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Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

The following tables present the net carrying value or carrying value, as applicable, the estimated fair value, and the fair value hierarchy level of the Bank’s financial instruments at March 31, 2020, and December 31, 2019. 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.



	March 31, 2020
	Net Carrying Value		Estimated Fair Value		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral⁽¹⁾
Assets
Cash and due from banks	$	328	$	328	$	328	$	—	$	—	$	—
Interest-bearing deposits	3,577		3,577		3,577		—		—		—
Securities purchased under agreements to resell	2,000		2,000		—		2,000		—		—
Federal funds sold	10,081		10,081		—		10,081		—		—
Trading securities	4,319		4,319		—		4,319		—		—
AFS securities	16,175		16,175		—		13,949		2,226		—
HTM securities	6,864		6,867		—		6,539		328		—
Advances	77,872		77,951		—		77,951		—		—
Mortgage loans held for portfolio, net of allowance for credit losses on mortgage loans	3,239		3,320		—		3,320		—		—
Accrued interest receivable	139		139		—		139		—		—
Derivative assets, net⁽¹⁾	62		62		—		45		—		17
Other assets⁽²⁾	16		16		16		—		—		—
Liabilities
Deposits	721		721		—		721		—		—
Consolidated obligations:
Bonds	77,937		77,992		—		77,992		—		—
Discount notes	39,102		39,146		—		39,146		—		—
Total consolidated obligations	117,039		117,138		—		117,138		—		—
Mandatorily redeemable capital stock	83		83		83		—		—		—
Accrued interest payable	121		121		—		121		—		—
Derivative liabilities, net⁽¹⁾	—		—		—		1,055		—		(1,055		)
Other
Standby letters of credit	33		33		—		33		—		—



	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		—		—


(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 March 31, 2020, and December 31, 2019, by level within the fair value hierarchy.



March 31, 2020
	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	$	—	$	4,315	$	—	$	—		$	4,315
MBS – Other U.S. obligations – Ginnie Mae	—		4		—		—			4
Total trading securities	—		4,319		—		—			4,319
AFS securities:
U.S. obligations – Treasury securities	—		5,353		—		—			5,353
MBS:
GSEs – multifamily	—		8,596		—		—			8,596
PLRMBS	—		—		2,226		—			2,226
Subtotal MBS	—		8,596		2,226		—			10,822
Total AFS securities	—		13,949		2,226		—			16,175
Advances⁽²⁾	—		4,334		—		—			4,334
Derivative assets, net: interest rate-related	—		42		—		17			59
Derivative assets, net: mortgage delivery commitments	—		3		—		—			3
Other assets	16		—		—		—			16
Total recurring fair value measurements – Assets	$	16	$	22,647	$	2,226	$	17		$	24,906
Recurring fair value measurements – Liabilities:
Consolidated obligation bonds⁽³⁾	$	—	$	254	$	—	$	—		$	254
Derivative liabilities, net: interest rate-related	—		1,055		—		(1,055		)	—
Total recurring fair value measurements – Liabilities	$	—	$	1,309	$	—	$	(1,055	)	$	254
Nonrecurring fair value measurements – Assets:⁽⁴⁾
Impaired mortgage loans held for portfolio	$	—	$	—	$	2	$	—		$	2
Total nonrecurring fair value measurements – Assets	$	—	$	—	$	2	$	—		$	2



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


(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 March 31, 2020, and December 31, 2019.


(3)	Represents consolidated obligation bonds recorded under the fair value option at March 31, 2020, and December 31, 2019.


(4)	The fair value information presented is as of the date the fair value adjustment was recorded during the three months ended March 31, 2020, and the year ended December 31, 2019.

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 three months ended March 31, 2020 and 2019.



	Three Months Ended
	March 31, 2020			March 31, 2019
Balance, beginning of the period	$	2,597		$	3,157
Total gain/(loss) realized and unrealized included in:
Interest income/(loss)	19			18
(Provision for)/reversal of credit losses	(39		)	—
Other income, net	—			(1		)
Unrealized gain/(loss) included in AOCI	(234		)	14
Settlements	(118		)	(133		)
Transfers of HTM securities to AFS securities	1			—
Balance, end of the period	$	2,226		$	3,055
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	$	(19	)	$	17

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 March 31, 2020, and December 31, 2019:



	March 31, 2020						December 31, 2019
	Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance		Principal Balance		Fair Value		Fair Value Over/(Under) Principal Balance
Advances⁽¹⁾	$	4,162	$	4,334	$	172	$	4,287	$	4,370	$	83
Consolidated obligation bonds	250		254		4		335		337		2

(1)

At March 31, 2020, and December 31, 2019, 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 three months ended March 31, 2020 and 2019:



	Three Months Ended
	March 31, 2020						March 31, 2019
	Advances			Consolidated Obligation Bonds			Advances			Consolidated Obligation Bonds
Balance, beginning of the period	$	4,370		$	337		$	5,133		$	2,019
New transactions elected for fair value option	7,070			—			—			—
Maturities and terminations	(7,197		)	(85		)	(125		)	(830		)
Net gain/(loss) on advances and net (gain)/loss on consolidated obligation bonds from changes in fair value recognized in earnings	91			2			46			7
Change in accrued interest	—			—			(1		)	(5		)
Balance, end of the period	$	4,334		$	254		$	5,053		$	1,191

- 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