18,831 |
Stock dividends issued | 18,428 | 10,411 |
Dividends paid through issuance of mandatorily redeemable capital stock | 22 | 0 |
Net capital stock reclassified to mandatorily redeemable capital stock | $ 9,320 | $ 40 |
Basis of Presentation
Basis of Presentation | 9 Months Ended |
Sep. 30, 2022 | |
Basis of Presentation [Abstract] | |
Basis of Accounting [Text Block] | Basis of Presentation The accompanying interim financial statements of the Federal Home Loan Bank of Dallas (the “Bank”) are unaudited and have been prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”) for interim financial information and with the instructions provided by Article 10, Rule 10-01 of Regulation S-X promulgated by the Securities and Exchange Commission (“SEC”). Accordingly, they do not include all of the information and disclosures required by generally accepted accounting principles for complete financial statements. The financial statements contain all adjustments that are, in the opinion of management, necessary for a fair statement of the Bank’s financial position, results of operations and cash flows for the interim periods presented. All such adjustments were of a normal recurring nature. The results of operations for the periods presented are not necessarily indicative of the results to be expected for the full fiscal year or any other interim period. The Bank’s significant accounting policies and certain other disclosures are set forth in the notes to the audited financial statements for the year ended December 31, 2021. The interim financial statements presented herein should be read in conjunction with the Bank’s audited financial statements and notes thereto, which are included in the Bank’s Annual Report on Form 10-K for the year ended December 31, 2021 filed with the SEC on March 23, 2022 (the “2021 10-K”). The notes to the interim financial statements update and/or highlight significant changes to the notes included in the 2021 10-K. The Bank is one of 11 district Federal Home Loan Banks, each individually a “FHLBank” and collectively the “FHLBanks,” and, together with the Office of Finance, a joint office of the FHLBanks, the “FHLBank System.” The Office of Finance manages the sale and servicing of the FHLBanks’ consolidated obligations. The Federal Housing Finance Agency (“Finance Agency”), an independent agency in the executive branch of the U.S. government, supervises and regulates the housing government-sponsored enterprises ("GSEs"), including the FHLBanks and the Office of Finance. Use of Estimates and Assumptions. The preparation of financial statements in conformity with U.S. GAAP requires management to make assumptions and estimates. These assumptions and estimates may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expenses. Significant estimates include the valuations of the Bank’s investment securities (including, but not limited to, its investments in mortgage-backed securities ("MBS")), as well as its derivative instruments and any associated hedged items. Actual results could differ from these estimates. |
Recently Issued Accounting Guid
Recently Issued Accounting Guidance | 9 Months Ended |
Sep. 30, 2022 | |
Recently Issued Accounting Guidance [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles [Text Block] | Recently Issued Accounting Guidance Derivatives and Hedging. On March 28, 2022, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ("ASU") 2022-01, "Fair Value Hedging - Portfolio Layer Method" ("ASU 2022-01"), which expands the current last-of-layer method to allow multiple hedged layers to be designated for a single closed portfolio. To reflect that expansion, the last-of-layer method was renamed the portfolio layer method. In addition, ASU 2022-01: (i) expands the scope of the portfolio layer method to include nonprepayable financial assets, (ii) specifies eligible hedging instruments in a single-layer hedge, (iii) provides additional guidance on the accounting for and disclosure of hedge basis adjustments under the portfolio layer method, and (4) specifies how hedge basis adjustments should be considered when determining credit losses for the assets included in the closed portfolio. For public business entities, ASU 2022-01 is effective for fiscal years beginning after December 15, 2022, and interim periods within those fiscal years (January 1, 2023 for the Bank). Early adoption is permitted. Upon adoption, any entity may designate multiple hedged layers of a single closed portfolio solely on a prospective basis. All entities are required to apply the amendments related to hedge basis adjustments under the portfolio layer method on a modified retrospective basis by means of a cumulative-effect adjustment to the opening balance of retained earnings on the initial application date. Entities have the option to apply the amendments related to disclosures on a prospective basis from the initial application date or on a retrospective basis. An entity may reclassify debt securities classified as held-to-maturity at the date of adoption to available-for-sale only if the entity applies portfolio layer method hedging to one or more closed portfolios that include those debt securities. The decision of which securities to reclassify must be made within 30 days after the date of adoption, and the securities must be included in one or more closed portfolios that are designated in a portfolio layer method hedge within that 30-day period. To date, the Bank has not used the last-of-layer method in its hedging strategies; however, the Bank may elect to use the portfolio layer method in the future. Troubled Debt Restructuring. On March 31, 2022, the FASB issued ASU 2022-02, "Troubled Debt Restructurings and Vintage Disclosures" ("ASU 2022-02"). ASU 2022-02 eliminates the accounting guidance for troubled debt restructurings ("TDRs") by creditors that have adopted ASU 2016-13, "Measurement of Credit Losses on Financial Instruments" ("ASU 2016-13") and instead requires that an entity evaluate whether the modification represents a new loan or a continuation of an existing loan. In addition, ASU 2022-02 enhances existing disclosure requirements and introduces new requirements related to certain modifications of receivables made to borrowers experiencing financial difficulty. Further, ASU 2022-02 requires disclosure of current-period gross write-offs by year of origination for financing receivables and net investments in leases. For entities that have adopted ASU 2016-13, ASU 2022-02 is effective for fiscal years beginning after December 15, 2022, and interim periods within those fiscal years (January 1, 2023 for the Bank). Early adoption is permitted if an entity has already adopted ASU 2016-13. The amendments in ASU 2022-02 are to be applied prospectively except that, for the transition method related to the recognition and measurement of troubled debt restructurings, an entity has the option to apply a modified retrospective transition method, resulting in a cumulative-effect adjustment to retained earnings in the period of adoption. The Bank is evaluating the impact of ASU 2022-02 on its disclosures; however, the Bank does not expect the adoption of ASU 2022-02 to have a material impact on its financial condition or results of operations. |
Trading Securities
Trading Securities | 9 Months Ended |
Sep. 30, 2022 | |
Debt Securities, Trading, Gain (Loss) [Abstract] | |
Trading Securities Disclosure[Text Block] | Trading Securities Trading securities as of September 30, 2022 and December 31, 2021 were as follows (in thousands): September 30, 2022 December 31, 2021 U.S. Treasury Bills $ — $ 2,249,587 U.S. Treasury Notes 685,677 205,283 Total $ 685,677 $ 2,454,870 Included in the table above are U.S. Treasury Bills that were purchased but which had not yet settled as of December 31, 2021. The aggregate amount due of $2,249,587,000 is included in other liabilities on the statement of condition at that date. Net losses on trading securities during the nine months ended September 30, 2022 and 2021 included changes in net unrealized holding loss of $21,089,000 and $3,608,000 for securities that were held on September 30, 2022 and 2021, respectively. |
Available-for-Sale Securities
Available-for-Sale Securities | 9 Months Ended |
Sep. 30, 2022 | |
Debt Securities, Available-for-Sale [Abstract] | |
Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block] | Available-for-Sale Securities Major Security Types. Available-for-sale securities as of September 30, 2022 were as follows (in thousands): Amortized Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 275,394 $ 3,134 $ — $ 278,528 GSE obligations 3,128,481 51,486 2,801 3,177,166 3,403,875 54,620 2,801 3,455,694 GSE commercial MBS 10,431,768 129,361 14,550 10,546,579 Total $ 13,835,643 $ 183,981 $ 17,351 $ 14,002,273 Available-for-sale securities as of December 31, 2021 were as follows (in thousands): Amortized Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 414,267 $ 4,229 $ 460 $ 418,036 GSE obligations 4,471,107 78,983 4,412 4,545,678 Other 38,544 44 — 38,588 4,923,918 83,256 4,872 5,002,302 GSE commercial MBS 10,123,054 165,783 3,107 10,285,730 Total $ 15,046,972 $ 249,039 $ 7,979 $ 15,288,032 In the tables above, the amortized cost of the Bank's available-for-sale securities includes premiums, discounts and hedging adjustments. Amortized cost excludes accrued interest of $49,600,000 and $59,393,000 at September 30, 2022 and December 31, 2021, respectively. Included in the table above are GSE commercial MBS that were purchased but which had not yet settled as of September 30, 2022. The aggregate amount due of $1,088,382,000 is included in other liabilities on the statement of condition at that date. Other debentures were comprised of securities issued by the Private Export Funding Corporation. These debentures were fully secured by U.S. government-guaranteed obligations and the payment of interest on the debentures was guaranteed by an agency of the U.S. government. The following table summarizes (in thousands) the available-for-sale securities with unrealized losses as of September 30, 2022. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Estimated Gross Estimated Gross Estimated Gross GSE debentures $ — $ — $ 72,765 $ 2,801 $ 72,765 $ 2,801 GSE commercial MBS 1,201,067 11,977 59,342 2,573 1,260,409 14,550 Total $ 1,201,067 $ 11,977 $ 132,107 $ 5,374 $ 1,333,174 $ 17,351 The following table summarizes (in thousands) the available-for-sale securities with unrealized losses as of December 31, 2021. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Estimated Gross Estimated Gross Estimated Gross Debentures U.S. government-guaranteed obligations $ 114,748 $ 460 $ — $ — $ 114,748 $ 460 GSE debentures 587,176 22 128,431 4,390 715,607 4,412 GSE commercial MBS 68,575 3,008 13,406 99 81,981 3,107 Total $ 770,499 $ 3,490 $ 141,837 $ 4,489 $ 912,336 $ 7,979 Redemption Terms. The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at September 30, 2022 and December 31, 2021 are presented below (in thousands). September 30, 2022 December 31, 2021 Maturity Amortized Estimated Amortized Estimated Debentures Due in one year or less $ 46,989 $ 47,112 $ 1,209,330 $ 1,209,339 Due after one year through five years 3,141,139 3,186,669 3,225,065 3,286,653 Due after five years through ten years 215,747 221,913 489,523 506,310 3,403,875 3,455,694 4,923,918 5,002,302 GSE commercial MBS 10,431,768 10,546,579 10,123,054 10,285,730 Total $ 13,835,643 $ 14,002,273 $ 15,046,972 $ 15,288,032 Interest Rate Payment Terms. At September 30, 2022 and December 31, 2021, all of the Bank's available-for-sale securities were fixed rate securities, substantially all of which were swapped to a variable rate. Sales of Securities. There were no sales of available-for-sale securities during the nine months ended September 30, 2022 or 2021. |
Held-to-Maturity Securities
Held-to-Maturity Securities | 9 Months Ended |
Sep. 30, 2022 | |
Debt Securities, Held-to-Maturity, Amortized Cost, before Allowance for Credit Loss [Abstract] | |
fhlbd_HeldToMaturitySecuritiesDisclosureTextBlock | Held-to-Maturity Securities Major Security Types. Held-to-maturity securities as of September 30, 2022 were as follows (in thousands): Amortized Non-credit OTTI Recorded in Carrying Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 1,496 $ — $ 1,496 $ 4 $ — $ 1,500 Mortgage-backed securities GSE residential MBS 299,115 — 299,115 323 3,045 296,393 Non-agency residential MBS 30,051 3,540 26,511 6,792 1,001 32,302 329,166 3,540 325,626 7,115 4,046 328,695 Total $ 330,662 $ 3,540 $ 327,122 $ 7,119 $ 4,046 $ 330,195 Held-to-maturity securities as of December 31, 2021 were as follows (in thousands): Amortized Non-credit OTTI Recorded in Carrying Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 2,372 $ — $ 2,372 $ 2 $ — $ 2,374 State housing agency obligation 74,919 — 74,919 89 — 75,008 77,291 — 77,291 91 — 77,382 Mortgage-backed securities GSE residential MBS 484,110 — 484,110 4,998 3 489,105 Non-agency residential MBS 36,639 4,485 32,154 8,249 538 39,865 520,749 4,485 516,264 13,247 541 528,970 Total $ 598,040 $ 4,485 $ 593,555 $ 13,338 $ 541 $ 606,352 In the tables above, amortized cost includes premiums, discounts and the credit portion of other-than-temporary impairments ("OTTI") recorded prior to January 1, 2020. Amortized cost excludes accrued interest of $311,000 and $146,000 at September 30, 2022 and December 31, 2021, respectively. Redemption Terms. The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at September 30, 2022 and December 31, 2021 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities. September 30, 2022 December 31, 2021 Maturity Amortized Cost Carrying Value Estimated Fair Value Amortized Cost Carrying Value Estimated Fair Value Debentures Due in one year or less $ — $ — $ — $ 500 $ 500 $ 500 Due after one year through five years 1,496 1,496 1,500 1,872 1,872 1,874 Due after ten years — — — 74,919 74,919 75,008 1,496 1,496 1,500 77,291 77,291 77,382 Mortgage-backed securities 329,166 325,626 328,695 520,749 516,264 528,970 Total $ 330,662 $ 327,122 $ 330,195 $ 598,040 $ 593,555 $ 606,352 The amortized cost of the Bank’s mortgage-backed securities classified as held-to-maturity includes net purchase discounts of $62,000 and $1,003,000 at September 30, 2022 and December 31, 2021, respectively. Interest Rate Payment Terms. The following table provides interest rate payment terms for investment securities classified as held-to-maturity at September 30, 2022 and December 31, 2021 (in thousands): September 30, 2022 December 31, 2021 Amortized cost of variable-rate held-to-maturity securities other than MBS $ 1,496 $ 77,291 Amortized cost of held-to-maturity MBS Fixed-rate pass-through securities — 2 Variable-rate collateralized mortgage obligations 329,166 520,747 329,166 520,749 Total $ 330,662 $ 598,040 All of the Bank’s variable-rate collateralized mortgage obligations classified as held-to-maturity securities have coupon rates that are subject to interest rate caps, none of which were reached during 2021 or the nine months ended September 30, 2022. Sales of Securities. During the three months ended September 30, 2022, the Bank sold held-to-maturity securities with an amortized cost (determined by the specific identification method) of $100,238,000. Proceeds from the sales totaled $100,365,000, resulting in realized gains of $127,000. For each of these securities, the Bank had previously collected at least 85 percent of the principal outstanding at the time of acquisition. As such, the sales were considered maturities for purposes of security classification. There were no sales of held-to-maturity securities during the six months ended June 30, 2022 or the nine months ended September 30, 2021. |
Advances
Advances | 9 Months Ended |
Sep. 30, 2022 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances Redemption Terms. At September 30, 2022 and December 31, 2021, the Bank had advances outstanding at interest rates ranging from 0.25 percent to 8.27 percent and 0.11 percent to 8.27 percent, respectively, as summarized below (dollars in thousands). September 30, 2022 December 31, 2021 Contractual Maturity Amount Weighted Average Amount Weighted Average Overdrawn demand deposit accounts $ 8,981 3.45 % $ — — % Due in one year or less 24,006,412 3.16 7,642,760 0.39 Due after one year through two years 1,403,751 2.52 1,028,212 1.84 Due after two years through three years 1,537,259 2.24 1,335,606 1.63 Due after three years through four years 1,468,243 2.70 1,649,603 0.80 Due after four years through five years 6,301,532 2.80 968,470 0.67 Due after five years through fifteen years 10,063,215 2.36 11,752,610 0.90 Due after fifteen years 32,416 2.34 35,061 2.35 Total par value 44,821,809 2.86 % 24,412,322 0.81 % Deferred net prepayment fees (4,635) (5,897) Commitment fees (35) (38) Hedging adjustments (578,755) 231,077 Total $ 44,238,384 $ 24,637,464 Advances presented in the table above exclude accrued interest of $72,011,000 and $16,655,000 at September 30, 2022 and December 31, 2021, respectively. The Bank offers advances to members that may be prepaid on specified dates without the member incurring prepayment or termination fees (prepayable and callable advances). At September 30, 2022 and December 31, 2021, the Bank had aggregate prepayable and callable advances totaling $6,057,422,000 and $5,279,719,000, respectively. The prepayment of other advances requires the payment of a fee to the Bank (prepayment fee) if necessary to make the Bank financially indifferent to the prepayment of the advance. The following table summarizes advances outstanding at September 30, 2022 and December 31, 2021, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands): Contractual Maturity or Next Call Date September 30, 2022 December 31, 2021 Overdrawn demand deposit accounts $ 8,981 $ — Due in one year or less 29,973,239 12,779,409 Due after one year through two years 1,192,735 1,001,667 Due after two years through three years 989,374 1,093,031 Due after three years through four years 463,408 1,004,319 Due after four years through five years 5,996,300 345,975 Due after five years 6,197,772 8,187,921 Total par value $ 44,821,809 $ 24,412,322 The Bank also offers putable advances. With a putable advance, the Bank purchases a put option from the member that allows the Bank to terminate the fixed-rate advance on specified dates and offer, subject to certain conditions, replacement funding at prevailing market rates. At September 30, 2022 and December 31, 2021, the Bank had putable advances outstanding totaling $5,588,800,000 and $7,345,800,000, respectively. The following table summarizes advances outstanding at September 30, 2022 and December 31, 2021, by the earlier of contractual maturity or next possible put date (in thousands): Contractual Maturity or Next Put Date September 30, 2022 December 31, 2021 Overdrawn demand deposit accounts $ 8,981 $ — Due in one year or less 28,070,212 14,878,560 Due after one year through two years 1,557,551 1,112,012 Due after two years through three years 2,067,259 1,291,606 Due after three years through four years 1,468,243 1,594,603 Due after four years through five years 6,666,532 968,470 Due after five years 4,983,031 4,567,071 Total par value $ 44,821,809 $ 24,412,322 Interest Rate Payment Terms. The following table provides interest rate payment terms for advances outstanding at September 30, 2022 and December 31, 2021 (in thousands): September 30, 2022 December 31, 2021 Fixed-rate Due in one year or less $ 20,893,412 $ 7,582,790 Due after one year 14,870,088 11,037,441 Total fixed-rate 35,763,500 18,620,231 Variable-rate Due in one year or less 3,121,981 59,970 Due after one year 5,936,328 5,732,121 Total variable-rate 9,058,309 5,792,091 Total par value $ 44,821,809 $ 24,412,322 At September 30, 2022 and December 31, 2021, 39 percent and 54 percent, respectively, of the Bank’s fixed-rate advances were swapped to a variable rate. Prepayment Fees. When a member/borrower prepays an advance, the Bank could suffer lower future income if the principal portion of the prepaid advance is reinvested in lower-yielding assets. To protect against this risk, the Bank generally charges a prepayment fee that makes it financially indifferent to a borrower’s decision to prepay an advance. The Bank records prepayment fees received from members/borrowers on prepaid advances net of any associated hedging adjustments on those advances. These fees are reflected as interest income in the statements of income either immediately (as prepayment fees on advances) or over time (as interest income on advances) as further described below. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance and the advance meets the accounting criteria to qualify as a modification of the prepaid advance, the net prepayment fee on the prepaid advance is deferred, recorded in the basis of the modified advance, and amortized into interest income on advances over the life of the modified advance using the level-yield method. During the three and nine months ended September 30, 2022, gross advance prepayment fees received from members/borrowers were $6,000 and $5,736,000, respectively, none of which were deferred. During the three months ended September 30, 2021, gross advance prepayment fees received from members/borrowers were $2,180,000, none of which were deferred. During the nine months ended September 30, 2021, gross advance prepayment fees received from members/borrowers were $7,303,000, of which $653,000 were deferred. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio (Notes) | 9 Months Ended |
Sep. 30, 2022 | |
Mortgage Loans Held for Portfolio [Abstract] | |
Loans, Notes, Trade and Other Receivables Disclosure [Text Block] | Mortgage Loans Held for Portfolio Mortgage loans held for portfolio represent held-for-investment loans acquired through the Mortgage Partnership Finance ® ("MPF" ® ) program. The following table presents information as of September 30, 2022 and December 31, 2021 for mortgage loans held for portfolio (in thousands): September 30, 2022 December 31, 2021 Fixed-rate medium-term* single-family mortgages $ 117,992 $ 124,532 Fixed-rate long-term single-family mortgages 4,069,541 3,298,356 Premiums 65,263 66,643 Discounts (13,629) (1,324) Deferred net derivative gains associated with mortgage delivery commitments 4,276 6,182 Total mortgage loans held for portfolio 4,243,443 3,494,389 Less: allowance for credit losses on mortgage loans (3,221) (3,124) Total mortgage loans held for portfolio, net of allowance for credit losses $ 4,240,222 $ 3,491,265 ________________________________________ *Medium-term is defined as an original term of 15 years or less. Mortgage loans presented in the table above exclude accrued interest receivable of $20,223,000 and $14,345,000 at September 30, 2022 and December 31, 2021, respectively. The unpaid principal balance of mortgage loans held for portfolio at September 30, 2022 and December 31, 2021 was comprised of conventional loans totaling $4,180,400,000 and $3,414,463,000, respectively, and government-guaranteed/insured loans totaling $7,133,000 and $8,425,000, respectively. |
Accrued Interest Receivable (No
Accrued Interest Receivable (Notes) | 9 Months Ended |
Sep. 30, 2022 | |
Accrued Interest Receivable [Abstract] | |
Accrued Interest Receivables [Text Block] | Accrued Interest Receivable The components of accrued interest receivable as of September 30, 2022 and December 31, 2021 were as follows (in thousands): September 30, 2022 December 31, 2021 Advances $ 72,011 $ 16,655 Investment securities Trading 3,534 962 Available-for-sale 49,600 59,393 Held-to-maturity 311 146 Mortgage loans held for portfolio 20,223 14,345 Interest-bearing deposits 2,219 56 Securities purchased under agreements to resell 1,237 15 Federal funds sold 794 9 Total $ 149,929 $ 91,581 |
Allowance for Credit Losses
Allowance for Credit Losses | 9 Months Ended |
Sep. 30, 2022 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses As of the balance sheet date, an allowance for credit losses is separately established, if necessary, for each of the Bank’s financial instruments carried at amortized cost, its available-for-sale securities and its off-balance sheet credit exposures. Expected credit losses on these financial instruments are recorded through an allowance for credit losses. The allowance for credit losses is the amount necessary to reduce the amortized cost of financial instruments carried at amortized cost to the net amount expected to be collected and the amortized cost of available-for-sale securities to the higher of the security's fair value or the present value of the cash flows expected to be collected from the security. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Short-Term Investments. The Bank invests in overnight interest-bearing deposits, overnight Federal Funds sold and overnight securities purchased under agreements to resell. These investments provide short-term liquidity and are carried at amortized cost. All investments in Federal Funds sold, interest-bearing deposits and securities purchased under agreements to resell that were outstanding at September 30, 2022 were repaid according to their contractual terms. Accordingly, no allowance for credit losses was recorded on these assets at September 30, 2022. Long-Term Investments. The Bank evaluates its available-for-sale securities for impairment by comparing the security's fair value to its amortized cost. Impairment exists when the fair value of the investment is less than its amortized cost (i.e., when the security is in an unrealized loss position). The Bank evaluates each impaired security to determine whether the impairment is due to credit losses. Held-to-maturity securities are evaluated for impairment on a pooled basis, unless an individual assessment is deemed necessary because the securities do not contain similar risk characteristics. At September 30, 2022, the gross unrealized losses on the Bank’s available-for-sale securities were $17,351,000, all of which related to securities that are issued and guaranteed by GSEs. At September 30, 2022, the gross unrealized losses on the Bank’s held-to-maturity securities (computed as the difference between the amortized cost and the fair value of the securities) were $4,672,000, of which $1,627,000 was attributable to its holdings of non-agency (i.e., private-label) residential MBS ("RMBS") and $3,045,000 was attributable to securities that are issued and guaranteed by GSEs. Government-Guaranteed and GSE Investments. As of September 30, 2022, the U.S. government and the issuers of the Bank’s holdings of GSE debentures, GSE commercial MBS ("CMBS") and GSE RMBS were rated triple-A by Moody’s Investors Service (“Moody’s”) and AA+ by S&P Global Ratings (“S&P”). Through September 30, 2022, the Bank has not experienced any defaults on its government-guaranteed debentures or GSE RMBS and it has experienced only one default on its GSE CMBS, which default occurred in 2020. In the event of a default, the guarantor is required to repurchase the security at its par value and thus the Bank's exposure is limited to the amount of any unamortized premiums and/or positive fair value hedge accounting adjustments included in the amortized cost basis of the investment. Based upon the Bank's assessment of the creditworthiness of the issuers of the GSE debentures that were in an unrealized loss position at September 30, 2022 and the credit ratings assigned by Moody's and S&P, the Bank expects that these debentures would not be settled at an amount less than the Bank's amortized cost bases in the investments. In addition, based upon the Bank's assessment of the strength of the GSEs' guarantees of the Bank's holdings of GSE CMBS and GSE RMBS and the credit ratings assigned by Moody's and S&P, the Bank expects that the amounts to be collected on its holdings of GSE MBS will not be less than the Bank’s amortized cost bases in these investments (or, in the rare circumstance of a default, the amount to be collected would not be expected to be significantly less than the Bank’s amortized cost basis in the investment). The Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their amortized cost bases. Because the current market value deficits associated with the Bank's available-for-sale securities are not attributable to credit quality, and because the amount expected to be collected on its held-to-maturity securities is not less than the amortized cost of these investments, the Bank has determined that the credit losses on its GSE investments, if any, would be insignificant and, therefore, the Bank did not provide an allowance for credit losses on these investments at September 30, 2022 . Non-Agency RMBS. As of September 30, 2022, 5 of the Bank's non-agency RMBS with an aggregate amortized cost of $6,453,000 were rated investment grade (i.e., triple-B or higher by Moody's and/or S&P), 16 non-agency RMBS with an aggregate amortized cost of $23,561,000 were rated below investment grade and 1 non-agency RMBS with an amortized cost of $37,000 was unrated. In periods prior to 2017, 15 of the non-agency RMBS that were rated below investment grade at September 30, 2022 had been determined to be other-than-temporarily impaired. At September 30, 2022 and December 31, 2021 , the amortized cost of the Bank's non-agency RMBS included credit losses of $5,891,000 and $5,991,000, respectively, on these previously impaired securities. Because the ultimate receipt of contractual payments on the Bank’s non-agency RMBS will depend upon the credit and prepayment performance of the underlying loans and the credit enhancements for the senior securities owned by the Bank, the Bank monitors these investments in an effort to determine whether the credit enhancement associated with each security is sufficient to protect against potential losses of principal and interest on the underlying mortgage loans. The credit enhancement for each of the Bank’s non-agency RMBS is provided by a senior/subordinate structure, and none of the securities owned by the Bank are insured by third-party bond insurers. More specifically, each of the Bank’s non-agency RMBS represents a single security class within a securitization that has multiple classes of securities. Each security class has a distinct claim on the cash flows from the underlying mortgage loans, with the subordinate securities having a junior claim relative to the more senior securities. The Bank’s non-agency RMBS have a senior claim on the cash flows from the underlying mortgage loans. At September 30, 2022, the Bank considered the potential impact that current economic and housing market conditions could have on the collectibility of these securities to determine whether it expected to incur any additional credit losses. Based on the payment status of the securities and the considerations regarding the potential impact that recent changes in economic and housing market conditions could have on the securities' cash flows, the Bank determined it is likely that it will fully recover the remaining amortized cost bases of all of its non-agency RMBS. Because the Bank does not intend to sell the investments and it is not more likely than not that the Bank will be required to sell the investments before recovery of their remaining amortized cost bases, no allowance for credit losses on the Bank's non-agency RMBS was deemed to be necessary at September 30, 2022. Standby Bond Purchase Agreements. The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. To date, the Bank has never been required to purchase a bond under its standby bond purchase agreements. In addition, the agreements contain provisions that allow the Bank to terminate the agreement if the housing finance agency's credit rating, or the rating of the bonds underlying the agreements, decline to a level below investment grade. Based on these provisions, the high credit quality of the housing finance agency and the unlikelihood that the Bank will be required to repurchase the bonds, an allowance for credit losses on standby bond purchase agreements was not considered necessary at September 30, 2022. Financing Receivables. A portfolio segment is defined as the level at which an entity develops and documents a systematic method for determining its allowance for credit losses on financing receivables which, for the Bank, includes off-balance sheet credit exposures to members. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses for the following portfolio segments: (1) advances and other extensions of credit to members/borrowers, collectively referred to as “extensions of credit to members”; (2) government-guaranteed/insured mortgage loans held for portfolio; and (3) conventional mortgage loans held for portfolio. Classes of financing receivables are generally a disaggregation of a portfolio segment and are determined on the basis of their initial measurement attribute, the risk characteristics of the financing receivable and an entity’s method for monitoring and assessing credit risk. Because the credit risk arising from the Bank’s financing receivables is assessed and measured at the portfolio segment level, the Bank does not have separate classes of financing receivables within each of its portfolio segments. Advances and Other Extensions of Credit to Members. In accordance with federal statutes, including the Federal Home Loan Bank Act of 1932, as amended (the “FHLB Act”), the Bank lends to financial institutions within its five-state district that are involved in housing finance. The FHLB Act requires the Bank to obtain and maintain sufficient collateral for advances and other extensions of credit to protect against losses. The Bank makes advances and otherwise extends credit only against eligible collateral, as defined by regulation. To ensure the value of collateral pledged to the Bank is sufficient to secure its advances and other extensions of credit, the Bank applies various haircuts, or discounts, to the collateral to determine the value against which borrowers may borrow. As additional security, the Bank has a statutory lien on each borrower’s capital stock in the Bank. The Bank has procedures in place for validating the reasonableness of its collateral valuations. In addition, collateral verifications and on-site reviews are performed based on the risk profile of the borrower. On at least a quarterly basis, the Bank evaluates all outstanding extensions of credit to members/borrowers for potential credit losses. These evaluations include a review of: (1) the amount, type and performance of collateral available to secure the outstanding obligations; (2) metrics that may be indicative of changes in the financial condition and general creditworthiness of the member/borrower; and (3) the payment status of the obligations. Any outstanding extensions of credit that exhibit a potential credit weakness that could jeopardize the full collection of the outstanding obligations would be classified as substandard, doubtful or loss. The Bank did not have any advances or other extensions of credit to members/borrowers that were classified as substandard, doubtful or loss at September 30, 2022 or December 31, 2021. The Bank considers the amount, type and performance of collateral to be the primary indicator of credit quality with respect to its extensions of credit to members/borrowers. At September 30, 2022 and December 31, 2021, the Bank had rights to collateral on a borrower-by-borrower basis with an estimated value in excess of each borrower’s outstanding extensions of credit. The Bank continues to evaluate and, as necessary, modify its credit extension and collateral policies based on market conditions. At September 30, 2022 and December 31, 2021, the Bank did not have any advances that were past due or on nonaccrual status. There have been no TDRs related to advances. The Bank has never experienced a credit loss on an advance or any other extension of credit to a member/borrower and, based on its credit extension and collateral policies, management currently does not anticipate any credit losses on its extensions of credit to members/borrowers. Accordingly, the Bank has not provided any allowance for credit losses on advances, nor has it recorded any liabilities to reflect an allowance for credit losses related to its off-balance sheet credit exposures to members. Mortgage Loans — Government-guaranteed or government-insured. The Bank’s government-guaranteed or government-insured fixed-rate mortgage loans are guaranteed or insured by the Federal Housing Administration or the Department of Veterans Affairs and were acquired through the MPF program (as more fully described in the Bank’s 2021 10-K) in periods prior to 2004. Any losses from these loans are expected to be recovered from those entities. Any losses from these loans that are not recovered from those entities are absorbed by the servicers. Therefore, the Bank has not established an allowance for credit losses on government-guaranteed or government-insured mortgage loans. Government-guaranteed or government-insured loans are not placed on nonaccrual status. Mortgage Loans — Conventional Mortgage Loans. The Bank’s conventional mortgage loans have also been acquired through the MPF program. The allowance for credit losses on conventional mortgage loans is determined by an analysis that includes consideration of various data such as past performance, current performance, projected performance, loan portfolio characteristics, collateral-related characteristics, prevailing economic conditions and reasonable and supportable forecasts of expected economic conditions. The allowance for credit losses on conventional mortgage loans also factors in the credit enhancement under the MPF program. The Bank does not record an allowance for credit losses that are expected to be recovered from the credit enhancements. The Bank places a conventional mortgage loan on nonaccrual status when the collection of the contractual principal or interest is 90 days or more past due. When a mortgage loan is placed on nonaccrual status, accrued but uncollected interest is reversed against interest income. The Bank records cash payments received on nonaccrual loans as a reduction of principal. A loan on nonaccrual status is restored to accrual status when none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal. At September 30, 2022 and December 31, 2021, interest payments received on nonaccrual loans and recorded as a reduction of principal totaled $4,415,000 and $3,912,000, respectively. Collateral-dependent mortgage loans that are 90 days or more past due are evaluated for credit losses on an individual basis based on the fair value of the underlying mortgaged property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. The Bank evaluates whether to record a charge-off on a conventional mortgage loan when the loan becomes 180 days or more past due or upon the occurrence of a confirming event, whichever occurs first. Confirming events include, but are not limited to, the occurrence of foreclosure or notification of a claim against any of the credit enhancements. A charge-off is recorded if the amount expected to be collected on the loan is less than its amortized cost. The Coronavirus Aid, Relief, and Economic Security Act (the "CARES Act") provided temporary relief from the accounting and reporting requirements for certain loan modifications related to COVID-19 that would otherwise have been categorized as a TDR. Eligible mortgage loans that were current under the modified terms of the loan agreements were returned to accrual status as long as the Bank expected repayment of the remaining contractual principal and interest. The Bank entered into qualifying loan modifications that allowed the borrowers to defer past due principal and interest payments until the earlier of the date on whic h the loan is prepaid or the end of the loan term. As of September 30, 2022, the aggregate outstanding unpaid principal balance of loans that would have been considered TDRs absent the relief provided by the CARES Act was approximately $17,949,000. The total amount of principal and interest deferred on these loans was insignificant. The servicers of the Bank's mortgage loans may grant a forbearance period to borrowers who request forbearance as a result of difficulties relating to COVID-19 regardless of the status of the loan at the time of the request. During the forbearance period, the Bank accounts for these loans in the same manner as it accounts for any other past due loans whether the forbearance arrangement is formal or informal. The accrual status of mortgage loans in forbearance is determined by the past due status of the loan as the legal terms of the loan agreement remain unchanged during this period. The Bank considers the key credit quality indicator for conventional mortgage loans to be the payment status of each loan. The table below summarizes the amortized cost (excluding accrued interest receivable) by payment status for mortgage loans at September 30, 2022 and December 31, 2021 (dollars in thousands). September 30, 2022 Conventional Loans Originated Prior to 2018 Conventional Loans Originated in 2018-2022 Total Conventional Loans Government- Guaranteed/ Insured Loans (1) Total Mortgage loans: 30-59 days delinquent $ 3,253 $ 23,662 $ 26,915 $ 204 $ 27,119 60-89 days delinquent 419 6,385 6,804 21 6,825 90 days or more delinquent 4,038 11,695 15,733 59 15,792 Total past due 7,710 41,742 49,452 284 49,736 Total current loans 165,205 4,021,630 4,186,835 6,872 4,193,707 Total mortgage loans $ 172,915 $ 4,063,372 $ 4,236,287 $ 7,156 $ 4,243,443 December 31, 2021 Conventional Loans Originated Prior to 2017 Conventional Loans Originated in 2017-2021 Total Conventional Loans Government- Guaranteed/ Insured Loans (1) Total Mortgage loans: 30-59 days delinquent $ 605 $ 30,597 $ 31,202 $ 316 $ 31,518 60-89 days delinquent 417 3,622 4,039 64 4,103 90 days or more delinquent 1,005 34,907 35,912 124 36,036 Total past due 2,027 69,126 71,153 504 71,657 Total current loans 23,797 3,390,984 3,414,781 7,951 3,422,732 Total mortgage loans $ 25,824 $ 3,460,110 $ 3,485,934 $ 8,455 $ 3,494,389 _____________________________ (1) All of the Bank's government-guaranteed/insured loans were originated in years prior to 2004. The table below summarizes other delinquency statistics for mortgage loans at September 30, 2022 and December 31, 2021 (dollars in thousands). September 30, 2022 December 31, 2021 Total Conventional Loans Government- Total Total Conventional Loans Government- Total In process of foreclosure (1) $ 6,497 $ 23 $ 6,520 $ 1,226 $ 108 $ 1,334 Serious delinquency rate (2) 0.4 % 0.8 % 0.4 % 1.0 % 1.5 % 1.0 % Past due 90 days or more and still accruing interest (3) $ — $ 59 $ 59 $ — $ 124 $ 124 Nonaccrual loans (4) $ 23,765 $ — $ 23,765 $ 51,318 $ — $ 51,318 Troubled debt restructurings $ 4,806 $ — $ 4,806 $ 1,066 $ — $ 1,066 _____________________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio. (3) Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.` (4) The Bank did not have any specific allowance for credit losses on nonaccrual loans at September 30, 2022. As of September 30, 2022, approximately $5,765,000 (unpaid principal balance) of past due conventional loans were in forbearance as a result of COVID-19. Approximately $1,367,000 were 30 to 59 days past due, $1,333,000 were 60 to 89 days past due, and $3,065,000 were 90 days or more past due and in nonaccrual status. As of December 31, 2021, approximately $11,759,000 (unpaid principal balance) of past due conventional loans were in forbearance as a result of COVID-19. Approximately $632,000 were 30 to 59 days past due, $1,761,000 were 60 to 89 days past due, and $9,366,000 were 90 days or more past due and in nonaccrual status. At September 30, 2022, the Bank’s other assets included $30,000 of real estate owned. The Bank did not have any real estate owned at December 31, 2021. The Bank individually reviews each seriously delinquent mortgage loan and each TDR for credit losses. At September 30, 2022 and December 31, 2021, the estimated value of the collateral securing each of these loans, plus the estimated amount that can be recovered through credit enhancements and mortgage insurance, if any, exceeded the amortized cost basis of the loans. Therefore, no allowance for credit losses was established for any of the individually reviewed mortgage loans. The remaining conventional mortgage loans were evaluated for credit losses on a pool basis. Based upon the current and past performance of these loans, current economic conditions, reasonable and supportable forecasts of expected economic conditions and expected recoveries from credit enhancements, the Bank's best estimate of the expected credit losses in its conventional mortgage loan portfolio at September 30, 2022 was $3,221,000. The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the nine months ended September 30, 2022 and 2021 (in thousands): Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Balance, beginning of period $ 3,091 $ 3,487 $ 3,124 $ 3,925 Provision (reversal) for credit losses 130 (184) 97 (622) Balance, end of period $ 3,221 $ 3,303 $ 3,221 $ 3,303 |
Consolidated Obligations
Consolidated Obligations | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | Consolidated Obligations Consolidated obligations are the joint and several obligations of the FHLBanks and consist of consolidated obligation bonds and discount notes. Consolidated obligations are backed only by the financial resources of the 11 FHLBanks. Consolidated obligations are not obligations of, nor are they guaranteed by, the U.S. government. The FHLBanks issue consolidated obligations through the Office of Finance as their agent. In connection with each debt issuance, one or more of the FHLBanks specifies the amount of debt it wants issued on its behalf; the Bank receives the proceeds of only the debt issued on its behalf and records on its statements of condition only that portion of the consolidated obligations for which it has received the proceeds. Consolidated obligation bonds are issued primarily to raise intermediate- and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on maturity. Consolidated obligation discount notes are issued to raise short-term funds and have maturities of one year or less. These notes are issued at a price that is less than their face amount and are redeemed at par value when they mature. For additional information regarding the FHLBanks’ joint and several liability on consolidated obligations, see Note 17. The par amounts of the 11 FHLBanks’ outstanding consolidated obligations, including consolidated obligations held as investments by other FHLBanks, were approximately $1.032 trillion and $0.653 trillion at September 30, 2022 and December 31, 2021, respectively. The Bank was the primary obligor on $84.2 billion and $55.8 billion (at par value), respectively, of these consolidated obligations. Interest Rate Payment Terms. The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at September 30, 2022 and December 31, 2021 (in thousands, at par value). September 30, 2022 December 31, 2021 Fixed-rate $ 32,996,490 $ 30,004,790 Variable-rate SOFR-indexed 12,721,500 9,946,625 Step-up 8,696,750 4,822,000 Step-down 15,000 — Total par value $ 54,429,740 $ 44,773,415 At September 30, 2022 and December 31, 2021, 92 percent and 69 percent, respectively, of the Bank’s fixed-rate consolidated obligation bonds (including step-up bonds) were swapped to a variable rate. Redemption Terms. The following is a summary of the Bank’s consolidated obligation bonds outstanding at September 30, 2022 and December 31, 2021, by contractual maturity (dollars in thousands): September 30, 2022 December 31, 2021 Contractual Maturity Amount Weighted Average Amount Weighted Average Due in one year or less $ 19,126,075 2.92 % $ 19,906,725 0.28 % Due after one year through two years 9,037,460 1.71 2,071,195 1.64 Due after two years through three years 5,830,410 1.76 5,156,770 0.64 Due after three years through four years 9,244,525 1.00 2,325,975 0.77 Due after four years through five years 5,895,005 1.91 8,646,750 0.82 Due after five years 5,296,265 1.73 6,666,000 1.21 Total par value 54,429,740 2.04 % 44,773,415 0.65 % Premiums 18,324 16,405 Discounts (2,655) (419) Debt issuance costs (2,225) (1,902) Hedging adjustments (2,604,686) (273,279) Total $ 51,838,498 $ 44,514,220 At September 30, 2022 and December 31, 2021, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value): September 30, 2022 December 31, 2021 Non-callable bonds $ 20,309,195 $ 22,068,620 Callable bonds 34,120,545 22,704,795 Total par value $ 54,429,740 $ 44,773,415 The following table summarizes the Bank’s consolidated obligation bonds outstanding at September 30, 2022 and December 31, 2021, by the earlier of contractual maturity or next possible call date (in thousands, at par value): Contractual Maturity or Next Call Date September 30, 2022 December 31, 2021 Due in one year or less $ 48,953,620 $ 41,026,520 Due after one year through two years 2,617,415 2,911,695 Due after two years through three years 537,910 524,975 Due after three years through four years 1,023,525 98,475 Due after four years through five years 817,005 186,750 Due after five years 480,265 25,000 Total par value $ 54,429,740 $ 44,773,415 Discount Notes. At September 30, 2022 and December 31, 2021, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands): Book Value Par Value Weighted September 30, 2022 $ 29,590,696 $ 29,781,867 2.56 % December 31, 2021 $ 11,003,026 $ 11,004,433 0.04 % |
Affordable Housing Program ("AH
Affordable Housing Program ("AHP") | 9 Months Ended |
Sep. 30, 2022 | |
Affordable Housing Program (“AHP”) [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program (“AHP”) The following table summarizes the changes in the Bank’s AHP liability during the nine months ended September 30, 2022 and 2021 (in thousands): Nine Months Ended September 30, 2022 2021 Balance, beginning of period $ 60,133 $ 63,153 AHP assessment 22,382 13,020 Grants funded, net of recaptured amounts (17,280) (18,831) Balance, end of period $ 65,235 $ 57,342 |
Assets and Liabilities Subject
Assets and Liabilities Subject to Offsetting | 9 Months Ended |
Sep. 30, 2022 | |
Assets and Liabilities Subject to Offsetting [Abstract] | |
Assets and Liabilities Subject to Offsetting [Text Block] | Assets and Liabilities Subject to Offsetting The Bank enters into derivatives and securities purchased under agreements to resell that are subject to enforceable master netting agreements or similar arrangements. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. The Bank did not have any liabilities that were eligible to offset its securities purchased under agreements to resell (i.e., securities sold under agreements to repurchase) as of September 30, 2022 or December 31, 2021. The Bank's derivative transactions are executed either bilaterally or, if required, cleared through a third-party central clearinghouse. The Bank has entered into master agreements with each of its bilateral derivative counterparties that provide for the netting of all transactions with each of these counterparties. Under its master agreements with its non-member bilateral derivative counterparties, collateral is delivered (or returned) daily when certain thresholds (ranging from $50,000 to $500,000) are met. The Bank offsets the fair value amounts recognized for bilaterally traded derivatives executed with the same counterparty, including any cash collateral remitted to or received from the counterparty. Prior to September 1, 2022, the Bank was subject only to variation margin requirements associated with its bilaterally traded derivatives. Under new rules that took effect on September 1, 2022, the Bank became subject to initial margin requirements for bilaterally traded derivatives that are transacted on and after that date provided certain thresholds are met. During the period from September 1, 2022 through September 30, 2022, the Bank was not required to post any initial margin relating to its bilaterally traded derivatives. When entering into derivative transactions with its members, the Bank requires the member to post eligible collateral in an amount equal to the sum of the net market value of the member’s derivative transactions with the Bank (if the value is positive to the Bank) plus a percentage of the notional amount of any interest rate swaps, with market values determined on at least a monthly basis. Eligible collateral for derivative transactions with members consists of collateral that is eligible to secure advances and other obligations under the member's Advances and Security Agreement with the Bank. The Bank is not required to pledge collateral to its members to secure derivative positions. For cleared derivatives, all transactions with each clearing member of each clearinghouse are netted pursuant to legally enforceable setoff rights. Cleared derivatives are subject to initial and variation margin requirements established by the clearinghouse and its clearing members. Unlike bilateral derivatives, variation margin payments on cleared derivatives are legally characterized as settlements on the contracts. Initial and variation margin is typically delivered/paid (or returned/received) daily and is not subject to any maximum unsecured thresholds. The Bank offsets the fair value amounts recognized for cleared derivatives transacted with each clearing member of each clearinghouse (which fair value amounts include variation margin paid or received) and any cash collateral pledged or received. The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of September 30, 2022 and December 31, 2021 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities. Gross Amounts of Recognized Financial Instruments Gross Amounts Offset in the Statement of Condition Net Amounts Presented in the Statement of Condition Collateral Not Offset in the Statement of Condition (1) Net Unsecured Amount September 30, 2022 Assets Derivatives Bilateral derivatives $ 543,701 $ (515,402) $ 28,299 $ (30) (2) $ 28,269 Cleared derivatives 70,523 (32,468) 38,055 — 38,055 Total derivatives 614,224 (547,870) 66,354 (30) 66,324 Securities purchased under agreements to resell 14,600,000 — 14,600,000 (14,600,000) — Total assets $ 15,214,224 $ (547,870) $ 14,666,354 $ (14,600,030) $ 66,324 Liabilities Derivatives Bilateral derivatives $ 2,558,358 $ (2,541,349) $ 17,009 $ — $ 17,009 Cleared derivatives 33,606 (32,345) 1,261 (1,261) (3) — Total liabilities $ 2,591,964 $ (2,573,694) $ 18,270 $ (1,261) $ 17,009 December 31, 2021 Assets Derivatives Bilateral derivatives $ 22,346 $ (15,270) $ 7,076 $ (3,834) (2) $ 3,242 Cleared derivatives 2,853 (2,852) 1 — 1 Total derivatives 25,199 (18,122) 7,077 (3,834) 3,243 Securities purchased under agreements to resell 10,650,000 — 10,650,000 (10,650,000) — Total assets $ 10,675,199 $ (18,122) $ 10,657,077 $ (10,653,834) $ 3,243 Liabilities Derivatives Bilateral derivatives $ 474,106 $ (464,683) $ 9,423 $ — $ 9,423 Cleared derivatives 6,200 (1,667) 4,533 (4,533) (3) — Total liabilities $ 480,306 $ (466,350) $ 13,956 $ (4,533) $ 9,423 _____________________________ (1) Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. (2) Consists of collateral pledged by member counterparties. (3) Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with aggregate fair values of $436,603,000 and $525,063,000 at September 30, 2022 and December 31, 2021, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative Instruments and Hedging Activities Disclosure [Text Block] | Derivatives and Hedging Activities Hedging Activities. As a financial intermediary, the Bank is exposed to interest rate risk. This risk arises from a variety of financial instruments that the Bank enters into on a regular basis in the normal course of its business. The Bank enters into interest rate swap, swaption and cap agreements (collectively, interest rate exchange agreements) to manage its exposure to changes in interest rates. The Bank may use these instruments to adjust the effective maturity, repricing frequency, or option characteristics of financial instruments to achieve risk management objectives. In addition, the Bank may use these instruments to hedge the variable cash flows associated with forecasted transactions. The Bank has not entered into any credit default swaps or foreign exchange-related derivatives. The Bank uses interest rate exchange agreements in three ways: (1) by designating the agreement as a fair value hedge of a specific financial instrument or firm commitment; (2) by designating the agreement as a cash flow hedge of a forecasted transaction; or (3) by designating the agreement as a hedge of some other defined risk (referred to as an “economic hedge”). For example, the Bank uses interest rate exchange agreements in its overall interest rate risk management activities to adjust the interest rate sensitivity of consolidated obligations to approximate more closely the interest rate sensitivity of its assets (both advances and investments), and/or to adjust the interest rate sensitivity of advances or investments to approximate more closely the interest rate sensitivity of its liabilities. In addition to using interest rate exchange agreements to manage mismatches between the coupon features of its assets and liabilities, the Bank also uses interest rate exchange agreements to, among other things, manage embedded options in assets and liabilities, to preserve the market value of existing assets and liabilities, to hedge the duration risk of prepayable instruments, to hedge the variable cash flows associated with forecasted transactions, to offset interest rate exchange agreements entered into with members (the Bank serves as an intermediary in these transactions), and to reduce funding costs. The Bank, consistent with Finance Agency regulations, enters into interest rate exchange agreements only to reduce potential market risk exposures inherent in otherwise unhedged assets and liabilities or anticipated transactions, or to act as an intermediary between its members and the Bank’s non-member derivative counterparties. The Bank is not a derivatives dealer and it does not trade derivatives for short-term profit. At inception, the Bank formally documents the relationships between derivatives designated as hedging instruments and their hedged items, its risk management objectives and strategies for undertaking the hedge transactions, and its method for assessing the effectiveness of the hedging relationships. For fair value hedges, this process includes linking the derivatives to: (1) specific assets and liabilities on the statements of condition or (2) firm commitments. For cash flow hedges, this process includes linking the derivatives to forecasted transactions. The Bank also formally assesses (both at the inception of the hedging relationship and on a monthly basis thereafter) whether the derivatives that are used in hedging transactions have been highly effective in offsetting changes in the fair value of hedged items or the cash flows associated with forecasted transactions and whether those derivatives may be expected to remain highly effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges. Investment Securities and Mortgage Loans Held for Portfolio — The Bank has invested in agency and non-agency MBS and residential mortgage loans. The interest rate and prepayment risk associated with these investments is managed through consolidated obligations and/or derivatives. The Bank may manage prepayment and duration risk presented by some of these investments with either callable and/or non-callable consolidated obligations and/or interest rate exchange agreements, including interest rate swaps, swaptions and caps. Substantially all of the Bank’s held-to-maturity securities are variable-rate MBS that include caps that would limit the variable-rate coupons if short-term interest rates rise dramatically. To hedge a portion of the potential cap risk embedded in these securities, the Bank entered into interest rate cap agreements, the last of which matured during the year ended December 31, 2021. These derivatives were treated as economic hedges. All of the Bank's available-for-sale securities are fixed-rate agency and U.S. government-guaranteed debentures and agency CMBS. To hedge the interest rate risk associated with these fixed-rate investment securities, the Bank has entered into fixed-for-floating interest rate exchange agreements, which are designated as fair value hedges. For the fair value hedges that were entered into during the nine months ended September 30, 2022, the Bank measures the change in the fair value of the available-for-sale securities on the basis of the benchmark rate component of the contractual coupon cash flows determined at hedge inception. The Bank's trading securities include fixed-rate U.S. Treasury Notes and, at times, U.S. Treasury Bills and variable rate U.S. Treasury Notes. To convert some of its U.S. Treasury Bills and fixed-rate U.S. Treasury Notes to a short-term floating rate, the Bank has, at times, entered into fixed-for-floating interest rate exchange agreements that are indexed to either the overnight index swap ("OIS") rate or the Secured Overnight Financing Rate ("SOFR"). These derivatives are treated as economic hedges. The interest rate swaps and swaptions that are used by the Bank to hedge the risks associated with its mortgage loan portfolio and the interest rate swaptions that are used by the Bank to hedge the risks associated with its available-for-sale agency CMBS portfolio are treated as economic hedges. Advances — The Bank issues both fixed-rate and variable-rate advances. When deemed appropriate, the Bank uses interest rate exchange agreements to adjust the interest rate sensitivity of its fixed-rate advances to approximate more closely the interest rate sensitivity of its liabilities. With issuances of putable advances, the Bank purchases from the member a put option that enables the Bank to terminate a fixed-rate advance on specified future dates. This embedded option is clearly and closely related to the host advance contract. The Bank typically hedges a putable advance by entering into a cancelable interest rate exchange agreement where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, and sells an option to cancel the swap to the swap counterparty. This type of hedge is treated as a fair value hedge. The swap counterparty can cancel the interest rate exchange agreement on the call date and the Bank can cancel the putable advance and offer, subject to certain conditions, replacement funding at prevailing market rates. From time to time, a small portion of the Bank’s variable-rate advances may be subject to interest rate caps that would limit the variable-rate coupons if short-term interest rates rise above a predetermined level. To hedge the cap risk embedded in these advances, the Bank will generally enter into interest rate cap agreements. This type of hedge is treated as a fair value hedge. The Bank may hedge a firm commitment for a forward-starting advance through the use of an interest rate swap. In this case, the swap will function as the hedging instrument for both the firm commitment and the subsequent advance. The carrying value of the firm commitment will be included in the basis of the advance at the time the commitment is terminated and the advance is issued. The basis adjustment will then be amortized into interest income over the life of the advance. Consolidated Obligations — While consolidated obligations are the joint and several obligations of the FHLBanks, each FHLBank is the primary obligor for the consolidated obligations it has issued or assumed from another FHLBank. The Bank generally enters into derivative contracts to hedge the interest rate risk associated with its specific debt issuances. To manage the interest rate risk of certain of its consolidated obligations, the Bank will match the cash outflow on a consolidated obligation with the cash inflow of an interest rate exchange agreement. With issuances of fixed-rate consolidated obligation bonds, the Bank typically enters into a matching interest rate exchange agreement in which the counterparty pays fixed cash flows to the Bank that are designed to mirror in timing and amount the cash outflows the Bank pays on the consolidated obligation. In this transaction, the Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate assets. These transactions are treated as fair value hedges. On occasion, the Bank enters into fixed-for-floating interest rate exchange agreements to hedge the interest rate risk associated with certain of its consolidated obligation discount notes. The derivatives associated with the Bank’s fair value discount note hedging are indexed to the OIS rate or SOFR and are treated as economic hedges. The Bank has not issued consolidated obligations denominated in currencies other than U.S. dollars. Forecasted Issuances of Consolidated Obligations — The Bank uses derivatives to hedge the variability of cash flows over a specified period of time as a result of the forecasted issuances and maturities of short-term, fixed-rate instruments, such as three-month consolidated obligation discount notes. Although each short-term consolidated obligation discount note has a fixed rate of interest, a portfolio of rolling consolidated obligation discount notes effectively has a variable interest rate. The variable cash flows associated with these liabilities are converted to fixed-rate cash flows by entering into receive-variable, pay-fixed interest rate swaps. The maturity dates of the cash flow streams are closely matched to the interest rate reset dates of the derivatives. These derivatives are treated as cash flow hedges. Counterparty Exposures — When deemed appropriate, the Bank may enter into offsetting interest rate exchange agreements to simultaneously reduce its derivatives exposure to bilateral and/or cleared derivative counterparties. These derivatives are treated as economic hedges. Intermediation — The Bank offers interest rate exchange agreements to its members to assist them in meeting their hedging needs. In these transactions, the Bank acts as an intermediary for its members by entering into an interest rate exchange agreement with a member and then entering into an offsetting interest rate exchange agreement with one of the Bank’s approved derivative counterparties. All interest rate exchange agreements related to the Bank’s intermediary activities with its members are accounted for as economic hedges. Other — From time to time, the Bank may enter into derivatives to hedge risks to its earnings that are not directly linked to specific assets, liabilities or forecasted transactions. These derivatives are treated as economic hedges. Accounting for Derivatives and Hedging Activities. All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. Changes in the fair value of a derivative that is effective as — and 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 (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in U.S. GAAP. The Bank has defined the market settlement convention to be five business days or less for advances. Fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate). Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in accumulated other comprehensive income ("AOCI") until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes). An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer highly effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." Impact of Derivatives and Hedging Activities. The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at September 30, 2022 and December 31, 2021 (in thousands). September 30, 2022 December 31, 2021 Notional Amount of Estimated Fair Value Notional Amount of Estimated Fair Value Derivative Derivative Derivative Derivative Derivatives designated as hedging instruments Interest rate swaps Advances (1) $ 14,059,158 $ 157,663 $ 448 $ 9,806,989 $ 104 $ 212,533 Available-for-sale securities (1) 14,736,184 181,832 3,064 14,398,278 2,028 10,502 Consolidated obligation bonds (1) 38,357,140 743 2,556,915 24,112,140 9,495 253,444 Consolidated obligation discount notes (2) 1,066,000 4,307 — 1,066,000 6 132 Total derivatives designated as hedging instruments 68,218,482 344,545 2,560,427 49,383,407 11,633 476,611 Derivatives not designated as hedging instruments Interest rate swaps Advances — — — 265,000 — 2,044 Available-for-sale securities 3,039 9 — 3,081 — 1 Mortgage loans held for portfolio 513,000 4,001 187 265,000 22 28 Consolidated obligation bonds 186,445 — 1,724 — — — Consolidated obligation discount notes 4,602,000 139 177 900,000 — 20 Counterparty exposure 16,300,000 261,205 26,970 1,000,000 116 229 Intermediary transactions 78,558 171 705 91,672 3,834 1,320 Other 425,000 — 1,390 425,000 146 — Interest rate swaptions Available-for-sale securities 1,150,000 4,131 — — — — Mortgage loans held for portfolio — — — 600,000 9,448 — Mortgage delivery commitments 21,557 — 361 33,217 — 53 Interest rate caps Intermediary transactions 40,000 23 23 80,000 — — Total derivatives not designated as hedging instruments 23,319,599 269,679 31,537 3,662,970 13,566 3,695 Total derivatives before collateral and netting adjustments $ 91,538,081 614,224 2,591,964 $ 53,046,377 25,199 480,306 Cash collateral and related accrued interest 28,004 (1,997,942) (3,350) (452,763) Cash received or remitted in excess of variation margin requirements (124) (2) 2 1,187 Netting adjustments (575,750) (575,750) (14,774) (14,774) Total collateral and netting adjustments (3) (547,870) (2,573,694) (18,122) (466,350) Net derivative balances reported in statements of condition $ 66,354 $ 18,270 $ 7,077 $ 13,956 _____________________________ (1) Derivatives designated as fair value hedges. (2) Derivatives designated as cash flow hedges. (3) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the three and nine months ended September 30, 2022 and 2021 (in thousands). Gains and losses on derivatives in fair value hedging relationships include the change in fair value of the derivatives and the net interest income/expense associated with those derivatives. Interest Income (Expense) Advances Available-for-Sale Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes Other Comprehensive Income (Loss) Three Months Ended September 30, 2022 Total amount of the financial statement line item $ 266,919 $ 121,020 $ (235,395) $ (117,830) $ 70,849 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 403,921 $ 616,336 $ (955,784) $ — $ — Hedged items (395,024) (609,280) 898,093 — — Net gains (losses) on fair value hedging relationships $ 8,897 $ 7,056 $ (57,691) $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (292) $ 292 Recognized in OCI — — — — 47,679 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (292) $ 47,971 Three Months Ended September 30, 2021 Total amount of the financial statement line item $ 29,124 $ 32,843 $ (12,922) $ (6,412) $ (28,032) Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 32,580 $ 36,061 $ 11,275 $ — $ — Hedged items (57,831) (111,750) 49,618 — — Net gains (losses) on fair value hedging relationships $ (25,251) $ (75,689) $ 60,893 $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (5,658) $ 5,658 Recognized in OCI — — — — 4,004 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (5,658) $ 9,662 Interest Income (Expense) Advances Available-for-Sale Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes Other Comprehensive Income (Loss) Nine Months Ended September 30, 2022 Total amount of the financial statement line item $ 408,121 $ 243,484 $ (341,963) $ (169,600) $ 64,795 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 779,828 $ 1,471,491 $ (2,301,607) $ — $ — Hedged items (814,346) (1,551,203) 2,331,408 — — Net gains (losses) on fair value hedging relationships $ (34,518) $ (79,712) $ 29,801 $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (9,134) $ 9,134 Recognized in OCI — — — — 129,188 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (9,134) $ 138,322 Nine Months Ended September 30, 2021 Total amount of the financial statement line item $ 90,790 $ 107,895 $ (54,142) $ (22,793) $ 146,106 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 180,385 $ 350,817 $ (71,555) $ — $ — Hedged items (255,865) (557,837) 217,196 — — Net gains (losses) on fair value hedging relationships $ (75,480) $ (207,020) $ 145,641 $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (16,677) $ 16,677 Recognized in OCI — — — — 33,914 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (16,677) $ 50,591 For the three and nine months ended September 30, 2022 and 2021, there were no amounts reclassified from AOCI into earnings as a result of the discontinuance of cash flow hedges because the original forecasted transactions occurred by the end of the originally specified time periods or within two-month periods thereafter. At September 30, 2022, $23,537,000 of deferred net gains on derivative instruments in AOCI are expected to be reclassified to earnings during the next 12 months. At that same date, the maximum length of time over which the Bank is hedging its exposure to the variability in future cash flows for forecasted transactions is 7.3 years. The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of September 30, 2022 (in thousands). Line Item in Statement of Condition of Hedged Item Amortized Cost of Hedged Asset/(Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Total Fair Value Hedging Basis Adjustments (2) September 30, 2022 Advances $ 13,503,498 $ (582,732) $ 3,978 $ (578,754) Available-for-sale securities 13,835,643 (996,980) (1,877) (998,857) Consolidated obligation bonds (35,544,487) 2,605,140 (454) 2,604,686 December 31, 2021 Advances $ 10,065,117 $ 226,159 $ 4,918 $ 231,077 Available-for-sale securities 15,046,972 532,869 (1,441) 531,428 Consolidated obligation bonds (24,017,958) 273,936 (657) 273,279 _____________________________ (1) Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments. (2) Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items. The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the three and nine months ended September 30, 2022 and 2021 (in thousands). Gain (Loss) Recognized in Gain (Loss) Recognized in Other Income (Loss) for the Other Income (Loss) for the Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Derivatives not designated as hedging instruments Interest rate swaps $ 7,474 $ (1,766) $ (8,839) $ (4,368) Net interest income (expense) on interest rate swaps (2,223) 2,061 574 3,573 Interest rate swaptions (11,830) 347 (11,861) 3,498 Mortgage delivery commitments (637) (204) (1,421) (2,083) Total net gains (losses) related to derivatives not designated as hedging instruments (7,216) 438 (21,547) 620 Price alignment amount on variation margin for daily settled derivative contracts (1) 233 — 292 — Net gains (losses) on derivatives and hedging activities reported in other income (loss) $ (6,983) $ 438 $ (21,255) $ 620 _____________________________ (1) Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item. Credit Risk Related to Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative agreements. The Bank manages derivative counterparty credit risk through the use of master netting agreements or other similar collateral exchange arrangements, credit analysis, and adherence to the requirements set forth in the Bank’s Enterprise Market Risk Management Policy, Enterprise Credit Risk Management Policy, and Finance Agency regulations. Approximately 42 percent of the Bank's derivative contracts (based on notional value) have been cleared through third-party central clearinghouses (as of September 30, 2022, the notional balance of cleared transactions outstanding totaled $38.6 billion). With cleared transactions, the Bank is exposed to credit risk in the event that the clearinghouse or the clearing member fails to meet its obligations to the Bank. The remainder of the Bank's derivative contracts have been transacted bilaterally with large financial institutions under master netting agreements or, to a much lesser extent, with member institutions (as of September 30, 2022, the notional balance of outstanding transactions with non-member bilateral counterparties and member counterparties totaled $52.8 billion and $0.1 billion, respectively). Some of these institutions (or their affiliates) buy, sell, and distribute consolidated obligations. The notional amount of the Bank's interest rate exchange agreements does not reflect its credit risk exposure, which is much less than the notional amount. The Bank's net credit risk exposure is based on the current estimated cost, on a present value basis, of replacing at current market rates all interest rate exchange agreements with individual counterparties, if those counterparties were to default, after taking into account the value of any cash and/or securities collateral held or remitted by the Bank. For counterparties with which the Bank is in a net gain position, the Bank has credit exposure when the collateral it is holding (if any) has a value less than the amount of the gain. For counterparties with which the Bank is in a net loss position, the Bank has credit exposure when it has delivered collateral with a value greater than the amount of |
Capital
Capital | 9 Months Ended |
Sep. 30, 2022 | |
Banking Regulation, Total Capital [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | Capital At all times during the nine months ended September 30, 2022, the Bank was in compliance with all applicable statutory and regulatory capital requirements. The following table summarizes the Bank’s compliance with those capital requirements as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Required Actual Required Actual Regulatory capital requirements: Risk-based capital $ 826,023 $ 4,766,749 $ 757,555 $ 3,757,578 Total capital $ 3,582,033 $ 4,766,749 $ 2,539,535 $ 3,757,578 Total capital-to-assets ratio 4.00 % 5.32 % 4.00 % 5.92 % Leverage capital $ 4,477,542 $ 7,150,124 $ 3,174,419 $ 5,636,367 Leverage capital-to-assets ratio 5.00 % 7.98 % 5.00 % 8.88 % The Bank must also maintain a minimum capital stock-to-assets ratio of 2.0 percent, as measured on a daily average basis at each month end. The Bank was in compliance with this requirement at each of the month ends during the nine months ended September 30, 2022 and 2021. Members are required to maintain an investment in Class B Capital Stock equal to the sum of a membership investment requirement and an activity-based investment requirement. The membership investment requirement is currently 0.04 percent of each member’s total assets as of December 31, 2021, subject to a minimum of $1,000 and a maximum of $7,000,000. The activity-based investment requirement is 4.1 percent of outstanding advances and 0.1 percent of outstanding letters of credit, except as described below. On September 21, 2015, the Bank announced a Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for certain advances that were funded during the period from October 21, 2015 through December 31, 2015. To be eligible for the reduced activity-based investment requirement, advances funded during this period had to have a maturity of one year or greater, among other things. The standard activity-based stock investment requirement of 4.1 percent continued to apply to all other advances that were funded during the period from October 21, 2015 through December 31, 2015. On February 28, 2020, the Bank announced another Board-authorized reduction in the activity-based stock investment requirement from 4.1 percent to 2.0 percent for up to $5.0 billion of advances that: (1) were funded during the period from April 1, 2020 through December 31, 2020 and (2) had a maturity of one year or greater. On July 1, 2020, the Bank announced a Board-authorized modification to this special advances offering. As modified, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from August 1, 2020 through December 31, 2020 and (2) had a maturity of 28 days or greater. On December 7, 2020, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2020 to June 30, 2021. On March 17, 2021, the Bank announced another Board-authorized modification and extension to this special advances offering. As modified and extended, the Bank's activity-based capital stock investment requirement was reduced from 4.1 percent to 2.0 percent for advances that: (1) were funded during the period from April 19, 2021 through December 31, 2021 and (2) had a maturity of 32 days or greater. For advances that were funded on or prior to April 18, 2021, the reduced activity-based capital stock investment requirement continued to apply to advances that had a maturity of 28 days or greater. On December 8, 2021, the Bank announced that its Board of Directors had authorized the Bank to extend the expiration date of the special advances offering from December 31, 2021 to December 31, 2022. Under the special advances offering described in this paragraph, the maximum balance of advances to which the reduced activity-based stock investment requirement can be applied is $5.0 billion. Except as described in this paragraph, the standard activity-based stock investment requirement of 4.1 percent continues to apply to all other advances that are funded during the period from April 1, 2020 through December 31, 2022. The activity-based investment requirement relating to letters of credit was implemented on April 19, 2021 and it applies only to letters of credit that are issued or renewed on and after that date. The stock requirement is applied to the issued amount of the letter of credit rather than, if applicable, the amount of the letter of credit that is used from time to time during the term of the letter of credit. Further, renewals for this purpose include amendments that extend the expiration date of the letter of credit. The Bank generally repurchases surplus stock quarterly. For the repurchases that occurred during the nine months ended September 30, 2022, surplus stock was defined as the amount of stock held by a member shareholder in excess of 125 percent of the shareholder’s minimum investment requirement. For those repurchases, which occurred on March 28, 2022, June 27, 2022 and September 26, 2022, a member shareholder's surplus stock was not repurchased if: (1) the amount of that shareholder's surplus stock was $2,000,000 or less, (2) the shareholder elected to opt-out of the repurchase, or (3) the shareholder was on restricted collateral status (subject to certain exceptions). On March 28, 2022, June 27, 2022 and September 26, 2022, the Bank repurchased surplus stock totaling $57,007,000, $142,951,000 and $82,207,000, respectively, none of which was classified as mandatorily redeemable capital stock at those dates. From time to time, the Bank may modify the definition of surplus stock or the timing and/or frequency of surplus stock repurchases. |
Employee Retirement Plans
Employee Retirement Plans | 9 Months Ended |
Sep. 30, 2022 | |
Employee Retirement Plans [Abstract] | |
Pension and Other Postretirement Benefits Disclosure [Text Block] | Employee Retirement Plans The Bank sponsors a retirement benefits program that includes health care and limited life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and nine months ended September 30, 2022 and 2021 were as follows (in thousands): Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Service cost $ 10 $ 10 $ 28 $ 30 Interest cost 4 5 12 15 Amortization of prior service cost 5 5 15 15 Amortization of net actuarial gain (19) (16) (57) (50) Net periodic benefit cost (credit) $ — $ 4 $ (2) $ 10 |
Estimated Fair Values
Estimated Fair Values | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures | Estimated Fair Values Fair value is defined under U.S. GAAP as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. A fair value measurement assumes that the transaction to sell the asset or transfer the liability occurs in the principal market for the asset or liability or, in the absence of a principal market, the most advantageous market for the asset or liability. U.S. GAAP establishes a fair value hierarchy and requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. U.S. GAAP also requires an entity to disclose the level within the fair value hierarchy in which each measurement is classified. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs — Quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. Level 2 Inputs — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) 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 (4) inputs that are derived principally from or corroborated by observable market data (e.g., implied spreads). Level 3 Inputs — Unobservable inputs for the asset or liability that are supported by little or no market activity. None of the Bank’s assets or liabilities that are recorded at fair value on a recurring basis were measured using significant Level 3 inputs. For financial instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. For the nine months ended September 30, 2022 and 2021, the Bank did not reclassify any fair value measurements. The following estimated fair value amounts have been determined by the Bank using available market information and management’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank as of September 30, 2022 and December 31, 2021. Although management uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any estimation technique or valuation methodology. For example, because an active secondary market does not exist for many of the Bank’s financial instruments (e.g., advances, non-agency RMBS and mortgage loans held for portfolio), in certain cases their fair values are not subject to precise quantification or verification. Therefore, the estimated fair values presented below in the Fair Value Summary Tables may not be indicative of the amounts that would have been realized in market transactions at the reporting dates. Further, the fair values do not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities. The valuation techniques used to measure the fair values of the Bank’s financial instruments that are measured at fair value on the statement of condition are described below. Trading and available-for-sale securities. To value its U.S. Treasury Notes and U.S. Treasury Bills classified as trading securities and all of its available-for-sale securities, the Bank obtains prices from three designated third-party pricing vendors when available. The pricing vendors use various proprietary models to price these securities. 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. Because many securities do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all security valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. A "median" price is first established for each security using a formula that is based upon the number of prices received. If three prices are received, the middle price is the median price; if two prices are received, the average of the two prices is the median price; and if one price is received, it is the median price (and also the final price) subject to some type of validation similar to the evaluation of outliers described below. All prices that are within a specified tolerance threshold of the median price are included in the “cluster” of prices that are averaged to compute a “default” price. All prices that are outside the threshold (“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 an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price, as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. As of September 30, 2022 and December 31, 2021, three vendor prices were received for substantially all of the Bank’s trading and available-for-sale securities and the final prices for substantially all of those securities were computed by averaging the three prices. Based on the Bank's understanding of the pricing methods employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers, the Bank's additional analyses), the Bank believes its final prices result in reasonable estimates of the fair values and that the fair value measurements are classified appropriately in the fair value hierarchy. Derivative assets/liabilities . The fair values of the Bank’s interest rate swap and swaption agreements are estimated using a pricing model with inputs that are observable in the market (e.g., the relevant interest rate curves (that is, the relevant LIBOR swap curve, the SOFR curve or the OIS curve and, for purposes of discounting, either the OIS curve for bilateral contracts or the SOFR curve for cleared contracts) and, for agreements containing options, swaption volatility). The fair values of the Bank’s interest rate caps are also estimated using a pricing model with inputs that are observable in the market (that is, cap volatility, the relevant LIBOR swap curve and, for purposes of discounting, the OIS curve). As the collateral (or variation margin in the case of daily settled contracts) and netting provisions of the Bank’s arrangements with its derivative counterparties significantly reduce the risk from nonperformance (see Note 12), the Bank does not consider its own nonperformance risk or the nonperformance risk associated with each of its counterparties to be a significant factor in the valuation of its derivative assets and liabilities. The Bank compares the fair values obtained from its pricing model to clearinghouse valuations (in the case of cleared derivatives) and non-binding dealer estimates (in the case of bilateral derivatives) and may also compare its fair values to those of similar instruments to ensure that the fair values are reasonable. The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties; the estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of the Bank's bilateral derivatives are netted by counterparty pursuant to the provisions of the credit support annexes to the Bank’s master netting agreements with its non-member bilateral derivative counterparties. The Bank's cleared derivative transactions with each clearing member of each clearinghouse are netted pursuant to the Bank's arrangements with those parties. In each case, if the netted amounts are positive, they are classified as an asset and, if negative, as a liability. The Bank estimates the fair values of mortgage delivery commitments based upon the prices for to-be-announced ("TBA") securities, which represent quoted market prices for forward-settling agency MBS. The prices are adjusted for differences in coupon, cost to carry, vintage, remittance type and product type between the Bank's mortgage loan commitments and the referenced TBA MBS. Other assets held at fair value. To value its mutual fund investments included in other assets, the Bank obtains quoted prices for the mutual funds. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at September 30, 2022 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 70,520 $ 70,520 $ 70,520 $ — $ — $ — Interest-bearing deposits 1,820,227 1,820,227 — 1,820,227 — — Securities purchased under agreements to resell 14,600,000 14,600,000 — 14,600,000 — — Federal funds sold 9,294,000 9,294,000 — 9,294,000 — — Trading securities (1) 685,677 685,677 — 685,677 — — Available-for-sale securities (1) 14,002,273 14,002,273 — 14,002,273 — — Held-to-maturity securities 327,122 330,195 — 297,893 (2) 32,302 (3) — Advances 44,238,384 44,128,282 — 44,128,282 — — Mortgage loans held for portfolio, net 4,240,222 3,700,331 — 3,700,331 — — Accrued interest receivable 149,929 149,929 — 149,929 — — Derivative assets (1) 66,354 66,354 — 614,224 — (547,870) Other assets held at fair value (1) 15,048 15,048 15,048 — — — Liabilities: Deposits 1,746,156 1,745,887 — 1,745,887 — — Consolidated obligations Discount notes 29,590,696 29,548,590 — 29,548,590 — — Bonds 51,838,498 51,043,457 — 51,043,457 — — Mandatorily redeemable capital stock 12,895 12,895 12,895 — — — Accrued interest payable 138,348 138,348 — 138,348 — — Derivative liabilities (1) 18,270 18,270 — 2,591,964 — (2,573,694) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of September 30, 2022. (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. (4) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2021 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 542,801 $ 542,801 $ 542,801 $ — $ — $ — Interest-bearing deposits 885,745 885,745 — 885,745 — — Securities purchased under agreements to resell 10,650,000 10,650,000 — 10,650,000 — — Federal funds sold 4,781,000 4,781,000 — 4,781,000 — — Trading securities (1) 2,454,870 2,454,870 — 2,454,870 — — Available-for-sale securities (1) 15,288,032 15,288,032 — 15,288,032 — — Held-to-maturity securities 593,555 606,352 — 566,487 (2) 39,865 (3) — Advances 24,637,464 24,670,292 — 24,670,292 — — Mortgage loans held for portfolio, net 3,491,265 3,505,042 — 3,505,042 — — Accrued interest receivable 91,581 91,581 — 91,581 — — Derivative assets (1) 7,077 7,077 — 25,199 — (18,122) Other assets held at fair value (1) 17,574 17,574 17,574 — — — Liabilities: Deposits 1,590,188 1,590,187 — 1,590,187 — — Consolidated obligations Discount notes 11,003,026 11,000,139 — 11,000,139 — — Bonds 44,514,220 44,487,511 — 44,487,511 — — Mandatorily redeemable capital stock 6,657 6,657 6,657 — — — Accrued interest payable 73,038 73,038 — 73,038 — — Derivative liabilities (1) 13,956 13,956 — 480,306 — (466,350) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of December 31, 2021. (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency debentures and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. |
Commitments and Contingencies
Commitments and Contingencies | 9 Months Ended |
Sep. 30, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies Disclosure [Text Block] | Joint and several liability. The Bank is jointly and severally liable with the other 10 FHLBanks for the payment of principal and interest on all of the consolidated obligations issued by the FHLBanks. At September 30, 2022, the par amount of the other 10 FHLBanks’ outstanding consolidated obligations was approximately $948 billion. The Finance Agency, in its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligation, regardless of whether there has been a default by a FHLBank having primary liability. To the extent that a FHLBank makes any consolidated obligation payment on behalf of another FHLBank, the paying FHLBank is entitled to reimbursement from the FHLBank with primary liability. However, if the Finance Agency determines that the primary obligor is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis that the Finance Agency may determine. No FHLBank has ever failed to make any payment on a consolidated obligation for which it was the primary obligor; as a result, the regulatory provisions for directing other FHLBanks to make payments on behalf of another FHLBank or allocating the liability among other FHLBanks have never been invoked. If the Bank expected that it would be required to pay any amounts on behalf of its co-obligors under its joint and several liability, the Bank would charge to income the amount of the expected payment. Based upon the creditworthiness of the other FHLBanks, the Bank currently believes that the likelihood that it would have to pay any amounts beyond those for which it is primarily liable is remote. Other commitments and contingencies. At September 30, 2022 and December 31, 2021, the Bank had commitments to make additional advances totaling approximately $6,423,000 and $22,042,000, respectively. In addition, outstanding standby letters of credit totaled $18,794,363,000 and $21,652,978,000 at September 30, 2022 and December 31, 2021, respectively. Based on management’s credit analyses and collateral requirements, the Bank does not deem it necessary to have any provision for credit losses on these letters of credit (see Note 9). The Bank has entered into standby bond purchase agreements with a state housing finance agency within its district whereby, for a fee, the Bank agrees to serve as a standby liquidity provider. If required, the Bank will purchase and hold the housing finance agency's bonds until the designated marketing agent can find a suitable investor or the housing finance agency repurchases the bonds according to a schedule established by the agreement. Each standby bond purchase agreement includes the provisions under which the Bank would be required to purchase the bonds. At September 30, 2022 and December 31, 2021, the Bank had outstanding standby bond purchase agreements totaling $883,236,000 and $914,041,000, respectively. At September 30, 2022, standby bond purchase agreements totaling $200,234,000, $45,390,000, $231,399,000, $245,863,000 and $160,350,000 expire in 2023, 2024, 2025, 2026 and 2027, respectively. The Bank was not required to purchase any bonds under these agreements during the nine months ended September 30, 2022 or the year ended December 31, 2021. At September 30, 2022 and December 31, 2021, the Bank had commitments to purchase conventional mortgage loans totaling $21,557,000 and $33,217,000, respectively, from certain of its members that participate in the MPF program. At September 30, 2022 and December 31, 2021, the Bank had commitments to issue $2,480,000,000 and $350,000,000 (par values), respectively, of consolidated obligation bonds, of which $680,000,000 and $350,000,000, respectively, were hedged with interest rate swaps. In addition, at September 30, 2022, the Bank had commitments to issue $512,381,000 (par value) of consolidated obligation discount notes, none of which were hedged. The Bank did not have any commitments to issue consolidated obligation discount notes at December 31, 2021. The Bank has transacted interest rate exchange agreements with large financial institutions and third-party clearinghouses that are subject to collateral exchange arrangements. As of September 30, 2022 and December 31, 2021, the Bank had pledged cash collateral of $2,022,050,000 and $456,491,000, respectively, to those parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged cash collateral (i.e., interest-bearing deposit asset) is netted against derivative assets and liabilities in the statements of condition. In addition, as of September 30, 2022 and December 31, 2021, the Bank had pledged securities with carrying values (and fair values) of $437,864,000 and $529,596,000, respectively, to parties that had credit risk exposure to the Bank related to interest rate exchange agreements. The pledged securities may be rehypothecated and are not netted against derivative assets and liabilities in the statements of condition. In the ordinary course of its business, the Bank is subject to the risk that litigation may arise. Currently, the Bank is not a party to any material pending legal proceedings. |
Transactions with Shareholders
Transactions with Shareholders | 9 Months Ended |
Sep. 30, 2022 | |
Transactions with Shareholders [Abstract] | |
Transactions With Stockholders [Text Block] | Transactions with ShareholdersAn affiliate of one of the Bank’s derivative counterparties (Wells Fargo) acquired a member institution on October 1, 2006. Since the acquisition was completed, the Bank has continued to enter into interest rate exchange agreements with Wells Fargo in the normal course of business and under the same terms and conditions as before. In addition, the Bank maintains interest-bearing deposits with an affiliate of Wells Fargo. |
Transactions with Other FHLBank
Transactions with Other FHLBanks | 9 Months Ended |
Sep. 30, 2022 | |
Transactions with Other FHLBanks [Abstract] | |
Transactions with Other FHLBanks | Transactions with Other FHLBanks Occasionally, the Bank loans (or borrows) short-term federal funds to (or from) other FHLBanks. The Bank did not loan any short-term federal funds to other FHLBanks during the nine months ended September 30, 2021. During the nine months ended September 30, 2022, interest income on loans to other FHLBanks totaled $182,000. The following table summarizes the Bank’s loans to other FHLBanks during the nine months ended September 30, 2022 (in thousands). Nine Months Ended September 30, 2022 Balance at January 1, $ — Loans made to: FHLBank of San Francisco 1,000,000 FHLBank of Atlanta 750,000 FHLBank of Pittsburgh 500,000 Collections from: FHLBank of San Francisco (1,000,000) FHLBank of Atlanta (750,000) FHLBank of Pittsburgh (500,000) Balance at September 30, $ — During the nine months ended September 30, 2022 and 2021, interest expense on borrowings from other FHLBanks totaled $121,000 and $58, respectively. The following table summarizes the Bank’s borrowings from other FHLBanks during the nine months ended September 30, 2022 and 2021 (in thousands). Nine Months Ended September 30, 2022 2021 Balance at January 1, $ — $ — Borrowings from: FHLBank of Indianapolis 30,000 30,000 FHLBank of Boston 400,000 — FHLBank of Pittsburgh 1,000,000 — Repayments to: FHLBank of Indianapolis (30,000) (30,000) FHLBank of Boston (400,000) — FHLBank of Pittsburgh (1,000,000) — Balance at September 30, $ — $ — |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 9 Months Ended |
Sep. 30, 2022 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Comprehensive Income (Loss) Note [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table presents the changes in the components of AOCI for the three and nine months ended September 30, 2022 and 2021 (in thousands). Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) Net Unrealized Non-Credit Portion of Postretirement Total Three Months Ended September 30, 2022 Balance at July 1, 2022 $ 143,951 $ 35,512 $ (3,753) $ 1,006 $ 176,716 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 292 — — 292 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (14) (14) Other amounts of other comprehensive income (loss) Net unrealized gains on available-for-sale securities 22,679 — — — 22,679 Unrealized gains on cash flow hedges — 47,679 — — 47,679 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 213 — 213 Total other comprehensive income (loss) 22,679 47,971 213 (14) 70,849 Balance at September 30, 2022 $ 166,630 $ 83,483 $ (3,540) $ 992 $ 247,565 Three Months Ended September 30, 2021 Balance at July 1, 2021 $ 304,575 $ (78,673) $ (5,383) $ 879 $ 221,398 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 5,658 — — 5,658 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (11) (11) Other amounts of other comprehensive income (loss) Net unrealized losses on available-for-sale securities (38,154) — — — (38,154) Unrealized gains on cash flow hedges — 4,004 — — 4,004 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 471 — 471 Total other comprehensive income (loss) (38,154) 9,662 471 (11) (28,032) Balance at September 30, 2021 $ 266,421 $ (69,011) $ (4,912) $ 868 $ 193,366 _____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) Net Unrealized Gains (Losses) Non-Credit Portion of Postretirement Total Nine Months Ended September 30, 2022 Balance at January 1, 2022 $ 241,060 $ (54,839) $ (4,485) $ 1,034 $ 182,770 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 9,134 — — 9,134 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (42) (42) Other amounts of other comprehensive income (loss) Net unrealized losses on available-for-sale securities (74,430) — — — (74,430) Unrealized gains on cash flow hedges — 129,188 — — 129,188 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 945 — 945 Total other comprehensive income (loss) (74,430) 138,322 945 (42) 64,795 Balance at September 30, 2022 $ 166,630 $ 83,483 $ (3,540) $ 992 $ 247,565 Nine Months Ended September 30, 2021 Balance at January 1, 2021 $ 172,361 $ (119,602) $ (6,402) $ 903 $ 47,260 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 16,677 — — 16,677 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (35) (35) Other amounts of other comprehensive income (loss) Net unrealized gains on available-for-sale securities 94,060 — — — 94,060 Unrealized gains on cash flow hedges — 33,914 — — 33,914 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 1,490 — 1,490 Total other comprehensive income (loss) 94,060 50,591 1,490 (35) 146,106 Balance at September 30, 2021 $ 266,421 $ (69,011) $ (4,912) $ 868 $ 193,366 _____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |
Basis of Presentation (Policies
Basis of Presentation (Policies) | 9 Months Ended |
Sep. 30, 2022 | |
Basis of Presentation [Abstract] | |
Derivatives, Offsetting Fair Value Amounts, Policy [Policy Text Block] | For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. |
Derivatives, Policy [Policy Text Block] | Accounting for Derivatives and Hedging Activities. All derivatives are recognized on the statements of condition at their fair values, including accrued interest receivable and payable. For purposes of reporting derivative assets and derivative liabilities, the Bank offsets the fair value amounts recognized for derivative instruments (including the right to reclaim cash collateral and the obligation to return cash collateral) where a legally enforceable right of setoff exists. Changes in the fair value of a derivative that is effective as — and 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 (including changes that reflect gains or losses on firm commitments), are recorded in current period earnings. The application of hedge accounting generally requires the Bank to evaluate the effectiveness of the fair value hedging relationships on an ongoing basis and to calculate the changes in fair value of the derivatives and related hedged items independently. This is commonly known as the “long-haul” method of hedge accounting. Transactions that meet more stringent criteria qualify for the “shortcut” method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item exactly offsets the change in value of the related derivative. The Bank considers hedges of committed advances to be eligible for the shortcut method of accounting as long as the settlement of the committed advance occurs within the shortest period possible for that type of instrument based on market settlement conventions, the fair value of the swap is zero at the inception of the hedging relationship, and the transaction meets all of the other criteria for shortcut accounting specified in U.S. GAAP. The Bank has defined the market settlement convention to be five business days or less for advances. Fair value hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) and the net interest income/expense associated with that derivative are recorded in the same line item as the earnings effect of the hedged item (that is, interest income on advances, interest income on available-for-sale securities or interest expense on consolidated obligation bonds, as appropriate). Changes in the fair value of a derivative that is designated and qualifies as a cash flow hedge are recorded in accumulated other comprehensive income ("AOCI") until earnings are affected by the variability of the cash flows of the hedged transaction, at which time these amounts are reclassified from AOCI to the income statement line where the earnings effect of the hedged item is reported (e.g., interest expense on consolidated obligation discount notes). An economic hedge is defined as a derivative hedging specific or non-specific assets or liabilities that does not qualify or was not designated for hedge accounting, but is an acceptable hedging strategy under the Bank’s Enterprise Market Risk Management Policy. These hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative derivative transactions. An economic hedge by definition introduces the potential for earnings variability as changes in the fair value of a derivative designated as an economic hedge are recorded in current period earnings with no offsetting fair value adjustment to an asset or liability. Both the net interest income/expense and the fair value changes associated with derivatives in economic hedging relationships are recorded in other income (loss) as “net gains (losses) on derivatives and hedging activities.” The Bank records the changes in fair value of all derivatives (and, in the case of fair value hedges, the hedged items) beginning on the trade date. Cash flows associated with all derivatives are reported as cash flows from operating activities in the statements of cash flows, unless the derivative contains an other-than-insignificant financing element, in which case its cash flows are reported as cash flows from financing activities. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. The Bank discontinues hedge accounting prospectively when: (1) management determines that the derivative is no longer highly effective in offsetting changes in the fair value or cash flows of a hedged item; (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) it is no longer probable that a forecasted transaction will occur within the originally specified time frame; (4) a hedged firm commitment no longer meets the definition of a firm commitment; or (5) management determines that designating the derivative as a hedging instrument is no longer appropriate. In all cases in which hedge accounting is discontinued and the derivative remains outstanding, the Bank will carry the derivative at its fair value on the statement of condition, recognizing any additional changes in the fair value of the derivative in current period earnings as a component of "net gains (losses) on derivatives and hedging activities." When fair value hedge accounting for a specific derivative is discontinued due to the Bank’s determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will cease to adjust the hedged asset or liability for changes in fair value and amortize the cumulative basis adjustment on the formerly hedged item into earnings over its remaining term using the level-yield method. The amortization is recorded in the same line item as the earnings effect of the formerly hedged item. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the statement of condition at its fair value, removing from the statement of condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. When cash flow hedge accounting for a specific derivative is discontinued due to the Bank's determination that such derivative no longer qualifies for hedge accounting treatment or because the derivative is terminated, the Bank will reclassify the cumulative fair value gains or losses recorded in AOCI as of the discontinuance date from AOCI into earnings when earnings are affected by the original forecasted transaction. If the Bank expects at any time that continued reporting of a net loss in AOCI would lead to recognizing a net loss on the combination of the hedging instrument and hedged transaction in one or more future periods, the amount that is not expected to be recovered is immediately reclassified to earnings. These items are recorded in the same income statement line where the earnings effect of the hedged item is reported. In cases where the cash flow hedge is discontinued because the forecasted transaction is no longer probable (i.e., the forecasted transaction will not occur in the originally expected period or within an additional two-month period of time thereafter), any fair value gains or losses recorded in AOCI as of the determination date are immediately reclassified to earnings as a component of "net gains (losses) on derivatives and hedging activities." |
Derivatives, Embedded Derivatives [Policy Text Block] | The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded” and the financial instrument that embodies the embedded derivative instrument is not remeasured at fair value with changes in fair value reported in earnings as they occur. Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the financial instrument (i.e., the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. When it is determined that (1) the embedded derivative possesses economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument, the embedded derivative is separated from the host contract, carried at fair value, and designated as either (1) a hedging instrument in a fair value hedge or (2) a stand-alone derivative instrument pursuant to an economic hedge. However, if the entire contract were to be measured at fair value, with changes in fair value reported in current earnings, or if the Bank could not reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract would be carried on the statement of condition at fair value and no portion of the contract would be separately accounted for as a derivative. |
Trading Securities Tables (Tabl
Trading Securities Tables (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Securities, Trading, Gain (Loss) [Abstract] | |
Debt Securities, Trading, and Equity Securities, FV-NI [Table] | Trading securities as of September 30, 2022 and December 31, 2021 were as follows (in thousands): September 30, 2022 December 31, 2021 U.S. Treasury Bills $ — $ 2,249,587 U.S. Treasury Notes 685,677 205,283 Total $ 685,677 $ 2,454,870 |
Available-for-Sale Securities (
Available-for-Sale Securities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Securities, Available-for-sale [Line Items] | |
Schedule of Available-for-sale Securities Reconciliation [Table Text Block] | Available-for-sale securities as of September 30, 2022 were as follows (in thousands): Amortized Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 275,394 $ 3,134 $ — $ 278,528 GSE obligations 3,128,481 51,486 2,801 3,177,166 3,403,875 54,620 2,801 3,455,694 GSE commercial MBS 10,431,768 129,361 14,550 10,546,579 Total $ 13,835,643 $ 183,981 $ 17,351 $ 14,002,273 Available-for-sale securities as of December 31, 2021 were as follows (in thousands): Amortized Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 414,267 $ 4,229 $ 460 $ 418,036 GSE obligations 4,471,107 78,983 4,412 4,545,678 Other 38,544 44 — 38,588 4,923,918 83,256 4,872 5,002,302 GSE commercial MBS 10,123,054 165,783 3,107 10,285,730 Total $ 15,046,972 $ 249,039 $ 7,979 $ 15,288,032 |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |
Debt Securities, Available-for-sale [Line Items] | |
Schedule of Unrealized Loss on Investments [Table Text Block] | The following table summarizes (in thousands) the available-for-sale securities with unrealized losses as of September 30, 2022. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Estimated Gross Estimated Gross Estimated Gross GSE debentures $ — $ — $ 72,765 $ 2,801 $ 72,765 $ 2,801 GSE commercial MBS 1,201,067 11,977 59,342 2,573 1,260,409 14,550 Total $ 1,201,067 $ 11,977 $ 132,107 $ 5,374 $ 1,333,174 $ 17,351 The following table summarizes (in thousands) the available-for-sale securities with unrealized losses as of December 31, 2021. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous loss position. Less than 12 Months 12 Months or More Total Estimated Gross Estimated Gross Estimated Gross Debentures U.S. government-guaranteed obligations $ 114,748 $ 460 $ — $ — $ 114,748 $ 460 GSE debentures 587,176 22 128,431 4,390 715,607 4,412 GSE commercial MBS 68,575 3,008 13,406 99 81,981 3,107 Total $ 770,499 $ 3,490 $ 141,837 $ 4,489 $ 912,336 $ 7,979 |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost and estimated fair value of available-for-sale securities by contractual maturity at September 30, 2022 and December 31, 2021 are presented below (in thousands). September 30, 2022 December 31, 2021 Maturity Amortized Estimated Amortized Estimated Debentures Due in one year or less $ 46,989 $ 47,112 $ 1,209,330 $ 1,209,339 Due after one year through five years 3,141,139 3,186,669 3,225,065 3,286,653 Due after five years through ten years 215,747 221,913 489,523 506,310 3,403,875 3,455,694 4,923,918 5,002,302 GSE commercial MBS 10,431,768 10,546,579 10,123,054 10,285,730 Total $ 13,835,643 $ 14,002,273 $ 15,046,972 $ 15,288,032 |
Held-to-Maturity Securities (Ta
Held-to-Maturity Securities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Debt Securities, Held-to-maturity [Table Text Block] | Held-to-maturity securities as of September 30, 2022 were as follows (in thousands): Amortized Non-credit OTTI Recorded in Carrying Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 1,496 $ — $ 1,496 $ 4 $ — $ 1,500 Mortgage-backed securities GSE residential MBS 299,115 — 299,115 323 3,045 296,393 Non-agency residential MBS 30,051 3,540 26,511 6,792 1,001 32,302 329,166 3,540 325,626 7,115 4,046 328,695 Total $ 330,662 $ 3,540 $ 327,122 $ 7,119 $ 4,046 $ 330,195 Held-to-maturity securities as of December 31, 2021 were as follows (in thousands): Amortized Non-credit OTTI Recorded in Carrying Gross Gross Estimated Debentures U.S. government-guaranteed obligations $ 2,372 $ — $ 2,372 $ 2 $ — $ 2,374 State housing agency obligation 74,919 — 74,919 89 — 75,008 77,291 — 77,291 91 — 77,382 Mortgage-backed securities GSE residential MBS 484,110 — 484,110 4,998 3 489,105 Non-agency residential MBS 36,639 4,485 32,154 8,249 538 39,865 520,749 4,485 516,264 13,247 541 528,970 Total $ 598,040 $ 4,485 $ 593,555 $ 13,338 $ 541 $ 606,352 |
Categories of Investments, Marketable Securities, Held-to-maturity Securities [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Investments Classified by Contractual Maturity Date [Table Text Block] | The amortized cost, carrying value and estimated fair value of held-to-maturity securities by contractual maturity at September 30, 2022 and December 31, 2021 are presented below (in thousands). The expected maturities of some debentures could differ from the contractual maturities presented because issuers may have the right to call such debentures prior to their final stated maturities. September 30, 2022 December 31, 2021 Maturity Amortized Cost Carrying Value Estimated Fair Value Amortized Cost Carrying Value Estimated Fair Value Debentures Due in one year or less $ — $ — $ — $ 500 $ 500 $ 500 Due after one year through five years 1,496 1,496 1,500 1,872 1,872 1,874 Due after ten years — — — 74,919 74,919 75,008 1,496 1,496 1,500 77,291 77,291 77,382 Mortgage-backed securities 329,166 325,626 328,695 520,749 516,264 528,970 Total $ 330,662 $ 327,122 $ 330,195 $ 598,040 $ 593,555 $ 606,352 |
Schedule of Interest Rate Payment Terms For Investments [Table Text Block] | The following table provides interest rate payment terms for investment securities classified as held-to-maturity at September 30, 2022 and December 31, 2021 (in thousands): September 30, 2022 December 31, 2021 Amortized cost of variable-rate held-to-maturity securities other than MBS $ 1,496 $ 77,291 Amortized cost of held-to-maturity MBS Fixed-rate pass-through securities — 2 Variable-rate collateralized mortgage obligations 329,166 520,747 329,166 520,749 Total $ 330,662 $ 598,040 |
Advances (Tables)
Advances (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Advances [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | At September 30, 2022 and December 31, 2021, the Bank had advances outstanding at interest rates ranging from 0.25 percent to 8.27 percent and 0.11 percent to 8.27 percent, respectively, as summarized below (dollars in thousands). September 30, 2022 December 31, 2021 Contractual Maturity Amount Weighted Average Amount Weighted Average Overdrawn demand deposit accounts $ 8,981 3.45 % $ — — % Due in one year or less 24,006,412 3.16 7,642,760 0.39 Due after one year through two years 1,403,751 2.52 1,028,212 1.84 Due after two years through three years 1,537,259 2.24 1,335,606 1.63 Due after three years through four years 1,468,243 2.70 1,649,603 0.80 Due after four years through five years 6,301,532 2.80 968,470 0.67 Due after five years through fifteen years 10,063,215 2.36 11,752,610 0.90 Due after fifteen years 32,416 2.34 35,061 2.35 Total par value 44,821,809 2.86 % 24,412,322 0.81 % Deferred net prepayment fees (4,635) (5,897) Commitment fees (35) (38) Hedging adjustments (578,755) 231,077 Total $ 44,238,384 $ 24,637,464 |
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Table Text Block] | The following table summarizes advances outstanding at September 30, 2022 and December 31, 2021, by the earlier of contractual maturity or next call date, or the first date on which prepayable advances can be repaid without a prepayment fee (in thousands): Contractual Maturity or Next Call Date September 30, 2022 December 31, 2021 Overdrawn demand deposit accounts $ 8,981 $ — Due in one year or less 29,973,239 12,779,409 Due after one year through two years 1,192,735 1,001,667 Due after two years through three years 989,374 1,093,031 Due after three years through four years 463,408 1,004,319 Due after four years through five years 5,996,300 345,975 Due after five years 6,197,772 8,187,921 Total par value $ 44,821,809 $ 24,412,322 |
Schedule of Advances Classified by Contractual Maturity Date or Next Put Date [Table Text Block] | The following table summarizes advances outstanding at September 30, 2022 and December 31, 2021, by the earlier of contractual maturity or next possible put date (in thousands): Contractual Maturity or Next Put Date September 30, 2022 December 31, 2021 Overdrawn demand deposit accounts $ 8,981 $ — Due in one year or less 28,070,212 14,878,560 Due after one year through two years 1,557,551 1,112,012 Due after two years through three years 2,067,259 1,291,606 Due after three years through four years 1,468,243 1,594,603 Due after four years through five years 6,666,532 968,470 Due after five years 4,983,031 4,567,071 Total par value $ 44,821,809 $ 24,412,322 |
Schedule of Federal Home Loan Bank Advances by Interest Rate Payment Terms [Table Text Block] | The following table provides interest rate payment terms for advances outstanding at September 30, 2022 and December 31, 2021 (in thousands): September 30, 2022 December 31, 2021 Fixed-rate Due in one year or less $ 20,893,412 $ 7,582,790 Due after one year 14,870,088 11,037,441 Total fixed-rate 35,763,500 18,620,231 Variable-rate Due in one year or less 3,121,981 59,970 Due after one year 5,936,328 5,732,121 Total variable-rate 9,058,309 5,792,091 Total par value $ 44,821,809 $ 24,412,322 |
Mortgage Loans Held for Portf_2
Mortgage Loans Held for Portfolio (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Mortgage Loans Held for Portfolio [Abstract] | |
Mortgage Loans Held For Portfolio [Table Text Block] | The following table presents information as of September 30, 2022 and December 31, 2021 for mortgage loans held for portfolio (in thousands): September 30, 2022 December 31, 2021 Fixed-rate medium-term* single-family mortgages $ 117,992 $ 124,532 Fixed-rate long-term single-family mortgages 4,069,541 3,298,356 Premiums 65,263 66,643 Discounts (13,629) (1,324) Deferred net derivative gains associated with mortgage delivery commitments 4,276 6,182 Total mortgage loans held for portfolio 4,243,443 3,494,389 Less: allowance for credit losses on mortgage loans (3,221) (3,124) Total mortgage loans held for portfolio, net of allowance for credit losses $ 4,240,222 $ 3,491,265 ________________________________________ *Medium-term is defined as an original term of 15 years or less. |
Accrued Interest (Tables)
Accrued Interest (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Accrued Interest Receivable [Abstract] | |
Accrued Interest Receivable [Table Text Block] | The components of accrued interest receivable as of September 30, 2022 and December 31, 2021 were as follows (in thousands): September 30, 2022 December 31, 2021 Advances $ 72,011 $ 16,655 Investment securities Trading 3,534 962 Available-for-sale 49,600 59,393 Held-to-maturity 311 146 Mortgage loans held for portfolio 20,223 14,345 Interest-bearing deposits 2,219 56 Securities purchased under agreements to resell 1,237 15 Federal funds sold 794 9 Total $ 149,929 $ 91,581 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Allowance for Credit Losses [Abstract] | |
Financing Receivable, Past Due [Table Text Block] | The table below summarizes the amortized cost (excluding accrued interest receivable) by payment status for mortgage loans at September 30, 2022 and December 31, 2021 (dollars in thousands). September 30, 2022 Conventional Loans Originated Prior to 2018 Conventional Loans Originated in 2018-2022 Total Conventional Loans Government- Guaranteed/ Insured Loans (1) Total Mortgage loans: 30-59 days delinquent $ 3,253 $ 23,662 $ 26,915 $ 204 $ 27,119 60-89 days delinquent 419 6,385 6,804 21 6,825 90 days or more delinquent 4,038 11,695 15,733 59 15,792 Total past due 7,710 41,742 49,452 284 49,736 Total current loans 165,205 4,021,630 4,186,835 6,872 4,193,707 Total mortgage loans $ 172,915 $ 4,063,372 $ 4,236,287 $ 7,156 $ 4,243,443 December 31, 2021 Conventional Loans Originated Prior to 2017 Conventional Loans Originated in 2017-2021 Total Conventional Loans Government- Guaranteed/ Insured Loans (1) Total Mortgage loans: 30-59 days delinquent $ 605 $ 30,597 $ 31,202 $ 316 $ 31,518 60-89 days delinquent 417 3,622 4,039 64 4,103 90 days or more delinquent 1,005 34,907 35,912 124 36,036 Total past due 2,027 69,126 71,153 504 71,657 Total current loans 23,797 3,390,984 3,414,781 7,951 3,422,732 Total mortgage loans $ 25,824 $ 3,460,110 $ 3,485,934 $ 8,455 $ 3,494,389 _____________________________ (1) All of the Bank's government-guaranteed/insured loans were originated in years prior to 2004. The table below summarizes other delinquency statistics for mortgage loans at September 30, 2022 and December 31, 2021 (dollars in thousands). September 30, 2022 December 31, 2021 Total Conventional Loans Government- Total Total Conventional Loans Government- Total In process of foreclosure (1) $ 6,497 $ 23 $ 6,520 $ 1,226 $ 108 $ 1,334 Serious delinquency rate (2) 0.4 % 0.8 % 0.4 % 1.0 % 1.5 % 1.0 % Past due 90 days or more and still accruing interest (3) $ — $ 59 $ 59 $ — $ 124 $ 124 Nonaccrual loans (4) $ 23,765 $ — $ 23,765 $ 51,318 $ — $ 51,318 Troubled debt restructurings $ 4,806 $ — $ 4,806 $ 1,066 $ — $ 1,066 _____________________________ (1) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been made. (2) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the loan portfolio. (3) Only government-guaranteed/insured mortgage loans continue to accrue interest after they become 90 days or more past due.` (4) The Bank did not have any specific allowance for credit losses on nonaccrual loans at September 30, 2022. |
Financing Receivable, Allowance for Credit Loss [Table Text Block] | The following table presents the activity in the allowance for credit losses on conventional mortgage loans held for portfolio during the nine months ended September 30, 2022 and 2021 (in thousands): Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Balance, beginning of period $ 3,091 $ 3,487 $ 3,124 $ 3,925 Provision (reversal) for credit losses 130 (184) 97 (622) Balance, end of period $ 3,221 $ 3,303 $ 3,221 $ 3,303 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Consolidated Obligation Bonds By Interest Rate Payment Terms [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding by interest rate payment terms at September 30, 2022 and December 31, 2021 (in thousands, at par value). September 30, 2022 December 31, 2021 Fixed-rate $ 32,996,490 $ 30,004,790 Variable-rate SOFR-indexed 12,721,500 9,946,625 Step-up 8,696,750 4,822,000 Step-down 15,000 — Total par value $ 54,429,740 $ 44,773,415 |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following is a summary of the Bank’s consolidated obligation bonds outstanding at September 30, 2022 and December 31, 2021, by contractual maturity (dollars in thousands): September 30, 2022 December 31, 2021 Contractual Maturity Amount Weighted Average Amount Weighted Average Due in one year or less $ 19,126,075 2.92 % $ 19,906,725 0.28 % Due after one year through two years 9,037,460 1.71 2,071,195 1.64 Due after two years through three years 5,830,410 1.76 5,156,770 0.64 Due after three years through four years 9,244,525 1.00 2,325,975 0.77 Due after four years through five years 5,895,005 1.91 8,646,750 0.82 Due after five years 5,296,265 1.73 6,666,000 1.21 Total par value 54,429,740 2.04 % 44,773,415 0.65 % Premiums 18,324 16,405 Discounts (2,655) (419) Debt issuance costs (2,225) (1,902) Hedging adjustments (2,604,686) (273,279) Total $ 51,838,498 $ 44,514,220 |
Schedule of Consolidated Obligation Bonds by Call Feature [Table Text Block] | At September 30, 2022 and December 31, 2021, the Bank’s consolidated obligation bonds outstanding included the following (in thousands, at par value): September 30, 2022 December 31, 2021 Non-callable bonds $ 20,309,195 $ 22,068,620 Callable bonds 34,120,545 22,704,795 Total par value $ 54,429,740 $ 44,773,415 |
Schedule of Maturities of Consolidated Obligation Bonds by Contractual Maturity or Next Call Date [Table Text Block] | The following table summarizes the Bank’s consolidated obligation bonds outstanding at September 30, 2022 and December 31, 2021, by the earlier of contractual maturity or next possible call date (in thousands, at par value): Contractual Maturity or Next Call Date September 30, 2022 December 31, 2021 Due in one year or less $ 48,953,620 $ 41,026,520 Due after one year through two years 2,617,415 2,911,695 Due after two years through three years 537,910 524,975 Due after three years through four years 1,023,525 98,475 Due after four years through five years 817,005 186,750 Due after five years 480,265 25,000 Total par value $ 54,429,740 $ 44,773,415 |
Schedule of Short-term Debt [Table Text Block] | At September 30, 2022 and December 31, 2021, the Bank’s consolidated obligation discount notes, all of which are due within one year, were as follows (dollars in thousands): Book Value Par Value Weighted September 30, 2022 $ 29,590,696 $ 29,781,867 2.56 % December 31, 2021 $ 11,003,026 $ 11,004,433 0.04 % |
Affordable Housing Program ("_2
Affordable Housing Program ("AHP") (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Affordable Housing Program (“AHP”) [Abstract] | |
Schedule of Activity in Affordable Housing Program Obligation [Table Text Block] | The following table summarizes the changes in the Bank’s AHP liability during the nine months ended September 30, 2022 and 2021 (in thousands): Nine Months Ended September 30, 2022 2021 Balance, beginning of period $ 60,133 $ 63,153 AHP assessment 22,382 13,020 Grants funded, net of recaptured amounts (17,280) (18,831) Balance, end of period $ 65,235 $ 57,342 |
Assets and Liabilities Subjec_2
Assets and Liabilities Subject to Offsetting (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Assets and Liabilities Subject to Offsetting [Abstract] | |
Offsetting Assets and Liabilities [Table Text Block] | The following table presents derivative instruments and securities purchased under agreements to resell with the legal right of offset, including the related collateral received from or pledged to counterparties as of September 30, 2022 and December 31, 2021 (in thousands). For daily settled derivative contracts, the variation margin payments/receipts are included in the gross amounts of derivative assets and liabilities. Gross Amounts of Recognized Financial Instruments Gross Amounts Offset in the Statement of Condition Net Amounts Presented in the Statement of Condition Collateral Not Offset in the Statement of Condition (1) Net Unsecured Amount September 30, 2022 Assets Derivatives Bilateral derivatives $ 543,701 $ (515,402) $ 28,299 $ (30) (2) $ 28,269 Cleared derivatives 70,523 (32,468) 38,055 — 38,055 Total derivatives 614,224 (547,870) 66,354 (30) 66,324 Securities purchased under agreements to resell 14,600,000 — 14,600,000 (14,600,000) — Total assets $ 15,214,224 $ (547,870) $ 14,666,354 $ (14,600,030) $ 66,324 Liabilities Derivatives Bilateral derivatives $ 2,558,358 $ (2,541,349) $ 17,009 $ — $ 17,009 Cleared derivatives 33,606 (32,345) 1,261 (1,261) (3) — Total liabilities $ 2,591,964 $ (2,573,694) $ 18,270 $ (1,261) $ 17,009 December 31, 2021 Assets Derivatives Bilateral derivatives $ 22,346 $ (15,270) $ 7,076 $ (3,834) (2) $ 3,242 Cleared derivatives 2,853 (2,852) 1 — 1 Total derivatives 25,199 (18,122) 7,077 (3,834) 3,243 Securities purchased under agreements to resell 10,650,000 — 10,650,000 (10,650,000) — Total assets $ 10,675,199 $ (18,122) $ 10,657,077 $ (10,653,834) $ 3,243 Liabilities Derivatives Bilateral derivatives $ 474,106 $ (464,683) $ 9,423 $ — $ 9,423 Cleared derivatives 6,200 (1,667) 4,533 (4,533) (3) — Total liabilities $ 480,306 $ (466,350) $ 13,956 $ (4,533) $ 9,423 _____________________________ (1) Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount. (2) Consists of collateral pledged by member counterparties. (3) Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with aggregate fair values of $436,603,000 and $525,063,000 at September 30, 2022 and December 31, 2021, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table summarizes the notional balances and estimated fair values of the Bank’s outstanding derivatives (inclusive of variation margin on daily settled contracts) and the amounts offset against those values in the statement of condition at September 30, 2022 and December 31, 2021 (in thousands). September 30, 2022 December 31, 2021 Notional Amount of Estimated Fair Value Notional Amount of Estimated Fair Value Derivative Derivative Derivative Derivative Derivatives designated as hedging instruments Interest rate swaps Advances (1) $ 14,059,158 $ 157,663 $ 448 $ 9,806,989 $ 104 $ 212,533 Available-for-sale securities (1) 14,736,184 181,832 3,064 14,398,278 2,028 10,502 Consolidated obligation bonds (1) 38,357,140 743 2,556,915 24,112,140 9,495 253,444 Consolidated obligation discount notes (2) 1,066,000 4,307 — 1,066,000 6 132 Total derivatives designated as hedging instruments 68,218,482 344,545 2,560,427 49,383,407 11,633 476,611 Derivatives not designated as hedging instruments Interest rate swaps Advances — — — 265,000 — 2,044 Available-for-sale securities 3,039 9 — 3,081 — 1 Mortgage loans held for portfolio 513,000 4,001 187 265,000 22 28 Consolidated obligation bonds 186,445 — 1,724 — — — Consolidated obligation discount notes 4,602,000 139 177 900,000 — 20 Counterparty exposure 16,300,000 261,205 26,970 1,000,000 116 229 Intermediary transactions 78,558 171 705 91,672 3,834 1,320 Other 425,000 — 1,390 425,000 146 — Interest rate swaptions Available-for-sale securities 1,150,000 4,131 — — — — Mortgage loans held for portfolio — — — 600,000 9,448 — Mortgage delivery commitments 21,557 — 361 33,217 — 53 Interest rate caps Intermediary transactions 40,000 23 23 80,000 — — Total derivatives not designated as hedging instruments 23,319,599 269,679 31,537 3,662,970 13,566 3,695 Total derivatives before collateral and netting adjustments $ 91,538,081 614,224 2,591,964 $ 53,046,377 25,199 480,306 Cash collateral and related accrued interest 28,004 (1,997,942) (3,350) (452,763) Cash received or remitted in excess of variation margin requirements (124) (2) 2 1,187 Netting adjustments (575,750) (575,750) (14,774) (14,774) Total collateral and netting adjustments (3) (547,870) (2,573,694) (18,122) (466,350) Net derivative balances reported in statements of condition $ 66,354 $ 18,270 $ 7,077 $ 13,956 _____________________________ (1) Derivatives designated as fair value hedges. (2) Derivatives designated as cash flow hedges. (3) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. |
Net Gains (Losses) on Fair Value and Cash Flow Hedging Relationship [Table Text Block] | The following table presents the components of net gains (losses) on qualifying fair value and cash flow hedging relationships for the three and nine months ended September 30, 2022 and 2021 (in thousands). Gains and losses on derivatives in fair value hedging relationships include the change in fair value of the derivatives and the net interest income/expense associated with those derivatives. Interest Income (Expense) Advances Available-for-Sale Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes Other Comprehensive Income (Loss) Three Months Ended September 30, 2022 Total amount of the financial statement line item $ 266,919 $ 121,020 $ (235,395) $ (117,830) $ 70,849 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 403,921 $ 616,336 $ (955,784) $ — $ — Hedged items (395,024) (609,280) 898,093 — — Net gains (losses) on fair value hedging relationships $ 8,897 $ 7,056 $ (57,691) $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (292) $ 292 Recognized in OCI — — — — 47,679 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (292) $ 47,971 Three Months Ended September 30, 2021 Total amount of the financial statement line item $ 29,124 $ 32,843 $ (12,922) $ (6,412) $ (28,032) Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 32,580 $ 36,061 $ 11,275 $ — $ — Hedged items (57,831) (111,750) 49,618 — — Net gains (losses) on fair value hedging relationships $ (25,251) $ (75,689) $ 60,893 $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (5,658) $ 5,658 Recognized in OCI — — — — 4,004 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (5,658) $ 9,662 Interest Income (Expense) Advances Available-for-Sale Securities Consolidated Obligation Bonds Consolidated Obligation Discount Notes Other Comprehensive Income (Loss) Nine Months Ended September 30, 2022 Total amount of the financial statement line item $ 408,121 $ 243,484 $ (341,963) $ (169,600) $ 64,795 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 779,828 $ 1,471,491 $ (2,301,607) $ — $ — Hedged items (814,346) (1,551,203) 2,331,408 — — Net gains (losses) on fair value hedging relationships $ (34,518) $ (79,712) $ 29,801 $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (9,134) $ 9,134 Recognized in OCI — — — — 129,188 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (9,134) $ 138,322 Nine Months Ended September 30, 2021 Total amount of the financial statement line item $ 90,790 $ 107,895 $ (54,142) $ (22,793) $ 146,106 Gains (losses) on fair value hedging relationships included in the financial statement line item Interest rate contracts Derivatives $ 180,385 $ 350,817 $ (71,555) $ — $ — Hedged items (255,865) (557,837) 217,196 — — Net gains (losses) on fair value hedging relationships $ (75,480) $ (207,020) $ 145,641 $ — $ — Gains (losses) on cash flow hedging relationships included in the financial statement line item Interest rate contracts Reclassified from AOCI into interest expense $ — $ — $ — $ (16,677) $ 16,677 Recognized in OCI — — — — 33,914 Net gains (losses) on cash flow hedging relationships $ — $ — $ — $ (16,677) $ 50,591 |
Cumulative Basis Adjustments for Fair Value Hedges [Table Text Block] | The following table presents the cumulative basis adjustments on hedged items either designated or previously designated as fair value hedges and the related amortized cost of those items as of September 30, 2022 (in thousands). Line Item in Statement of Condition of Hedged Item Amortized Cost of Hedged Asset/(Liability) (1) Basis Adjustments for Active Hedging Relationships Included in Amortized Cost Basis Adjustments for Discontinued Hedging Relationships Included in Amortized Cost Total Fair Value Hedging Basis Adjustments (2) September 30, 2022 Advances $ 13,503,498 $ (582,732) $ 3,978 $ (578,754) Available-for-sale securities 13,835,643 (996,980) (1,877) (998,857) Consolidated obligation bonds (35,544,487) 2,605,140 (454) 2,604,686 December 31, 2021 Advances $ 10,065,117 $ 226,159 $ 4,918 $ 231,077 Available-for-sale securities 15,046,972 532,869 (1,441) 531,428 Consolidated obligation bonds (24,017,958) 273,936 (657) 273,279 _____________________________ (1) Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments. (2) Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items. |
Net Gains (Losses) on Derivatives and Hedging Activities Recorded in Non-interest Income [Table Text Block] | The following table presents the components of net gains (losses) on derivatives and hedging activities that are reported in other income (loss) for the three and nine months ended September 30, 2022 and 2021 (in thousands). Gain (Loss) Recognized in Gain (Loss) Recognized in Other Income (Loss) for the Other Income (Loss) for the Three Months Ended September 30, Nine Months Ended September 30, 2022 2021 2022 2021 Derivatives not designated as hedging instruments Interest rate swaps $ 7,474 $ (1,766) $ (8,839) $ (4,368) Net interest income (expense) on interest rate swaps (2,223) 2,061 574 3,573 Interest rate swaptions (11,830) 347 (11,861) 3,498 Mortgage delivery commitments (637) (204) (1,421) (2,083) Total net gains (losses) related to derivatives not designated as hedging instruments (7,216) 438 (21,547) 620 Price alignment amount on variation margin for daily settled derivative contracts (1) 233 — 292 — Net gains (losses) on derivatives and hedging activities reported in other income (loss) $ (6,983) $ 438 $ (21,255) $ 620 _____________________________ (1) Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item. |
Capital (Tables)
Capital (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Banking Regulation, Total Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | The following table summarizes the Bank’s compliance with those capital requirements as of September 30, 2022 and December 31, 2021 (dollars in thousands): September 30, 2022 December 31, 2021 Required Actual Required Actual Regulatory capital requirements: Risk-based capital $ 826,023 $ 4,766,749 $ 757,555 $ 3,757,578 Total capital $ 3,582,033 $ 4,766,749 $ 2,539,535 $ 3,757,578 Total capital-to-assets ratio 4.00 % 5.32 % 4.00 % 5.92 % Leverage capital $ 4,477,542 $ 7,150,124 $ 3,174,419 $ 5,636,367 Leverage capital-to-assets ratio 5.00 % 7.98 % 5.00 % 8.88 % |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Employee Retirement Plans [Abstract] | |
Schedule of Net Benefit Costs [Table Text Block] | The Bank sponsors a retirement benefits program that includes health care and limited life insurance benefits for eligible retirees. Components of net periodic benefit cost (credit) related to this program for the three and nine months ended September 30, 2022 and 2021 were as follows (in thousands): Three Months Ended Nine Months Ended September 30, September 30, 2022 2021 2022 2021 Service cost $ 10 $ 10 $ 28 $ 30 Interest cost 4 5 12 15 Amortization of prior service cost 5 5 15 15 Amortization of net actuarial gain (19) (16) (57) (50) Net periodic benefit cost (credit) $ — $ 4 $ (2) $ 10 |
Fair Value Measures and Disclos
Fair Value Measures and Disclosures (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping | The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at September 30, 2022 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 70,520 $ 70,520 $ 70,520 $ — $ — $ — Interest-bearing deposits 1,820,227 1,820,227 — 1,820,227 — — Securities purchased under agreements to resell 14,600,000 14,600,000 — 14,600,000 — — Federal funds sold 9,294,000 9,294,000 — 9,294,000 — — Trading securities (1) 685,677 685,677 — 685,677 — — Available-for-sale securities (1) 14,002,273 14,002,273 — 14,002,273 — — Held-to-maturity securities 327,122 330,195 — 297,893 (2) 32,302 (3) — Advances 44,238,384 44,128,282 — 44,128,282 — — Mortgage loans held for portfolio, net 4,240,222 3,700,331 — 3,700,331 — — Accrued interest receivable 149,929 149,929 — 149,929 — — Derivative assets (1) 66,354 66,354 — 614,224 — (547,870) Other assets held at fair value (1) 15,048 15,048 15,048 — — — Liabilities: Deposits 1,746,156 1,745,887 — 1,745,887 — — Consolidated obligations Discount notes 29,590,696 29,548,590 — 29,548,590 — — Bonds 51,838,498 51,043,457 — 51,043,457 — — Mandatorily redeemable capital stock 12,895 12,895 12,895 — — — Accrued interest payable 138,348 138,348 — 138,348 — — Derivative liabilities (1) 18,270 18,270 — 2,591,964 — (2,573,694) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of September 30, 2022. (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. (4) Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions (inclusive of variation margin for daily settled contracts) as well as any cash collateral held or placed with those same counterparties. The following table presents the carrying values and estimated fair values of the Bank’s financial instruments at December 31, 2021 (in thousands), as well as the level within the fair value hierarchy in which the measurements are classified. Financial assets and liabilities are classified in their entirety based on the lowest level input that is significant to the fair value estimate. FAIR VALUE SUMMARY TABLE Estimated Fair Value Financial Instruments Carrying Value Total Level 1 Level 2 Level 3 Netting Adjustment (4) Assets: Cash and due from banks $ 542,801 $ 542,801 $ 542,801 $ — $ — $ — Interest-bearing deposits 885,745 885,745 — 885,745 — — Securities purchased under agreements to resell 10,650,000 10,650,000 — 10,650,000 — — Federal funds sold 4,781,000 4,781,000 — 4,781,000 — — Trading securities (1) 2,454,870 2,454,870 — 2,454,870 — — Available-for-sale securities (1) 15,288,032 15,288,032 — 15,288,032 — — Held-to-maturity securities 593,555 606,352 — 566,487 (2) 39,865 (3) — Advances 24,637,464 24,670,292 — 24,670,292 — — Mortgage loans held for portfolio, net 3,491,265 3,505,042 — 3,505,042 — — Accrued interest receivable 91,581 91,581 — 91,581 — — Derivative assets (1) 7,077 7,077 — 25,199 — (18,122) Other assets held at fair value (1) 17,574 17,574 17,574 — — — Liabilities: Deposits 1,590,188 1,590,187 — 1,590,187 — — Consolidated obligations Discount notes 11,003,026 11,000,139 — 11,000,139 — — Bonds 44,514,220 44,487,511 — 44,487,511 — — Mandatorily redeemable capital stock 6,657 6,657 6,657 — — — Accrued interest payable 73,038 73,038 — 73,038 — — Derivative liabilities (1) 13,956 13,956 — 480,306 — (466,350) ___________________________ (1) Financial instruments measured at fair value on a recurring basis as of December 31, 2021. (2) Consists of the Bank's holdings of U.S. government-guaranteed debentures, state housing agency debentures and GSE RMBS. (3) Consists of the Bank's holdings of non-agency RMBS. |
Financial Services, Federal Hom
Financial Services, Federal Home Loan Banks (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Federal Home Loan Banks [Abstract] | |
Schedule of Loans to Other Federal Home Loan Banks | The following table summarizes the Bank’s loans to other FHLBanks during the nine months ended September 30, 2022 (in thousands). Nine Months Ended September 30, 2022 Balance at January 1, $ — Loans made to: FHLBank of San Francisco 1,000,000 FHLBank of Atlanta 750,000 FHLBank of Pittsburgh 500,000 Collections from: FHLBank of San Francisco (1,000,000) FHLBank of Atlanta (750,000) FHLBank of Pittsburgh (500,000) Balance at September 30, $ — |
Schedule of Loans from Other Federal Home Loan Banks [Table Text Block] | The following table summarizes the Bank’s borrowings from other FHLBanks during the nine months ended September 30, 2022 and 2021 (in thousands). Nine Months Ended September 30, 2022 2021 Balance at January 1, $ — $ — Borrowings from: FHLBank of Indianapolis 30,000 30,000 FHLBank of Boston 400,000 — FHLBank of Pittsburgh 1,000,000 — Repayments to: FHLBank of Indianapolis (30,000) (30,000) FHLBank of Boston (400,000) — FHLBank of Pittsburgh (1,000,000) — Balance at September 30, $ — $ — |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 9 Months Ended |
Sep. 30, 2022 | |
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table presents the changes in the components of AOCI for the three and nine months ended September 30, 2022 and 2021 (in thousands). Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) Net Unrealized Non-Credit Portion of Postretirement Total Three Months Ended September 30, 2022 Balance at July 1, 2022 $ 143,951 $ 35,512 $ (3,753) $ 1,006 $ 176,716 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 292 — — 292 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (14) (14) Other amounts of other comprehensive income (loss) Net unrealized gains on available-for-sale securities 22,679 — — — 22,679 Unrealized gains on cash flow hedges — 47,679 — — 47,679 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 213 — 213 Total other comprehensive income (loss) 22,679 47,971 213 (14) 70,849 Balance at September 30, 2022 $ 166,630 $ 83,483 $ (3,540) $ 992 $ 247,565 Three Months Ended September 30, 2021 Balance at July 1, 2021 $ 304,575 $ (78,673) $ (5,383) $ 879 $ 221,398 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 5,658 — — 5,658 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (11) (11) Other amounts of other comprehensive income (loss) Net unrealized losses on available-for-sale securities (38,154) — — — (38,154) Unrealized gains on cash flow hedges — 4,004 — — 4,004 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 471 — 471 Total other comprehensive income (loss) (38,154) 9,662 471 (11) (28,032) Balance at September 30, 2021 $ 266,421 $ (69,011) $ (4,912) $ 868 $ 193,366 _____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. Net Unrealized Gains (Losses) on Available-for-Sale Securities (1) Net Unrealized Gains (Losses) Non-Credit Portion of Postretirement Total Nine Months Ended September 30, 2022 Balance at January 1, 2022 $ 241,060 $ (54,839) $ (4,485) $ 1,034 $ 182,770 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 9,134 — — 9,134 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (42) (42) Other amounts of other comprehensive income (loss) Net unrealized losses on available-for-sale securities (74,430) — — — (74,430) Unrealized gains on cash flow hedges — 129,188 — — 129,188 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 945 — 945 Total other comprehensive income (loss) (74,430) 138,322 945 (42) 64,795 Balance at September 30, 2022 $ 166,630 $ 83,483 $ (3,540) $ 992 $ 247,565 Nine Months Ended September 30, 2021 Balance at January 1, 2021 $ 172,361 $ (119,602) $ (6,402) $ 903 $ 47,260 Reclassifications from AOCI to net income Losses on cash flow hedges included in interest expense — 16,677 — — 16,677 Amortization of prior service costs and net actuarial gains recognized in other income (loss) — — — (35) (35) Other amounts of other comprehensive income (loss) Net unrealized gains on available-for-sale securities 94,060 — — — 94,060 Unrealized gains on cash flow hedges — 33,914 — — 33,914 Accretion of non-credit portion of other-than-temporary impairment losses to the carrying value of held-to-maturity securities — — 1,490 — 1,490 Total other comprehensive income (loss) 94,060 50,591 1,490 (35) 146,106 Balance at September 30, 2021 $ 266,421 $ (69,011) $ (4,912) $ 868 $ 193,366 _____________________________ (1) Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |
Trading Securities Details (Det
Trading Securities Details (Details) - USD ($) $ in Thousands | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading securities | $ 685,677 | $ 2,454,870 | |
US Treasury Notes [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading securities | 685,677 | 205,283 | |
US Treasury Bill Securities [Member] | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading securities | 0 | 2,249,587 | |
Trading Liabilities | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading securities | $ 2,249,587 | ||
Securities held at end of period | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Debt Securities, Trading, Unrealized Gain (Loss) | $ (21,089) | $ (3,608) |
Available-for-Sale Securities_2
Available-for-Sale Securities (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | $ 13,835,643 | $ 15,046,972 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 183,981 | 249,039 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 17,351 | 7,979 | |
Available-for-sale securities | [1] | 14,002,273 | 15,288,032 |
Debt Securities, Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 1,201,067 | 770,499 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 11,977 | 3,490 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 132,107 | 141,837 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 5,374 | 4,489 | |
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,333,174 | 912,336 | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 17,351 | 7,979 | |
US Government Agencies Debt Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 275,394 | 414,267 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 3,134 | 4,229 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | 460 | |
Available-for-sale securities | 278,528 | 418,036 | |
Debt Securities, Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 114,748 | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 460 | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 0 | ||
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | ||
Debt Securities, Available-for-sale, Unrealized Loss Position | 114,748 | ||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 460 | ||
US Government-sponsored Enterprises Debt Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 3,128,481 | 4,471,107 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 51,486 | 78,983 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 2,801 | 4,412 | |
Available-for-sale securities | 3,177,166 | 4,545,678 | |
Debt Securities, Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 0 | 587,176 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 0 | 22 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 72,765 | 128,431 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 2,801 | 4,390 | |
Debt Securities, Available-for-sale, Unrealized Loss Position | 72,765 | 715,607 | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 2,801 | 4,412 | |
Other Debt Obligations [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 38,544 | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 44 | ||
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 0 | ||
Available-for-sale securities | 38,588 | ||
Non-mortgage-backed securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 3,403,875 | 4,923,918 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 54,620 | 83,256 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 2,801 | 4,872 | |
Available-for-sale securities | 3,455,694 | 5,002,302 | |
Available-for-sale Securities, Debt Maturities [Abstract] | |||
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost | 46,989 | 1,209,330 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 3,141,139 | 3,225,065 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Amortized Cost | 215,747 | 489,523 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value | 47,112 | 1,209,339 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 3,186,669 | 3,286,653 | |
Debt Securities, Available-for-sale, Maturity, Allocated and Single Maturity Date, Rolling after Five Through Ten Years, Fair Value | 221,913 | 506,310 | |
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-sale, Amortized Cost | 10,431,768 | 10,123,054 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Gain, before Tax | 129,361 | 165,783 | |
Debt Securities, Available-for-sale, Accumulated Gross Unrealized Loss, before Tax | 14,550 | 3,107 | |
Available-for-sale securities | 10,546,579 | 10,285,730 | |
Debt Securities, Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 1,201,067 | 68,575 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | 11,977 | 3,008 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer | 59,342 | 13,406 | |
Debt Securities, Available-for-sale, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 2,573 | 99 | |
Debt Securities, Available-for-sale, Unrealized Loss Position | 1,260,409 | 81,981 | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 14,550 | 3,107 | |
Other Liabilities | |||
Debt Securities, Available-for-sale [Line Items] | |||
Available-for-sale securities | 1,088,382 | ||
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |||
Debt Securities, Available-for-sale [Line Items] | |||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | $ 49,600 | $ 59,393 | |
[1]Amortized cost: $13,835,643 and $15,046,972 at September 30, 2022 and December 31, 2021, respectively. |
Held-to-Maturity Securities (De
Held-to-Maturity Securities (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | ||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 330,662 | $ 330,662 | $ 598,040 | |||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 3,540 | 3,540 | 4,485 | |||
Held-to-maturity securities | [1] | 327,122 | 327,122 | 593,555 | ||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 7,119 | 7,119 | 13,338 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 4,046 | 4,046 | 541 | |||
Debt Securities, Held-to-maturity, Fair Value | 330,195 | 330,195 | 606,352 | |||
Debt Securities, Held-to-Maturity, Accrued Interest, after Allowance for Credit Loss | 311 | 311 | 146 | |||
Proceeds from sales of held-to-maturity securities | 100,365 | 100,365 | $ 0 | |||
Debt Securities, Held-to-Maturity, Amortized Cost, after Allowance for Credit Loss, Sold, Amount | 100,238 | |||||
Realized gains on sales of held-to-maturity securities | 127 | $ 0 | 127 | $ 0 | ||
US Government Agencies Debt Securities [Member] | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,496 | 1,496 | 2,372 | |||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | 0 | |||
Held-to-maturity securities | 1,496 | 1,496 | 2,372 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 4 | 4 | 2 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 0 | 0 | 0 | |||
Debt Securities, Held-to-maturity, Fair Value | 1,500 | 1,500 | 2,374 | |||
Non-mortgage-backed securities [Member] | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,496 | 1,496 | 77,291 | |||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | |||||
Held-to-maturity securities | 1,496 | 1,496 | 77,291 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 91 | |||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 0 | |||||
Debt Securities, Held-to-maturity, Fair Value | 1,500 | 1,500 | 77,382 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Amortized Cost | 0 | 0 | 500 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, within One Year, Carrying Value | 0 | 0 | 500 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling within One Year, Fair Value | 0 | 0 | 500 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Amortized Cost | 1,496 | 1,496 | 1,872 | |||
Held-to-maturity Securities, Debt Maturities, After One Through Five Years, Net Carrying Amount | 1,496 | 1,496 | 1,872 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after One Through Five Years, Fair Value | 1,500 | 1,500 | 1,874 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Amortized Cost | 0 | 0 | 74,919 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, after 10 Years, Net Carrying Amount | 0 | 0 | 74,919 | |||
Debt Securities, Held-to-maturity, Maturity, Allocated and Single Maturity Date, Rolling after 10 Years, Fair Value | 0 | 0 | 75,008 | |||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 30,051 | 30,051 | 36,639 | |||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 3,540 | 3,540 | 4,485 | |||
Held-to-maturity securities | 26,511 | 26,511 | 32,154 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 6,792 | 6,792 | 8,249 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 1,001 | 1,001 | 538 | |||
Debt Securities, Held-to-maturity, Fair Value | 32,302 | 32,302 | 39,865 | |||
Mortgage Backed Securities [Member] | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 329,166 | 329,166 | 520,749 | |||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 3,540 | 3,540 | 4,485 | |||
Held-to-maturity securities | 325,626 | 325,626 | 516,264 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 7,115 | 7,115 | 13,247 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 4,046 | 4,046 | 541 | |||
Debt Securities, Held-to-maturity, Fair Value | 328,695 | 328,695 | 528,970 | |||
Held-to-maturity Securities, Premium (Discounts), Net | (62) | (62) | (1,003) | |||
US States and Political Subdivisions Debt Securities [Member] | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 74,919 | |||||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | |||||
Held-to-maturity securities | 74,919 | |||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 89 | |||||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 0 | |||||
Debt Securities, Held-to-maturity, Fair Value | 75,008 | |||||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 299,115 | 299,115 | 484,110 | |||
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Held-to-maturity, Debt Securities | 0 | 0 | 0 | |||
Held-to-maturity securities | 299,115 | 299,115 | 484,110 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Gain | 323 | 323 | 4,998 | |||
Debt Securities, Held-to-maturity, Accumulated Unrecognized Loss | 3,045 | 3,045 | 3 | |||
Debt Securities, Held-to-maturity, Fair Value | $ 296,393 | $ 296,393 | $ 489,105 | |||
[1]Fair values: $330,195 and $606,352 at September 30, 2022 and December 31, 2021, respectively. |
Held-to-Maturity Securities (In
Held-to-Maturity Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 330,662 | $ 598,040 |
Non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,496 | 77,291 |
Mortgage Backed Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 329,166 | 520,749 |
Fixed Interest Rate [Member] | Mortgage Passthrough Securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 0 | 2 |
Variable Interest Rate [Member] | Non-mortgage-backed securities [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 1,496 | 77,291 |
Variable Interest Rate [Member] | Collateralized Mortgage Obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 329,166 | $ 520,747 |
Advances Redemption Terms (Deta
Advances Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Advances by Redemption Terms [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 8,981 | $ 0 |
Weighted Average Interest Rate on Overdrawn Demand Deposit | 3.45% | 0% |
Federal Home Loan Bank, Advances, Maturities Summary, in Next Rolling Twelve Months | $ 24,006,412 | $ 7,642,760 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 3.16% | 0.39% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Two | $ 1,403,751 | $ 1,028,212 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 2.52% | 1.84% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Three | $ 1,537,259 | $ 1,335,606 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 2.24% | 1.63% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Four | $ 1,468,243 | $ 1,649,603 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | 2.70% | 0.80% |
Federal Home Loan Bank, Advances, Maturities Summary, in Rolling Year Five | $ 6,301,532 | $ 968,470 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 2.80% | 0.67% |
Federal Home Loan Bank, Advances, Maturities Summary in Rolling Year Six Through Rolling Year Fifteen | $ 10,063,215 | $ 11,752,610 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Six Through Rolling Year Fifteen | 2.36% | 0.90% |
Federal Home Loan Bank, Advances, Maturities Summary, after Rolling Year Fifteen | $ 32,416 | $ 35,061 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Fifteen | 2.34% | 2.35% |
Federal Home Loan Bank Advances Par Value | $ 44,821,809 | $ 24,412,322 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate | 2.86% | 0.81% |
Deferred Prepayment Fees | $ (4,635) | $ (5,897) |
Federal Home Loan Bank, Advances, Commitment Fees | (35) | (38) |
Federal Home Loan Bank Advances, Valuation Adjustments For Hedging Activities | (578,755) | 231,077 |
Federal Home Loan Bank Advances | $ 44,238,384 | $ 24,637,464 |
Advances Outstanding by the Ear
Advances Outstanding by the Earlier of Contractual Maturity or Next Call Date (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Advances Classified by Contractual Maturity Date or Next Call Date [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 8,981 | $ 0 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months | 29,973,239 | 12,779,409 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two | 1,192,735 | 1,001,667 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three | 989,374 | 1,093,031 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four | 463,408 | 1,004,319 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five | 5,996,300 | 345,975 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five | 6,197,772 | 8,187,921 |
Federal Home Loan Bank Advances Par Value | $ 44,821,809 | $ 24,412,322 |
Advances Outstanding by the E_2
Advances Outstanding by the Earlier of Contractual Maturity or Next Put Date (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Advances by Earlier of Contractual Maturity or Next Put Date [Line Items] | ||
Deposit Liabilities Reclassified as Loans Receivable | $ 8,981 | $ 0 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, due in Next Rolling Twelve Months | 28,070,212 | 14,878,560 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two | 1,557,551 | 1,112,012 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three | 2,067,259 | 1,291,606 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four | 1,468,243 | 1,594,603 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five | 6,666,532 | 968,470 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five | 4,983,031 | 4,567,071 |
Federal Home Loan Bank Advances Par Value | $ 44,821,809 | $ 24,412,322 |
Advances Interest Rate Payment
Advances Interest Rate Payment Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Advances by Interest Rate Payment Terms [Line Items] | ||
Federal Home Loan Bank, Advances, Fixed Rate, under One Year | $ 20,893,412 | $ 7,582,790 |
Federal Home Loan Bank, Advances, Fixed Rate, after One Year | 14,870,088 | 11,037,441 |
Federal Home Loan Bank, Advances, Fixed Rate | 35,763,500 | 18,620,231 |
Federal Home Loan Bank, Advances, Floating Rate, under One Year | 3,121,981 | 59,970 |
Federal Home Loan Bank, Advances, Floating Rate, after One Year | 5,936,328 | 5,732,121 |
Federal Home Loan Bank, Advances, Floating Rate | 9,058,309 | 5,792,091 |
Federal Home Loan Bank Advances Par Value | $ 44,821,809 | $ 24,412,322 |
Advances Narrative (Details)
Advances Narrative (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | Dec. 31, 2021 | |
Advances [Line Items] | |||||
Percent Of Fixed Rate Advances Swapped To Adjustable Rate | 39% | 39% | 54% | ||
Gross Prepayment Fees on Advances Received | $ 6 | $ 2,180 | $ 5,736 | $ 7,303 | |
Prepaid Advances with Symmetrical prepayment Feature | 27,153 | 42,153 | |||
Deferred Prepayment Fees on Advances During Period | $ 653 | ||||
Federal Home Loan Bank Advances Par Value | 44,821,809 | 44,821,809 | $ 24,412,322 | ||
Fees paid on prepaid Advances with Symmetrical Prepayment Feature | $ 823 | $ 1,350 | |||
Minimum [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances, Interest Rate | 0.25% | 0.25% | 0.11% | ||
Maximum [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances, Interest Rate | 8.27% | 8.27% | 8.27% | ||
Federal Home Loan Bank Advances Callable Option [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances Par Value | $ 6,057,422 | $ 6,057,422 | $ 5,279,719 | ||
Federal Home Loan Bank Advances Putable Option [Member] | |||||
Advances [Line Items] | |||||
Federal Home Loan Bank Advances Par Value | 5,588,800 | 5,588,800 | 7,345,800 | ||
Federal Home Loan Bank Advances Receivable [Member] | |||||
Advances [Line Items] | |||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 72,011 | $ 72,011 | $ 16,655 |
Mortgage Loans Held for Portf_3
Mortgage Loans Held for Portfolio (Details) $ in Thousands | 9 Months Ended | ||||||
Sep. 30, 2022 USD ($) | Jun. 30, 2022 USD ($) | Dec. 31, 2021 USD ($) | Sep. 30, 2021 USD ($) | Jun. 30, 2021 USD ($) | Dec. 31, 2020 USD ($) | ||
Mortgage Loans on Real Estate [Line Items] | |||||||
Mortgage Loans On Real Estate, Original Contractual Terms | 15 | ||||||
Loans and Leases Receivable, Unamortized Premiums | $ 65,263 | $ 66,643 | |||||
Loans and Leases Receivable, Unamortized Discounts | (13,629) | (1,324) | |||||
Loans And Leases Receivable, Net Deferred Loan Costs | 4,276 | 6,182 | |||||
Mortgage Loans, Gross | 4,243,443 | 3,494,389 | |||||
Loans and Leases Receivable, Net Amount | 4,240,222 | 3,491,265 | |||||
Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Loans and Leases Receivable, Unpaid Principal Balance | [1] | 117,992 | 124,532 | ||||
Loans Receivable With Fixed Rates Of Interest Long Term [Member] | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Loans and Leases Receivable, Unpaid Principal Balance | 4,069,541 | 3,298,356 | |||||
Government Loan [Member] | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Loans and Leases Receivable, Unpaid Principal Balance | 7,133 | 8,425 | |||||
Conventional Mortgage Loan [Member] | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Loans and Leases Receivable, Unpaid Principal Balance | 4,180,400 | 3,414,463 | |||||
Conventional Mortgage Loan [Member] | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Loans and Leases Receivable, Allowance | (3,221) | $ (3,091) | (3,124) | $ (3,303) | $ (3,487) | $ (3,925) | |
Real Estate Loan [Member] | |||||||
Mortgage Loans on Real Estate [Line Items] | |||||||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 20,223 | $ 14,345 | |||||
[1]*Medium-term is defined as an original term of 15 years or less. |
Accrued Interest (Details)
Accrued Interest (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Accrued interest receivable | $ 149,929 | $ 91,581 |
Advances [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 72,011 | 16,655 |
Trading [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 3,534 | 962 |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 49,600 | 59,393 |
Held-to-Maturity Securities [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 311 | 146 |
Real Estate Loan [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 20,223 | 14,345 |
Interest-bearing Deposits [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 2,219 | 56 |
Securities Purchased under Agreements to Resell [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | 1,237 | 15 |
Federal Funds Sold [Member] | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Financing Receivable, Accrued Interest, after Allowance for Credit Loss | $ 794 | $ 9 |
Allowance for Credit Losses (De
Allowance for Credit Losses (Details) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 USD ($) securities | Sep. 30, 2021 USD ($) | Sep. 30, 2022 USD ($) securities | Sep. 30, 2021 USD ($) | Dec. 31, 2021 USD ($) | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
OTTI Credit Losses in the Amortized Cost of Held to Maturity Securities | $ 5,891 | $ 5,891 | $ 5,991 | ||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 4,672 | 4,672 | |||
Real Estate Acquired Through Foreclosure | 30 | 30 | |||
Receivables [Abstract] | |||||
Total mortgage loans | 4,243,443 | 4,243,443 | 3,494,389 | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 6,520 | $ 6,520 | $ 1,334 | ||
Serious delinquency rate | 0.40% | 0.40% | 1% | ||
Past due 90 days or more and still accruing interest | $ 59 | $ 59 | $ 124 | ||
Non-accrual loans | 23,765 | 23,765 | 51,318 | ||
Troubled debt restructurings | 4,806 | 4,806 | 1,066 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Provision (reversal) for mortgage loan losses | 130 | $ (184) | 97 | $ (622) | |
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 17,351 | 17,351 | 7,979 | ||
TDRs under CARES Act Relief | 17,949 | 17,949 | |||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 330,662 | 330,662 | 598,040 | ||
US States and Political Subdivisions Debt Securities [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 74,919 | ||||
Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 1,627 | 1,627 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 30,051 | 30,051 | 36,639 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Debt Securities, Held-to-maturity, Unrealized Loss Position, Accumulated Loss | 3,045 | 3,045 | |||
US Government-sponsored Enterprises Debt Securities [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 2,801 | 2,801 | 4,412 | ||
Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 172,915 | 172,915 | 25,824 | ||
Financing Receivable, Originated, Current Fiscal Year and Four Preceding Fiscal Years | 4,063,372 | 4,063,372 | 3,460,110 | ||
Receivables [Abstract] | |||||
Total mortgage loans | 4,236,287 | 4,236,287 | 3,485,934 | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 6,497 | $ 6,497 | $ 1,226 | ||
Serious delinquency rate | 0.40% | 0.40% | 1% | ||
Past due 90 days or more and still accruing interest | $ 0 | $ 0 | $ 0 | ||
Non-accrual loans | 23,765 | 23,765 | 51,318 | ||
Troubled debt restructurings | 4,806 | 4,806 | 1,066 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Balance, beginning of period | 3,091 | 3,487 | 3,124 | 3,925 | |
Provision (reversal) for mortgage loan losses | 130 | (184) | 97 | (622) | |
Balance, end of period | 3,221 | $ 3,303 | 3,221 | $ 3,303 | |
fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 5,765 | 5,765 | 11,759 | ||
Financial Asset, 30 to 59 Days Past Due [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 27,119 | 27,119 | 31,518 | ||
Financial Asset, 30 to 59 Days Past Due [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 3,253 | 3,253 | 605 | ||
Financing Receivable, Originated, Current Fiscal Year and Four Preceding Fiscal Years | 23,662 | 23,662 | 30,597 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 26,915 | 26,915 | 31,202 | ||
Financial Asset, 30 to 59 Days Past Due [Member] | fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 1,367 | 1,367 | 632 | ||
Financial Asset, 60 to 89 Days Past Due [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 6,825 | 6,825 | 4,103 | ||
Financial Asset, 60 to 89 Days Past Due [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 419 | 419 | 417 | ||
Financing Receivable, Originated, Current Fiscal Year and Four Preceding Fiscal Years | 6,385 | 6,385 | 3,622 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 6,804 | 6,804 | 4,039 | ||
Financial Asset, 60 to 89 Days Past Due [Member] | fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 1,333 | 1,333 | 1,761 | ||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 15,792 | 15,792 | 36,036 | ||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 4,038 | 4,038 | 1,005 | ||
Financing Receivable, Originated, Current Fiscal Year and Four Preceding Fiscal Years | 11,695 | 11,695 | 34,907 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 15,733 | 15,733 | 35,912 | ||
Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | fhlbd_LoansInAForbearancePlanDueToCOVID19 [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Unpaid Principal Balance | 3,065 | 3,065 | 9,366 | ||
US Government Agency Insured Loans [Member] | |||||
Receivables [Abstract] | |||||
Total mortgage loans | 7,156 | 7,156 | 8,455 | ||
Mortgage Loans in Process of Foreclosure, Amount | $ 23 | $ 23 | $ 108 | ||
Serious delinquency rate | 0.80% | 0.80% | 1.50% | ||
Past due 90 days or more and still accruing interest | $ 59 | $ 59 | $ 124 | ||
Non-accrual loans | 0 | 0 | 0 | ||
Troubled debt restructurings | 0 | 0 | 0 | ||
US Government Agency Insured Loans [Member] | Financial Asset, 30 to 59 Days Past Due [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 204 | 204 | 316 | ||
US Government Agency Insured Loans [Member] | Financial Asset, 60 to 89 Days Past Due [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 21 | 21 | 64 | ||
US Government Agency Insured Loans [Member] | Financial Asset, Equal to or Greater than 90 Days Past Due [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 59 | 59 | 124 | ||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | 299,115 | 299,115 | 484,110 | ||
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Available-for-sale, Unrealized Loss Position, Accumulated Loss | 14,550 | 14,550 | 3,107 | ||
Nonperforming Financial Instruments [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 49,736 | 49,736 | 71,657 | ||
Interest payments applied to principal on Non-Accrual Loans | 4,415 | 4,415 | 3,912 | ||
Nonperforming Financial Instruments [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 7,710 | 7,710 | 2,027 | ||
Financing Receivable, Originated, Current Fiscal Year and Four Preceding Fiscal Years | 41,742 | 41,742 | 69,126 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 49,452 | 49,452 | 71,153 | ||
Nonperforming Financial Instruments [Member] | US Government Agency Insured Loans [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 284 | 284 | 504 | ||
Performing Financial Instruments [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 4,193,707 | 4,193,707 | 3,422,732 | ||
Performing Financial Instruments [Member] | Conventional Mortgage Loan [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Financing Receivable, Originated Five or More Years before Latest Fiscal Year | 165,205 | 165,205 | 23,797 | ||
Financing Receivable, Originated, Current Fiscal Year and Four Preceding Fiscal Years | 4,021,630 | 4,021,630 | 3,390,984 | ||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | 4,186,835 | 4,186,835 | 3,414,781 | ||
Performing Financial Instruments [Member] | US Government Agency Insured Loans [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Loans and Leases Receivable, Net of Deferred Income | $ 6,872 | $ 6,872 | $ 7,951 | ||
External Credit Rating, Non Investment Grade [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities | 16 | 16 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 23,561 | $ 23,561 | |||
External Credit Rating, Investment Grade [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities | 5 | 5 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 6,453 | $ 6,453 | |||
External credit rating, Unrated [Member] | Mortgage-backed Securities, Issued by Private Enterprises [Member] | |||||
Financing Receivable, Allowance for Credit Loss [Line Items] | |||||
Held-to-maturity, Qualitative Disclosure, Non Agency RMBS Number of Positions | securities | 1 | 1 | |||
Financing Receivable, Allowance for Credit Loss [Roll Forward] | |||||
Debt Securities, Held-to-maturity, Amortized Cost, before Other-than-temporary Impairment | $ 37 | $ 37 |
Consolidated Obligations (Detai
Consolidated Obligations (Details) - USD ($) $ in Billions | Sep. 30, 2022 | Dec. 31, 2021 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Percent of Fixed Rate Long Term Debt Swapped to An Adjustable Rate | 92% | 69% |
FHLBanks [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 1,032 | $ 653 |
FHL Bank of Dallas [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Debt, Gross | $ 84.2 | $ 55.8 |
Consolidated Obligations Intere
Consolidated Obligations Interest Rate Payment Terms (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Debt, Gross | $ 54,429,740 | $ 44,773,415 |
Fixed Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 32,996,490 | 30,004,790 |
Variable Rate SOFR | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 12,721,500 | 9,946,625 |
Step Down [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | 15,000 | 0 |
Step Up [Member] | ||
Debt Instrument [Line Items] | ||
Debt, Gross | $ 8,696,750 | $ 4,822,000 |
Consolidated Obligations Redemp
Consolidated Obligations Redemption Terms (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Debt Instrument, Redemption [Line Items] | ||
Bonds | $ 51,838,498 | $ 44,514,220 |
Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Debt, Gross | 54,429,740 | 44,773,415 |
Debt Instrument, Unamortized Premium | 18,324 | 16,405 |
Debt Instrument, Unamortized Discount | (2,655) | (419) |
Unamortized Debt Issuance Expense | (2,225) | (1,902) |
Debt Valuation Adjustment for Hedging Activities | (2,604,686) | (273,279) |
Bonds | 51,838,498 | 44,514,220 |
Contractual Maturity [Member] | Unsecured Debt [Member] | ||
Debt Instrument, Redemption [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | $ 19,126,075 | $ 19,906,725 |
Debt, Maturities, Repayments of Principal in Next Twelve Months, Weighted Average Interest Rate | 2.92% | 0.28% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | $ 9,037,460 | $ 2,071,195 |
Long-term Debt, Maturities, Repayments of Principal in Year Two, Weighted Average Interest Rate | 1.71% | 1.64% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | $ 5,830,410 | $ 5,156,770 |
Long-term Debt, Maturities, Repayments of Principal in Year Three, Weighted Average Interest Rate | 1.76% | 0.64% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | $ 9,244,525 | $ 2,325,975 |
Long-term Debt, Maturities, Repayments of Principal in Year Four, Weighted Average Interest Rate | 1% | 0.77% |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | $ 5,895,005 | $ 8,646,750 |
Long-term Debt, Maturities, Repayments of Principal in Year Five, Weighted Average Interest Rate | 1.91% | 0.82% |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | $ 5,296,265 | $ 6,666,000 |
Long-term Debt, Maturities, Repayments of Principal After Year Five, Weighted Average Interest Rate | 1.73% | 1.21% |
Long-term Debt, Weighted Average Interest Rate, at Point in Time | 2.04% | 0.65% |
Consolidated Obligations Callab
Consolidated Obligations Callable/Non-callable (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 54,429,740 | $ 44,773,415 |
Non Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | 20,309,195 | 22,068,620 |
Callable [Member] | ||
Long-term Debt Callable or Non-Callable [Line Items] | ||
Debt, Gross | $ 34,120,545 | $ 22,704,795 |
Consolidated Obligations Contra
Consolidated Obligations Contractual Maturity or Next Call Date (Details) - Unsecured Debt [Member] - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Debt, Gross | $ 54,429,740 | $ 44,773,415 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Consolidated Obligations by Contractual Maturity or Next Call Date [Line Items] | ||
Long-term Debt, Maturities, Repayments of Principal in Next Rolling Twelve Months | 48,953,620 | 41,026,520 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Two | 2,617,415 | 2,911,695 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Three | 537,910 | 524,975 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Four | 1,023,525 | 98,475 |
Long-term Debt, Maturities, Repayments of Principal in Rolling Year Five | 817,005 | 186,750 |
Long-term Debt, Maturities, Repayments of Principal in Rolling after Year Five | 480,265 | 25,000 |
Debt, Gross | $ 54,429,740 | $ 44,773,415 |
Consolidated Obligations Discou
Consolidated Obligations Discount Notes (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Short-term Debt [Line Items] | ||
Federal Home Loan Bank, Consolidated Obligations, Discount Notes | $ 29,590,696 | $ 11,003,026 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Debt Instrument, Face Amount | $ 29,781,867 | $ 11,004,433 |
Short-term Debt, Weighted Average Interest Rate, at Point in Time | 2.56% | 0.04% |
Affordable Housing Program ("_3
Affordable Housing Program ("AHP") (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Affordable Housing Program [Roll Forward] | ||||
Balance, beginning of period | $ 60,133 | $ 63,153 | ||
AHP assessment | $ 10,525 | $ 4,586 | 22,382 | 13,020 |
Grants funded, net of recaptured amounts | (17,280) | (18,831) | ||
Balance, end of period | $ 65,235 | $ 57,342 | $ 65,235 | $ 57,342 |
Assets and Liabilities Subjec_3
Assets and Liabilities Subject to Offsetting (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | $ 614,224 | $ 25,199 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (547,870) | (18,122) |
Derivative Assets | 66,354 | 7,077 | |
Derivative, Collateral, Obligation to Return Securities | [2] | (30) | (3,834) |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 66,324 | 3,243 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (2,573,694) | (466,350) |
Derivative Liabilities | 18,270 | 13,956 | |
Securities Purchased under Agreements to Resell, Gross | 14,600,000 | 10,650,000 | |
Securities Purchased under Agreements to Resell, Amount Offset Against Collateral | 0 | 0 | |
Securities Purchased under Agreements to Resell | 14,600,000 | 10,650,000 | |
Securities Purchased under Agreements to Resell, Collateral, Obligation to Return Securities | [2] | (14,600,000) | (10,650,000) |
Securities Purchased under Agreements to Resell, Amount Not Offset Against Collateral | 0 | 0 | |
Offsetting Assets, Gross | 15,214,224 | 10,675,199 | |
Assets, Amounts Offset Against Collateral | (547,870) | (18,122) | |
Offsetting Assets, Total | 14,666,354 | 10,657,077 | |
Offsetting Assets, Collateral Not Offset in the Statement of Condition | [2] | (14,600,030) | (10,653,834) |
Offsetting Assets, Amount Not Offset Against Collateral | 66,324 | 3,243 | |
Offsetting Liabilities, Gross | 2,591,964 | 480,306 | |
Liabilities, Amounts Offset Against Collateral | (2,573,694) | (466,350) | |
Offsetting Liabilities, Total | 18,270 | 13,956 | |
Offsetting Liabilities, Collateral Not Offset In the Statement of Condition | [2] | (1,261) | (4,533) |
Offsetting Liabilities, Amount Not Offset Against Collateral | 17,009 | 9,423 | |
Over the Counter [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 543,701 | 22,346 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (515,402) | (15,270) | |
Derivative Assets | 28,299 | 7,076 | |
Derivative, Collateral, Obligation to Return Securities | [2],[3] | (30) | (3,834) |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 28,269 | 3,242 | |
Derivative Liability, Fair Value, Gross Liability | 2,558,358 | 474,106 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (2,541,349) | (464,683) | |
Derivative Liabilities | 17,009 | 9,423 | |
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2] | 0 | 0 |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 17,009 | 9,423 | |
Exchange Cleared [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Derivative Asset, Fair Value, Gross Asset | 70,523 | 2,853 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | (32,468) | (2,852) | |
Derivative Assets | 38,055 | 1 | |
Derivative, Collateral, Obligation to Return Securities | [2] | 0 | 0 |
Derivative Asset, Fair Value, Amount Not Offset Against Collateral | 38,055 | 1 | |
Derivative Liability, Fair Value, Gross Liability | 33,606 | 6,200 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | (32,345) | (1,667) | |
Derivative Liabilities | 1,261 | 4,533 | |
Derivative Liabilities, Non-Cash, Collateral Pledged to Counterparties | [2],[4] | (1,261) | (4,533) |
Derivative Liability, Fair Value, Amount Not Offset Against Collateral | 0 | 0 | |
Derivative Liabilities, Additional Net Exposure, Collateral Pledged to Counterparties in Excess of Net Liabilities | 436,603 | $ 525,063 | |
Minimum [Member] | Non-member Counterparty [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Collateral Thresholds | 50 | ||
Maximum [Member] | Non-member Counterparty [Member] | |||
Offsetting Assets and Liabilities [Line Items] | |||
Collateral Thresholds | $ 500 | ||
[1]Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.[2]Any overcollateralization or any excess variation margin associated with daily settled contracts at an individual clearinghouse/clearing member or bilateral counterparty level is not included in the determination of the net unsecured amount.[3]Consists of collateral pledged by member counterparties.[4]Consists of securities pledged by the Bank. In addition to the amount needed to secure the counterparties' exposure to the Bank, the Bank had pledged securities with aggregate fair values of $436,603,000 and $525,063,000 at September 30, 2022 and December 31, 2021, respectively, to further secure its cleared derivatives, which is a result of the initial margin requirements imposed upon the Bank. |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | $ 91,538,081 | $ 53,046,377 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 614,224 | 25,199 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,591,964 | 480,306 | |
Derivative Asset, Fair Value, Amount Offset Against Collateral | 28,004 | (3,350) | |
Derivative Liability, Fair Value, Amount Offset Against Collateral | (1,997,942) | (452,763) | |
Derivative Asset Fair Value Cash Received or Remitted Exceeding Variation Margin Requirement | (124) | 2 | |
Derivative Liability, Fair Value Cash Received or Remitted Exceeding Variation Margin Requirement | (2) | 1,187 | |
Derivative Asset, Fair Value, Gross Liability | (575,750) | (14,774) | |
Derivative Liability, Fair Value, Gross Asset | (575,750) | (14,774) | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [1] | (547,870) | (18,122) |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [1] | (2,573,694) | (466,350) |
Derivative assets | 66,354 | 7,077 | |
Derivative liabilities | 18,270 | 13,956 | |
Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 68,218,482 | 49,383,407 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 344,545 | 11,633 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 2,560,427 | 476,611 | |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | [2] | 14,059,158 | 9,806,989 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [2] | 157,663 | 104 |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [2] | 448 | 212,533 |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | [2] | 14,736,184 | 14,398,278 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [2] | 181,832 | 2,028 |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [2] | 3,064 | 10,502 |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | [2] | 38,357,140 | 24,112,140 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [2] | 743 | 9,495 |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [2] | 2,556,915 | 253,444 |
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | [3] | 1,066,000 | 1,066,000 |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | [3] | 4,307 | 6 |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | [3] | 0 | 132 |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 23,319,599 | 3,662,970 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 269,679 | 13,566 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 31,537 | 3,695 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Advances [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 0 | 265,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 2,044 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 3,039 | 3,081 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 9 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 1 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Mortgages [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 513,000 | 265,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 4,001 | 22 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 187 | 28 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 186,445 | 0 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 1,724 | 0 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Consolidated Obligation Discount Notes [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 4,602,000 | 900,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 139 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 177 | 20 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Counterparty exposure [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 16,300,000 | 1,000,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 261,205 | 116 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 26,970 | 229 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Intermediary Transactions [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 78,558 | 91,672 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 171 | 3,834 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 705 | 1,320 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member] | Other Contract [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 425,000 | 425,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 146 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 1,390 | 0 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgage Receivable [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 21,557 | 33,217 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 361 | 53 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 1,150,000 | 0 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 4,131 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | Mortgages [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 0 | 600,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 0 | 9,448 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Cap [Member] | Intermediary Transactions [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Derivative, Notional Amount | 40,000 | 80,000 | |
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement | 23 | 0 | |
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement | $ 23 | $ 0 | |
[1]Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties.[2]Derivatives designated as fair value hedges.[3]Derivatives designated as cash flow hedges. |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Net gains (losses) on fair value and cash flow hedges) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Advances | $ 266,919 | $ 29,124 | $ 408,121 | $ 90,790 |
Available-for-sale securities | 121,020 | 32,843 | 243,484 | 107,895 |
Interest Expense, Other Long-term Debt | (235,395) | (12,922) | (341,963) | (54,142) |
Interest Expense, Other Short-term Borrowings | (117,830) | (6,412) | (169,600) | (22,793) |
Total other comprehensive income (loss) | 70,849 | (28,032) | 64,795 | 146,106 |
Unrealized gains on cash flow hedges | 47,679 | 4,004 | 129,188 | 33,914 |
Interest Rate Contract [Member] | Designated as Hedging Instrument [Member] | Other Comprehensive Income (Loss) [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net | 292 | 5,658 | 9,134 | 16,677 |
Unrealized gains on cash flow hedges | 47,679 | 4,004 | 129,188 | 33,914 |
Net Gain (Loss) on Cash Flow Hedging Relationship | 47,971 | 9,662 | 138,322 | 50,591 |
Advances [Member] | Interest Rate Contract [Member] | Interest Income [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 403,921 | 32,580 | 779,828 | 180,385 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (395,024) | (57,831) | (814,346) | (255,865) |
Gain (Loss) On Fair Value Hedging Relationship | 8,897 | (25,251) | (34,518) | (75,480) |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | Interest Rate Contract [Member] | Interest Income [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 616,336 | 36,061 | 1,471,491 | 350,817 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (609,280) | (111,750) | (1,551,203) | (557,837) |
Gain (Loss) On Fair Value Hedging Relationship | 7,056 | (75,689) | (79,712) | (207,020) |
Consolidated Obligation Bonds [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (955,784) | 11,275 | (2,301,607) | (71,555) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | 898,093 | 49,618 | 2,331,408 | 217,196 |
Gain (Loss) On Fair Value Hedging Relationship | (57,691) | 60,893 | 29,801 | 145,641 |
Consolidated Obligation Discount Notes [Member] | Interest Rate Contract [Member] | Interest Expense [Member] | Designated as Hedging Instrument [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Interest Rate Cash Flow Hedge Gain (Loss) Reclassified to Earnings, Net | (292) | (5,658) | (9,134) | (16,677) |
Net Gain (Loss) on Cash Flow Hedging Relationship | $ (292) | $ (5,658) | $ (9,134) | $ (16,677) |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Advances [Member] | |||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | |||
Hedged Asset, Fair Value Hedge | [1] | $ 13,503,498 | $ 10,065,117 |
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease | (582,732) | 226,159 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 3,978 | 4,918 | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | [2] | (578,754) | 231,077 |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | |||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | |||
Hedged Asset, Fair Value Hedge | [1] | 13,835,643 | 15,046,972 |
HedgedAssetActiveFairValueHedgeCumulativeIncreaseDecrease | (996,980) | 532,869 | |
Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | (1,877) | (1,441) | |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | [2] | (998,857) | 531,428 |
Consolidated Obligation Bonds [Member] | |||
ScheduleOfFairValueHedgingInstrumentsStatementsOfFinancialPerformanceAndFinancialPositionLocationTableTextBlock [Line Items] | |||
Hedged Liability, Fair Value Hedge | [1] | 35,544,487 | 24,017,958 |
HedgedLiabilityActiveFairValueHedgeCumulativeIncreaseDecrease | (2,605,140) | (273,936) | |
Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 454 | 657 | |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | [2] | $ (2,604,686) | $ (273,279) |
[1]Reflects the amortized cost of hedged items in active or discontinued fair value hedging relationships, which includes fair value hedging basis adjustments.[2]Reflects the cumulative life-to-date unamortized hedging gains (losses) on the hedged items. |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities (Net gains (losses) on derivatives and hedging activities in other income (loss)) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | ||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (7,216) | $ 438 | $ (21,547) | $ 620 | |
Derivative Instruments, Other Gain (Loss) | [1] | 233 | 0 | 292 | 0 |
Gain (Loss) on Derivative Instruments, Net, Pretax | (6,983) | 438 | (21,255) | 620 | |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swap [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 7,474 | (1,766) | (8,839) | (4,368) | |
Not Designated as Hedging Instrument, Economic Hedge [Member] | NetInterestSettlements [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (2,223) | 2,061 | 574 | 3,573 | |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest Rate Swaption [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (11,830) | 347 | (11,861) | 3,498 | |
Mortgage Receivable [Member] | Forward Contracts [Member] | |||||
Derivative Instruments, Gain (Loss) [Line Items] | |||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | $ (637) | $ (204) | $ (1,421) | $ (2,083) | |
[1]Reflects the price alignment amounts on variation margin for daily settled derivative contracts that are not designated as hedging instruments. The price alignment amounts on variation margin for daily settled derivative contracts that are designated as hedging instruments are recorded in the same line item as the earnings effect of the hedged item. |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities (Narrative) (Details) - USD ($) $ in Thousands | 9 Months Ended | |
Sep. 30, 2022 | Dec. 31, 2021 | |
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 91,538,081 | $ 53,046,377 |
Cash Flow Hedge Gain (Loss) to be Reclassified within Twelve Months | $ 23,537 | |
Maximum Length of Time Hedged in Cash Flow Hedge | 7 years 4 months | |
Over the Counter [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 52,800,000 | |
Exchange Cleared [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 38,600,000 | |
Percent of Derivative Contract | 42% | |
Member Counterparties [Member] | ||
Derivatives, Fair Value [Line Items] | ||
Derivative, Notional Amount | $ 100,000 |
Capital (Details)
Capital (Details) - USD ($) | Sep. 30, 2022 | Sep. 26, 2022 | Jun. 27, 2022 | Mar. 28, 2022 | Dec. 31, 2021 | Apr. 19, 2021 | Aug. 01, 2020 | Apr. 01, 2020 | Oct. 21, 2015 |
Capital [Line Items] | |||||||||
Minimum Capital Stock to Assets Ratio, Percent Required | 2% | 2% | |||||||
Federal Home Loan Bank, Risk-Based Capital, Required | $ 826,023,000 | $ 757,555,000 | |||||||
Federal Home Loan Bank, Risk-Based Capital, Actual | 4,766,749,000 | 3,757,578,000 | |||||||
Federal Home Loan Bank, Regulatory Capital, Required | 3,582,033,000 | 2,539,535,000 | |||||||
Federal Home Loan Bank, Regulatory Capital, Actual | $ 4,766,749,000 | $ 3,757,578,000 | |||||||
Regulatory Capital Ratio, Required | 4% | 4% | |||||||
Federal Home Loan Bank, Regulatory Capital Ratio, Actual | 5.32% | 5.92% | |||||||
Federal Home Loan Bank, Leverage Capital, Required | $ 4,477,542,000 | $ 3,174,419,000 | |||||||
Federal Home Loan Bank, Leverage Capital, Actual | $ 7,150,124,000 | $ 5,636,367,000 | |||||||
Leverage Ratio, Required | 5% | 5% | |||||||
Leverage Ratio, Actual | 7.98% | 8.88% | |||||||
Membership Investment Requirement, Percent of Members Total Assets as of Previous Calendar Year | 0.04% | ||||||||
Membership Investment Requirement, Minimum Dollar Amount | $ 1,000 | ||||||||
Membership Investment Requirement, Maximum Dollar Amount | $ 7,000,000 | ||||||||
Activity Based Investment Requirement, Percent of Outstanding Advances | 4.10% | 4.10% | |||||||
Activity Based % Requirement, Special Advances Program | 2% | ||||||||
Surplus Stock Threshold Percentage | 125% | 125% | 125% | 125% | |||||
Minimum Stock Surplus Required For Repurchase | $ 2,000,000 | $ 2,000,000 | $ 2,000,000 | $ 2,000,000 | |||||
Repurchased Surplus Stock, Total | 82,207,000 | 142,951,000 | 57,007,000 | ||||||
RepurchasedSurplusStockMRCSPortion | $ 820,000 | $ 2,129,000 | $ 200 | ||||||
Activity Based Investment Requirement, Percent of Outstanding Advances 2020 | 4.10% | ||||||||
Activity Based % Special Advances Program 2020 | 2% | ||||||||
2020 Special Advance Offering, Maximum Balance | $ 5,000,000,000 | ||||||||
Activity Based Investment Requirement, Percent of Outstanding Advances 2020 Modification | 4.10% | ||||||||
Activity Based % Requirement, Special Advances Program 2020 Modification | 2% | ||||||||
Activity Based Investment Requirement, Percent of Outstanding LOCs | 0.10% | ||||||||
Activity Based Investment Requirement, Percent of Outstanding Advances 2021 Modification | 4.10% | ||||||||
Activity Based % Requirement, Special Advances Program 2021 Modification | 2% |
Employee Retirement Plans (Deta
Employee Retirement Plans (Details) - Other Postretirement Benefit Plans, Defined Benefit [Member] - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | ||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | |
Defined Benefit Plan Disclosure [Line Items] | ||||
Service cost | $ 10 | $ 10 | $ 28 | $ 30 |
Interest cost | 4 | 5 | 12 | 15 |
Amortization of prior service cost | 5 | 5 | 15 | 15 |
Amortization of net actuarial gain | (19) | (16) | (57) | (50) |
Net periodic benefit cost (credit) | $ 0 | $ 4 | $ (2) | $ 10 |
Fair Value Measures and Discl_2
Fair Value Measures and Disclosures (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | $ 70,520 | $ 542,801 | |
Trading securities | 685,677 | 2,454,870 | |
Available-for-sale securities | [1] | 14,002,273 | 15,288,032 |
Debt Securities, Held-to-maturity | [2] | 327,122 | 593,555 |
Debt Securities, Held-to-maturity, Fair Value | 330,195 | 606,352 | |
Accrued interest receivable (Note 8) | 149,929 | 91,581 | |
Derivative assets | 66,354 | 7,077 | |
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset | [3] | (547,870) | (18,122) |
Other Assets, Fair Value Disclosure | 15,048 | 17,574 | |
Mandatorily redeemable capital stock | 12,895 | 6,657 | |
Accrued interest payable | 138,348 | 73,038 | |
Derivative liabilities | 18,270 | 13,956 | |
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset | [3] | (2,573,694) | (466,350) |
Fair Value, Inputs, Level 1 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 70,520 | 542,801 | |
Interest-bearing Deposits, Fair Value Disclosure | 0 | 0 | |
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | 0 | |
Federal Funds Sold, Fair Value Disclosure | 0 | 0 | |
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 0 | 0 | |
Federal Home Loan Bank Advances, Fair Value Disclosure | 0 | 0 | |
Loans Receivable, Fair Value Disclosure | 0 | 0 | |
Accrued interest receivable (Note 8) | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other Assets, Fair Value Disclosure | 15,048 | 17,574 | |
Deposits, Fair Value Disclosure | 0 | 0 | |
Mandatorily redeemable capital stock | 12,895 | 6,657 | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Debt Instrument, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Discount Notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Short-term Debt, Fair Value | 0 | 0 | |
Fair Value, Inputs, Level 2 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest-bearing Deposits, Fair Value Disclosure | 1,820,227 | 885,745 | |
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 14,600,000 | 10,650,000 | |
Federal Funds Sold, Fair Value Disclosure | 9,294,000 | 4,781,000 | |
Trading securities | 685,677 | 2,454,870 | |
Available-for-sale securities | 14,002,273 | 15,288,032 | |
Debt Securities, Held-to-maturity, Fair Value | 297,893 | 566,487 | |
Federal Home Loan Bank Advances, Fair Value Disclosure | 44,128,282 | 24,670,292 | |
Loans Receivable, Fair Value Disclosure | 3,700,331 | 3,505,042 | |
Accrued interest receivable (Note 8) | 149,929 | 91,581 | |
Derivative assets | 614,224 | 25,199 | |
Other Assets, Fair Value Disclosure | 0 | 0 | |
Deposits, Fair Value Disclosure | 1,745,887 | 1,590,187 | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | 138,348 | 73,038 | |
Derivative liabilities | 2,591,964 | 480,306 | |
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Debt Instrument, Fair Value Disclosure | 51,043,457 | 44,487,511 | |
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Discount Notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Short-term Debt, Fair Value | 29,548,590 | 11,000,139 | |
Fair Value, Inputs, Level 3 [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 0 | 0 | |
Interest-bearing Deposits, Fair Value Disclosure | 0 | 0 | |
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | 0 | |
Federal Funds Sold, Fair Value Disclosure | 0 | 0 | |
Trading securities | 0 | 0 | |
Available-for-sale securities | 0 | 0 | |
Debt Securities, Held-to-maturity, Fair Value | 32,302 | 39,865 | |
Federal Home Loan Bank Advances, Fair Value Disclosure | 0 | 0 | |
Loans Receivable, Fair Value Disclosure | 0 | 0 | |
Accrued interest receivable (Note 8) | 0 | 0 | |
Derivative assets | 0 | 0 | |
Other Assets, Fair Value Disclosure | 0 | ||
Deposits, Fair Value Disclosure | 0 | 0 | |
Mandatorily redeemable capital stock | 0 | 0 | |
Accrued interest payable | 0 | 0 | |
Derivative liabilities | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Debt Instrument, Fair Value Disclosure | 0 | 0 | |
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Discount Notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Short-term Debt, Fair Value | 0 | 0 | |
Estimate of Fair Value Measurement [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 70,520 | 542,801 | |
Interest-bearing Deposits, Fair Value Disclosure | 1,820,227 | 885,745 | |
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 14,600,000 | 10,650,000 | |
Federal Funds Sold, Fair Value Disclosure | 9,294,000 | 4,781,000 | |
Trading securities | 685,677 | 2,454,870 | |
Available-for-sale securities | 14,002,273 | 15,288,032 | |
Debt Securities, Held-to-maturity, Fair Value | 330,195 | 606,352 | |
Federal Home Loan Bank Advances, Fair Value Disclosure | 44,128,282 | 24,670,292 | |
Loans Receivable, Fair Value Disclosure | 3,700,331 | 3,505,042 | |
Accrued interest receivable (Note 8) | 149,929 | 91,581 | |
Derivative assets | 66,354 | 7,077 | |
Other Assets, Fair Value Disclosure | 15,048 | 17,574 | |
Deposits, Fair Value Disclosure | 1,745,887 | 1,590,187 | |
Mandatorily redeemable capital stock | 12,895 | 6,657 | |
Accrued interest payable | 138,348 | 73,038 | |
Derivative liabilities | 18,270 | 13,956 | |
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Debt Instrument, Fair Value Disclosure | 51,043,457 | 44,487,511 | |
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Discount Notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Short-term Debt, Fair Value | 29,548,590 | 11,000,139 | |
Reported Value Measurement [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Cash and due from banks | 70,520 | 542,801 | |
Interest-bearing Deposits, Fair Value Disclosure | 1,820,227 | 885,745 | |
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 14,600,000 | 10,650,000 | |
Federal Funds Sold, Fair Value Disclosure | 9,294,000 | 4,781,000 | |
Trading securities | 685,677 | 2,454,870 | |
Available-for-sale securities | 14,002,273 | 15,288,032 | |
Debt Securities, Held-to-maturity | 327,122 | 593,555 | |
Federal Home Loan Bank Advances, Fair Value Disclosure | 44,238,384 | 24,637,464 | |
Loans Receivable, Fair Value Disclosure | 4,240,222 | 3,491,265 | |
Accrued interest receivable (Note 8) | 149,929 | 91,581 | |
Derivative assets | 66,354 | 7,077 | |
Other Assets, Fair Value Disclosure | 15,048 | 17,574 | |
Deposits, Fair Value Disclosure | 1,746,156 | 1,590,188 | |
Mandatorily redeemable capital stock | 12,895 | 6,657 | |
Accrued interest payable | 138,348 | 73,038 | |
Derivative liabilities | 18,270 | 13,956 | |
Reported Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Debt Instrument, Fair Value Disclosure | 51,838,498 | 44,514,220 | |
Reported Value Measurement [Member] | Consolidated Obligation Discount Notes [Member] | |||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||
Short-term Debt, Fair Value | $ 29,590,696 | $ 11,003,026 | |
[1]Amortized cost: $13,835,643 and $15,046,972 at September 30, 2022 and December 31, 2021, respectively.[2]Fair values: $330,195 and $606,352 at September 30, 2022 and December 31, 2021, respectively.[3]Amounts represent the effect of legally enforceable master netting agreements or other legally enforceable arrangements between the Bank and its derivative counterparties that allow the Bank to offset positive and negative positions as well as any cash collateral held or placed with those same counterparties. |
Commitments and Contingencies (
Commitments and Contingencies (Details) - USD ($) $ in Thousands | Sep. 30, 2022 | Dec. 31, 2021 |
Commitments and Contingencies [Line Items] | ||
Derivative, Collateral, Right to Reclaim Cash | $ 2,022,050 | $ 456,491 |
Other FHLBanks [Member] | ||
Commitments and Contingencies [Line Items] | ||
Debt, Gross | 948,000,000 | |
Categories of Investments, Marketable Securities, Available-for-sale Securities [Member] | ||
Commitments and Contingencies [Line Items] | ||
Derivative, Collateral, Right to Reclaim Securities | 437,864 | 529,596 |
Loan Origination Commitments [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 6,423 | 22,042 |
Standby Letters of Credit [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 18,794,363 | 21,652,978 |
Financial Standby Letter of Credit [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2023 | 200,234 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2024 | 45,390 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2025 | 231,399 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2026 | 245,863 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Expiring in 2027 | 160,350 | |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 883,236 | 914,041 |
Consolidated Obligation Bonds [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 2,480,000 | 350,000 |
Consolidated Obligation Discount Notes [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 512,381 | |
Conventional Mortgage Loan [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | 21,557 | 33,217 |
Interest Rate Swap [Member] | Consolidated Obligation Bonds [Member] | ||
Commitments and Contingencies [Line Items] | ||
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Liability | $ 680,000 | $ 350,000 |
Transactions with Other FHLBa_2
Transactions with Other FHLBanks (Details) - USD ($) | 9 Months Ended | |
Sep. 30, 2022 | Sep. 30, 2021 | |
Borrowings from Other FHLBanks [Roll Forward] | ||
Loans from other FHLBanks, Beginning of period | $ 0 | $ 0 |
Loans from other FHLBanks, End of period | 0 | 0 |
Loans Made to Other FHLBanks [Roll Forward] | ||
Loans to other FHLBanks, Beginning of period | 0 | |
Loans to other FHLBanks, End of period | 0 | |
Interest Income, Loans to Other Federal Home Loan Banks | 182,000 | |
Interest Expense, Loans from Other Federal Home Loan Banks | 121,000 | 58 |
FHLB of San Francisco [Member] | ||
Loans Made to Other FHLBanks [Roll Forward] | ||
Payments for Federal Home Loan Bank Loans | 1,000,000,000 | |
Proceeds from Federal Home Loan Bank Loans | (1,000,000,000) | |
FHLB of Boston [Member] | ||
Borrowings from Other FHLBanks [Roll Forward] | ||
Payments of FHLBank Borrowings, Financing Activities | (400,000,000) | 0 |
Proceeds from FHLBank Borrowings, Financing Activities | 400,000,000 | 0 |
FHLBank of Indianapolis [Member] | ||
Borrowings from Other FHLBanks [Roll Forward] | ||
Payments of FHLBank Borrowings, Financing Activities | (30,000,000) | (30,000,000) |
Proceeds from FHLBank Borrowings, Financing Activities | 30,000,000 | 30,000,000 |
Federal Home Loan Bank of Atlanta | ||
Loans Made to Other FHLBanks [Roll Forward] | ||
Payments for Federal Home Loan Bank Loans | 750,000,000 | |
Proceeds from Federal Home Loan Bank Loans | (750,000,000) | |
Federal Home Loan Bank of Pittsburgh | ||
Borrowings from Other FHLBanks [Roll Forward] | ||
Payments of FHLBank Borrowings, Financing Activities | (1,000,000,000) | 0 |
Proceeds from FHLBank Borrowings, Financing Activities | 1,000,000,000 | $ 0 |
Loans Made to Other FHLBanks [Roll Forward] | ||
Payments for Federal Home Loan Bank Loans | 500,000,000 | |
Proceeds from Federal Home Loan Bank Loans | $ (500,000,000) |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Thousands | 3 Months Ended | 9 Months Ended | |||
Sep. 30, 2022 | Sep. 30, 2021 | Sep. 30, 2022 | Sep. 30, 2021 | ||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated other comprehensive income (loss), Start of period | $ 182,770 | ||||
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||
Reclassification adjustment for losses on cash flow hedges included in net income | $ 292 | $ 5,658 | 9,134 | $ 16,677 | |
Other amounts of other comprehensive income (loss) | |||||
Net unrealized gains (losses) on available-for-sale securities | 22,679 | (38,154) | (74,430) | 94,060 | |
Unrealized gains on cash flow hedges | 47,679 | 4,004 | 129,188 | 33,914 | |
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 213 | 471 | 945 | 1,490 | |
Total other comprehensive income (loss) | 70,849 | (28,032) | 64,795 | 146,106 | |
Accumulated other comprehensive income (loss), End of period | 247,565 | 247,565 | |||
Accumulated Net Unrealized Investment Gain (Loss) [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated other comprehensive income (loss), Start of period | [1] | 143,951 | 304,575 | 241,060 | 172,361 |
Other amounts of other comprehensive income (loss) | |||||
Net unrealized gains (losses) on available-for-sale securities | [1] | 22,679 | (38,154) | (74,430) | 94,060 |
Total other comprehensive income (loss) | [1] | 22,679 | (38,154) | (74,430) | 94,060 |
Accumulated other comprehensive income (loss), End of period | [1] | 166,630 | 266,421 | 166,630 | 266,421 |
Accumulated Net Gain (Loss) from Cash Flow Hedges Attributable to Parent [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated other comprehensive income (loss), Start of period | 35,512 | (78,673) | (54,839) | (119,602) | |
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||
Reclassification adjustment for losses on cash flow hedges included in net income | 292 | 5,658 | 9,134 | 16,677 | |
Other amounts of other comprehensive income (loss) | |||||
Unrealized gains on cash flow hedges | 47,679 | 4,004 | 129,188 | 33,914 | |
Total other comprehensive income (loss) | 47,971 | 9,662 | 138,322 | 50,591 | |
Accumulated other comprehensive income (loss), End of period | 83,483 | (69,011) | 83,483 | (69,011) | |
Accumulated Defined Benefit Plans Adjustment [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated other comprehensive income (loss), Start of period | 1,006 | 879 | 1,034 | 903 | |
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (14) | (11) | (42) | (35) | |
Other amounts of other comprehensive income (loss) | |||||
Total other comprehensive income (loss) | (14) | (11) | (42) | (35) | |
Accumulated other comprehensive income (loss), End of period | 992 | 868 | 992 | 868 | |
AOCI Attributable to Parent [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated other comprehensive income (loss), Start of period | 176,716 | 221,398 | 182,770 | 47,260 | |
Reclassifications from accumulated other comprehensive income (loss) to net income | |||||
Reclassification adjustment for losses on cash flow hedges included in net income | 292 | 5,658 | 9,134 | 16,677 | |
Other Comprehensive Income (Loss), Pension and Other Postretirement Benefit Plans, Adjustment, before Tax | (14) | (11) | (42) | (35) | |
Other amounts of other comprehensive income (loss) | |||||
Net unrealized gains (losses) on available-for-sale securities | 22,679 | (38,154) | (74,430) | 94,060 | |
Unrealized gains on cash flow hedges | 47,679 | 4,004 | 129,188 | 33,914 | |
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 213 | 471 | 945 | 1,490 | |
Total other comprehensive income (loss) | 70,849 | (28,032) | 64,795 | 146,106 | |
Accumulated other comprehensive income (loss), End of period | 247,565 | 193,366 | 247,565 | 193,366 | |
Held-to-Maturity Securities [Member] | |||||
Accumulated Other Comprehensive Income (Loss) [Roll Forward] | |||||
Accumulated other comprehensive income (loss), Start of period | (3,753) | (5,383) | (4,485) | (6,402) | |
Other amounts of other comprehensive income (loss) | |||||
Other Comprehensive Loss, Held-to-maturity Security, Adjustment from AOCI for Accretion of Noncredit Portion of OTTI, before Tax | 213 | 471 | 945 | 1,490 | |
Total other comprehensive income (loss) | 213 | 471 | 945 | 1,490 | |
Accumulated other comprehensive income (loss), End of period | $ (3,540) | $ (4,912) | $ (3,540) | $ (4,912) | |
[1]Net unrealized gains (losses) on available-for-sale securities are net of unrealized gains and losses relating to hedged interest rate risk included in net income. |