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Fair Value (Tables)

12 Months Ended

Dec. 31, 2019

The following tables present the carrying value, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at December 31, 2019 and 2018. The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, certain advances, certain consolidated obligations, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio and certain other assets at fair value on a nonrecurring basis. The Bank records all other financial assets and liabilities at amortized cost. Refer to the following tables for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.



	December 31, 2019
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral⁽¹⁾
Assets
Cash and due from banks	$	118	$	118	$	118	$	—	$	—	$	—
Interest-bearing deposits	2,269		2,269		2,269		—		—		—
Securities purchased under agreements to resell	7,000		7,000		—		7,000		—		—
Federal funds sold	3,562		3,562		—		3,562		—		—
Trading securities	1,766		1,766		—		1,766		—		—
AFS securities	15,495		15,495		—		12,898		2,597		—
HTM securities	7,545		7,566		—		7,181		385		—
Advances	65,374		65,492		—		65,492		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,314		3,332		—		3,332		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net⁽¹⁾	33		33		—		44		—		(11		)
Other assets⁽²⁾	19		19		19		—		—		—
Liabilities
Deposits	537		537		—		537		—		—
Consolidated obligations:
Bonds	71,372		71,386		—		71,386		—		—
Discount notes	27,376		27,378		—		27,378		—		—
Total consolidated obligations	98,748		98,764		—		98,764		—		—
Mandatorily redeemable capital stock	138		138		138		—		—		—
Accrued interest payable	164		164		—		164		—		—
Derivative liabilities, net⁽¹⁾	—		—		—		384		—		(384		)
Other
Standby letters of credit	32		32		—		32		—		—



	December 31, 2018
	Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral⁽¹⁾
Assets
Cash and due from banks	$	13	$	13	$	13	$	—	$	—	$	—
Interest-bearing deposits	2,555		2,555		2,555		—		—		—
Securities purchased under agreements to resell	7,300		7,299		—		7,299		—		—
Federal funds sold	3,845		3,846		—		3,846		—		—
Trading securities	661		661		—		661		—		—
AFS securities	6,931		6,931		—		3,774		3,157		—
HTM securities	11,089		11,047		—		10,362		685		—
Advances	73,434		73,462		—		73,462		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,066		2,975		—		2,975		—		—
Accrued interest receivable	133		133		—		133		—		—
Derivative assets, net⁽¹⁾	185		185		—		86		—		99
Other assets⁽²⁾	16		16		16		—		—		—
Liabilities
Deposits	262		262		—		262		—		—
Consolidated obligations:
Bonds	72,276		72,079		—		72,079		—		—
Discount notes	29,182		29,178		—		29,178		—		—
Total consolidated obligations	101,458		101,257		—		101,257		—		—
Mandatorily redeemable capital stock	227		227		227		—		—		—
Borrowings from other FHLBanks	250		250		—		250		—		—
Accrued interest payable	155		155		—		155		—		—
Derivative liabilities, net⁽¹⁾	10		10		—		147		—		(137		)
Other
Standby letters of credit	27		27		—		27		—		—


(1)	Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed with the same clearing agents and/or counterparty.


(2)	Represents publicly traded mutual funds held in a grantor trust.

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques

The tables below present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at December 31, 2019 and 2018, by level within the fair value hierarchy.



December 31, 2019
	Fair Value Measurement Using:						Netting Adjustments and Cash
	Level 1		Level 2		Level 3		Collateral⁽¹⁾			Total
Recurring fair value measurements – Assets:
Trading securities:
U.S. obligations – Treasury securities	$	—	$	1,762	$	—	$	—		$	1,762
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		1,766		—		—			1,766
AFS securities:
U.S. obligations – Treasury securities	—		5,288		—		—			5,288
MBS:
GSEs – multifamily	—		7,610		—		—			7,610
PLRMBS	—		—		2,597		—			2,597
Subtotal MBS	—		7,610		2,597		—			10,207
Total AFS securities	—		12,898		2,597		—			15,495
Advances⁽²⁾	—		4,370		—		—			4,370
Derivative assets, net: interest rate-related	—		44		—		(11		)	33
Other assets	19		—		—		—			19
Total recurring fair value measurements – Assets	$	19	$	19,078	$	2,597	$	(11	)	$	21,683
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds⁽³⁾	$	—	$	337	$	—	$	—		$	337
Derivative liabilities, net: interest rate-related	—		384		—		(384		)	—
Total recurring fair value measurements – Liabilities	$	—	$	721	$	—	$	(384	)	$	337
Nonrecurring fair value measurements – Assets:⁽⁴⁾
Impaired mortgage loans held for portfolio	$	—	$	—	$	1	$	—		$	1
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	1	$	—		$	1



December 31, 2018
	Fair Value Measurement Using:						Netting Adjustments and Cash
	Level 1		Level 2		Level 3		Collateral⁽¹⁾			Total
Recurring fair value measurements – Assets:
Trading securities:
GSEs – FFCB bonds	$	—	$	656	$	—	$	—		$	656
MBS – Other U.S. obligations – Ginnie Mae	—		5		—		—			5
Total trading securities	—		661		—		—			661
AFS securities:
MBS – GSEs – multifamily	—		3,774		—		—			3,774
PLRMBS	—		—		3,157		—			3,157
Total AFS securities	—		3,774		3,157		—			6,931
Advances⁽²⁾	—		5,133		—		—			5,133
Derivative assets, net: interest rate-related	—		86		—		99			185
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	9,654	$	3,157	$	99		$	12,926
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds⁽³⁾	$	—	$	2,019	$	—	$	—		$	2,019
Derivative liabilities, net: interest rate-related	—		147		—		(137		)	10
Total recurring fair value measurements – Liabilities	$	—	$	2,166	$	—	$	(137	)	$	2,029
Nonrecurring fair value measurements – Assets:⁽⁴⁾
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2


(1)	Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral and related accrued interest held or placed by the Bank, with the same clearing agents and/or counterparty.


(2)	Represents advances recorded under the fair value option at December 31, 2019 and 2018.


(3)	Represents consolidated obligation bonds recorded under the fair value option at December 31, 2019 and 2018.


(4)	The fair value information presented is as of the date the fair value adjustment was recorded during the years ended December 31, 2019 and 2018.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

The following table presents a reconciliation of the Bank’s AFS PLRMBS that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) for the years ended December 31, 2019, 2018, and 2017.



	2019			2018			2017
Balance, beginning of the period	$	3,157		$	3,833		$	4,489
Total gain/(loss) realized and unrealized included in:
Interest income	78			81			92
Net OTTI loss, credit-related	(11		)	(11		)	(16		)
Unrealized gain/(loss) of other-than-temporarily impaired securities included in AOCI	(16		)	(38		)	195
Net amount of OTTI loss reclassified to/(from) other income/(loss)	(3		)	(12		)	6
Settlements	(609		)	(708		)	(933		)
Transfers of HTM securities to AFS securities	1			12			—
Balance, end of the period	$	2,597		$	3,157		$	3,833
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets and liabilities still held at the end of the period	$	62		$	70		$	75

Fair Value, Option, Quantitative Disclosures

The following table presents the difference between the aggregate remaining contractual principal balance outstanding and aggregate fair value of advances and consolidated obligation bonds for which the Bank elected the fair value option at December 31, 2019 and 2018:



	2019						2018
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances⁽¹⁾	$	4,287	$	4,370	$	83	$	5,162	$	5,133	$	(29	)
Consolidated obligation bonds	335		337		2		2,024		2,019		(5		)

(1)

At December 31, 2019 and 2018, none of these advances were 90 days or more past due or had been placed on nonaccrual status.

The following table summarizes the activity related to financial assets and liabilities for which the Bank elected the fair value option during the years ended December 31, 2019, 2018, and 2017:



	2019						2018						2017
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	5,133		$	2,019		$	6,431		$	949		$	3,719		$	1,507
New transactions elected for fair value option	2,324			—			1,918			1,313			3,657			1,185
Maturities and terminations	(3,200		)	(1,688		)	(3,192		)	(245		)	(918		)	(1,745		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	116			15			(25		)	(4		)	(31		)	—
Change in accrued interest	(3		)	(9		)	1			6			4			2
Balance, end of the period	$	4,370		$	337		$	5,133		$	2,019		$	6,431		$	949

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

+ References + Details