Segment Information

3 Months Ended

Mar. 31, 2020

The Bank uses an analysis of financial results based on the financial components and adjusted net interest income of two operating segments, the advances-related business and the mortgage-related business, as well as other financial information, to review and assess financial performance and determine financial management strategies related to the operations of these two business segments. For purposes of segment reporting, adjusted net interest income includes income and expense associated with net settlements from economic hedges that are recorded in “Net gain/(loss) on derivatives and hedging activities” in other income, excludes interest income and expense associated with ineffectiveness from fair value hedges that are recorded in the same line as the earnings effect of the hedged item, and excludes interest expense that is recorded in “Mandatorily redeemable capital stock.” Other key financial information, such as any credit-related OTTI losses on the Bank’s PLRMBS, other expenses, and assessments, is not included in the segment reporting analysis, but is incorporated into the Bank’s overall assessment of financial performance.

For more information on these operating segments, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Segment Information” in the Bank’s 2019 Form 10-K.

The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income before the AHP assessment for the three months ended March 31, 2020 and 2019.



	Advances- Related Business		Mortgage- Related Business⁽¹⁾		Adjusted Net Interest Income		Amortization of Basis Adjustments and (Gain)/Loss on Fair Value Hedges⁽²⁾		Income/(Expense) on Economic Hedges⁽³⁾			Interest Expense on Mandatorily Redeemable Capital Stock⁽⁴⁾		Net Interest Income After Provision for/(Reversal of) Credit Losses		Other Income/ (Loss)		Other Expense		Income/(Loss) Before AHP Assessment
Three months ended:
March 31, 2020	$	63	$	12	$	75	$	71	$	(8	)	$	2	$	10	$	18	$	36	$	(8	)
March 31, 2019	86		68		154		11		(5		)	4		144		15		43		116

(1)

The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, and totaled $20 and $18 for the three months ended March 31, 2020 and 2019, respectively. The mortgage-related business includes a provision for credit losses of $39 for the three months ended March 31, 2020. The mortgage-related business does not include credit-related OTTI losses of $1 for the three months ended March 31, 2019.


(2)	Represents amortization of amounts deferred for adjusted net interest income purposes only and changes in fair value of the derivative hedging instrument and the hedged item attributable to the hedged risk for designated fair value hedges recorded in net interest income.

(3)

The Bank includes income and expense associated with net settlements from economic hedges in adjusted net interest income in its analysis of financial performance for its two operating segments. For financial reporting purposes, the Bank does not include these amounts in net interest income in the Statements of Income, but instead records them in other income in “Net gain/(loss) on derivatives and hedging activities.”


(4)	The Bank excludes interest expense on mandatorily redeemable capital stock from adjusted net interest income in its analysis of financial performance for its two operating segments.

The following table presents total assets by operating segment at March 31, 2020, and December 31, 2019.



	Advances- Related Business		Mortgage- Related Business		Total Assets
March 31, 2020	$	103,877	$	20,993	$	124,870
December 31, 2019	85,709		21,133		106,842