Consolidated Obligations

3 Months Ended

Mar. 31, 2020

Consolidated obligations, consisting of consolidated obligation bonds and discount notes, are jointly issued by the Federal Home Loan Banks (FHLBanks) through the Office of Finance, which serves as the FHLBanks’ agent. As provided by the Federal Home Loan Bank Act of 1932, as amended (FHLBank Act) or by regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated

obligations. For a discussion of the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 20 – Commitments and Contingencies” in the Bank’s 2019 Form 10-K. In connection with each issuance of consolidated obligations, each FHLBank specifies the type, term, and amount of debt it requests to have issued on its behalf. The Office of Finance tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank separately tracks and records as a liability its specific portion of the consolidated obligations issued and is the primary obligor for that portion of the consolidated obligations issued. The Finance Agency and the U.S. Secretary of the Treasury have oversight over the issuance of FHLBank debt through the Office of Finance.

Redemption Terms. The following is a summary of the Bank’s participation in consolidated obligation bonds at March 31, 2020, and December 31, 2019.



	March 31, 2020					December 31, 2019
Contractual Maturity	Amount Outstanding			Weighted Average Interest Rate		Amount Outstanding			Weighted Average Interest Rate
Within 1 year	$	62,453		0.51	%	$	53,549		1.68	%
After 1 year through 2 years	11,690			0.46		13,853			1.67
After 2 years through 3 years	596			1.84		770			1.93
After 3 years through 4 years	165			2.14		135			2.74
After 4 years through 5 years	812			1.82		937			2.08
After 5 years	2,191			2.71		2,126			2.94
Total par value	77,907			0.59	%	71,370			1.73	%
Unamortized premiums	3					1
Unamortized discounts	(9		)			(10		)
Valuation adjustments for hedging activities	32					9
Fair value option valuation adjustments	4					2
Total	$	77,937				$	71,372

The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds of $4,075 at March 31, 2020, and $6,345 at December 31, 2019. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (in which the Bank pays a variable rate and receives a fixed rate) with a call feature that mirrors the call option embedded in the bond (a sold callable swap). The Bank had notional amounts of interest rate exchange agreements hedging callable bonds of $245 at March 31, 2020, and $2,085 at December 31, 2019. The combined sold callable swaps and callable bonds enable the Bank to meet its funding needs at costs not otherwise directly attainable solely through the issuance of non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate.

The Bank’s participation in consolidated obligation bonds at March 31, 2020, and December 31, 2019, was as follows:



	March 31, 2020		December 31, 2019
Par value of consolidated obligation bonds:
Non-callable	$	73,832	$	65,025
Callable	4,075		6,345
Total par value	$	77,907	$	71,370

The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at March 31, 2020, and December 31, 2019, by the earlier of the year of contractual maturity or next call date.



Earlier of Contractual Maturity or Next Call Date	March 31, 2020		December 31, 2019
Within 1 year	$	65,778	$	58,239
After 1 year through 2 years	11,620		12,768
After 2 years through 3 years	381		195
After 3 years through 4 years	40		70
After 4 years through 5 years	37		47
After 5 years	51		51
Total par value	$	77,907	$	71,370

Consolidated obligation discount notes are consolidated obligations issued to raise short-term funds. These notes are issued at less than their face value and redeemed at par value when they mature. The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:



	March 31, 2020					December 31, 2019
	Amount Outstanding			Weighted Average Interest Rate ⁽¹⁾		Amount Outstanding			Weighted Average Interest Rate ⁽¹⁾
Par value	$	39,155		0.84	%	$	27,447		1.61	%
Unamortized discounts	(53		)			(71		)
Total	$	39,102				$	27,376


(1)	Represents yield to maturity excluding concession fees.

Interest Rate Payment Terms. Interest rate payment terms for consolidated obligations at March 31, 2020, and December 31, 2019, are detailed in the following table. For information on the general terms and types of consolidated obligations outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 12 – Consolidated Obligations” in the Bank’s 2019 Form 10-K.



	March 31, 2020		December 31, 2019
Par value of consolidated obligations:
Bonds:
Fixed rate	$	7,623	$	10,993
Adjustable rate	70,099		60,117
Step-up	60		60
Step-down	25		100
Range bonds	100		100
Total bonds, par value	77,907		71,370
Discount notes, par value	39,155		27,447
Total consolidated obligations, par value	$	117,062	$	98,817

The Bank did not have any bonds with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative at March 31, 2020, or December 31, 2019. The Bank has generally elected to account for certain bonds with embedded features under the fair value option, and these bonds are carried at fair value on the Statements of Condition. For more information, see Note 11 – Derivatives and Hedging Activities and Note 12 – Fair Value.