QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 |
Federally chartered corporation of the | |||||||||||||||||
(State or other jurisdiction of incorporation or organization) | (I.R.S. employer identification number) | ||||||||||||||||
(Address of principal executive offices) | (Zip code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||||||||||||||
— | — | — |
Large accelerated filer | ☐ | Accelerated filer | ☐ | |||||||||||||||||
☒ | Smaller reporting company | |||||||||||||||||||
Emerging growth company |
Shares Outstanding as of October 31, 2023 | |||||
Class B Stock, par value $100 per share |
PART I. | FINANCIAL INFORMATION | |||||||||||||
Item 1. | Financial Statements | |||||||||||||
Item 2. | ||||||||||||||
Item 3. | ||||||||||||||
Item 4. | ||||||||||||||
PART II. | ||||||||||||||
Item 1. | ||||||||||||||
Item 1A. | ||||||||||||||
Item 2. | ||||||||||||||
Item 3. | ||||||||||||||
Item 4. | ||||||||||||||
Item 5. | ||||||||||||||
Item 6. | ||||||||||||||
(In millions-except par value) | September 30, 2023 | December 31, 2022 | |||||||||
Assets: | |||||||||||
Cash and due from banks | $ | $ | |||||||||
Interest-bearing deposits | |||||||||||
Securities purchased under agreements to resell | |||||||||||
Federal funds sold | |||||||||||
Trading securities | |||||||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $ | |||||||||||
Held-to-maturity (HTM) securities (fair values of $ | |||||||||||
Advances (includes $ | |||||||||||
Mortgage loans held for portfolio, net of allowance for credit losses of $ | |||||||||||
Accrued interest receivable | |||||||||||
Derivative assets, net | |||||||||||
Other assets | |||||||||||
Total Assets | $ | $ | |||||||||
Liabilities: | |||||||||||
Deposits | $ | $ | |||||||||
Consolidated obligations: | |||||||||||
Bonds (includes $ | |||||||||||
Discount notes | |||||||||||
Total consolidated obligations | |||||||||||
Mandatorily redeemable capital stock | |||||||||||
Borrowings from other Federal Home Loan Banks (FHLBanks) | |||||||||||
Accrued interest payable | |||||||||||
Affordable Housing Program (AHP) payable | |||||||||||
Derivative liabilities, net | |||||||||||
Other liabilities | |||||||||||
Total Liabilities | |||||||||||
Commitments and Contingencies (Note 13) | |||||||||||
Capital: | |||||||||||
Capital stock—Class B—Putable ($ | |||||||||||
Unrestricted retained earnings | |||||||||||
Restricted retained earnings | |||||||||||
Total Retained Earnings | |||||||||||
Accumulated other comprehensive income/(loss) (AOCI) | ( | ( | |||||||||
Total Capital | |||||||||||
Total Liabilities and Capital | $ | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
(In millions) | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Interest Income: | |||||||||||||||||||||||
Advances | $ | $ | $ | $ | |||||||||||||||||||
Interest-bearing deposits | |||||||||||||||||||||||
Securities purchased under agreements to resell | |||||||||||||||||||||||
Federal funds sold | |||||||||||||||||||||||
AFS securities | |||||||||||||||||||||||
HTM securities | |||||||||||||||||||||||
Mortgage loans held for portfolio | |||||||||||||||||||||||
Total Interest Income | |||||||||||||||||||||||
Interest Expense: | |||||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||||
Bonds | |||||||||||||||||||||||
Discount notes | |||||||||||||||||||||||
Deposits | |||||||||||||||||||||||
Borrowings from other FHLBanks | |||||||||||||||||||||||
Mandatorily redeemable capital stock | |||||||||||||||||||||||
Total Interest Expense | |||||||||||||||||||||||
Net Interest Income | |||||||||||||||||||||||
Provision for/(reversal of) credit losses | |||||||||||||||||||||||
Net Interest Income After Provision for/(Reversal of) Credit Losses | |||||||||||||||||||||||
Other Income/(Loss): | |||||||||||||||||||||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | ( | ( | ( | ( | |||||||||||||||||||
Net gain/(loss) on derivatives | ( | ( | ( | ||||||||||||||||||||
Private-label residential mortgage-backed securities (PLRMBS) trust settlement | |||||||||||||||||||||||
Standby letters of credit fees | |||||||||||||||||||||||
Other, net | ( | ( | |||||||||||||||||||||
Total Other Income/(Loss) | ( | ( | ( | ||||||||||||||||||||
Other Expense: | |||||||||||||||||||||||
Compensation and benefits | |||||||||||||||||||||||
Other operating expense | |||||||||||||||||||||||
Federal Housing Finance Agency | |||||||||||||||||||||||
Office of Finance | |||||||||||||||||||||||
Other, net | ( | ( | |||||||||||||||||||||
Total Other Expense | |||||||||||||||||||||||
Income/(Loss) Before Assessment | |||||||||||||||||||||||
AHP assessment | |||||||||||||||||||||||
Net Income/(Loss) | $ | $ | $ | $ |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
(In millions) | 2023 | 2022 | 2023 | 2022 | |||||||||||||||||||
Net Income/(Loss) | $ | $ | $ | $ | |||||||||||||||||||
Other Comprehensive Income/(Loss): | |||||||||||||||||||||||
Net unrealized gain/(loss) on AFS securities | ( | ( | ( | ( | |||||||||||||||||||
Net change in pension and postretirement benefits | ( | ( | ( | ||||||||||||||||||||
Total other comprehensive income/(loss) | ( | ( | ( | ( | |||||||||||||||||||
Total Comprehensive Income/(Loss) | $ | $ | ( | $ | $ | ( |
Capital Stock Class B—Putable | Retained Earnings | Total Capital | |||||||||||||||||||||||||||||||||||||||
(In millions) | Shares | Par Value | Restricted | Unrestricted | Total | AOCI | |||||||||||||||||||||||||||||||||||
Balance, June 30, 2022 | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Comprehensive income/(loss) | ( | ( | |||||||||||||||||||||||||||||||||||||||
Issuance of capital stock | |||||||||||||||||||||||||||||||||||||||||
Repurchase of capital stock | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | ( | ( | |||||||||||||||||||||||||||||||||||||||
Cash dividends paid on capital stock ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2022 | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Balance, June 30, 2023 | $ | $ | $ | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||
Comprehensive income/(loss) | ( | ||||||||||||||||||||||||||||||||||||||||
Issuance of capital stock | |||||||||||||||||||||||||||||||||||||||||
Repurchase of capital stock | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | ( | ( | |||||||||||||||||||||||||||||||||||||||
Cash dividends paid on capital stock ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2023 | $ | $ | $ | $ | $ | ( | $ |
Capital Stock Class B—Putable | Retained Earnings | Total Capital | |||||||||||||||||||||||||||||||||||||||
(In millions) | Shares | Par Value | Restricted | Unrestricted | Total | AOCI | |||||||||||||||||||||||||||||||||||
Balance, December 31, 2021 | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Comprehensive income/(loss) | ( | ( | |||||||||||||||||||||||||||||||||||||||
Issuance of capital stock | |||||||||||||||||||||||||||||||||||||||||
Repurchase of capital stock | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Transfers from restricted retained earnings | ( | ||||||||||||||||||||||||||||||||||||||||
Cash dividends paid on capital stock ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2022 | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||||||||
Balance, December 31, 2022 | $ | $ | $ | $ | $ | ( | $ | ||||||||||||||||||||||||||||||||||
Comprehensive income/(loss) | ( | ||||||||||||||||||||||||||||||||||||||||
Issuance of capital stock | |||||||||||||||||||||||||||||||||||||||||
Repurchase of capital stock | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Cash dividends paid on capital stock ( | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2023 | $ | $ | $ | $ | $ | ( | $ |
Nine Months Ended September 30, | |||||||||||
(In millions) | 2023 | 2022 | |||||||||
Cash Flows from Operating Activities: | |||||||||||
Net Income/(Loss) | $ | $ | |||||||||
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: | |||||||||||
Depreciation and amortization/(accretion) | ( | ||||||||||
Provision for/(reversal of) credit losses | |||||||||||
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | |||||||||||
Change in net derivatives and hedging activities | |||||||||||
PLRMBS trust settlement | ( | ||||||||||
Other adjustments, net | |||||||||||
Net change in: | |||||||||||
Accrued interest receivable | ( | ||||||||||
Other assets | ( | ||||||||||
Accrued interest payable | |||||||||||
Other liabilities | ( | ||||||||||
PLRMBS contingent liability | ( | ||||||||||
Total adjustments | |||||||||||
Net cash provided by/(used in) operating activities | |||||||||||
Cash Flows from Investing Activities: | |||||||||||
Net change in: | |||||||||||
Interest-bearing deposits | ( | ||||||||||
Securities purchased under agreements to resell | |||||||||||
Federal funds sold | ( | ( | |||||||||
Trading securities: | |||||||||||
Proceeds from maturities and paydowns | |||||||||||
AFS securities: | |||||||||||
Proceeds from sales | |||||||||||
Proceeds from maturities and paydowns | |||||||||||
Purchases | ( | ( | |||||||||
HTM securities: | |||||||||||
Proceeds from maturities and paydowns | |||||||||||
Advances: | |||||||||||
Repaid | |||||||||||
Originated | ( | ( | |||||||||
Mortgage loans held for portfolio: | |||||||||||
Principal collected | |||||||||||
Other investing activities, net | ( | ( | |||||||||
Net cash provided by/(used in) investing activities | ( |
Nine Months Ended September 30, | |||||||||||
(In millions) | 2023 | 2022 | |||||||||
Cash Flows from Financing Activities: | |||||||||||
Net change in deposits and other financing activities | ( | ||||||||||
Net change in borrowings from other FHLBanks | |||||||||||
Net (payments)/proceeds on derivative contracts with financing elements | ( | ||||||||||
Net proceeds from issuance of consolidated obligations: | |||||||||||
Bonds | |||||||||||
Discount notes | |||||||||||
Payments for matured and retired consolidated obligations: | |||||||||||
Bonds | ( | ( | |||||||||
Discount notes | ( | ( | |||||||||
Proceeds from issuance of capital stock | |||||||||||
Payments for repurchase/redemption of mandatorily redeemable capital stock | ( | ( | |||||||||
Payments for repurchase of capital stock | ( | ( | |||||||||
Cash dividends paid | ( | ( | |||||||||
Net cash provided by/(used in) financing activities | ( | ||||||||||
Net increase/(decrease) in cash and due from banks | ( | ||||||||||
Cash and due from banks at beginning of the period | |||||||||||
Cash and due from banks at end of the period | $ | $ | |||||||||
Supplemental Disclosures: | |||||||||||
Interest paid | $ | $ | |||||||||
AHP payments, net | |||||||||||
Supplemental Disclosures of Noncash Investing and Financing Activities: | |||||||||||
Transfers of HTM securities to AFS securities | |||||||||||
Transfers of capital stock to mandatorily redeemable capital stock |
Accounting Standards Update (ASU) | Description | Effective Date | Effect on the Financial Statements or Other Significant Matters | |||||||||||||||||
Facilitation of the Effects of Reference Rate Reform on Financial Reporting, as amended (ASU 2020-04) | This update provides temporary optional guidance to ease the potential burden in accounting for reference rate reform. The new guidance provides optional expedients and exceptions for applying generally accepted accounting principles to transactions affected by reference rate reform if certain criteria are met. These transactions include: • contract modifications, • hedging relationships, and • sale or transfer of debt securities classified as HTM. | This guidance became effective beginning March 2020 through December 31, 2024. | The Bank has assessed the guidance and has elected some of the optional expedients and exceptions provided related to the discounting transition for uncleared derivative transactions on a prospective basis since 2021, which did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures. | |||||||||||||||||
Troubled Debt Restructurings and Vintage Disclosures (ASU 2022-02) | This guidance eliminates the accounting guidance for troubled debt restructurings by creditors that have adopted the current expected credit losses methodology while enhancing disclosure requirements for certain loan refinancings and restructurings by creditors made to borrowers experiencing financial difficulty. Additionally, this guidance requires disclosure of current-period gross write-offs by year of origination for financing receivables and net investment in leases. | The guidance became effective for the Bank for the interim and annual periods beginning on January 1, 2023. | The Bank adopted this guidance as of January 1, 2023. The adoption of this guidance did not have a material effect on the Bank’s financial condition, results of operations, cash flows, and financial statement disclosures. |
September 30, 2023 | |||||||||||||||||||||||||||||
(In millions) | Amortized Cost(1) | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||
Government Sponsored Enterprises (GSEs) – multifamily | ( | ||||||||||||||||||||||||||||
PLRMBS | ( | ( | |||||||||||||||||||||||||||
Total MBS | ( | ( | |||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ |
December 31, 2022 | |||||||||||||||||||||||||||||
(In millions) | Amortized Cost(1) | Allowance for Credit Losses | Gross Unrealized Gains | Gross Unrealized Losses | Estimated Fair Value | ||||||||||||||||||||||||
U.S. Treasury obligations | $ | $ | $ | $ | $ | ||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||
GSEs – multifamily | ( | ||||||||||||||||||||||||||||
PLRMBS | ( | ( | |||||||||||||||||||||||||||
Total MBS | ( | ( | |||||||||||||||||||||||||||
Total | $ | $ | ( | $ | $ | ( | $ |
September 30, 2023 | |||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||
(In millions) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | |||||||||||||||||||||||||||||
MBS – GSEs – multifamily | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
PLRMBS | |||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
December 31, 2022 | |||||||||||||||||||||||||||||||||||
Less Than 12 Months | 12 Months or More | Total | |||||||||||||||||||||||||||||||||
(In millions) | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | Estimated Fair Value | Gross Unrealized Losses | |||||||||||||||||||||||||||||
MBS – GSEs – multifamily | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
PLRMBS | |||||||||||||||||||||||||||||||||||
Total | $ | $ | $ | $ | $ | $ |
September 30, 2023 | |||||||||||
(In millions) | |||||||||||
Year of Contractual Maturity | Amortized Cost | Estimated Fair Value | |||||||||
U.S. Treasury obligations – Due after 1 year through 5 years | $ | $ | |||||||||
MBS | |||||||||||
Total | $ | $ |
December 31, 2022 | |||||||||||
(In millions) | |||||||||||
Year of Contractual Maturity | Amortized Cost | Estimated Fair Value | |||||||||
U.S. Treasury obligations – Due after 1 year through 5 years | $ | $ | |||||||||
MBS | |||||||||||
Total | $ | $ |
September 30, 2023 | |||||||||||||||||||||||
(In millions) | Amortized Cost(1) | Gross Unrecognized Holding Gains(2) | Gross Unrecognized Holding Losses(2) | Estimated Fair Value | |||||||||||||||||||
MBS – Other U.S. obligations – single-family | $ | $ | $ | ( | $ | ||||||||||||||||||
MBS – GSEs: | |||||||||||||||||||||||
MBS – GSEs – single-family | ( | ||||||||||||||||||||||
MBS – GSEs – multifamily | ( | ||||||||||||||||||||||
Subtotal MBS – GSEs | ( | ||||||||||||||||||||||
PLRMBS | ( | ||||||||||||||||||||||
Total | $ | $ | $ | ( | $ |
December 31, 2022 | |||||||||||||||||||||||
(In millions) | Amortized Cost(1) | Gross Unrecognized Holding Gains(2) | Gross Unrecognized Holding Losses(2) | Estimated Fair Value | |||||||||||||||||||
MBS – Other U.S. obligations – single-family | $ | $ | $ | ( | $ | ||||||||||||||||||
MBS – GSEs: | |||||||||||||||||||||||
MBS – GSEs – single-family | ( | ||||||||||||||||||||||
MBS – GSEs – multifamily | ( | ||||||||||||||||||||||
Subtotal MBS – GSEs | ( | ||||||||||||||||||||||
PLRMBS | ( | ||||||||||||||||||||||
Total | $ | $ | $ | ( | $ |
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | |||||||||||||||||||
Balance, beginning of the period | $ | $ | $ | $ | |||||||||||||||||||
(Charge-offs)/recoveries | ( | ( | ( | ( | |||||||||||||||||||
Provision for/(reversal of) credit losses | |||||||||||||||||||||||
Balance, end of the period | $ | $ | $ | $ |
(Dollars in millions) | September 30, 2023 | December 31, 2022 | |||||||||||||||||||||
Redemption Term | Amount Outstanding(1) | Weighted Average Interest Rate | Amount Outstanding(1) | Weighted Average Interest Rate | |||||||||||||||||||
Overdrawn demand and overnight deposit accounts | $ | % | $ | % | |||||||||||||||||||
Within 1 year(2) | |||||||||||||||||||||||
After 1 year through 2 years | |||||||||||||||||||||||
After 2 years through 3 years | |||||||||||||||||||||||
After 3 years through 4 years | |||||||||||||||||||||||
After 4 years through 5 years | |||||||||||||||||||||||
After 5 years | |||||||||||||||||||||||
Total par value | % | % | |||||||||||||||||||||
Valuation adjustments for hedging activities | ( | ( | |||||||||||||||||||||
Valuation adjustments under fair value option | ( | ( | |||||||||||||||||||||
Total | $ | $ |
Earlier of Redemption Term or Next Call Date | Earlier of Redemption Term or Next Put Date | ||||||||||||||||||||||
(In millions) | September 30, 2023 | December 31, 2022 | September 30, 2023 | December 31, 2022 | |||||||||||||||||||
Overdrawn demand and overnight deposit accounts | $ | $ | $ | $ | |||||||||||||||||||
Within 1 year | |||||||||||||||||||||||
After 1 year through 2 years | |||||||||||||||||||||||
After 2 years through 3 years | |||||||||||||||||||||||
After 3 years through 4 years | |||||||||||||||||||||||
After 4 years through 5 years | |||||||||||||||||||||||
After 5 years | |||||||||||||||||||||||
Total par value | $ | $ | $ | $ |
September 30, 2023 | |||||||||||||||||||||||||||||||||||
(Dollars in millions) | September 30, 2023 | Three Months Ended September 30, 2023 | Nine Months Ended September 30, 2023 | ||||||||||||||||||||||||||||||||
Name of Borrower | Advances Outstanding | Percentage of Total Advances Outstanding | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | |||||||||||||||||||||||||||||
JPMorgan Chase, National Association(2) | $ | % | $ | % | $ | % | |||||||||||||||||||||||||||||
Western Alliance Bank | |||||||||||||||||||||||||||||||||||
City National Bank | |||||||||||||||||||||||||||||||||||
First Technology Federal Credit Union(3) | |||||||||||||||||||||||||||||||||||
MUFG Union Bank, National Association(5) | |||||||||||||||||||||||||||||||||||
SchoolsFirst Federal Credit Union | |||||||||||||||||||||||||||||||||||
Bank of America California, National Association | |||||||||||||||||||||||||||||||||||
Luther Burbank Savings(3)(4) | |||||||||||||||||||||||||||||||||||
Wells Fargo National Bank West | |||||||||||||||||||||||||||||||||||
Logix Federal Credit Union(3) | |||||||||||||||||||||||||||||||||||
Subtotal | |||||||||||||||||||||||||||||||||||
Others | |||||||||||||||||||||||||||||||||||
Total par value | $ | % | $ | % | $ | % |
September 30, 2022 | |||||||||||||||||||||||||||||||||||
(Dollars in millions) | September 30, 2022 | Three Months Ended September 30, 2022 | Nine Months Ended September 30, 2022 | ||||||||||||||||||||||||||||||||
Name of Borrower | Advances Outstanding | Percentage of Total Advances Outstanding | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | Interest Income from Advances(1) | Percentage of Total Interest Income from Advances | |||||||||||||||||||||||||||||
Silicon Valley Bank(6) | $ | % | $ | % | $ | % | |||||||||||||||||||||||||||||
First Republic Bank (subsequently acquired by JPMorgan Chase, National Association)(2) | |||||||||||||||||||||||||||||||||||
MUFG Union Bank, National Association(5) | |||||||||||||||||||||||||||||||||||
Western Alliance Bank | |||||||||||||||||||||||||||||||||||
First Technology Federal Credit Union(3) | |||||||||||||||||||||||||||||||||||
Bank of the West(7) | |||||||||||||||||||||||||||||||||||
City National Bank | |||||||||||||||||||||||||||||||||||
Wells Fargo National Bank West | |||||||||||||||||||||||||||||||||||
Pacific Western Bank(8) | |||||||||||||||||||||||||||||||||||
Luther Burbank Savings(3)(4) | |||||||||||||||||||||||||||||||||||
Subtotal | |||||||||||||||||||||||||||||||||||
Others | |||||||||||||||||||||||||||||||||||
Total par value | $ | % | $ | % | $ | % |
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||
Par value of advances: | |||||||||||
Fixed rate: | |||||||||||
Due within 1 year | $ | $ | |||||||||
Due after 1 year | |||||||||||
Total fixed rate | |||||||||||
Adjustable rate: | |||||||||||
Due within 1 year | |||||||||||
Due after 1 year | |||||||||||
Total adjustable rate | |||||||||||
Total par value | $ | $ |
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||
Fixed rate medium-term mortgage loans | $ | $ | |||||||||
Fixed rate long-term mortgage loans | |||||||||||
Subtotal | |||||||||||
Unamortized premiums | |||||||||||
Unamortized discounts | ( | ( | |||||||||
Mortgage loans held for portfolio(1) | |||||||||||
Less: Allowance for credit losses | ( | ( | |||||||||
Total mortgage loans held for portfolio, net | $ | $ |
September 30, 2023 | |||||||||||||||||
(Dollars in millions) | Origination Year | ||||||||||||||||
Payment Status | 2019 to 2023 | Prior to 2019 | Amortized Cost(1) | ||||||||||||||
30 – 59 days delinquent | $ | $ | $ | ||||||||||||||
60 – 89 days delinquent | |||||||||||||||||
90 days or more delinquent | |||||||||||||||||
Total past due | |||||||||||||||||
Total current loans | |||||||||||||||||
Total mortgage loans held for portfolio | $ | $ | $ | ||||||||||||||
In process of foreclosure, included above(2) | $ | ||||||||||||||||
Nonaccrual loans(3) | $ | ||||||||||||||||
Serious delinquencies as a percentage of total mortgage loans outstanding(4) | % |
December 31, 2022 | |||||||||||||||||
(Dollars in millions) | Origination Year | ||||||||||||||||
Payment Status | 2018 to 2022 | Prior to 2018 | Amortized Cost(1) | ||||||||||||||
30 – 59 days delinquent | $ | $ | $ | ||||||||||||||
60 – 89 days delinquent | |||||||||||||||||
90 days or more delinquent | |||||||||||||||||
Total past due | |||||||||||||||||
Total current loans | |||||||||||||||||
Total mortgage loans held for portfolio | $ | $ | $ | ||||||||||||||
In process of foreclosure, included above(2) | $ | ||||||||||||||||
Nonaccrual loans(3) | $ | ||||||||||||||||
Serious delinquencies as a percentage of total mortgage loans outstanding(4) | % |
September 30, 2023 | December 31, 2022 | ||||||||||
(Dollars in millions) | Amount Outstanding | Amount Outstanding | |||||||||
Interest-bearing deposits: | |||||||||||
Adjustable rate | $ | $ | |||||||||
Fixed rate | |||||||||||
Total interest-bearing deposits | |||||||||||
Non-interest-bearing deposits | |||||||||||
Total | $ | $ |
(Dollars in millions) | September 30, 2023 | December 31, 2022 | |||||||||||||||||||||
Contractual Maturity | Amount Outstanding | Weighted Average Interest Rate | Amount Outstanding | Weighted Average Interest Rate | |||||||||||||||||||
Within 1 year | $ | % | $ | % | |||||||||||||||||||
After 1 year through 2 years | |||||||||||||||||||||||
After 2 years through 3 years | |||||||||||||||||||||||
After 3 years through 4 years | |||||||||||||||||||||||
After 4 years through 5 years | |||||||||||||||||||||||
After 5 years | |||||||||||||||||||||||
Total par value | % | % | |||||||||||||||||||||
Unamortized premiums | |||||||||||||||||||||||
Unamortized discounts | ( | ( | |||||||||||||||||||||
Valuation adjustments for hedging activities | ( | ( | |||||||||||||||||||||
Fair value option valuation adjustments | ( | ( | |||||||||||||||||||||
Total | $ | $ |
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||
Par value of consolidated obligation bonds: | |||||||||||
Non-callable | $ | $ | |||||||||
Callable | |||||||||||
Total par value | $ | $ |
(In millions) | |||||||||||
Earlier of Contractual Maturity or Next Call Date | September 30, 2023 | December 31, 2022 | |||||||||
Within 1 year | $ | $ | |||||||||
After 1 year through 2 years | |||||||||||
After 2 years through 3 years | |||||||||||
After 3 years through 4 years | |||||||||||
After 4 years through 5 years | |||||||||||
After 5 years | |||||||||||
Total par value | $ | $ |
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(Dollars in millions) | Amount Outstanding | Weighted Average Interest Rate (1) | Amount Outstanding | Weighted Average Interest Rate (1) | |||||||||||||||||||
Par value | $ | % | $ | % | |||||||||||||||||||
Unamortized discounts | ( | ( | |||||||||||||||||||||
Total | $ | $ |
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||
Par value of consolidated obligation bonds: | |||||||||||
Fixed rate | $ | $ | |||||||||
Adjustable rate | |||||||||||
Step-up | |||||||||||
Total consolidated obligation bonds, par value | $ | $ | |||||||||
(In millions) | Net Unrealized Gain/(Loss) on AFS Securities | Pension and Postretirement Benefits | Total AOCI | ||||||||||||||
Balance, June 30, 2022 | $ | $ | ( | $ | |||||||||||||
Other comprehensive income/(loss): | |||||||||||||||||
Net change in fair value | ( | ( | |||||||||||||||
Net current period other comprehensive income/(loss) | ( | ( | |||||||||||||||
Balance, September 30, 2022 | $ | $ | ( | $ | |||||||||||||
Balance, June 30, 2023 | $ | ( | $ | ( | $ | ( | |||||||||||
Other comprehensive income/(loss): | |||||||||||||||||
Net change in pension and postretirement benefits | ( | ( | |||||||||||||||
Net change in fair value | ( | ( | |||||||||||||||
Net current period other comprehensive income/(loss) | ( | ( | ( | ||||||||||||||
Balance, September 30, 2023 | $ | ( | $ | ( | $ | ( |
(In millions) | Net Unrealized Gain/(Loss) on AFS Securities | Pension and Postretirement Benefits | Total AOCI | ||||||||||||||
Balance, December 31, 2021 | $ | $ | ( | $ | |||||||||||||
Other comprehensive income/(loss): | |||||||||||||||||
Net change in pension and postretirement benefits | ( | ( | |||||||||||||||
Net change in fair value | ( | ( | |||||||||||||||
Net current period other comprehensive income/(loss) | ( | ( | ( | ||||||||||||||
Balance, September 30, 2022 | $ | $ | ( | $ | |||||||||||||
Balance, December 31, 2022 | $ | ( | $ | ( | $ | ( | |||||||||||
Other comprehensive income/(loss): | |||||||||||||||||
Net change in pension and postretirement benefits | ( | ( | |||||||||||||||
Net change in fair value | ( | ( | |||||||||||||||
Net current period other comprehensive income/(loss) | ( | ( | ( | ||||||||||||||
Balance, September 30, 2023 | $ | ( | $ | ( | $ | ( |
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(Dollars in millions) | Required | Actual | Required | Actual | |||||||||||||||||||
Risk-based capital | $ | $ | $ | $ | |||||||||||||||||||
Total regulatory capital | $ | $ | $ | $ | |||||||||||||||||||
Total regulatory capital ratio | % | % | % | % | |||||||||||||||||||
Leverage capital | $ | $ | $ | $ | |||||||||||||||||||
Leverage ratio | % | % | % | % |
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | |||||||||||||||||||
Balance at the beginning of the period | $ | $ | $ | $ | |||||||||||||||||||
Reclassified from/(to) capital during the period | |||||||||||||||||||||||
Repurchase/redemption of mandatorily redeemable capital stock | ( | ( | ( | ( | |||||||||||||||||||
Balance at the end of the period | $ | $ | $ | $ |
(In millions) | |||||||||||
Contractual Year of Redemption | September 30, 2023 | December 31, 2022 | |||||||||
Year 3 | $ | $ | |||||||||
Year 4 | |||||||||||
Year 5 | |||||||||||
Past contractual redemption date because of remaining activity(1) | |||||||||||
Total | $ | $ |
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(Dollars in millions) | Capital Stock Outstanding | Percentage of Total Capital Stock Outstanding | Capital Stock Outstanding | Percentage of Total Capital Stock Outstanding | |||||||||||||||||||
JPMorgan Chase, National Association(1) | $ | % | $ | % | |||||||||||||||||||
First Republic Bank(1) | |||||||||||||||||||||||
Silicon Valley Bank(2) | |||||||||||||||||||||||
Subtotal | |||||||||||||||||||||||
Others | |||||||||||||||||||||||
Total | $ | % | $ | % |
(In millions) | 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: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2023 | $ | $ | $ | $ | ( | $ | $ | $ | $ | $ | $ | ||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2022 | ( | ( | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended: | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2023 | $ | $ | $ | $ | ( | $ | $ | $ | $ | ( | $ | $ | |||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2022 | ( | ( | ( | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
(In millions) | Advances- Related Business | Mortgage- Related Business | Total Assets | ||||||||||||||
September 30, 2023 | $ | $ | $ | ||||||||||||||
December 31, 2022 | |||||||||||||||||
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||||||||||||||
(In millions) | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | Notional Amount of Derivatives | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||
Derivatives designated as hedging instruments: | |||||||||||||||||||||||||||||||||||
Interest rate swaps | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Derivatives not designated as hedging instruments: | |||||||||||||||||||||||||||||||||||
Interest rate swaps | |||||||||||||||||||||||||||||||||||
Total derivatives before netting and collateral adjustments | $ | $ | |||||||||||||||||||||||||||||||||
Netting adjustments and cash collateral(1) | ( | ( | ( | ( | |||||||||||||||||||||||||||||||
Total derivative assets and total derivative liabilities | $ | $ | $ | $ |
Three Months Ended September 30, 2023 | |||||||||||||||||
Interest Income/(Expense) | |||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||
Total interest income/(expense) presented in the Statements of Income | $ | $ | $ | ( | |||||||||||||
Gain/(loss) on fair value hedging relationships | |||||||||||||||||
Derivatives(1) | $ | $ | $ | ( | |||||||||||||
Hedged items | ( | ( | ( | ||||||||||||||
Net gain/(loss) on derivatives and hedging activities recorded in net interest income | ( | ||||||||||||||||
Three Months Ended September 30, 2022 | |||||||||||||||||
Interest Income/(Expense) | |||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||
Total interest income/(expense) presented in the Statements of Income | $ | $ | $ | ( | |||||||||||||
Gain/(loss) on fair value hedging relationships | |||||||||||||||||
Derivatives(1) | $ | $ | $ | ( | |||||||||||||
Hedged items | ( | ( | |||||||||||||||
Net gain/(loss) on derivatives and hedging activities recorded in net interest income | ( | ( | |||||||||||||||
Nine Months Ended September 30, 2023 | |||||||||||||||||
Interest Income/(Expense) | |||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||
Total interest income/(expense) presented in the Statements of Income | $ | $ | $ | ( | |||||||||||||
Gain/(loss) on fair value hedging relationships | |||||||||||||||||
Derivatives(1) | $ | $ | $ | ( | |||||||||||||
Hedged items | ( | ( | ( | ||||||||||||||
Net gain/(loss) on derivatives and hedging activities recorded in net interest income | ( | ||||||||||||||||
Nine Months Ended September 30, 2022 | |||||||||||||||||
Interest Income/(Expense) | |||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | ||||||||||||||
Total interest income/(expense) presented in the Statements of Income | $ | $ | $ | ( | |||||||||||||
Gain/(loss) on fair value hedging relationships | |||||||||||||||||
Derivatives(1) | $ | $ | $ | ( | |||||||||||||
Hedged items | ( | ( | |||||||||||||||
Net gain/(loss) on derivatives and hedging activities recorded in net interest income | ( | ( | ( | ||||||||||||||
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | Advances | AFS Securities | Consolidated Obligation Bonds | |||||||||||||||||||||||||||||
Amortized cost of hedged asset/(liability)(1) | $ | $ | $ | ( | $ | $ | $ | ( | |||||||||||||||||||||||||||
Fair value hedging basis adjustments: | |||||||||||||||||||||||||||||||||||
Active hedging relationships included in amortized cost | $ | ( | $ | ( | $ | $ | ( | $ | ( | $ | |||||||||||||||||||||||||
Discontinued hedging relationships included in amortized cost | |||||||||||||||||||||||||||||||||||
Total amount of fair value hedging basis adjustments | $ | ( | $ | ( | $ | $ | ( | $ | ( | $ |
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | |||||||||||||||||||
Derivatives not designated as hedging instruments | Gain/(Loss) | Gain/(Loss) | Gain/(Loss) | Gain/(Loss) | |||||||||||||||||||
Economic hedges: | |||||||||||||||||||||||
Interest rate swaps | $ | $ | $ | ( | $ | ||||||||||||||||||
Net interest settlements | ( | ( | |||||||||||||||||||||
Total net gain/(loss) related to derivatives not designated as hedging instruments | ( | ( | ( | ||||||||||||||||||||
Price alignment amount(1) | ( | ( | |||||||||||||||||||||
Net gain/(loss) on derivatives | $ | $ | ( | $ | ( | $ | ( |
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(In millions) | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||||||||
Derivative instruments meeting netting requirements | |||||||||||||||||||||||
Gross recognized amount | |||||||||||||||||||||||
Uncleared | $ | $ | $ | $ | |||||||||||||||||||
Cleared | |||||||||||||||||||||||
Total gross recognized amount | |||||||||||||||||||||||
Gross amount of netting adjustments and cash collateral | |||||||||||||||||||||||
Uncleared | ( | ( | ( | ( | |||||||||||||||||||
Cleared | ( | ( | ( | ||||||||||||||||||||
Total gross amounts of netting adjustments and cash collateral | ( | ( | ( | ( | |||||||||||||||||||
Total derivative assets and total derivative liabilities | $ | $ | $ | $ | |||||||||||||||||||
Non-cash collateral received or pledged that can be sold or repledged | |||||||||||||||||||||||
Cleared | ( | ||||||||||||||||||||||
Total net amount of non-cash collateral received or pledged | $ | $ | $ | ( | $ | ||||||||||||||||||
Net amount(1) | |||||||||||||||||||||||
Uncleared | $ | $ | $ | $ | |||||||||||||||||||
Cleared | |||||||||||||||||||||||
Total net amount | $ | $ | $ | $ |
September 30, 2023 | |||||||||||||||||||||||||||||||||||
(In millions) | Carrying Value(1) | Estimated Fair Value | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral(2) | |||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | ||||||||||||||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | ||||||||||||||||||||||||||||||||||
Federal funds sold | — | ||||||||||||||||||||||||||||||||||
Trading securities | — | ||||||||||||||||||||||||||||||||||
AFS securities | — | ||||||||||||||||||||||||||||||||||
HTM securities | — | ||||||||||||||||||||||||||||||||||
Advances | — | ||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio | — | ||||||||||||||||||||||||||||||||||
Accrued interest receivable | — | ||||||||||||||||||||||||||||||||||
Derivative assets, net(2) | ( | ||||||||||||||||||||||||||||||||||
Other assets(3) | — | ||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||
Deposits | — | ||||||||||||||||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||||||||||||||||
Bonds | — | ||||||||||||||||||||||||||||||||||
Discount notes | — | ||||||||||||||||||||||||||||||||||
Total consolidated obligations | — | ||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | — | ||||||||||||||||||||||||||||||||||
Borrowings from other FHLBanks | — | ||||||||||||||||||||||||||||||||||
Accrued interest payable | — | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net(2) | ( | ||||||||||||||||||||||||||||||||||
December 31, 2022 | |||||||||||||||||||||||||||||||||||
Carrying Value(1) | Estimated Fair Value | Level 1 | Level 2 | Level 3 | Netting Adjustments and Cash Collateral(2) | ||||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | $ | $ | $ | $ | $ | — | ||||||||||||||||||||||||||||
Interest-bearing deposits | — | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | ||||||||||||||||||||||||||||||||||
Federal funds sold | — | ||||||||||||||||||||||||||||||||||
Trading securities | — | ||||||||||||||||||||||||||||||||||
AFS securities | — | ||||||||||||||||||||||||||||||||||
HTM securities | — | ||||||||||||||||||||||||||||||||||
Advances | — | ||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio | — | ||||||||||||||||||||||||||||||||||
Accrued interest receivable | — | ||||||||||||||||||||||||||||||||||
Derivative assets, net(2) | ( | ||||||||||||||||||||||||||||||||||
Other assets(3) | — | ||||||||||||||||||||||||||||||||||
Liabilities | |||||||||||||||||||||||||||||||||||
Deposits | — | ||||||||||||||||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||||||||||||||||
Bonds | — | ||||||||||||||||||||||||||||||||||
Discount notes | — | ||||||||||||||||||||||||||||||||||
Total consolidated obligations | — | ||||||||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | — | ||||||||||||||||||||||||||||||||||
Accrued interest payable | — | ||||||||||||||||||||||||||||||||||
Derivative liabilities, net(2) | ( | ||||||||||||||||||||||||||||||||||
September 30, 2023 | |||||||||||||||||||||||||||||
Fair Value Measurement Using: | Netting Adjustments and Cash Collateral(1) | ||||||||||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
Recurring fair value measurements – Assets: | |||||||||||||||||||||||||||||
Trading securities: | |||||||||||||||||||||||||||||
MBS – Other U.S. obligations | $ | $ | $ | $ | — | $ | |||||||||||||||||||||||
AFS securities: | |||||||||||||||||||||||||||||
U.S. Treasury obligations | — | ||||||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||
GSEs – multifamily | — | ||||||||||||||||||||||||||||
PLRMBS | — | ||||||||||||||||||||||||||||
Subtotal AFS MBS | — | ||||||||||||||||||||||||||||
Total AFS securities | — | ||||||||||||||||||||||||||||
Advances(2) | — | ||||||||||||||||||||||||||||
Derivative assets, net: interest rate-related | ( | ||||||||||||||||||||||||||||
Other assets | — | ||||||||||||||||||||||||||||
Total recurring fair value measurements – Assets | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||
Recurring fair value measurements – Liabilities: | |||||||||||||||||||||||||||||
Consolidated obligation bonds(3) | $ | $ | $ | $ | — | $ | |||||||||||||||||||||||
Derivative liabilities, net: interest rate-related | ( | ||||||||||||||||||||||||||||
Total recurring fair value measurements – Liabilities | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||
Nonrecurring fair value measurements – Assets:(4) | |||||||||||||||||||||||||||||
Impaired mortgage loans held for portfolio | $ | $ | $ | $ | — | $ | |||||||||||||||||||||||
Total nonrecurring fair value measurements – Assets | $ | $ | $ | $ | — | $ |
December 31, 2022 | |||||||||||||||||||||||||||||
Fair Value Measurement Using: | Netting Adjustments and Cash Collateral(1) | ||||||||||||||||||||||||||||
(In millions) | Level 1 | Level 2 | Level 3 | Total | |||||||||||||||||||||||||
Recurring fair value measurements – Assets: | |||||||||||||||||||||||||||||
Trading securities: | |||||||||||||||||||||||||||||
MBS – Other U.S. obligations | $ | $ | $ | $ | — | $ | |||||||||||||||||||||||
AFS securities: | |||||||||||||||||||||||||||||
U.S. Treasury obligations | — | ||||||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||
GSEs – multifamily | — | ||||||||||||||||||||||||||||
PLRMBS | — | ||||||||||||||||||||||||||||
Subtotal AFS MBS | — | ||||||||||||||||||||||||||||
Total AFS securities | — | ||||||||||||||||||||||||||||
Advances(2) | — | ||||||||||||||||||||||||||||
Derivative assets, net: interest rate-related | ( | ||||||||||||||||||||||||||||
Other assets | — | ||||||||||||||||||||||||||||
Total recurring fair value measurements – Assets | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||
Recurring fair value measurements – Liabilities: | |||||||||||||||||||||||||||||
Consolidated obligation bonds(3) | $ | $ | $ | $ | — | $ | |||||||||||||||||||||||
Derivative liabilities, net: interest rate-related | ( | ||||||||||||||||||||||||||||
Total recurring fair value measurements – Liabilities | $ | $ | $ | $ | ( | $ | |||||||||||||||||||||||
Nonrecurring fair value measurements – Assets:(4) | |||||||||||||||||||||||||||||
Impaired mortgage loans held for portfolio | $ | $ | $ | $ | — | $ | |||||||||||||||||||||||
Total nonrecurring fair value measurements – Assets | $ | $ | $ | $ | — | $ |
Three Months Ended | |||||||||||
September 30, 2023 | September 30, 2022 | ||||||||||
Balance, beginning of the period | $ | $ | |||||||||
Total gain/(loss) realized and unrealized included in: | |||||||||||
Interest income | |||||||||||
(Provision for)/reversal of credit losses | ( | ( | |||||||||
Unrealized gain/(loss) included in AOCI | ( | ( | |||||||||
Settlements | ( | ( | |||||||||
Transfers of HTM securities to AFS securities | |||||||||||
Balance, end of the period | $ | $ | |||||||||
Total amount of unrealized gain/(loss) for the period included in AOCI relating to instruments held at the end of the period | $ | ( | $ | ( | |||||||
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 | $ | $ |
Nine Months Ended | |||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | |||||||||
Balance, beginning of the period | $ | $ | |||||||||
Total gain/(loss) realized and unrealized included in: | |||||||||||
Interest income | |||||||||||
(Provision for)/reversal of credit losses | ( | ( | |||||||||
Other income/(loss) | |||||||||||
Unrealized gain/(loss) included in AOCI | ( | ( | |||||||||
Settlements | ( | ( | |||||||||
Transfers of HTM securities to AFS securities | |||||||||||
Balance, end of the period | $ | $ | |||||||||
Total amount of unrealized gain/(loss) for the period included in AOCI relating to assets held at the end of the period | $ | ( | $ | ( | |||||||
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period | $ | $ |
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | |||||||||||||||||||
Advances | $ | ( | $ | ( | $ | ( | $ | ( | |||||||||||||||
Consolidated obligation bonds | ( | ( | |||||||||||||||||||||
Total | $ | ( | $ | ( | $ | ( | $ | ( |
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||||||||||||||
(In millions) | Principal Balance | Fair Value | Fair Value Over/(Under) Principal Balance | Principal Balance | Fair Value | Fair Value Over/(Under) Principal Balance | |||||||||||||||||||||||||||||
Advances(1) | $ | $ | $ | ( | $ | $ | $ | ( | |||||||||||||||||||||||||||
Consolidated obligation bonds | ( | ( |
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||||||||||||||
(In millions) | Expire Within One Year | Expire After One Year | Total | Expire Within One Year | Expire After One Year | Total | |||||||||||||||||||||||||||||
Standby letters of credit outstanding | $ | $ | $ | $ | $ | $ | |||||||||||||||||||||||||||||
Commitments to issue consolidated obligation discount notes, par | |||||||||||||||||||||||||||||||||||
Commitments to issue consolidated obligation bonds, par | |||||||||||||||||||||||||||||||||||
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||
Assets: | |||||||||||
Advances | $ | $ | |||||||||
Mortgage loans held for portfolio | |||||||||||
Accrued interest receivable | |||||||||||
Liabilities: | |||||||||||
Deposits | $ | $ | |||||||||
Capital: | |||||||||||
Capital Stock | $ | $ |
Three Months Ended | Nine Months Ended | ||||||||||||||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | September 30, 2023 | September 30, 2022 | |||||||||||||||||||
Interest Income: | |||||||||||||||||||||||
Advances | $ | $ | $ | $ | |||||||||||||||||||
Mortgage loans held for portfolio |
(Dollars in millions) | September 30, 2023 | June 30, 2023 | March 31, 2023 | December 31, 2022 | September 30, 2022 | ||||||||||||||||||||||||
Selected Balance Sheet Items at Quarter End | |||||||||||||||||||||||||||||
Total Assets | $ | 95,021 | $ | 114,877 | $ | 142,493 | $ | 121,056 | $ | 108,507 | |||||||||||||||||||
Advances | 63,584 | 70,537 | 101,541 | 89,400 | 65,658 | ||||||||||||||||||||||||
Mortgage Loans Held for Portfolio, Net | 770 | 785 | 801 | 815 | 834 | ||||||||||||||||||||||||
Investments(1) | 30,235 | 43,139 | 39,712 | 30,291 | 41,661 | ||||||||||||||||||||||||
Consolidated Obligations:(2) | |||||||||||||||||||||||||||||
Bonds | 70,907 | 79,855 | 95,034 | 75,768 | 35,446 | ||||||||||||||||||||||||
Discount Notes | 14,293 | 24,795 | 37,356 | 35,929 | 62,046 | ||||||||||||||||||||||||
Mandatorily Redeemable Capital Stock | 776 | 843 | 95 | 5 | 5 | ||||||||||||||||||||||||
Capital Stock —Class B —Putable | 2,485 | 2,600 | 4,007 | 3,758 | 3,322 | ||||||||||||||||||||||||
Unrestricted Retained Earnings | 3,406 | 3,387 | 3,356 | 3,262 | 3,222 | ||||||||||||||||||||||||
Restricted Retained Earnings | 816 | 795 | 770 | 732 | 708 | ||||||||||||||||||||||||
Accumulated Other Comprehensive Income/(Loss) (AOCI) | (55) | (19) | (61) | (29) | 12 | ||||||||||||||||||||||||
Total Capital | 6,652 | 6,763 | 8,072 | 7,723 | 7,264 | ||||||||||||||||||||||||
Selected Operating Results for the Quarter | |||||||||||||||||||||||||||||
Net Interest Income | $ | 171 | $ | 179 | $ | 287 | $ | 181 | $ | 157 | |||||||||||||||||||
Provision for/(Reversal of) Credit Losses | 7 | 1 | (1) | 6 | 9 | ||||||||||||||||||||||||
Other Income/(Loss) | 7 | 4 | (26) | — | (18) | ||||||||||||||||||||||||
Other Expense | 55 | 48 | 45 | 45 | 41 | ||||||||||||||||||||||||
Affordable Housing Program Assessment | 13 | 13 | 22 | 13 | 9 | ||||||||||||||||||||||||
Net Income/(Loss) | $ | 103 | $ | 121 | $ | 195 | $ | 117 | $ | 80 | |||||||||||||||||||
Selected Other Data for the Quarter | |||||||||||||||||||||||||||||
Net Interest Margin(3) | 0.68 | % | 0.55 | % | 0.88 | % | 0.62 | % | 0.63 | % | |||||||||||||||||||
Return on Average Assets | 0.41 | 0.36 | 0.60 | 0.40 | 0.32 | ||||||||||||||||||||||||
Return on Average Equity | 6.17 | 6.52 | 10.14 | 6.24 | 4.52 | ||||||||||||||||||||||||
Annualized Dividend Rate | 7.75 | 7.00 | 7.00 | 7.00 | 6.00 | ||||||||||||||||||||||||
Dividend Payout Ratio(4) | 62.12 | 53.53 | 32.00 | 45.97 | 49.98 | ||||||||||||||||||||||||
Average Equity to Average Assets Ratio | 6.63 | 5.57 | 5.93 | 6.47 | 7.16 | ||||||||||||||||||||||||
Selected Other Data at Quarter End | |||||||||||||||||||||||||||||
Regulatory Capital Ratio(5) | 7.87 | 6.64 | 5.77 | 6.41 | 6.69 | ||||||||||||||||||||||||
Duration Gap (in months) | 1.2 | 1.1 | 0.9 | 0.9 | 1.0 |
Par Value (In millions) | |||||
September 30, 2023 | $ | 1,229,875 | |||
June 30, 2023 | 1,340,166 | ||||
March 31, 2023 | 1,477,668 | ||||
December 31, 2022 | 1,181,743 | ||||
September 30, 2022 | 1,031,910 |
Average Balance Sheets | |||||||||||||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||||||||||||
September 30, 2023 | September 30, 2022 | ||||||||||||||||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income/ Expense | Average Rate | Average Balance | Interest Income/ Expense | Average Rate | |||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Interest-earning assets: | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 4,497 | $ | 61 | 5.38 | % | $ | 2,299 | $ | 14 | 2.28 | % | |||||||||||||||||||||||
Securities purchased under agreements to resell | 3,742 | 50 | 5.27 | 8,937 | 51 | 2.28 | |||||||||||||||||||||||||||||
Federal funds sold | 9,209 | 123 | 5.30 | 12,901 | 72 | 2.22 | |||||||||||||||||||||||||||||
Trading securities: | |||||||||||||||||||||||||||||||||||
Mortgage-backed securities (MBS) | 1 | — | 3.12 | 1 | — | 2.10 | |||||||||||||||||||||||||||||
Available-for-sale (AFS) securities:(1) | |||||||||||||||||||||||||||||||||||
MBS(2)(3)(4) | 10,803 | 189 | 6.91 | 8,372 | 88 | 4.17 | |||||||||||||||||||||||||||||
Other investments(3) | 4,030 | 57 | 5.61 | 3,730 | 21 | 2.29 | |||||||||||||||||||||||||||||
Held-to-maturity (HTM) securities: | |||||||||||||||||||||||||||||||||||
MBS | 1,937 | 25 | 5.22 | 2,526 | 17 | 2.56 | |||||||||||||||||||||||||||||
Mortgage loans held for portfolio(5) | 778 | 9 | 4.26 | 850 | 8 | 4.10 | |||||||||||||||||||||||||||||
Advances(3)(6) | 64,221 | 867 | 5.36 | 58,513 | 345 | 2.34 | |||||||||||||||||||||||||||||
Loans to other FHLBanks | 14 | — | 5.30 | 16 | — | 2.36 | |||||||||||||||||||||||||||||
Total interest-earning assets | 99,232 | 1,381 | 5.52 | 98,145 | 616 | 2.49 | |||||||||||||||||||||||||||||
Other assets(7) | 978 | — | 387 | — | |||||||||||||||||||||||||||||||
Total Assets | $ | 100,210 | $ | 1,381 | $ | 98,532 | $ | 616 | |||||||||||||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||||||||||||||||
Bonds(3) | $ | 73,093 | $ | 963 | 5.23 | % | $ | 28,402 | $ | 143 | 2.01 | % | |||||||||||||||||||||||
Discount notes | 16,711 | 218 | 5.17 | 61,417 | 310 | 2.00 | |||||||||||||||||||||||||||||
Deposits and other borrowings | 1,267 | 16 | 5.33 | 921 | 5 | 2.15 | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 803 | 13 | 6.24 | 5 | — | 5.79 | |||||||||||||||||||||||||||||
Borrowings from other FHLBanks | 22 | — | 5.20 | 65 | 1 | 2.74 | |||||||||||||||||||||||||||||
Total interest-bearing liabilities | 91,896 | 1,210 | 5.23 | 90,810 | 459 | 2.01 | |||||||||||||||||||||||||||||
Other liabilities(7) | 1,668 | — | 668 | — | |||||||||||||||||||||||||||||||
Total Liabilities | 93,564 | 1,210 | 91,478 | 459 | |||||||||||||||||||||||||||||||
Total Capital | 6,646 | — | 7,054 | — | |||||||||||||||||||||||||||||||
Total Liabilities and Capital | $ | 100,210 | $ | 1,210 | $ | 98,532 | $ | 459 | |||||||||||||||||||||||||||
Net Interest Income | $ | 171 | $ | 157 | |||||||||||||||||||||||||||||||
Net Interest Spread(8) | 0.29 | % | 0.48 | % | |||||||||||||||||||||||||||||||
Net Interest Margin(9) | 0.68 | % | 0.63 | % | |||||||||||||||||||||||||||||||
Interest-earning Assets/Interest-bearing Liabilities | 107.98 | % | 108.08 | % |
Three Months Ended | |||||||||||||||||||||||
September 30, 2023 | |||||||||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | Total | |||||||||||||||||||
(Amortization)/accretion of hedging activities | $ | (6) | $ | (25) | $ | — | $ | (31) | |||||||||||||||
Net gain/(loss) on derivatives and hedged items | 16 | 18 | 1 | 35 | |||||||||||||||||||
Net interest settlements on derivatives | 153 | 100 | (153) | 100 | |||||||||||||||||||
Total effect on net interest income | $ | 163 | $ | 93 | $ | (152) | $ | 104 |
Three Months Ended | |||||||||||||||||||||||
September 30, 2022 | |||||||||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | Total | |||||||||||||||||||
(Amortization)/accretion of hedging activities | $ | (8) | $ | (26) | $ | — | $ | (34) | |||||||||||||||
Net gain/(loss) on derivatives and hedged items | (6) | (4) | — | (10) | |||||||||||||||||||
Net interest settlements on derivatives | 27 | 22 | (37) | 12 | |||||||||||||||||||
Total effect on net interest income | $ | 13 | $ | (8) | $ | (37) | $ | (32) |
Change in Net Interest Income: Rate/Volume Analysis Three Months Ended September 30, 2023, Compared to Three Months Ended September 30, 2022 | |||||||||||||||||
Increase/ (Decrease) | Attributable to Changes in(1) | ||||||||||||||||
(In millions) | Average Volume | Average Rate | |||||||||||||||
Interest-earning assets: | |||||||||||||||||
Interest-bearing deposits | $ | 47 | $ | 20 | $ | 27 | |||||||||||
Securities purchased under agreements to resell | (1) | (42) | 41 | ||||||||||||||
Federal funds sold | 51 | (26) | 77 | ||||||||||||||
AFS securities: | |||||||||||||||||
MBS(2) | 101 | 31 | 70 | ||||||||||||||
Other investments(2) | 36 | 2 | 34 | ||||||||||||||
HTM securities: MBS | 8 | (5) | 13 | ||||||||||||||
Mortgage loans held for portfolio | 1 | — | 1 | ||||||||||||||
Advances(2) | 522 | 37 | 485 | ||||||||||||||
Total interest-earning assets | 765 | 17 | 748 | ||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Consolidated obligations: | |||||||||||||||||
Bonds(2) | 820 | 406 | 414 | ||||||||||||||
Discount notes | (92) | (338) | 246 | ||||||||||||||
Deposits and other borrowings | 11 | 1 | 10 | ||||||||||||||
Borrowings from other FHLBanks | (1) | (1) | — | ||||||||||||||
Mandatorily redeemable capital stock | 13 | 13 | — | ||||||||||||||
Total interest-bearing liabilities | 751 | 81 | 670 | ||||||||||||||
Net interest income | $ | 14 | $ | (64) | $ | 78 |
Other Income/(Loss) | |||||||||||
Three Months Ended | |||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | |||||||||
Other Income/(Loss): | |||||||||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $ | (12) | $ | (20) | |||||||
Net gain/(loss) on derivatives | 15 | (1) | |||||||||
Standby letters of credit fees | 4 | 4 | |||||||||
Other, net | — | (1) | |||||||||
Total Other Income/(Loss) | $ | 7 | $ | (18) |
Net Gain/(Loss) on Advances and Consolidated Obligations Bonds Held Under Fair Value Option | |||||||||||
Three Months Ended | |||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | |||||||||
Advances | $ | (10) | $ | (42) | |||||||
Consolidated obligation bonds | (2) | 22 | |||||||||
Total | $ | (12) | $ | (20) |
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives Three Months Ended September 30, 2023, Compared to Three Months Ended September 30, 2022 | |||||||||||||||||||||||||||||||||||
Three Months Ended | |||||||||||||||||||||||||||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | |||||||||||||||||||||||||||||||||
Hedged Item | Gain/(Loss) on Economic Hedges | Income/ (Expense) on Economic Hedges | Total | Gain/(Loss) on Economic Hedges | Income/ (Expense) on Economic Hedges | Total | |||||||||||||||||||||||||||||
Advances: | |||||||||||||||||||||||||||||||||||
Elected for fair value option | $ | 7 | $ | 14 | $ | 21 | $ | 35 | $ | (3) | $ | 32 | |||||||||||||||||||||||
Not elected for fair value option | (3) | 9 | 6 | 22 | 1 | 23 | |||||||||||||||||||||||||||||
Consolidated obligation bonds: | |||||||||||||||||||||||||||||||||||
Elected for fair value option | 2 | (7) | (5) | (19) | (6) | (25) | |||||||||||||||||||||||||||||
Not elected for fair value option | 2 | (9) | (7) | (20) | (3) | (23) | |||||||||||||||||||||||||||||
Consolidated obligation discount notes: | |||||||||||||||||||||||||||||||||||
Not elected for fair value option | 5 | (4) | 1 | 2 | (13) | (11) | |||||||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||||||||
Not elected for fair value option | — | — | — | 3 | — | 3 | |||||||||||||||||||||||||||||
Price alignment amount(1) | (1) | — | (1) | — | — | — | |||||||||||||||||||||||||||||
Total | $ | 12 | $ | 3 | $ | 15 | $ | 23 | $ | (24) | $ | (1) |
Average Balance Sheets | |||||||||||||||||||||||||||||||||||
Nine Months Ended | |||||||||||||||||||||||||||||||||||
September 30, 2023 | September 30, 2022 | ||||||||||||||||||||||||||||||||||
(Dollars in millions) | Average Balance | Interest Income/ Expense | Average Rate | Average Balance | Interest Income/ Expense | Average Rate | |||||||||||||||||||||||||||||
Assets | |||||||||||||||||||||||||||||||||||
Interest-earning assets: | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 4,438 | $ | 167 | 5.03 | % | $ | 1,748 | $ | 17 | 1.29 | % | |||||||||||||||||||||||
Securities purchased under agreements to resell | 6,819 | 252 | 4.94 | 5,747 | 65 | 1.51 | |||||||||||||||||||||||||||||
Federal funds sold | 11,147 | 414 | 4.96 | 10,883 | 96 | 1.18 | |||||||||||||||||||||||||||||
Trading securities: | |||||||||||||||||||||||||||||||||||
MBS | 1 | — | 2.93 | 1 | — | 1.92 | |||||||||||||||||||||||||||||
Other investments | — | — | — | 16 | — | 2.04 | |||||||||||||||||||||||||||||
AFS securities:(1) | |||||||||||||||||||||||||||||||||||
MBS(2)(3)(4) | 9,770 | 484 | 6.62 | 8,715 | 220 | 3.38 | |||||||||||||||||||||||||||||
Other investments(3) | 4,035 | 161 | 5.31 | 2,064 | 27 | 1.74 | |||||||||||||||||||||||||||||
HTM securities: | |||||||||||||||||||||||||||||||||||
MBS | 2,038 | 74 | 4.87 | 2,751 | 34 | 1.64 | |||||||||||||||||||||||||||||
Mortgage loans held for portfolio(5) | 794 | 21 | 3.46 | 892 | 38 | 5.74 | |||||||||||||||||||||||||||||
Advances(3)(6) | 81,951 | 3,184 | 5.20 | 43,101 | 501 | 1.55 | |||||||||||||||||||||||||||||
Loans to other FHLBanks | 11 | — | 4.90 | 12 | — | 1.48 | |||||||||||||||||||||||||||||
Total interest-earning assets | 121,004 | 4,757 | 5.26 | 75,930 | 998 | 1.76 | |||||||||||||||||||||||||||||
Other assets(7) | 606 | — | 518 | — | |||||||||||||||||||||||||||||||
Total Assets | $ | 121,610 | $ | 4,757 | $ | 76,448 | $ | 998 | |||||||||||||||||||||||||||
Liabilities and Capital | |||||||||||||||||||||||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||||||||||||||||||||
Consolidated obligations: | |||||||||||||||||||||||||||||||||||
Bonds(3) | $ | 82,240 | $ | 3,008 | 4.89 | % | $ | 26,549 | $ | 205 | 1.03 | % | |||||||||||||||||||||||
Discount notes | 29,101 | 1,050 | 4.82 | 41,428 | 399 | 1.29 | |||||||||||||||||||||||||||||
Deposits and other borrowings | 1,205 | 45 | 5.07 | 1,107 | 7 | 0.90 | |||||||||||||||||||||||||||||
Mandatorily redeemable capital stock | 526 | 15 | 3.78 | 5 | — | 6.18 | |||||||||||||||||||||||||||||
Borrowings from other FHLBanks | 51 | 2 | 4.79 | 57 | 1 | 1.67 | |||||||||||||||||||||||||||||
Total interest-bearing liabilities | 113,123 | 4,120 | 4.87 | 69,146 | 612 | 1.18 | |||||||||||||||||||||||||||||
Other liabilities(7) | 1,200 | — | 564 | — | |||||||||||||||||||||||||||||||
Total Liabilities | 114,323 | 4,120 | 69,710 | 612 | |||||||||||||||||||||||||||||||
Total Capital | 7,287 | — | 6,738 | — | |||||||||||||||||||||||||||||||
Total Liabilities and Capital | $ | 121,610 | $ | 4,120 | $ | 76,448 | $ | 612 | |||||||||||||||||||||||||||
Net Interest Income | $ | 637 | $ | 386 | |||||||||||||||||||||||||||||||
Net Interest Spread(8) | 0.39 | % | 0.57 | % | |||||||||||||||||||||||||||||||
Net Interest Margin(9) | 0.70 | % | 0.68 | % | |||||||||||||||||||||||||||||||
Interest-earning Assets/Interest-bearing Liabilities | 106.97 | % | 109.81 | % |
Nine Months Ended | |||||||||||||||||||||||
September 30, 2023 | |||||||||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | Total | |||||||||||||||||||
(Amortization)/accretion of hedging activities | $ | (19) | $ | (76) | $ | — | $ | (95) | |||||||||||||||
Net gain/(loss) on derivatives and hedged items | (210) | 2 | (5) | (213) | |||||||||||||||||||
Net interest settlements on derivatives | 416 | 297 | (424) | 289 | |||||||||||||||||||
Total effect on net interest income | $ | 187 | $ | 223 | $ | (429) | $ | (19) |
Nine Months Ended | |||||||||||||||||||||||
September 30, 2022 | |||||||||||||||||||||||
(In millions) | Advances | AFS Securities | Consolidated Obligation Bonds | Total | |||||||||||||||||||
(Amortization)/accretion of hedging activities | $ | (22) | $ | (80) | $ | — | $ | (102) | |||||||||||||||
Net gain/(loss) on derivatives and hedged items | (5) | 4 | — | (1) | |||||||||||||||||||
Net interest settlements on derivatives | (4) | 2 | (2) | (4) | |||||||||||||||||||
Total effect on net interest income | $ | (31) | $ | (74) | $ | (2) | $ | (107) |
Change in Net Interest Income: Rate/Volume Analysis Nine Months Ended September 30, 2023 Compared to Nine Months Ended September 30, 2022 | |||||||||||||||||
Increase/ (Decrease) | Attributable to Changes in(1) | ||||||||||||||||
(In millions) | Average Volume | Average Rate | |||||||||||||||
Interest-earning assets: | |||||||||||||||||
Interest-bearing deposits | $ | 150 | $ | 52 | $ | 98 | |||||||||||
Securities purchased under agreements to resell | 187 | 14 | 173 | ||||||||||||||
Federal funds sold | 318 | 2 | 316 | ||||||||||||||
AFS securities: | |||||||||||||||||
MBS(2) | 264 | 30 | 234 | ||||||||||||||
Other investments(2) | 134 | 42 | 92 | ||||||||||||||
HTM securities: MBS | 40 | (11) | 51 | ||||||||||||||
Mortgage loans held for portfolio | (17) | (4) | (13) | ||||||||||||||
Advances(2) | 2,683 | 745 | 1,938 | ||||||||||||||
Total interest-earning assets | 3,759 | 870 | 2,889 | ||||||||||||||
Interest-bearing liabilities: | |||||||||||||||||
Consolidated obligations: | |||||||||||||||||
Bonds(2) | 2,803 | 1,008 | 1,795 | ||||||||||||||
Discount notes | 651 | (151) | 802 | ||||||||||||||
Deposits and other borrowings | 38 | 1 | 37 | ||||||||||||||
Borrowings from other FHLBanks | 1 | — | 1 | ||||||||||||||
Mandatorily redeemable capital stock | 15 | 15 | — | ||||||||||||||
Total interest-bearing liabilities | 3,508 | 873 | 2,635 | ||||||||||||||
Net interest income | $ | 251 | $ | (3) | $ | 254 |
Other Income/(Loss) | |||||||||||
Nine Months Ended | |||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | |||||||||
Other Income/(Loss): | |||||||||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $ | (27) | $ | (53) | |||||||
Net gain/(loss) on derivatives | (6) | (13) | |||||||||
Private-label residential mortgage-backed securities trust settlement | — | 28 | |||||||||
Standby letters of credit fees | 15 | 11 | |||||||||
Other, net | 3 | (4) | |||||||||
Total Other Income/(Loss) | $ | (15) | $ | (31) |
Net Gain/(Loss) on Advances and Consolidated Obligation Bonds Held Under Fair Value Option | |||||||||||
Nine Months Ended | |||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | |||||||||
Advances | $ | (11) | $ | (117) | |||||||
Consolidated obligation bonds | (16) | 64 | |||||||||
Total | $ | (27) | $ | (53) |
Sources of Gains/(Losses) Recorded in Net Gain/(Loss) on Derivatives 2023 Compared to 2022 | |||||||||||||||||||||||||||||||||||
Nine Months Ended | |||||||||||||||||||||||||||||||||||
(In millions) | September 30, 2023 | September 30, 2022 | |||||||||||||||||||||||||||||||||
Hedged Item | Gain/(Loss) on Economic Hedges | Income/ (Expense) on Economic Hedges | Total | Gain/(Loss) on Economic Hedges | Income/ (Expense) on Economic Hedges | Total | |||||||||||||||||||||||||||||
Advances: | |||||||||||||||||||||||||||||||||||
Elected for fair value option | $ | 8 | $ | 36 | $ | 44 | $ | 102 | $ | (18) | $ | 84 | |||||||||||||||||||||||
Not elected for fair value option | (36) | 28 | (8) | 43 | 10 | 53 | |||||||||||||||||||||||||||||
Consolidated obligation bonds: | |||||||||||||||||||||||||||||||||||
Elected for fair value option | 14 | (28) | (14) | (58) | (4) | (62) | |||||||||||||||||||||||||||||
Not elected for fair value option | 9 | (27) | (18) | (62) | (2) | (64) | |||||||||||||||||||||||||||||
Consolidated obligation discount notes: | |||||||||||||||||||||||||||||||||||
Not elected for fair value option | — | (7) | (7) | (25) | (3) | (28) | |||||||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||||||||
Not elected for fair value option | — | — | — | 4 | — | 4 | |||||||||||||||||||||||||||||
Price alignment amount(1) | (3) | — | (3) | — | — | — | |||||||||||||||||||||||||||||
Total | $ | (8) | $ | 2 | $ | (6) | $ | 4 | $ | (17) | $ | (13) |
Advances Portfolio by Product Type | |||||||||||||||||||||||
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(Dollars in millions) | Par Value | Percentage of Total Par Value | Par Value | Percentage of Total Par Value | |||||||||||||||||||
Adjustable – SOFR | $ | 2,165 | 2 | % | 2,690 | 3 | % | ||||||||||||||||
Adjustable – SOFR, callable at borrower’s option | 4,250 | 7 | 9,500 | 11 | |||||||||||||||||||
Subtotal adjustable rate advances | 6,415 | 9 | 12,190 | 14 | |||||||||||||||||||
Fixed | 10,019 | 16 | 45,471 | 50 | |||||||||||||||||||
Fixed – amortizing | 60 | — | 60 | — | |||||||||||||||||||
Fixed – with PPS(1) | 523 | 1 | 965 | 1 | |||||||||||||||||||
Fixed – with FPS(1) | 38,666 | 60 | 18,035 | 20 | |||||||||||||||||||
Fixed – callable at borrower’s option with FPS(1) | 340 | 1 | 340 | — | |||||||||||||||||||
Fixed – putable at Bank’s option with FPS(1) | 1,491 | 2 | 800 | 1 | |||||||||||||||||||
Subtotal fixed rate advances | 51,099 | 80 | 65,671 | 72 | |||||||||||||||||||
Daily variable rate | 7,043 | 11 | 12,256 | 14 | |||||||||||||||||||
Total par value | $ | 64,557 | 100 | % | $ | 90,117 | 100 | % |
Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Credit Quality Rating | |||||||||||||||||||||||||||||
September 30, 2023 | |||||||||||||||||||||||||||||
All Members and Nonmembers | Members and Nonmembers with Credit Outstanding | ||||||||||||||||||||||||||||
(Dollars in millions) | Collateral Borrowing Capacity(3) | ||||||||||||||||||||||||||||
Member or Nonmember Credit Quality Rating(1) | Number | Number | Credit Outstanding(2) | Total | Used | ||||||||||||||||||||||||
1-3 | 245 | 159 | $ | 68,512 | $ | 178,505 | 38 | % | |||||||||||||||||||||
4-6 | 75 | 46 | 14,219 | 48,824 | 29 | ||||||||||||||||||||||||
7-10 | 9 | 3 | 51 | 192 | 27 | ||||||||||||||||||||||||
Subtotal | 329 | 208 | 82,782 | 227,521 | 36 | ||||||||||||||||||||||||
Community development financial institutions (CDFIs) | 8 | 6 | 111 | 166 | 67 | ||||||||||||||||||||||||
Housing associates | 2 | — | — | — | — | ||||||||||||||||||||||||
Total | 339 | 214 | $ | 82,893 | $ | 227,687 | 36 | % |
December 31, 2022 | |||||||||||||||||||||||||||||
All Members and Nonmembers | Members and Nonmembers with Credit Outstanding | ||||||||||||||||||||||||||||
(Dollars in millions) | Collateral Borrowing Capacity(3) | ||||||||||||||||||||||||||||
Member or Nonmember Credit Quality Rating(1) | Number | Credit Outstanding(2) | Total | Used | |||||||||||||||||||||||||
1-3 | 257 | 172 | $ | 98,702 | $ | 323,212 | 31 | % | |||||||||||||||||||||
4-6 | 65 | 33 | 13,891 | 31,536 | 44 | ||||||||||||||||||||||||
7-10 | 4 | 3 | 8 | 51 | 16 | ||||||||||||||||||||||||
Subtotal | 326 | 208 | 112,601 | 354,799 | 32 | ||||||||||||||||||||||||
CDFIs | 7 | 6 | 100 | 151 | 66 | ||||||||||||||||||||||||
Housing associates | 2 | 1 | 95 | 102 | 93 | ||||||||||||||||||||||||
Total | 335 | 215 | $ | 112,796 | $ | 355,052 | 32 | % |
Member and Nonmember Credit Outstanding and Collateral Borrowing Capacity by Unused Borrowing Capacity | |||||||||||||||||
September 30, 2023 | |||||||||||||||||
(Dollars in millions) Unused Borrowing Capacity | Number of Members and Nonmembers with Credit Outstanding | Credit Outstanding(1) | Collateral Borrowing Capacity(2) | ||||||||||||||
0% – 10% | 7 | $ | 27,265 | $ | 27,556 | ||||||||||||
11% – 25% | 6 | 2,566 | 2,947 | ||||||||||||||
26% – 50% | 26 | 15,512 | 27,060 | ||||||||||||||
More than 50% | 175 | 37,550 | 170,124 | ||||||||||||||
Total | 214 | $ | 82,893 | $ | 227,687 |
December 31, 2022 | |||||||||||||||||
(Dollars in millions) Unused Borrowing Capacity | Number of Members and Nonmembers with Credit Outstanding | Credit Outstanding(1) | Collateral Borrowing Capacity(2) | ||||||||||||||
0% – 10% | 11 | $ | 6,637 | $ | 7,319 | ||||||||||||
11% – 25% | 11 | 5,644 | 7,380 | ||||||||||||||
26% – 50% | 22 | 15,509 | 24,465 | ||||||||||||||
More than 50% | 171 | 85,006 | 315,888 | ||||||||||||||
Total | 215 | $ | 112,796 | $ | 355,052 |
Composition of Loan Collateral Pledged | |||||||||||||||||||||||
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||||||||||||||
Loan Type | Unpaid Principal Balance | Borrowing Capacity | Unpaid Principal Balance | Borrowing Capacity | |||||||||||||||||||
First lien residential mortgage loans | $ | 167,951 | $ | 112,586 | $ | 265,972 | $ | 180,564 | |||||||||||||||
Second lien residential mortgage loans and home equity lines of credit | 13,861 | 6,484 | 15,423 | 7,381 | |||||||||||||||||||
Multifamily mortgage loans | 51,331 | 32,041 | 60,989 | 36,809 | |||||||||||||||||||
Commercial mortgage loans | 81,391 | 50,589 | 92,413 | 54,341 | |||||||||||||||||||
Loan participations(1) | 1,287 | 480 | 871 | 306 | |||||||||||||||||||
Small business, small farm, and small agribusiness loans | 1,579 | 403 | 2,180 | 523 | |||||||||||||||||||
Other | — | — | 2 | — | |||||||||||||||||||
Total | $ | 317,400 | $ | 202,583 | $ | 437,850 | $ | 279,924 |
Investment Credit Exposure | |||||||||||||||||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||||||||||||||||
September 30, 2023 | |||||||||||||||||||||||||||||||||||||||||
Carrying Value | |||||||||||||||||||||||||||||||||||||||||
Credit Rating(1) | |||||||||||||||||||||||||||||||||||||||||
Investment Type | AAA | AA | A | BBB | Below Investment Grade | Unrated | Total | ||||||||||||||||||||||||||||||||||
U.S. obligations – Treasury securities | $ | — | $ | 4,044 | $ | — | $ | — | $ | — | $ | — | $ | 4,044 | |||||||||||||||||||||||||||
MBS: | |||||||||||||||||||||||||||||||||||||||||
Other U.S. obligations – single-family | — | 55 | — | — | — | — | 55 | ||||||||||||||||||||||||||||||||||
MBS – GSEs: | |||||||||||||||||||||||||||||||||||||||||
GSEs – single-family(2) | 4 | 629 | 2 | — | 2 | — | 637 | ||||||||||||||||||||||||||||||||||
GSEs – multifamily | — | 12,234 | — | — | — | — | 12,234 | ||||||||||||||||||||||||||||||||||
Total MBS – GSEs | 4 | 12,863 | 2 | — | 2 | — | 12,871 | ||||||||||||||||||||||||||||||||||
PLRMBS | — | 17 | 25 | 49 | 597 | 517 | 1,205 | ||||||||||||||||||||||||||||||||||
Total MBS | 4 | 12,935 | 27 | 49 | 599 | 517 | 14,131 | ||||||||||||||||||||||||||||||||||
Total securities | 4 | 16,979 | 27 | 49 | 599 | 517 | 18,175 | ||||||||||||||||||||||||||||||||||
Interest-bearing deposits | — | — | 3,777 | — | — | — | 3,777 | ||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell(3) | — | 1,000 | — | — | — | 1,750 | 2,750 | ||||||||||||||||||||||||||||||||||
Federal funds sold(4) | — | 1,363 | 4,095 | — | — | 75 | 5,533 | ||||||||||||||||||||||||||||||||||
Total investments | $ | 4 | $ | 19,342 | $ | 7,899 | $ | 49 | $ | 599 | $ | 2,342 | $ | 30,235 |
Unsecured Investment Credit Exposure by Investment Type | |||||||||||
Carrying Value(1) | |||||||||||
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||
Interest-bearing deposits | $ | 3,777 | $ | 3,677 | |||||||
Federal funds sold | 5,533 | 4,719 | |||||||||
Total | $ | 9,310 | $ | 8,396 |
Ratings of Unsecured Investment Credit Exposure by Domicile of Counterparty | |||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||
September 30, 2023 | |||||||||||||||||||||||
Carrying Value(1) | |||||||||||||||||||||||
Credit Rating(2) | |||||||||||||||||||||||
Domicile of Counterparty | AA | A | Unrated (3) | Total | |||||||||||||||||||
Domestic | $ | — | $ | 3,427 | $ | 75 | $ | 3,502 | |||||||||||||||
U.S. subsidiaries of foreign commercial banks | — | 350 | — | 350 | |||||||||||||||||||
Total domestic and U.S. subsidiaries of foreign commercial banks | — | 3,777 | 75 | 3,852 | |||||||||||||||||||
U.S. branches and agency offices of foreign commercial banks: | |||||||||||||||||||||||
Australia | — | 995 | — | 995 | |||||||||||||||||||
Canada | — | 100 | — | 100 | |||||||||||||||||||
Finland | 863 | — | — | 863 | |||||||||||||||||||
France | — | 150 | — | 150 | |||||||||||||||||||
Germany | — | 700 | — | 700 | |||||||||||||||||||
Netherlands | — | 1,250 | — | 1,250 | |||||||||||||||||||
Norway | 500 | — | — | 500 | |||||||||||||||||||
United Kingdom | — | 900 | — | 900 | |||||||||||||||||||
Total U.S. branches and agency offices of foreign commercial banks | 1,363 | 4,095 | — | 5,458 | |||||||||||||||||||
Total unsecured credit exposure | $ | 1,363 | $ | 7,872 | $ | 75 | $ | 9,310 |
Credit Exposure to Derivative Dealer Counterparties | |||||||||||||||||||||||||||||
(In millions) | |||||||||||||||||||||||||||||
September 30, 2023 | |||||||||||||||||||||||||||||
Counterparty Credit Rating(1) | Notional Amount | Net Fair Value of Derivatives Before Collateral | Cash Collateral Pledged to/ (from) Counterparty | Noncash Collateral Pledged to/ (from) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||||||||||||
Asset positions with credit exposure: | |||||||||||||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||||||||||||
A | $ | 3,921 | $ | 65 | $ | (63) | $ | — | $ | 2 | |||||||||||||||||||
Liability positions with credit exposure: | |||||||||||||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||||||||||||
A | 8,419 | (201) | 202 | — | 1 | ||||||||||||||||||||||||
BBB | 9,791 | (242) | 245 | — | 3 | ||||||||||||||||||||||||
Cleared derivatives(2) | 81,853 | (22) | 16 | 799 | 793 | ||||||||||||||||||||||||
Total derivative positions with credit exposure to nonmember counterparties | 103,984 | $ | (400) | $ | 400 | $ | 799 | $ | 799 | ||||||||||||||||||||
Derivative positions without credit exposure | 13,027 | ||||||||||||||||||||||||||||
Total notional | $ | 117,011 |
December 31, 2022 | |||||||||||||||||||||||||||||
(In millions) Counterparty Credit Rating(1) | Notional Amount | Net Fair Value of Derivatives Before Collateral | Cash Collateral Pledged to/ (from) Counterparty | Non-cash Collateral Pledged to/ (from) Counterparty | Net Credit Exposure to Counterparties | ||||||||||||||||||||||||
Asset positions with credit exposure: | |||||||||||||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||||||||||||
A | $ | 6,115 | $ | 38 | $ | (35) | $ | — | $ | 3 | |||||||||||||||||||
Cleared derivatives(2) | 89,148 | 7 | 14 | 435 | 456 | ||||||||||||||||||||||||
Liability positions with credit exposure: | |||||||||||||||||||||||||||||
Uncleared derivatives | |||||||||||||||||||||||||||||
A | 11,246 | (356) | 358 | — | 2 | ||||||||||||||||||||||||
Total derivative positions with credit exposure to nonmember counterparties | 106,509 | $ | (311) | $ | 337 | $ | 435 | $ | 461 | ||||||||||||||||||||
Derivative positions without credit exposure | 10,284 | ||||||||||||||||||||||||||||
Total notional | $ | 116,793 |
Notional Amount of Interest Rate Swaps by Interest Rate Index | |||||||||||||||||||||||
(In millions) | September 30, 2023 | December 31, 2022 | |||||||||||||||||||||
Interest Rate Index | Pay Leg | Receive Leg | Pay Leg | Receive Leg | |||||||||||||||||||
Fixed(1) | $ | 65,487 | $ | 51,524 | $ | 58,910 | $ | 57,883 | |||||||||||||||
LIBOR | — | — | 55 | 504 | |||||||||||||||||||
SOFR | 51,514 | 64,710 | 57,577 | 57,523 | |||||||||||||||||||
Overnight Index Swap – Effective Federal Funds Rate | 10 | 777 | 251 | 883 | |||||||||||||||||||
Total notional amount | $ | 117,011 | $ | 117,011 | $ | 116,793 | $ | 116,793 |
Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital for Various Changes in Interest Rates | ||||||||||||||
Interest Rate Scenario(1) | September 30, 2023 | December 31, 2022 | ||||||||||||
+200 basis-point change above current rates | –2.8 | % | –2.8 | % | ||||||||||
+100 basis-point change above current rates | –1.4 | –1.4 | ||||||||||||
–100 basis-point change below current rates(2) | +1.3 | +1.3 | ||||||||||||
–200 basis-point change below current rates(2) | +2.4 | +2.3 |
Total Bank Duration Gap Analysis | |||||||||||||||||||||||
September 30, 2023 | December 31, 2022 | ||||||||||||||||||||||
(Dollars in millions) | Amount (In millions) | Duration Gap(1) (In months) | Amount (In millions) | Duration Gap(1) (In months) | |||||||||||||||||||
Assets | $ | 95,021 | 2.0 | $ | 121,056 | 1.8 | |||||||||||||||||
Liabilities | 88,369 | 0.8 | 113,333 | 0.9 | |||||||||||||||||||
Net | $ | 6,652 | 1.2 | $ | 7,723 | 0.9 |
Market Value of Capital Sensitivity Estimated Percentage Change in Market Value of Bank Capital Attributable to the Mortgage-Related Business for Various Changes in Interest Rates | ||||||||||||||
Interest Rate Scenario(1) | September 30, 2023 | December 31, 2022 | ||||||||||||
+200 basis-point change | –0.5 | % | –0.5 | % | ||||||||||
+100 basis-point change | –0.2 | –0.2 | ||||||||||||
–100 basis-point change(2) | +0.2 | +0.1 | ||||||||||||
–200 basis-point change(2) | +0.2 | +0.1 |
Exhibit No. | Description | |||||||
Employment Agreement by and among the Federal Home Loan Bank of San Francisco and Joseph E. Amato, dated October 7, 2020, as amended | ||||||||
Certification of the President and Chief Executive Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | ||||||||
Certification of the Chief Financial Officer pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 | ||||||||
Certification of the President and Chief Executive Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | ||||||||
Certification of the Chief Financial Officer pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 | ||||||||
101.INS | Inline XBRL Instance Document - The instance document does not appear in the interactive data file because its XBRL tags are embedded within the inline XBRL document. | |||||||
101.SCH | Inline XBRL Taxonomy Extension Schema Document | |||||||
101.CAL | Inline XBRL Taxonomy Extension Calculation Linkbase Document | |||||||
101.DEF | Inline XBRL Taxonomy Extension Definition Linkbase Document | |||||||
101.LAB | Inline XBRL Taxonomy Extension Label Linkbase Document | |||||||
101.PRE | Inline XBRL Taxonomy Extension Presentation Linkbase Document | |||||||
104 | Cover Page Interactive Data File - The cover page interactive data file does not appear in the Interactive Data File because its XBRL tags are embedded within the Inline XBRL document. |
Federal Home Loan Bank of San Francisco | |||||
/S/ TERESA B. BAZEMORE | |||||
Teresa B. Bazemore President and Chief Executive Officer (Principal executive officer) | |||||
/S/ JOSEPH E. AMATO | |||||
Joseph E. Amato Executive Vice President and Chief Financial Officer (Principal financial officer) | |||||
/S/ KITTY PAYNE | |||||
Kitty Payne Senior Vice President and Controller (Principal accounting officer) |
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By: /s/ Simone Lagomarsino Simone Lagomarsino Chair of the Board October 27, 2023 | JOSEPH AMATO By: /s/ Joseph Amato Joseph Amato Employee October 30, 2023 | ||||
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By:/s/ Teresa Bryce Bazemore Teresa Bryce Bazemore President and Chief Executive Officer October 27, 2023 |
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By: /s/ Simone Lagomarsino Simone Lagomarsino Chair of the Board October 18, 2022 | JOSEPH AMATO By: /s/ Joseph Amato Joseph Amato Employee October 19, 2022 | ||||
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By:/s/ Teresa Bryce Bazemore Teresa Bryce Bazemore President and Chief Executive Officer October 17, 2022 |
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By: /s/ F. Daniel Siciliano F. Daniel Siciliano Chairman of the Board July 7, 2021 | JOSEPH AMATO By: /s/ Joseph Amato Joseph Amato Employee June 24, 2021 | ||||
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By:/s/Teresa Bryce Bazemore Teresa Bryce Bazemore President and Chief Executive Officer June 25, 2021 |
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By: /s/ F. Daniel Siciliano F. Daniel Siciliano Chairman of the Board October 7, 2020 | JOSEPH AMATO By: /s/ Joseph Amato Joseph Amato Employee October 6, 2020 | ||||
FEDERAL HOME LOAN BANK OF SAN FRANCISCO By: /s/ Stephen P. Traynor Stephen P. Traynor Acting President and Chief Executive Officer October 7, 2020 |
November 3, 2023 | /S/ TERESA B. BAZEMORE | |||||||
Teresa B. Bazemore President and Chief Executive Officer |
November 3, 2023 | /S/ JOSEPH E. AMATO | |||||||
Joseph E Amato Executive Vice President and Chief Financial Officer |
November 3, 2023 | /S/ TERESA B. BAZEMORE | |||||||
Teresa B. Bazemore President and Chief Executive Officer |
November 3, 2023 | /S/ JOSEPH E. AMATO | |||||||
Joseph E. Amato Executive Vice President and Chief Financial Officer |
Statements of Condition (Parenthetical) - USD ($) shares in Millions, $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||||
---|---|---|---|---|---|---|
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 34 | $ 30 | ||||
Amortized cost of AFS | [1] | 16,352 | 12,757 | |||
HTM securities, fair value | 1,852 | 2,136 | ||||
Fair value of advances under the fair value option | [2] | 2,302 | 2,059 | |||
Allowance for credit losses on mortgage loans | $ 1 | 1 | ||||
Common stock, par value | $ 100 | |||||
Available-for-sale securities pledged as collateral that may be repledged | $ 799 | 435 | ||||
Portion at Fair Value Measurement | ||||||
Fair value of advances under the fair value option | 2,302 | 2,059 | ||||
Fair value of bonds under the fair value option | $ 605 | $ 2,226 | ||||
Common Class B [Member] | ||||||
Common stock, par value | $ 100 | $ 100 | ||||
Common Stock, Shares, Outstanding | 25 | 38 | ||||
Common Stock, Shares, Issued | 25 | 38 | ||||
|
Statements of Income - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Interest Income: | ||||
Advances | $ 867 | $ 345 | $ 3,184 | $ 501 |
Interest-bearing deposits | 61 | 14 | 167 | 17 |
Securities purchased under agreements to resell | 50 | 51 | 252 | 65 |
Federal funds sold | 123 | 72 | 414 | 96 |
AFS securities | 246 | 109 | 645 | 247 |
HTM securities | 25 | 17 | 74 | 34 |
Mortgage loans held for portfolio | 9 | 8 | 21 | 38 |
Total Interest Income | 1,381 | 616 | 4,757 | 998 |
Interest Expense: | ||||
Bonds | 963 | 143 | 3,008 | 205 |
Discount notes | 218 | 310 | 1,050 | 399 |
Deposits | 16 | 5 | 45 | 7 |
Borrowings from other FHLBanks | 0 | 1 | 2 | 1 |
Mandatorily redeemable capital stock | 13 | 0 | 15 | 0 |
Total Interest Expense | 1,210 | 459 | 4,120 | 612 |
Net Interest Income | 171 | 157 | 637 | 386 |
Provision for/(reversal of) credit losses | 7 | 9 | 7 | 9 |
Net Interest Income After Provision for/(Reversal of) Credit Losses | 164 | 148 | 630 | 377 |
Other Income/(Loss): | ||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (12) | (20) | (27) | (53) |
Net gain/(loss) on derivatives | 15 | (1) | (6) | (13) |
Private-label residential mortgage-backed securities (PLRMBS) trust settlement | 0 | 0 | 0 | 28 |
Standby letters of credit fees | 4 | 4 | 15 | 11 |
Other, net | 0 | (1) | 3 | (4) |
Total Other Income/(Loss) | 7 | (18) | (15) | (31) |
Other Expense: | ||||
Compensation and benefits | 26 | 24 | 78 | 70 |
Other operating expense | 17 | 15 | 48 | 40 |
Federal Housing Finance Agency | 2 | 2 | 7 | 5 |
Office of Finance | 2 | 1 | 5 | 4 |
Other, net | 8 | (1) | 10 | (2) |
Total Other Expense | 55 | 41 | 148 | 117 |
Income/(Loss) Before AHP Assessment | 116 | 89 | 467 | 229 |
AHP assessment | 13 | 9 | 48 | 23 |
Net Income/(Loss) | $ 103 | $ 80 | $ 419 | $ 206 |
Statements of Comprehensive Income - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Statement of Comprehensive Income [Abstract] | ||||
Net Income/(Loss) | $ 103 | $ 80 | $ 419 | $ 206 |
Other Comprehensive Income/(Loss): | ||||
Net unrealized gain/(loss) on AFS securities | (35) | (88) | (25) | (317) |
Net change in pension and postretirement benefits | (1) | 0 | (1) | (2) |
Total other comprehensive income/(loss) | (36) | (88) | (26) | (319) |
Total Comprehensive Income/(Loss) | $ 67 | $ (8) | $ 393 | $ (113) |
Statements of Capital Accounts - USD ($) shares in Millions, $ in Millions |
Total |
Total Retained Earnings |
Total Restricted Retained Earnings |
Unrestricted Retained Earnings |
Accumulated Other Comprehensive Income/(Loss) |
Common Class B - Putable
Common Stock
|
---|---|---|---|---|---|---|
Balance, Shares at Dec. 31, 2021 | 21 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 54 | |||||
Repurchase of capital stock, shares | (41) | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | (1) | |||||
Balance, Shares at Sep. 30, 2022 | 33 | |||||
Balance at Dec. 31, 2021 | $ 6,224 | $ 3,832 | $ 708 | $ 3,124 | $ 331 | $ 2,061 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | (113) | 206 | 16 | 190 | (319) | |
Issuance of capital stock, value | 5,385 | 5,385 | ||||
Repurchase of capital stock, value | (4,088) | (4,088) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (36) | (36) | ||||
Transfers from restricted retained earnings | 0 | 0 | (16) | (16) | ||
Cash dividends on capital stock | (108) | (108) | (108) | |||
Balance at Sep. 30, 2022 | $ 7,264 | 3,930 | 708 | 3,222 | 12 | $ 3,322 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Dividends, Cash, Annualized Rate | 6.00% | |||||
Balance, Shares at Jun. 30, 2022 | 28 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 23 | |||||
Repurchase of capital stock, shares | (18) | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||
Balance, Shares at Sep. 30, 2022 | 33 | |||||
Balance at Jun. 30, 2022 | $ 6,744 | 3,890 | 692 | 3,198 | 100 | $ 2,754 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | (8) | 80 | 16 | 64 | (88) | |
Issuance of capital stock, value | 2,296 | 2,296 | ||||
Repurchase of capital stock, value | (1,724) | (1,724) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (4) | (4) | ||||
Cash dividends on capital stock | (40) | (40) | (40) | |||
Balance at Sep. 30, 2022 | $ 7,264 | 3,930 | 708 | 3,222 | 12 | $ 3,322 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Dividends, Cash, Annualized Rate | 6.00% | |||||
Balance, Shares at Dec. 31, 2022 | 38 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 28 | |||||
Repurchase of capital stock, shares | (28) | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | (13) | |||||
Balance, Shares at Sep. 30, 2023 | 25 | |||||
Balance at Dec. 31, 2022 | $ 7,723 | 3,994 | 732 | 3,262 | (29) | $ 3,758 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 393 | 419 | 84 | 335 | (26) | |
Issuance of capital stock, value | 2,768 | 2,768 | ||||
Repurchase of capital stock, value | (2,789) | (2,789) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (1,252) | (1,252) | ||||
Cash dividends on capital stock | (191) | (191) | (191) | |||
Balance at Sep. 30, 2023 | $ 6,652 | 4,222 | 816 | 3,406 | (55) | $ 2,485 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Dividends, Cash, Annualized Rate | 7.26% | |||||
Balance, Shares at Jun. 30, 2023 | 26 | |||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Issuance of capital stock, shares | 3 | |||||
Repurchase of capital stock, shares | (4) | |||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net shares | 0 | |||||
Balance, Shares at Sep. 30, 2023 | 25 | |||||
Balance at Jun. 30, 2023 | $ 6,763 | 4,182 | 795 | 3,387 | (19) | $ 2,600 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Comprehensive Income (Loss) | 67 | 103 | 21 | 82 | (36) | |
Issuance of capital stock, value | 246 | 246 | ||||
Repurchase of capital stock, value | (360) | (360) | ||||
Capital stock reclassified from/(to) mandatorily redeemable capital stock, net | (1) | (1) | ||||
Cash dividends on capital stock | (63) | (63) | (63) | |||
Balance at Sep. 30, 2023 | $ 6,652 | $ 4,222 | $ 816 | $ 3,406 | $ (55) | $ 2,485 |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||
Dividends, Cash, Annualized Rate | 7.75% |
Statements of Cash Flows - USD ($) $ in Millions |
9 Months Ended | |
---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Net Cash Provided by (Used in) Operating Activities | ||
Net Income/(Loss) | $ 419 | $ 206 |
Adjustments to reconcile net income/(loss) to net cash provided by/(used in) operating activities: | ||
Depreciation and amortization/(accretion) | (10) | 255 |
Provision for/(reversal of) credit losses | 7 | 9 |
Change in net fair value adjustment on advances and consolidated obligation bonds held under the fair value option | 27 | 53 |
Change in net derivatives and hedging activities | 393 | 1,334 |
PLRMBS trust settlement | 0 | 28 |
Other adjustments, net | 4 | 5 |
Net change in: | ||
Accrued interest receivable | 116 | (34) |
Other assets | (28) | 22 |
Accrued interest payable | 178 | 61 |
Other liabilities | 38 | (33) |
PLRMBS contingent liability | 0 | (41) |
Total adjustments | 725 | 1,603 |
Net cash provided by/(used in) operating activities | 1,144 | 1,809 |
Net Cash Provided by (Used in) Investing Activities | ||
Interest-bearing deposits | 122 | (1,901) |
Securities purchased under agreements to resell | 4,250 | 3,500 |
Federal funds sold | (814) | (7,298) |
Trading securities: | ||
Proceeds | 0 | 251 |
AFS securities: | ||
Proceeds from sales | 0 | 28 |
Proceeds | 206 | 1,157 |
Purchases | (3,706) | (4,332) |
HTM securities: | ||
Proceeds | 285 | 763 |
Advances: | ||
Repaid | 1,140,925 | 1,096,765 |
Originated | (1,115,365) | (1,146,306) |
Mortgage loans held for portfolio: | ||
Principal collected | 44 | 159 |
Other investing activities, net | (2) | (2) |
Net cash provided by/(used in) investing activities | 25,945 | (57,216) |
Net Cash Provided by (Used in) Financing Activities | ||
Net change in deposits and other financing activities | (124) | 243 |
Net change in borrowings from other FHLBanks | 300 | 2,320 |
Net (payments)/proceeds on derivative contracts with financing elements | 14 | (11) |
Net proceeds from issuance of consolidated obligations: | ||
Bonds | 73,250 | 25,062 |
Discount notes | 105,878 | 174,394 |
Payments for matured and retired consolidated obligations: | ||
Bonds | (78,243) | (11,283) |
Discount notes | (127,470) | (136,521) |
Proceeds from issuance of capital stock | 2,768 | 5,385 |
Repurchase/redemption of mandatorily redeemable capital stock | (481) | (35) |
Payments for repurchase of capital stock | (2,789) | (4,088) |
Cash dividends paid | (191) | (108) |
Net cash provided by/(used in) financing activities | (27,088) | 55,358 |
Net increase/(decrease) in cash and due from banks | 1 | (49) |
Cash and due from banks beginning of period | 9 | 55 |
Cash and due from banks end of period | 10 | 6 |
Supplemental Disclosures: | ||
Interest paid | 4,134 | 373 |
AHP payments | 27 | 29 |
Transfers of HTM securities to AFS securities | 2 | 17 |
Transfers of capital stock to mandatorily redeemable capital stock | $ 1,252 | $ 36 |
Basis of Presentation and Significant Accounting Policies (Notes) |
9 Months Ended |
---|---|
Sep. 30, 2023 | |
Accounting Policies [Abstract] | |
Basis of Presentation and Significant Accounting Policies | Note 1 — Basis of Presentation and Significant Accounting Policies The information about the Federal Home Loan Bank of San Francisco (Bank) included in these unaudited financial statements reflects all adjustments that, in the opinion of the Bank, are necessary for a fair statement of results for the periods presented. These adjustments are of a recurring nature, unless otherwise disclosed. The results of operations in these interim statements are not necessarily indicative of the results to be expected for any subsequent period or for the entire year ending December 31, 2023. These unaudited financial statements should be read in conjunction with the Bank’s Annual Report on Form 10-K for the year ended December 31, 2022 (2022 Form 10-K). There have been no changes to the basis of presentation of the Bank’s financial instruments meeting netting requirements or of the Bank’s investments in variable interest entities disclosed in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K. Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include: •accounting for derivatives; •estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and •estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans. Actual results could differ significantly from these estimates. Descriptions of the Bank’s significant accounting policies are included in “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K. Other changes to these policies as of September 30, 2023, are discussed in Note 2 – Recently Issued and Adopted Accounting Guidance.
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Recently Issued and Adopted Accounting Guidance |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accounting Standards Update and Change in Accounting Principle [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Recently Issued Accounting Guidance | Note 2 — Recently Issued and Adopted Accounting Guidance The following table provides a summary of recently issued and adopted accounting standards that may have an effect on the Bank’s financial statements.
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Investments (Notes) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Investments, Debt and Equity Securities [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-Sale Securities | Note 3 — Investments The Bank makes short-term investments in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold, and may make other investments in debt securities, which are classified as trading, AFS, or HTM. Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold. The Bank invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold. Federal funds sold are unsecured loans that are generally transacted on an overnight term. Finance Agency regulations include a limit on the amount of unsecured credit the Bank may extend to a counterparty. At September 30, 2023, and December 31, 2022, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to the relevant contractual terms. No allowance for credit losses was recorded for these assets at September 30, 2023, and December 31, 2022. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of $17 million and $2 million, respectively, as of September 30, 2023, and $13 million and $1 million, respectively, as of December 31, 2022. Based upon the collateral held as security and collateral maintenance provisions with its counterparties, the Bank determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at September 30, 2023, and December 31, 2022. The carrying value of securities purchased under agreements to resell excludes $1 million and $2 million of accrued interest receivable as of September 30, 2023, and December 31, 2022, respectively. Debt Securities The Bank invests in debt securities, which are classified as trading, AFS, or HTM. Within these investments, the Bank is primarily subject to credit risk related to PLRMBS that are supported by underlying mortgage loans. The Bank is prohibited by Finance Agency regulations from purchasing certain higher risk securities, such as equity securities and debt instruments that are not investment quality at the time of purchase. Trading Securities. The estimated fair value of trading securities that were MBS - other U.S. obligations was $1 million as of September 30, 2023, and December 31, 2022. The unrealized net gain/(loss) on trading securities held at September 30, 2023 and 2022, were de minimis amounts. Available-for-Sale Securities. The amortized cost and fair value of AFS securities by major security type as of September 30, 2023, and December 31, 2022, were as follows:
(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes of $57 million and $46 million at September 30, 2023, and December 31, 2022, respectively. At September 30, 2023, the amortized cost of the Bank’s MBS classified as AFS included premiums of $58 million, discounts of $180 million, and previous credit losses related to the prior methodology of evaluating credit losses of $320 million for PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as AFS included premiums of $52 million, discounts of $113 million, and previous credit losses related to the prior methodology of evaluating credit losses of $351 million for PLRMBS. The following tables summarize the AFS securities with unrealized losses as of September 30, 2023, and December 31, 2022. The unrealized losses are aggregated by major security type and the length of time that individual securities have been in a continuous unrealized loss position.
Redemption Terms – The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of September 30, 2023, and December 31, 2022, are shown below. Expected maturities of MBS classified as AFS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.
Held-to-Maturity Securities. The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:
(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at September 30, 2023, and December 31, 2022, respectively. (2) Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value. Expected maturities of MBS classified as HTM will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees. At September 30, 2023, the amortized cost of the Bank’s MBS classified as HTM included premiums of $2 million, discounts of $3 million, and no previous credit losses related to the prior methodology of evaluating credit losses for PLRMBS. At December 31, 2022, the amortized cost of the Bank’s MBS classified as HTM included premiums of $3 million, discounts of $4 million, and no previous credit losses related to the prior methodology of evaluating credit losses for PLRMBS. Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three and nine months ended September 30, 2023 and 2022. The Bank recorded no allowance for credit losses associated with HTM securities during the three and nine months ended September 30, 2023 and 2022.
To evaluate investment securities for credit loss at September 30, 2023, and December 31, 2022, the Bank employed the following methodologies, based on the type of security. AFS and HTM Securities (Excluding PLRMBS) – The Bank’s AFS and HTM securities are principally U.S. obligations and MBS issued by Ginnie Mae, Freddie Mac, and Fannie Mae that are backed by single-family or multifamily mortgage loans. The Bank only purchases securities considered investment quality. Excluding PLRMBS investments, at September 30, 2023, and December 31, 2022, substantially all of AFS securities and HTM securities, based on amortized cost, were rated A, or above, by an NRSRO, based on the lowest long-term credit rating for each security. These may differ from any internal ratings of the securities by the Bank, if applicable. At September 30, 2023, and December 31, 2022, certain of the Bank’s AFS securities were in an unrealized loss position. These losses are considered temporary as the Bank expects to recover the entire amortized cost basis on these AFS investment securities and neither intends to sell these securities nor considers it more likely than not that it will be required to sell these securities before its anticipated recovery of each security's remaining amortized cost basis. Further, the Bank has not experienced any payment defaults on the instruments and substantially all of these securities are highly rated. In the case of U.S. obligations, they carry an explicit government guarantee. In the case of GSE securities, they are purchased under an assumption that the issuers’ obligation to pay principal and interest on those securities will be honored, taking into account their status as GSEs. As a result, no allowance for credit losses was recorded on these AFS securities at September 30, 2023, and December 31, 2022. As of September 30, 2023, and December 31, 2022, the Bank had not established an allowance for credit losses on any of its HTM securities because the securities: (i) were all highly rated or had short remaining terms to maturity and (ii) had not experienced, nor did the Bank expect, any payment default on the instruments, and (iii) in the case of U.S. Treasury, GSE, or other agency obligations, carry an implicit or explicit government guarantee such that the Bank considers the risk of nonpayment to be zero. Private-Label Residential Mortgage-Backed Securities – The Bank also holds investments in PLRMBS. The Bank has not purchased any PLRMBS since the first quarter of 2008. However, many of these securities have subsequently experienced significant credit deterioration. As of September 30, 2023, and December 31, 2022, approximately 3% and 4%, respectively, PLRMBS (AFS and HTM combined, based on amortized cost) were rated A, or above, by an NRSRO; and the remaining securities were either rated less than A, or were unrated. To determine whether an allowance for credit loss is necessary on these securities, the Bank uses cash flow analyses. At each quarter end, the Bank compares the present value of the cash flows expected to be collected on its PLRMBS, using the effective interest rate, to the amortized cost basis of the securities to determine whether a credit loss exists. The expected credit losses are measured using: •expected housing price changes; •expected interest rate assumptions; •the remaining payment terms for the security; •expected default rates based on underlying loan-level borrower and loan characteristics; •loss severities on the collateral supporting each unique PLRMBS based on underlying loan-level borrower and loan characteristics; and •prepayment speeds based on underlying loan-level borrower and loan characteristics. The projected cash flows are based on a number of assumptions and expectations, and the results of these models can vary significantly with changes in these assumptions and expectations. The cash flows determined reflect management’s expectations and include a base case housing price forecast for near- and long-term horizons. For all the PLRMBS in its AFS and HTM portfolios, the Bank does not intend to sell any security and it is not more likely than not that the Bank will be required to sell any security before its anticipated recovery of the remaining amortized cost basis. For PLRMBS with previous credit losses related to the prior methodology of evaluating credit losses (securities for which the Bank determined that it does not expect to recover the entire amortized cost basis), measurement of the credit loss amount for PLRMBS classified as Level 3 as of September 30, 2023, uses significant inputs and assumptions that include, based on unpaid principal balance, the weighted average percentage of prepayment rates of 10.9%; default rates of 10.0%; and loss severities of 46.4%. The weighted average percentage of the related current credit enhancement for these securities, based on unpaid principal balance, was 8.6% as of September 30, 2023. Credit enhancement is defined as the percentage of subordinated tranches, excess spread, and over-collateralization, if any, in a security structure that will generally absorb losses before the Bank will experience a loss on the security. In general, the Bank elects to transfer any PLRMBS that incurred a credit loss during the applicable period from the Bank’s HTM portfolio to its AFS portfolio at their fair values. There were no transfers of PLRMBS from the Bank’s HTM portfolio to its AFS portfolio during the three months ended September 30, 2023. The Bank transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value at the time of the transfer of $2 million during the nine months ended September 30, 2023.The fair value of the transferred PLRMBS was lower than their amortized cost by a de minimis amount. The Bank transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost and fair value at the time of the transfer of $1 million during the three months ended September 30, 2022. The fair value of the transferred PLRMBS was lower than their amortized cost by a de minimis amount. The Bank transferred PLRMBS from its HTM portfolio to its AFS portfolio with an amortized cost of $17 million and fair value of $20 million at the time of the transfer during the nine months ended September 30, 2022. For the Bank’s PLRMBS, the Bank recorded a provision for credit losses of $7 million during the three and nine months ended September 30, 2023. The Bank recorded a provision for credit losses of $9 million during the three and nine months ended September 30, 2022. The provisions were recorded largely because of declines in the fair values, the present value of expected cash flows of certain PLRMBS, and decreased expectations of the performance of loan collateral underlying these securities.
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Advances | Note 4 — Advances The Bank offers a wide range of fixed and adjustable rate advance products with different maturities, interest rates, payment characteristics, and option features. Fixed rate advances generally have maturities ranging from one day to 30 years. Adjustable rate advances generally have maturities ranging from one day to 10 years, with the interest rates resetting periodically at a fixed spread to a specified index. Redemption Terms. The following table presents advances outstanding by redemption term and weighted-average interest rate at September 30, 2023, and December 31, 2022.
(1)Carrying amounts exclude accrued interest receivable of $104 million and $241 million at September 30, 2023, and December 31, 2022, respectively. (2)Advances outstanding with redemption terms within three months totaled $15.7 billion and $46.3 billion at September 30, 2023, and December 31, 2022, respectively. Many of the Bank’s advances are prepayable at the borrower’s option. However, when advances are prepaid, the borrower is charged a prepayment fee intended to make the Bank financially indifferent to the borrower’s decision to repay the advance prior to its maturity date, which is required by Finance Agency regulations. In addition, for certain advances with full or partial prepayment symmetry, the Bank may charge the borrower a prepayment fee or pay the borrower a prepayment credit depending on certain circumstances, such as movements in interest rates, when the advance is prepaid. In November 2018, the Bank discontinued offering advances with partial prepayment symmetry. The Bank had advances with full prepayment symmetry outstanding totaling $40.5 billion at September 30, 2023, and $19.2 billion at December 31, 2022. The Bank had advances with partial prepayment symmetry outstanding totaling $0.5 billion at September 30, 2023, and $1.0 billion at December 31, 2022. Some advances may be repaid on specified call dates without prepayment fees (callable advances). The Bank had callable advances outstanding totaling $4.6 billion at September 30, 2023, and $9.8 billion at December 31, 2022. The Bank had putable advances totaling $1.5 billion at September 30, 2023, and $0.8 billion at December 31, 2022. At the Bank’s discretion, the Bank may terminate these advances on predetermined exercise dates and offer replacement funding at prevailing market rates, subject to certain conditions. The Bank would typically exercise such termination rights when interest rates increase relative to contractual rates. The following table summarizes advances at September 30, 2023, and December 31, 2022, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.
Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at September 30, 2023 and 2022. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three and nine months ended September 30, 2023 and 2022.
(1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. (2) On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank. (3) An officer or director of the member is a Bank director. (4) On November 14, 2022, Luther Burbank Savings and Washington Federal, Inc. (a nonmember bank) announced the signing of a definitive merger agreement pursuant to which Washington Federal, Inc. will acquire Luther Burbank Savings, subject to receipt of regulatory and shareholder approval. On May 5, 2023, it was announced that merger approval was received from shareholders of both banks. (5) On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of MUFG Union Bank, National Association. (6) On March 10, 2023, Silicon Valley Bank was closed by the California DFPI and the FDIC was named as receiver. The FDIC created Silicon Valley Bridge Bank, N.A., whereby all of the deposits and substantially all assets of Silicon Valley Bank were transferred to the bridge bank. As of March 31, 2023, Silicon Valley Bridge Bank, N.A., had prepaid all outstanding advances to the Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A., with First Citizens Bank and Trust Company. Silicon Valley Bank is no longer a member of the Bank. (7) On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West. (8) On July 25, 2023, Pacific Western Bank and Banc of California, N.A., announced the signing of a definitive agreement to combine in a merger transaction. Under the terms of the agreement, PacWest Bancorp will merge into Banc of California, Inc., and Banc of California, N.A., will merge into Pacific Western Bank. The merger transaction is subject to regulatory and shareholder approval. On October 19, 2023, it was announced that the merger approval was received from the regulatory agencies. At September 30, 2023, total advances outstanding to Banc of California, N.A., were $811 million. There were no advances outstanding to Pacific Western Bank at September 30, 2023. At September 30, 2022, there were $1.4 billion and $731 million of advances outstanding to Pacific Western Bank and Banc of California, N.A., respectively. Credit Risk Exposure and Security Terms. The Bank manages its credit exposure related to advances through an integrated approach that provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition, and is coupled with conservative collateral and lending policies to limit the risk of loss. In addition, the Bank lends to member financial institutions that have their principal place of business in Arizona, California, or Nevada, in accordance with federal law and Finance Agency regulations. Specifically, the Bank is required to obtain sufficient collateral to fully secure credit products up to the member’s total credit limit. Borrowers may pledge the following eligible assets to secure advances: •one-to-four-family first lien residential mortgage loans; •securities issued, insured, or guaranteed by the U.S. government or any of its agencies, including without limitation MBS backed by Fannie Mae, Freddie Mac, or Ginnie Mae; •cash or deposits in the Bank; •certain other real estate-related collateral, such as certain privately issued MBS, multifamily loans, commercial real estate loans, and second lien residential mortgage loans or home equity loans; and •small business, small farm, and small agribusiness loans that are fully secured by collateral (such as real estate, equipment and vehicles, accounts receivable, and inventory) from members that are community financial institutions. The Bank has advances outstanding to former members and member successors, which are subject to the security terms above. The Bank requires each borrowing member to execute a written Advances and Security Agreement, which describes the lending relationship between the Bank and the borrower. At September 30, 2023, and December 31, 2022, the Bank had a perfected security interest in collateral pledged by each borrowing member, or by the member's affiliate on behalf of the member, and by each nonmember borrower, with an estimated value in excess of the outstanding credit products for that borrower. Based on the financial condition of the borrower, the Bank may either (i) allow the borrower or the pledging affiliate to retain physical possession of loan collateral pledged to the Bank, provided that the borrower or the pledging affiliate agrees to hold the collateral for the benefit of the Bank, or (ii) require the borrower or the pledging affiliate to deliver physical possession of loan collateral to the Bank or its custodial agent. All securities collateral is required to be delivered to the Bank’s custodial agent. All loan collateral pledged to the Bank is subject to a Uniform Commercial Code-1 financing statement. Section 10(e) of the FHLBank Act affords any security interest granted to the Bank by a member or any affiliate of the member or any nonmember borrower priority over claims or rights of any other party, except claims or rights that (i) would be entitled to priority under otherwise applicable law and (ii) are held by bona fide purchasers for value or secured parties with perfected security interests. At September 30, 2023, and December 31, 2022, none of the Bank’s credit products were past due or on nonaccrual status. There were no modifications to credit products related to borrowers experiencing financial difficulty during the three and nine months ended September 30, 2023. Based on the collateral pledged as security for advances, the Bank’s credit analyses of borrowers’ financial condition, repayment history on advances, and the Bank’s credit extension and collateral policies as of September 30, 2023, the Bank expects to collect all amounts due according to the contractual terms. Therefore, no allowance for credit losses on advances was deemed necessary by the Bank as of September 30, 2023, and December 31, 2022. Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2023, and December 31, 2022, are detailed below:
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Mortgage Loans Held for Portfolio | Note 5 — Mortgage Loans Held for Portfolio The following table presents information as of September 30, 2023, and December 31, 2022, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.
(1)Excludes accrued interest receivable of $5 million at both September 30, 2023, and December 31, 2022. Medium-term loans have original contractual terms of 15 years or less, and long-term loans have contractual terms of more than 15 years. Payment Status of Mortgage Loans. Payment status is the key credit quality indicator for conventional mortgage loans and allows the Bank to monitor the migration of past due loans. A past due loan is one where the borrower has failed to make a scheduled full payment of principal and interest within 30 days of its due date. Other delinquency statistics include nonaccrual loans and loans in process of foreclosure. The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2023, and December 31, 2022.
(1) The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. (2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. (3) At September 30, 2023, and December 31, 2022, $5 million and $7 million, respectively, of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. (4) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding. Allowance for Credit Losses on Mortgage Loans Held for Portfolio. Mortgage loans held for portfolio are evaluated on a loan-level basis for expected credit losses, factoring in the credit enhancement structure at the master commitment level. The Bank determines its allowance for credit losses on mortgage loans held for portfolio through analyses that include consideration of various loan portfolio and collateral related characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic conditions. The Bank uses models that employ a variety of methods, such as projected cash flows, to estimate expected credit losses over the life of the loans. These models rely on a number of inputs, such as current and forecasted property values and interest rates as well as historical borrower behavior experience. At September 30, 2023, the Bank’s reasonable and supportable forecast of housing prices expects, on average, for prices to appreciate 2.7% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. At December 31, 2022, the Bank’s reasonable and supportable forecast of housing prices expected, on average, for prices to depreciate 0.7% over a one-year forecast horizon before reverting to long-term housing price appreciation rates of 4.0% after five additional years in the forecast based on historical averages. The Bank also incorporates associated credit enhancements, if any, to determine its estimate of expected credit losses. Certain mortgage loans held for portfolio may be evaluated for credit losses by the Bank using the practical expedient for collateral-dependent assets. A mortgage loan is considered collateral-dependent if repayment is expected to be provided by the sale of the underlying property, that is, if it is considered likely that the borrower will default. The Bank may estimate the fair value of this collateral by applying an appropriate loss severity rate or using third-party estimates or property valuation models. The expected credit loss of a collateral-dependent mortgage loan is equal to the difference between the amortized cost of the loan and the estimated fair value of the collateral, less estimated selling costs. The Bank will either reserve for these estimated losses or record a direct charge-off of the loan balance, if certain triggering criteria are met. Expected recoveries of prior charge-offs, if any, are included in the allowance for credit loss. At both September 30, 2023 and 2022, the allowance for credit losses on the mortgage loan portfolio was $1 million. The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the three and nine months ended September 30, 2023 and 2022. For more information related to the Bank’s accounting policies for mortgage loans held for portfolio, see “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.
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Deposits |
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Deposits | Note 6 — Deposits The Bank maintains demand deposit accounts that are directly related to the extension of credit to members and offers short-term deposit programs to members and qualifying nonmembers. In addition, a member that services mortgage loans held for portfolio may deposit in the Bank funds collected in connection with the mortgage loans, pending disbursement of these funds to the owners of the mortgage loans. The Bank classifies these types of deposits as non-interest-bearing deposits. Deposits classified as demand, overnight, and other pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. Deposits and interest rate payment terms for deposits as of September 30, 2023, and December 31, 2022, were as follows:
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Consolidated Obligations |
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Consolidated Obligations | Note 7 — Consolidated Obligations Consolidated obligations, consisting of 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 16 – Commitments and Contingencies” in the Bank’s 2022 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 September 30, 2023, and December 31, 2022.
The Bank’s participation in consolidated obligation bonds outstanding includes callable bonds. When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein 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 option in a swap). The combined callable swaps and callable bonds enable the Bank to meet its funding needs at lower costs relative to similar tenor non-callable debt, while effectively converting the Bank’s net payment to an adjustable rate. The Bank’s participation in consolidated obligation bonds at September 30, 2023, and December 31, 2022, was as follows:
The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2023, and December 31, 2022, by the earlier of the year of contractual maturity or next call date.
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:
(1)Represents yield to maturity excluding concession fees. Interest Rate Payment Terms. Interest rate payment terms for consolidated obligation bonds at September 30, 2023, and December 31, 2022, are detailed in the following table. For information on the general terms and types of consolidated obligation bonds outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 2022 Form 10-K.
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Accumulated Other Comprehensive Income (Loss) |
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Accumulated Other Comprehensive Income/(Loss) | Note 8 — Accumulated Other Comprehensive Income/(Loss) The following table summarizes the changes in Accumulated Other Comprehensive Income (AOCI) for the three months ended September 30, 2023 and 2022:
The following table summarizes the changes in AOCI for the nine months ended September 30, 2023 and 2022:
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Capital |
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Capital | Note 9 — Capital Capital Requirements. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total regulatory capital, leverage capital, and risk-based capital. For further information related to the Bank’s capital requirements, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. As of September 30, 2023, and December 31, 2022, the Bank complied with these capital rules and requirements as shown in the following table.
The Bank’s capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors (Board) and the Finance Agency. For information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Capital Requirements” in the Bank’s 2022 Form 10-K. Mandatorily Redeemable Capital Stock. The Bank had mandatorily redeemable capital stock totaling $776 million outstanding to six institutions at September 30, 2023, and $5 million outstanding to three institutions at December 31, 2022. These amounts have been classified as a liability on the Bank’s Statements of Condition. The changes in mandatorily redeemable capital stock for the three and nine months ended September 30, 2023 and 2022 were as follows:
Cash dividends on mandatorily redeemable capital stock were recorded as interest expense of $13 million and $15 million for the three and nine months ended September 30, 2023, respectively. Cash dividends on mandatorily redeemable capital stock were recorded as interest expense of de minimis amounts for the three and nine months ended September 30, 2022. The following table presents mandatorily redeemable capital stock amounts by contractual year of redemption at September 30, 2023, and December 31, 2022.
(1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates. If activity-based stock becomes excess stock as a result of an activity no longer remaining outstanding, the Bank may repurchase those shares, at its sole discretion, subject to the statutory and regulatory restrictions on excess stock redemption. The Bank’s mandatorily redeemable capital stock is discussed more fully in “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. Excess Stock Repurchase, Retained Earnings, and Dividend Framework. The Bank’s Excess Stock Repurchase, Retained Earnings, and Dividend Framework (Framework) assesses the level and adequacy of retained earnings and establishes amounts to be retained in restricted retained earnings, which are not made available in the current dividend period, and maintains an amount of total retained earnings at least equal to its required retained earnings as described in the Framework. The methodology may be revised from time to time, and the required level of required retained earnings under the methodology may change due to updating data and assumptions used in the methodology. In July 2023, the required level of retained earnings was decreased from $2.7 billion to $2.6 billion. The Bank’s retained earnings requirement may be changed at any time. The Board periodically reviews the retained earnings methodology and analysis to determine whether any adjustments are appropriate. In September 2023, the Board approved an updated Framework and dividend philosophy to reflect changes in the current interest rate environment and business conditions. The Framework includes a dividend philosophy to endeavor to pay a quarterly dividend rate that is equal to or greater than the current market rate for a highly rated investment (e.g., SOFR) and that is sustainable under current and projected earnings while maintaining appropriate levels of capital. The decision to declare any dividend and the dividend rate is at the discretion of the Bank’s Board, which may choose to follow or not follow the dividend philosophy as guidance in the dividend declaration. The Board may also revise or eliminate the dividend philosophy in the future. The Bank’s historical dividend rates and the dividend philosophy are not indicative of future dividend declarations. The Bank satisfies its retained earnings requirement with both restricted retained earnings (i.e., amounts related to the Joint Capital Enhancement (JCE) Agreement) and unrestricted retained earnings. In accordance with the JCE Agreement, each FHLBank is required to reclassify an amount equal to 20% of its net income each quarter to a separate restricted retained earnings account until the balance of the account, calculated as of the last day of each calendar quarter, equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the calendar quarter. Under the JCE Agreement, these restricted retained earnings will not be available to pay dividends. The JCE Agreement also provides that amounts in restricted retained earnings in excess of 150% of the Bank’s restricted retained earnings minimum may be released from restricted retained earnings. For information on restricted retained earnings and the Bank’s Framework, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. Dividend Payments – Finance Agency rules state that FHLBanks may declare and pay dividends only from previously retained earnings or current net earnings and may not declare or pay dividends based on projected or anticipated earnings. For information on dividend payments, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. In addition, Finance Agency rules do not permit the Bank to pay dividends in the form of capital stock if its excess stock exceeds 1% of its total assets. Excess stock is defined as the aggregate of the capital stock held by each shareholder in excess of its minimum capital stock requirement, as established by the Bank’s capital plan. Excess stock totaled $118 million, or 0.12% of total assets as of September 30, 2023. Excess stock totaled $157 million, or 0.13% of total assets as of December 31, 2022. In the third quarter of 2023, the Bank paid dividends at an annualized rate of 7.75%, totaling $76 million, including $63 million in dividends on capital stock and $13 million in dividends on mandatorily redeemable capital stock. In the third quarter of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $40 million, including $40 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. In the first nine months of 2023, the Bank paid dividends at an annualized rate of 7.26%, totaling $206 million, including $191 million in dividends on capital stock and $15 million in dividends on mandatorily redeemable capital stock. In the first nine months of 2022, the Bank paid dividends at an annualized rate of 6.00%, totaling $108 million, including $108 million in dividends on capital stock and a de minimis amount in dividends on mandatorily redeemable capital stock. For the periods referenced above, the Bank paid dividends in cash. Dividends on capital stock are recognized as dividends on the Statements of Capital Accounts, and dividends on mandatorily redeemable capital stock are recognized as interest expense on the Statements of Income. On October 26, 2023, the Bank’s board of directors declared a quarterly cash dividend on the capital stock outstanding during the third quarter of 2023 at an annualized rate of 8.25%, totaling $68 million. The Bank recorded the dividend on October 26, 2023, and expects to pay the dividend on November 9, 2023. Excess Stock – The Bank’s capital plan provides that the Bank may repurchase some or all of a shareholder’s excess stock at the Bank’s discretion, subject to certain statutory and regulatory requirements. The Bank may also repurchase all of a member’s excess stock at a member’s request, at the Bank’s discretion, subject to certain statutory and regulatory requirements. For information on excess stock, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. The Bank is required to redeem any mandatorily redeemable capital stock that is in excess of a former member’s minimum stock requirement on or after the expiration of the five-year redemption date. During the third quarter of 2023 and 2022, the Bank redeemed a de minimis amount in mandatorily redeemable capital stock, for which the five-year redemption period had expired, at its $100 par value per share. The stock was redeemed on the scheduled redemption dates or, for stock that was not excess stock on its scheduled redemption date because of outstanding activity with the Bank, on the first available repurchase date after the stock was no longer required to support outstanding activity with the Bank. Concentration. The following table presents the concentration in capital stock held by institutions whose capital stock ownership represented 10% or more of the Bank’s outstanding capital stock, including mandatorily redeemable capital stock, as of September 30, 2023, or December 31, 2022:
(1) On May 1, 2023, the California DFPI closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including the advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. Upon assumption of the advances outstanding by JPMorgan Chase, National Association, the Bank transferred $759 million of capital stock of the Bank, held by First Republic Bank, to JPMorgan Chase, National Association, and reclassified that capital stock to mandatorily redeemable as a liability in the Bank’s Statements of Condition. (2) On March 10, 2023, the FDIC was appointed as receiver for Silicon Valley Bank. On March 14, 2023, the FDIC transferred all of the deposits and substantially all of the assets of Silicon Valley Bank to Silicon Valley Bridge Bank, National Association. The FDIC created Silicon Valley Bridge Bank, N.A., whereby all of the deposits and substantially all assets of Silicon Valley Bank were transferred to the bridge bank. As of March 31, 2023, Silicon Valley Bridge Bank, N.A., had prepaid all outstanding advances to the Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A., with First Citizens Bank and Trust Company. Silicon Valley Bank is no longer a member of the Bank.
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Segment Information |
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Segment Information | Note 10 — Segment Information 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” in other income/(loss), excludes interest income and expense associated with changes in fair value 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.” AHP assessments are not included in the segment reporting analysis but are 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 10 – Segment Information” in the Bank’s 2022 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/(loss) before the AHP assessment for the three and nine months ended September 30, 2023 and 2022.
(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaling $8 million and $14 million for the three months ended September 30, 2023 and 2022, respectively, and $27 million and $43 million for the nine months ended September 30, 2023 and 2022, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses that totaled $7 million and $9 million for the three months ended September 30, 2023 and 2022, respectively, and $7 million and $9 million for the nine months ended September 30, 2023 and 2022. (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/(loss) in “Net gain/(loss) on derivatives.” (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 September 30, 2023, and December 31, 2022.
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Derivatives and Hedging Activities |
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives and Hedging Activities | Note 11 — Derivatives and Hedging Activities General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps) and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). The Bank transacts most of its derivatives with large banks and major broker-dealers. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Derivatives and Hedging Activities” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K. The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2023, and December 31, 2022. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $472 million and $694 million at September 30, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $420 million and $324 million at September 30, 2023, and December 31, 2022, respectively. The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2023 and 2022.
(1)Includes net interest settlements. The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2023, and December 31, 2022.
(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships. The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three and nine months ended September 30, 2023 and 2022.
(1) This amount relates to derivatives for which variation margin on cleared derivatives is characterized as a daily settled contract. Credit Risk. The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives. For cleared derivatives, the clearing house is the Bank’s counterparty. The requirement that the Bank post initial margin and settle variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if its futures commission merchant, or clearing agent, fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible futures commission merchant default credit events. Variation margin is settled for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearing house or clearing agent insolvency and under applicable clearing house rules upon a non-insolvency-based event of default of the clearing house or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearing house. Based on the Bank’s credit analyses and the collateral requirements, the Bank does not expect to incur any credit losses on its derivative transactions. The Bank’s agreements for uncleared derivative transactions contain provisions that link the Bank’s credit rating from Moody’s Investors Service and S&P Global Ratings to various rights and obligations. Certain of these derivative agreements provide that, if the Bank’s long-term debt rating falls below a specified rating (ranging from A3/A- to Baa3/BBB-), the Bank’s counterparty would have the right, but not the obligation, to terminate all of its outstanding derivative transactions with the Bank; the Bank’s agreements with its clearing agents for cleared derivative transactions have similar provisions with respect to the debt rating of FHLBank System consolidated bonds. If this occurs, the Bank may choose to enter into replacement hedges, either by transferring the existing transactions to another counterparty or entering into new replacement transactions, based on prevailing market rates. The aggregate fair value of all uncleared derivative instruments with credit risk-related contingent features that were in a net derivative liability position (before cash collateral and related accrued interest) at September 30, 2023, was $454 million, for which the Bank posted cash collateral of $454 million in the ordinary course of business. Additional information related to uncleared margin rules for uncleared derivative transactions are included in “Item 8. Financial Statements and Supplementary Data - Note 14 - Derivatives and Hedging Activities” in the Bank’s 2022 Form 10-K. The Bank may present derivative instruments, related cash collateral received or pledged, and associated accrued interest by clearing agent or by counterparty on a net basis when the netting requirements have been met. The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2023, and December 31, 2022.
(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At September 30, 2023, the Bank had additional net credit exposure of $793 million due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.
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Fair Value |
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Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value | Note 12 — Fair Value The following fair value amounts have been determined by the Bank using available market information and the Bank’s best judgment of appropriate valuation methods. These estimates are based on pertinent information available to the Bank at September 30, 2023, and December 31, 2022. Although the Bank 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 a portion of the Bank’s financial instruments, in certain cases fair values cannot be precisely quantified or verified and may change as economic and market factors and evaluation of those factors change. The Bank continues to refine its valuation methodologies as markets and products develop and the pricing for certain products becomes more or less transparent. While the Bank believes that its valuation methodologies are appropriate and consistent with those of other market participants, the use of different methodologies or assumptions to determine the fair value of certain financial instruments could result in a materially different estimate of fair value as of the reporting date. U.S. GAAP defines fair value 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 (i.e., an exit price). Therefore, the fair values are not necessarily indicative of the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment as to how a market participant would estimate the fair values. The fair value summary table does not represent an estimate of the overall market value of the Bank as a going concern, which would take into account future business opportunities and the net profitability of total assets and liabilities. 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 September 30, 2023, and December 31, 2022. 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.
(1) For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses. (2) 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 or counterparty. (3) Represents publicly traded mutual funds held in a grantor trust. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows: •Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. •Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs 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; (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 by correlation or other means. •Level 3 – Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2023: •Trading securities •AFS securities •Certain advances •Derivative assets and liabilities •Certain consolidated obligation bonds •Certain other assets For 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 periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. Summary of Valuation Methodologies and Primary Inputs. For information related to the valuation methodologies and primary inputs used to develop the measurement of fair value for assets and liabilities that are measured at fair value on a recurring or nonrecurring basis in the Statements of Condition, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 Form 10-K. There have been no significant changes in these valuation methodologies and primary inputs during the three and nine months ended September 30, 2023. Subjectivity of Estimates Related to Fair Values of Financial Instruments. Estimates of the fair value of financial assets and liabilities using the methodologies described above are subjective and require judgments regarding significant matters, such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, methods to determine possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. Changes in these judgments may have a material effect on the fair value estimates. Fair Value Measurements. The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2023, and December 31, 2022, by level within the fair value hierarchy.
(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 or counterparty. (2)Represents advances recorded under the fair value option at September 30, 2023, and December 31, 2022. (3)Represents consolidated obligation bonds recorded under the fair value option at September 30, 2023, and December 31, 2022. (4)The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2023, and year ended December 31, 2022. 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 and nine months ended September 30, 2023 and 2022.
Fair Value Option. The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated obligation bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any consolidated obligation bond underwriting fees or concessions will be immediately recognized in other income/(loss) or other expense. For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 Form 10-K. The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with recording fair value changes of only the hedging derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements. The following table presents the net gain/(loss) recognized in earnings on advances and consolidated obligation bonds held under fair value option for the three and nine months ended September 30, 2023 and 2022:
For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income. For advances and consolidated obligations recorded under the fair value option, the Bank determined that none of the remaining changes in fair value were related to instrument-specific credit risk for the three and nine months ended September 30, 2023 and 2022. In determining that there has been no change in instrument-specific credit risk period to period, the Bank primarily considered the following factors: •The Bank is a federally chartered GSE, and as a result of this status, the consolidated obligations have historically received the same credit ratings as the government bond credit rating of the United States, even though they are not obligations of the United States and are not guaranteed by the United States. •The Bank is jointly and severally liable with the other FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. 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 September 30, 2023, and December 31, 2022:
(1) At September 30, 2023, and December 31, 2022, none of these advances were 90 days or more past due or had been placed on nonaccrual status.
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Commitments and Contingencies |
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Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies | Note 13 — Commitments and Contingencies As provided by the FHLBank Act or regulations governing the operations of the FHLBanks, all FHLBanks have joint and several liability for all FHLBank consolidated obligations, which are backed only by the financial resources of the FHLBanks. The joint and several liability regulation authorizes the Finance Agency to require any FHLBank to repay all or a portion of the principal or interest on consolidated obligations for which another FHLBank is the primary obligor. The regulations provide a general framework for addressing the possibility that an FHLBank may be unable to repay the consolidated obligations for which it is the primary obligor. The Bank has never been asked or required to repay the principal or interest on any consolidated obligation on behalf of another FHLBank, and as of September 30, 2023, and through the filing date of this report, does not believe that it is probable that it will be asked to do so. The par value of the outstanding consolidated obligations of the FHLBanks was $1.2 trillion at September 30, 2023, and December 31, 2022. The par value of the Bank’s participation in consolidated obligations was $86.3 billion at September 30, 2023, and $113.1 billion at December 31, 2022. For more information on the joint and several liability regulation, see “Item 8. Financial Statements and Supplementary Data – Note 16 – Commitments and Contingencies” in the Bank’s 2022 Form 10-K. Off-balance sheet commitments as of September 30, 2023, and December 31, 2022, were as follows:
Standby letters of credit are generally issued for a fee on behalf of members to support their obligations to third parties. If the Bank is required to make a payment for a beneficiary’s drawing under a letter of credit, the amount is immediately due and payable by the member to the Bank and is charged to the member’s demand deposit account with the Bank. The Bank monitors the creditworthiness of members that have standby letters of credit. The value of the Bank’s obligations related to standby letters of credit is recorded in other liabilities and amounted to $56 million and $34 million at September 30, 2023, and December 31, 2022, respectively. Standby letters of credit are fully collateralized at the time of issuance. Based on the Bank’s credit analyses of members’ financial condition and collateral requirements, the Bank deemed it unnecessary to record any additional liability for credit losses on the letters of credit outstanding or other off-balance sheet commitments as of September 30, 2023, and December 31, 2022. There were no commitments to fund advances at September 30, 2023, and December 31, 2022. Advances funded under advance commitments are fully collateralized at the time of funding. The Bank has pledged securities as collateral related to its cleared and uncleared derivatives. See Note 11 – Derivatives and Hedging Activities for additional information about the Bank’s pledged collateral and other credit risk-related contingent features. As of September 30, 2023, the Bank had pledged total collateral of $1.3 billion, including securities with a carrying value of $799 million, all of which may be repledged, and cash collateral, including accrued interest, of $472 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. As of December 31, 2022, the Bank had pledged total collateral of $1.1 billion, including securities with a carrying value of $435 million, all of which may be repledged, and cash collateral, including accrued interest, of $694 million to counterparties and the clearing house that had market risk exposure to the Bank related to derivatives. The Bank may be subject to various pending legal proceedings that may arise in the ordinary course of business. After consultation with legal counsel, the Bank does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on its financial condition or results of operations.
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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks |
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Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks | Note 14 — Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks Transactions with Members and Nonmembers. The following tables set forth information at the dates and for the periods indicated with respect to transactions with members that have an officer or director serving on the Bank’s board of directors.
All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2023, and December 31, 2022, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2022 Form 10-K. Transactions with Other FHLBanks. The Bank may occasionally enter into transactions with other FHLBanks. These transactions are summarized below. Overnight Funds. The Bank may borrow or lend unsecured overnight funds from or to other FHLBanks. All such transactions are at current market rates. Interest income and interest expense related to these transactions with other FHLBanks are included in interest income and interest expense in the Statements of Income. Balances outstanding at period end with other FHLBanks, if any, are identified in the Bank’s financial statements. During the nine months ended September 30, 2023 and 2022, the Bank extended overnight loans to other FHLBanks for $2.6 billion and $2.4 billion, respectively. The amount of interest income for these advances was de minimis for the nine months ended September 30, 2023 and 2022. During the nine months ended September 30, 2023 and 2022, the Bank borrowed $5.5 billion and $10.1 billion, respectively, from other FHLBanks. Interest expense related to these borrowings was $2 million for the nine months ended September 30, 2023 and was de minimis for the nine months ended September 30, 2022.
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Basis of Presentation and Significant Accounting Policies (Policies) |
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Accounting Policies [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Use of Estimates | Use of Estimates. The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (U.S. GAAP) requires management to make a number of judgments, estimates, and assumptions that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income, expenses, gains, and losses during the reporting period. The most significant of these estimates include: •accounting for derivatives; •estimating fair values of investments classified as trading and available-for-sale (AFS), derivatives and associated hedged items carried at fair value in accordance with the accounting for derivative instruments and associated hedging activities, and financial instruments carried at fair value under the fair value option; and •estimating the prepayment speeds on mortgage-backed securities (MBS) and mortgage loans for the accounting of amortization of premiums and accretion of discounts and credit losses previously recorded before the adoption of accounting guidance related to the measurement of credit losses on MBS and mortgage loans. Actual results could differ significantly from these estimates.
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Derivatives, Embedded Derivatives | When a callable bond for which the Bank is the primary obligor is issued, the Bank may simultaneously enter into an interest rate swap (wherein 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 option in a swap). | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivatives, Methods of Accounting, Hedging Derivatives | General. The Bank may enter into interest rate swaps (including callable, putable, and basis swaps) and cap and floor agreements (collectively, interest rate exchange agreements or derivatives). The Bank transacts most of its derivatives with large banks and major broker-dealers. For more information related to the Bank’s accounting policies for derivatives, see “Item 8. Financial Statements and Supplementary Data – Note 14 – Derivatives and Hedging Activities” and “Item 8. Financial Statements and Supplementary Data – Note 1 – Summary of Significant Accounting Policies” in the Bank’s 2022 Form 10-K.
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Derivatives, Policy | Credit Risk. The Bank is subject to credit risk from potential nonperformance by counterparties to the interest rate exchange agreements. All of the Bank’s agreements governing uncleared derivative transactions contain master netting provisions to help mitigate the credit risk exposure to each counterparty. The Bank manages counterparty credit risk through credit analyses and collateral requirements and by following the requirements of the Bank’s risk management policies, credit guidelines, and Finance Agency and other regulations. The Bank also requires credit support agreements on all uncleared derivatives. For cleared derivatives, the clearing house is the Bank’s counterparty. The requirement that the Bank post initial margin and settle variation margin through a clearing agent to the clearing house exposes the Bank to institutional credit risk if its futures commission merchant, or clearing agent, fails to meet its obligations. The use of a clearing house, or central counterparty, lowers overall credit risk exposure because it employs standard valuation and initial and variation margin processes and is specifically designed to withstand remote but plausible futures commission merchant default credit events. Variation margin is settled for changes in the value of the portfolio, and initial margin is posted for changes in risk profile of the portfolio. The Bank analyzed the enforceability of offsetting rights applicable to its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable bankruptcy law and Commodity Futures Trading Commission rules in the event of a clearing house or clearing agent insolvency and under applicable clearing house rules upon a non-insolvency-based event of default of the clearing house or clearing agent. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular clearing house.
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Fair Value of Financial Instruments, Policy | The fair value hierarchy is used to prioritize the fair value methodologies and valuation techniques as well as the inputs to the valuation techniques used to measure fair value for assets and liabilities carried at fair value on the Statements of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of market observability of the fair value measurement for the asset or liability. The fair value hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). An entity must disclose the level within the fair value hierarchy in which the measurements are classified for all financial assets and liabilities measured on a recurring or non-recurring basis. The application of the fair value hierarchy to the Bank’s financial assets and financial liabilities that are carried at fair value either on a recurring or non-recurring basis is as follows: •Level 1 – Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. An active market for the asset or liability is a market in which the transactions for the asset or liability occur with sufficient frequency and volume to provide pricing information on an ongoing basis. •Level 2 – Inputs other than quoted prices within Level 1 that are observable inputs 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; (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 by correlation or other means. •Level 3 – Unobservable inputs for the asset or liability. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. A financial instrument’s categorization within the valuation hierarchy is based on the lowest level of input that is significant to the fair value measurement. The following assets and liabilities, including those for which the Bank has elected the fair value option, are carried at fair value on the Statements of Condition as of September 30, 2023: •Trading securities •AFS securities •Certain advances •Derivative assets and liabilities •Certain consolidated obligation bonds •Certain other assets The fair value option provides an entity with an irrevocable option to elect fair value as an alternative measurement for selected financial assets, financial liabilities, unrecognized firm commitments, and written loan commitments not previously carried at fair value. It requires an entity to display the fair value of those assets and liabilities for which the entity has chosen to use fair value on the face of the Statements of Condition. Fair value is used for both the initial and subsequent measurement of the designated assets, liabilities, and commitments, with the changes in fair value recognized in net income. Interest income and interest expense on advances and consolidated obligation bonds carried at fair value are recognized solely on the contractual amount of interest due or unpaid. Any consolidated obligation bond underwriting fees or concessions will be immediately recognized in other income/(loss) or other expense.For more information on the Bank’s election of the fair value option, see “Item 8. Financial Statements and Supplementary Data – Note 15 – Fair Value” in the Bank’s 2022 Form 10-K. The Bank has elected the fair value option for certain financial instruments to assist in mitigating potential earnings volatility that can arise from economic hedging relationships in which the carrying value of the hedged item is not adjusted for changes in fair value. The potential earnings volatility associated with recording fair value changes of only the hedging derivative is the Bank’s primary reason for electing the fair value option for financial assets and liabilities that do not qualify for hedge accounting or that have not previously met or may be at risk for not meeting the hedge effectiveness requirements.For instruments for which the fair value option has been elected, the related contractual interest income and contractual interest expense are recorded as part of net interest income on the Statements of Income. The remaining changes in fair value for instruments for which the fair value option has been elected are recorded as net gains/ (losses) on financial instruments held under the fair value option in the Statements of Income.
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Fair Value Transfer, Policy | For 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 periods presented, the Bank did not have any reclassifications for transfers in or out of level 3 of the fair value hierarchy. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Stockholders' Equity, Policy | Capital Requirements. The FHLBank Act and regulations governing the operations of the FHLBanks require that the Bank’s minimum capital stock requirement for shareholders must be sufficient to enable the Bank to meet its regulatory requirements for total regulatory capital, leverage capital, and risk-based capital. For further information related to the Bank’s capital requirements, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital” in the Bank’s 2022 Form 10-K. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
New Accounting Pronouncements |
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Investments (Tables) |
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Debt Instrument [Line Items] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading Securities (and Certain Trading Assets) | The estimated fair value of trading securities that were MBS - other U.S. obligations was $1 million as of September 30, 2023, and December 31, 2022. | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Available-for-sale Securities | AFS securities by major security type as of September 30, 2023, and December 31, 2022, were as follows:
(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, net charge-offs, and valuation adjustments for hedging activities, and excludes of $57 million and $46 million at September 30, 2023, and December 31, 2022, respectively.
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Held-to-maturity Securities | Held-to-Maturity Securities. The Bank classifies the following securities as HTM because the Bank has the positive intent and ability to hold these securities to maturity:
(1) Amortized cost includes unpaid principal balance, unamortized premiums and discounts, and net charge-offs, and excludes accrued interest receivable of $6 million and $5 million at September 30, 2023, and December 31, 2022, respectively. (2) Gross unrecognized holding gains/(losses) represent the difference between estimated fair value and net carrying value.
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Debt Securities, Available-for-sale, Allowance for Credit Loss | Allowance for Credit Losses on AFS and HTM Securities. The following table presents a rollforward of the allowance for credit losses on investment securities associated with PLRMBS classified as AFS for the three and nine months ended September 30, 2023 and 2022. The Bank recorded no allowance for credit losses associated with HTM securities during the three and nine months ended September 30, 2023 and 2022.
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Debt Securities, Available-for-sale, Unrealized Loss Position, Fair Value |
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Investments Classified by Contractual Maturity Date and Prepayment Fees | The amortized cost and estimated fair value of U.S. Treasury securities classified as AFS by contractual maturity (based on contractual final principal payment) and of MBS classified as AFS as of September 30, 2023, and December 31, 2022, are shown below. Expected maturities of MBS classified as AFS will differ from contractual maturities because borrowers may have the right to call or prepay the underlying obligations with or without call or prepayment fees.
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Advances (Tables) |
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Federal Home Loan Banks [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal Home Loan Bank, Advances | Redemption Terms. The following table presents advances outstanding by redemption term and weighted-average interest rate at September 30, 2023, and December 31, 2022.
(1)Carrying amounts exclude accrued interest receivable of $104 million and $241 million at September 30, 2023, and December 31, 2022, respectively. (2)Advances outstanding with redemption terms within three months totaled $15.7 billion and $46.3 billion at September 30, 2023, and December 31, 2022, respectively. The following table summarizes advances at September 30, 2023, and December 31, 2022, by the earlier of the year of redemption term or next call date for callable advances and by the earlier of the year of redemption term or next put date for putable advances.
Concentration Risk. The following tables present the concentration in advances to the top 10 borrowers and their affiliates at September 30, 2023 and 2022. The tables also present the interest income from these advances before the impact of interest rate exchange agreements hedging these advances for the three and nine months ended September 30, 2023 and 2022.
(1) Interest income amounts exclude the interest effect of interest rate exchange agreements with derivative counterparties; as a result, the total interest income amounts will not agree to the Statements of Income. The amount of interest income from advances can vary depending on the amount outstanding, terms to maturity, interest rates, and repricing characteristics. (2) On May 1, 2023, the California Department of Financial Protection and Innovation (DFPI) closed First Republic Bank and appointed the FDIC as receiver. On the same date, the FDIC transferred all of the deposits and substantially all of the assets of First Republic Bank, including $28.1 billion in advances outstanding from the Bank, to JPMorgan Chase, National Association, a nonmember. These advances outstanding are fully collateralized and are not expected to result in any credit loss to the Bank. (3) An officer or director of the member is a Bank director. (4) On November 14, 2022, Luther Burbank Savings and Washington Federal, Inc. (a nonmember bank) announced the signing of a definitive merger agreement pursuant to which Washington Federal, Inc. will acquire Luther Burbank Savings, subject to receipt of regulatory and shareholder approval. On May 5, 2023, it was announced that merger approval was received from shareholders of both banks. (5) On December 1, 2022, U.S. Bancorp, a nonmember, announced that it completed its acquisition of MUFG Union Bank, National Association. (6) On March 10, 2023, Silicon Valley Bank was closed by the California DFPI and the FDIC was named as receiver. The FDIC created Silicon Valley Bridge Bank, N.A., whereby all of the deposits and substantially all assets of Silicon Valley Bank were transferred to the bridge bank. As of March 31, 2023, Silicon Valley Bridge Bank, N.A., had prepaid all outstanding advances to the Bank. On March 26, 2023, the FDIC entered into a purchase and assumption agreement for all the deposits and loans of Silicon Valley Bridge Bank, N.A., with First Citizens Bank and Trust Company. Silicon Valley Bank is no longer a member of the Bank. (7) On February 1, 2023, BMO Harris, a nonmember, announced that it completed its acquisition of Bank of the West. (8) On July 25, 2023, Pacific Western Bank and Banc of California, N.A., announced the signing of a definitive agreement to combine in a merger transaction. Under the terms of the agreement, PacWest Bancorp will merge into Banc of California, Inc., and Banc of California, N.A., will merge into Pacific Western Bank. The merger transaction is subject to regulatory and shareholder approval. On October 19, 2023, it was announced that the merger approval was received from the regulatory agencies. At September 30, 2023, total advances outstanding to Banc of California, N.A., were $811 million. There were no advances outstanding to Pacific Western Bank at September 30, 2023. At September 30, 2022, there were $1.4 billion and $731 million of advances outstanding to Pacific Western Bank and Banc of California, N.A., respectively. Interest Rate Payment Terms. Interest rate payment terms for advances at September 30, 2023, and December 31, 2022, are detailed below:
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Mortgage Loans Held for Portfolio (Tables) |
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Receivables [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accounts, Notes, Loans and Financing Receivable | The following table presents information as of September 30, 2023, and December 31, 2022, on mortgage loans held for portfolio, all of which are secured by one- to four-unit residential properties and single-unit homes.
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Financing Receivable Credit Quality Indicators | The following tables present the payment status for mortgage loans and other delinquency statistics for the Bank’s mortgage loans at September 30, 2023, and December 31, 2022.
(1) The amortized cost in a loan is the unpaid principal balance of the loan, adjusted for net deferred loan fees or costs, unamortized premiums or discounts, and direct write-downs. (2) Includes loans for which the servicer has reported a decision to foreclose or to pursue a similar alternative, such as deed-in-lieu. Loans in process of foreclosure are included in past due or current loans depending on their delinquency status. (3) At September 30, 2023, and December 31, 2022, $5 million and $7 million, respectively, of mortgage loans on nonaccrual status did not have an associated allowance for credit losses because these loans were either previously charged off to the expected recoverable value or the fair value of the underlying collateral, including any credit enhancements, is greater than the amortized cost of the loans. (4) Represents loans that are 90 days or more past due or in the process of foreclosure as a percentage of the recorded investment of total mortgage loans outstanding.
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Financing Receivable, Allowance for Credit Loss | The amount of charge-offs and recoveries of allowance for credit losses on the mortgage loan portfolio were de minimis for the three and nine months ended September 30, 2023 and 2022. |
Deposits (Tables) |
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Deposit Liabilities by Component | Deposits and interest rate payment terms for deposits as of September 30, 2023, and December 31, 2022, were as follows: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Interest Rate Payment Terms On Deposit Liabilities |
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Consolidated Obligations (Tables) |
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Debt Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Maturities of Long-term Debt | The following is a summary of the Bank’s participation in consolidated obligation bonds at September 30, 2023, and December 31, 2022.
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Schedule of Long-term Debt by Call Feature | The Bank’s participation in consolidated obligation bonds at September 30, 2023, and December 31, 2022, was as follows:
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Schedule of Maturities of Long-term Debt by Contractual or Next Call Date | The following is a summary of the Bank’s participation in consolidated obligation bonds outstanding at September 30, 2023, and December 31, 2022, by the earlier of the year of contractual maturity or next call date.
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Schedule of Short-term Debt | The Bank’s participation in consolidated obligation discount notes, all of which are due within one year, was as follows:
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Schedule of Interest Rate Payment Terms for Debt | Interest rate payment terms for consolidated obligation bonds at September 30, 2023, and December 31, 2022, are detailed in the following table. For information on the general terms and types of consolidated obligation bonds outstanding, see “Item 8. Financial Statements and Supplementary Data – Note 8 – Consolidated Obligations” in the Bank’s 2022 Form 10-K.
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Accumulated Other Comprehensive Income (Loss) (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accumulated Other Comprehensive Income (Loss), Net of Tax [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in Accumulated Other Comprehensive Income (AOCI) for the three months ended September 30, 2023 and 2022:
The following table summarizes the changes in AOCI for the nine months ended September 30, 2023 and 2022:
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Capital (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Banking Regulation, Total Capital [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | As of September 30, 2023, and December 31, 2022, the Bank complied with these capital rules and requirements as shown in the following table.
The Bank’s capital plan requires each member to own capital stock in an amount equal to the greater of its membership capital stock requirement or its activity-based capital stock requirement. The Bank may adjust these requirements from time to time within ranges established in the capital plan. Any changes to the capital plan must be approved by the Bank’s board of directors (Board) and the Finance Agency. For information on the Bank’s membership capital stock requirement and activity-based capital stock requirement, see “Item 8. Financial Statements and Supplementary Data – Note 11 – Capital – Capital Requirements” in the Bank’s 2022 Form 10-K.
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Schedule of Mandatorily Redeemable Capital Stock | The Bank had mandatorily redeemable capital stock totaling $776 million outstanding to six institutions at September 30, 2023, and $5 million outstanding to three institutions at December 31, 2022. These amounts have been classified as a liability on the Bank’s Statements of Condition. The changes in mandatorily redeemable capital stock for the three and nine months ended September 30, 2023 and 2022 were as follows:
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Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | The following table presents mandatorily redeemable capital stock amounts by contractual year of redemption at September 30, 2023, and December 31, 2022.
(1) Represents mandatorily redeemable capital stock that is past the end of the contractual redemption period because there is activity outstanding to which the mandatorily redeemable capital stock relates.
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Segment Information (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Segment Reporting [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Operating Profit (Loss) from Segments to Consolidated | The following table presents the Bank’s adjusted net interest income by operating segment and reconciles total adjusted net interest income to income/(loss) before the AHP assessment for the three and nine months ended September 30, 2023 and 2022.
(1) The mortgage-related business includes total accretion or amortization associated with other-than-temporarily impaired PLRMBS, which are recognized in interest income, totaling $8 million and $14 million for the three months ended September 30, 2023 and 2022, respectively, and $27 million and $43 million for the nine months ended September 30, 2023 and 2022, respectively. The mortgage-related business includes a provision for/(reversal of) credit losses that totaled $7 million and $9 million for the three months ended September 30, 2023 and 2022, respectively, and $7 million and $9 million for the nine months ended September 30, 2023 and 2022. (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/(loss) in “Net gain/(loss) on derivatives.” (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.
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Schedule of Segment Assets by Segment | The following table presents total assets by operating segment at September 30, 2023, and December 31, 2022.
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Derivatives and Hedging Activities (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Derivative Instruments and Hedging Activities Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value | The following table summarizes the notional amount and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of September 30, 2023, and December 31, 2022. For purposes of this disclosure, the derivative values include the fair value of derivatives and related accrued interest.
(1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions, and also cash collateral, including accrued interest, held or placed with the same clearing agents or counterparty. Cash collateral posted, including accrued interest, was $472 million and $694 million at September 30, 2023, and December 31, 2022, respectively. Cash collateral received, including accrued interest, was $420 million and $324 million at September 30, 2023, and December 31, 2022, respectively.
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Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance | The following table presents the components of net gain/(loss) on derivatives as presented in the Statements of Income for the three and nine months ended September 30, 2023 and 2022.
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Derivative Instruments, Gain (Loss) [Table Text Block] | The following tables present, by type of hedged item, the gains and losses on fair value hedging relationships and the impact of those derivatives on the Bank’s Statements of Income for the three and nine months ended September 30, 2023 and 2022.
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Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance | The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items as of September 30, 2023, and December 31, 2022.
(1)Includes only the portion of amortized cost representing the hedged items in fair value hedging relationships.
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Schedule of Derivative Instruments, Offsetting Derivative Assets | The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2023, and December 31, 2022.
(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At September 30, 2023, the Bank had additional net credit exposure of $793 million due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.
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Schedule of Derivative Instruments, Offsetting Derivative Liabilities | The following table presents separately the fair value of derivative assets and derivative liabilities that have met the netting requirements, including the related collateral received from or pledged to counterparties as of September 30, 2023, and December 31, 2022.
(1) Any over-collateralization at the Bank’s individual clearing agent and/or counterparty level is not included in the determination of the net amount. At September 30, 2023, the Bank had additional net credit exposure of $793 million due to instances where non-cash collateral to a counterparty exceeded the Bank’s net derivative position. There was no such additional net credit exposure at December 31, 2022.
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Fair Value (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value Disclosures [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Fair Value, by Balance Sheet Grouping | 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 September 30, 2023, and December 31, 2022. 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.
(1) For certain financial instruments, the amounts represent net carrying value, which includes an allowance for credit losses. (2) 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 or counterparty. (3) Represents publicly traded mutual funds held in a grantor trust.
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Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques | The following tables present the fair value of assets and liabilities, which are recorded on a recurring or nonrecurring basis at September 30, 2023, and December 31, 2022, by level within the fair value hierarchy.
(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 or counterparty. (2)Represents advances recorded under the fair value option at September 30, 2023, and December 31, 2022. (3)Represents consolidated obligation bonds recorded under the fair value option at September 30, 2023, and December 31, 2022. (4)The fair value information presented is as of the date the fair value adjustment was recorded during the nine months ended September 30, 2023, and year ended December 31, 2022.
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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 and nine months ended September 30, 2023 and 2022.
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Fair Value, Option, Quantitative Disclosures | the three and nine months ended September 30, 2023 and 2022:
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 September 30, 2023, and December 31, 2022:
(1) At September 30, 2023, and December 31, 2022, none of these advances were 90 days or more past due or had been placed on nonaccrual status.
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Commitments and Contingencies (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Commitments and Contingencies Disclosure [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Off-Balance Sheet Commitments | Off-balance sheet commitments as of September 30, 2023, and December 31, 2022, were as follows:
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Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Tables) |
9 Months Ended | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
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Sep. 30, 2023 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Related Party Transactions [Abstract] | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Transactions with Certain Members and Nonmembers |
All transactions with members, nonmembers, and their affiliates are entered into in the ordinary course of business. As of September 30, 2023, and December 31, 2022, no shareholder owned more than 10% of the total voting interests in the Bank because of the statutory limit on members' voting rights. For more information on transactions with members and nonmembers, see “Item 8. Financial Statements and Supplementary Data – Note 17 – Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks” in the Bank’s 2022 Form 10-K.
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Basis of Presentation and Significant Accounting Policies (Details) - USD ($) $ in Millions |
9 Months Ended | |
---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
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Accounting Policies [Abstract] | ||
PLRMBS trust settlement | $ 0 | $ 28 |
Investments Narrative (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
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Investments [Line Items] | ||||||||
Available-for-sale Securities, Premiums | $ 58 | $ 58 | $ 52 | |||||
Available for sale Securities Discounts | (180) | (180) | (113) | |||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 34 | $ 25 | $ 34 | $ 25 | $ 28 | $ 30 | $ 17 | $ 17 |
Available-for-Sale Debt Securities and Held-to-Maturity Debt Securities Private Label Mortgage Back Securities Amortized Cost, Percentage Rated Single-A Or Above | 3.00% | 3.00% | 4.00% | |||||
Provision for/(reversal of) credit losses | $ 7 | 9 | $ 7 | 9 | ||||
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology | 8 | 14 | 27 | 43 | ||||
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities | 1 | 2 | 20 | |||||
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities | 0 | 1 | 2 | 17 | ||||
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities | 5 | 9 | 17 | 27 | ||||
Interest-bearing deposits | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | 0 | 0 | $ 0 | |||||
Accrued Interest, after Allowance for Credit Loss | 17 | 17 | 13 | |||||
Fed Funds Sold | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Accrued Interest, after Allowance for Credit Loss | 2 | 2 | 1 | |||||
Securities borrowed or purchased under agreements to resell | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | 0 | 0 | 0 | |||||
Accrued Interest, after Allowance for Credit Loss | 1 | 1 | 2 | |||||
Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Held-to-maturity Securities, Premiums | 2 | 2 | 3 | |||||
Held-to-maturity Securities, Discounts | (3) | (3) | (4) | |||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | 34 | 34 | 30 | |||||
Available-for-sale Securities | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | 0 | 0 | ||||||
Available-for-sale Securities | Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Credit-related OTTI | 320 | 320 | 351 | |||||
Available-for-sale Securities | Other Than Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 0 | $ 0 | 0 | |||||
Held-to-maturity Securities | ||||||||
Investments [Line Items] | ||||||||
Allowance for Credit Loss | $ 0 | $ 0 | ||||||
Held-to-maturity Securities | Mortgage Backed Securities | ||||||||
Investments [Line Items] | ||||||||
Credit-related OTTI | $ 0 |
Investments Trading Securities by Major Type (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
MBS – Other U.S. obligations | ||
Trading Securities | ||
Trading securities | $ 1 | $ 1 |
Investments AFS Securities by Major Type (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Sep. 30, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
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Debt Securities, Available-for-sale [Line Items] | ||||||||||
Amortized cost of AFS | [1] | $ 16,352 | $ 12,757 | |||||||
Allowance for Credit Losses | (34) | $ (28) | (30) | $ (25) | $ (17) | $ (17) | ||||
Gross Unrealized Gains | 51 | 68 | ||||||||
Gross Unrealized Losses | (90) | (82) | ||||||||
Fair Value of AFS Securities | [2] | 16,279 | 12,713 | |||||||
Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | $ 57 | 46 | ||||||||
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss, Statement of Financial Position [Extensible Enumeration] | Interest Receivable | |||||||||
US Treasury Notes | ||||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||||
Amortized cost of AFS | $ 4,034 | 4,012 | ||||||||
Allowance for Credit Losses | 0 | 0 | ||||||||
Gross Unrealized Gains | 10 | 12 | ||||||||
Gross Unrealized Losses | 0 | 0 | ||||||||
Fair Value of AFS Securities | 4,044 | 4,024 | ||||||||
PLRMBS | ||||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||||
Amortized cost of AFS | 1,100 | 1,183 | ||||||||
Allowance for Credit Losses | (34) | (30) | ||||||||
Gross Unrealized Gains | 34 | 54 | ||||||||
Gross Unrealized Losses | (25) | (25) | ||||||||
Fair Value of AFS Securities | 1,075 | 1,182 | ||||||||
Mortgage Backed Securities | ||||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||||
Amortized cost of AFS | [1] | 12,318 | 8,745 | |||||||
Allowance for Credit Losses | (34) | (30) | ||||||||
Gross Unrealized Gains | 41 | 56 | ||||||||
Gross Unrealized Losses | (90) | (82) | ||||||||
Fair Value of AFS Securities | 12,235 | 8,689 | ||||||||
Multifamily [Member] | MBS - GSEs | ||||||||||
Debt Securities, Available-for-sale [Line Items] | ||||||||||
Amortized cost of AFS | 11,218 | 7,562 | ||||||||
Allowance for Credit Losses | 0 | 0 | ||||||||
Gross Unrealized Gains | 7 | 2 | ||||||||
Gross Unrealized Losses | (65) | (57) | ||||||||
Fair Value of AFS Securities | $ 11,160 | $ 7,507 | ||||||||
|
Investments Summary of AFS Securities with Unrealized Losses (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | $ 5,746 | $ 6,927 |
Less Than 12 Months: Unrealized Losses | 29 | 74 |
12 Months or More: Estimated Fair Value | 3,646 | 68 |
12 Months or More: Unrealized Losses | 61 | 8 |
Unrealized Loss Position, Total Fair Value | 9,392 | 6,995 |
Unrealized Loss Position, Total Accumulated Loss | 90 | 82 |
Multifamily [Member] | MBS - GSEs | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 5,684 | |
Less Than 12 Months: Unrealized Losses | 27 | |
12 Months or More: Estimated Fair Value | 3,361 | |
12 Months or More: Unrealized Losses | 38 | |
Unrealized Loss Position, Total Fair Value | 9,045 | |
Unrealized Loss Position, Total Accumulated Loss | 65 | |
Multifamily [Member] | MBS - GSEs | Fannie Mae | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 6,635 | |
Less Than 12 Months: Unrealized Losses | 57 | |
12 Months or More: Estimated Fair Value | 0 | |
12 Months or More: Unrealized Losses | 0 | |
Unrealized Loss Position, Total Fair Value | 6,635 | |
Unrealized Loss Position, Total Accumulated Loss | 57 | |
PLRMBS | Residential Mortgage Backed Securities | ||
Debt Securities, Available-for-sale, Unrealized Loss Position [Line Items] | ||
Less Than 12 Months: Estimated Fair Value | 62 | 292 |
Less Than 12 Months: Unrealized Losses | 2 | 17 |
12 Months or More: Estimated Fair Value | 285 | 68 |
12 Months or More: Unrealized Losses | 23 | 8 |
Unrealized Loss Position, Total Fair Value | 347 | 360 |
Unrealized Loss Position, Total Accumulated Loss | $ 25 | $ 25 |
Investments AFS by Contractual Maturity and Prepayment Fees (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||||
---|---|---|---|---|---|---|
Debt Securities, Available-for-sale [Line Items] | ||||||
Amortized cost of AFS | [1] | $ 16,352 | $ 12,757 | |||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | [2] | 16,279 | 12,713 | |||
Other Than Mortgage Backed Securities | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Amortized cost of AFS | 4,034 | 4,012 | ||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | 4,044 | 4,024 | ||||
Mortgage Backed Securities | ||||||
Debt Securities, Available-for-sale [Line Items] | ||||||
Amortized cost of AFS | [1] | 12,318 | 8,745 | |||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | $ 12,235 | $ 8,689 | ||||
|
Investments Classification of Held-to-Maturity Securities (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||||
---|---|---|---|---|---|---|
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity (HTM) securities (fair values of $1,852 and $2,136, respectively) | [1] | $ 1,895 | $ 2,181 | |||
Gross Unrecognized Holding Gain | [2] | 1 | 1 | |||
Gross Unrecognized Holding Loss | [2] | (44) | (46) | |||
Fair value of held-to-maturity securities | 1,852 | 2,136 | ||||
HTM accrued interest, after allowance for credit loss | 6 | 5 | ||||
Other US Obligations | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity (HTM) securities (fair values of $1,852 and $2,136, respectively) | 54 | 72 | ||||
Gross Unrecognized Holding Gain | 0 | 0 | ||||
Gross Unrecognized Holding Loss | (2) | (2) | ||||
Fair value of held-to-maturity securities | 52 | 70 | ||||
MBS - GSEs | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity (HTM) securities (fair values of $1,852 and $2,136, respectively) | [1] | 1,711 | 1,954 | |||
Gross Unrecognized Holding Gain | [2] | 1 | 1 | |||
Gross Unrecognized Holding Loss | [2] | (33) | (32) | |||
Fair value of held-to-maturity securities | 1,679 | 1,923 | ||||
Single Family [Member] | MBS - GSEs | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity (HTM) securities (fair values of $1,852 and $2,136, respectively) | [1] | 637 | 745 | |||
Gross Unrecognized Holding Gain | [2] | 1 | 1 | |||
Gross Unrecognized Holding Loss | [2] | (28) | (22) | |||
Fair value of held-to-maturity securities | 610 | 724 | ||||
Multifamily [Member] | MBS - GSEs | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity (HTM) securities (fair values of $1,852 and $2,136, respectively) | [1] | 1,074 | 1,209 | |||
Gross Unrecognized Holding Gain | [2] | 0 | 0 | |||
Gross Unrecognized Holding Loss | [2] | (5) | (10) | |||
Fair value of held-to-maturity securities | 1,069 | 1,199 | ||||
Residential Mortgage Backed Securities | PLRMBS | ||||||
Schedule of Held-to-maturity Securities [Line Items] | ||||||
Held-to-maturity (HTM) securities (fair values of $1,852 and $2,136, respectively) | [1] | 130 | 155 | |||
Gross Unrecognized Holding Gain | [2] | 0 | 0 | |||
Gross Unrecognized Holding Loss | [2] | (9) | (12) | |||
Fair value of held-to-maturity securities | $ 121 | $ 143 | ||||
|
Investments Allowance for Credit Losses (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
|
Allowance for Credit Loss [Abstract] | ||||||||
(Charge-offs)/recoveries | $ (1) | $ (1) | $ (3) | $ (1) | ||||
Provision for/(reversal of) credit losses | 7 | 9 | 7 | 9 | ||||
Debt securities, available-for-sale, amortized cost, allowance for credit loss, excluding accrued interest | $ 34 | $ 25 | $ 34 | $ 25 | $ 28 | $ 30 | $ 17 | $ 17 |
Investments Significant Inputs on PLRMBS (Details) |
9 Months Ended |
---|---|
Sep. 30, 2023 | |
Significant Inputs on PLRMBS [Line Items] | |
Prepayment Weighted Average | 10.90% |
Default Rate Weighted Average | 10.00% |
Loss Severity Weighted Average | 46.40% |
Credit Enhancements Weighted Average | 8.60% |
Investments with previous credit losses rollforward (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Investments, Debt and Equity Securities [Abstract] | ||||
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology | $ 8 | $ 14 | $ 27 | $ 43 |
Accretion of yield adjustments resulting from improvement of expected cash flows that are recognized over the remaining life of the securities | $ (5) | $ (9) | $ (17) | $ (27) |
Transfers from HTM to AFS (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Investments, Debt and Equity Securities [Abstract] | ||||
Amortized Cost Of Held to maturity Securities Transferred To Available For Sale Securities | $ 0 | $ 1 | $ 2 | $ 17 |
Fair Value Of Held to maturity Securities Transferred To Available For Sale Securities | $ 1 | $ 2 | $ 20 |
Advances (Narrative) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
May 01, 2023 |
Dec. 31, 2022 |
Sep. 30, 2022 |
---|---|---|---|---|
Advances [Line Items] | ||||
Advances with Full prepayment Symmetry Outstanding | $ 40,500 | $ 19,200 | ||
Advances With Partial Prepayment Symmetry Outstanding | 500 | 1,000 | ||
Advances, Par Value | 64,557 | 90,117 | ||
Advances | 63,584 | 89,400 | ||
Top ten borrowers | Pacific Western Bank | ||||
Advances [Line Items] | ||||
Advances, Par Value | $ 1,370 | |||
Top ten borrowers | Banc of California, NA | ||||
Advances [Line Items] | ||||
Advances, Par Value | $ 731 | |||
Banc of California, NA | ||||
Advances [Line Items] | ||||
Advances | 811 | |||
Pacific Western Bank | ||||
Advances [Line Items] | ||||
Advances | 0 | |||
First Republic Bank | JPMorgan Chase | ||||
Advances [Line Items] | ||||
Advances | $ 28,100 | |||
Federal Home Loan Bank Advances | ||||
Advances [Line Items] | ||||
Accrued Interest Receivable | 104 | 241 | ||
Advances, Callable Option | ||||
Advances [Line Items] | ||||
Advances, Par Value | 4,600 | 9,800 | ||
Advances, Putable Option | ||||
Advances [Line Items] | ||||
Advances, Par Value | $ 1,500 | $ 800 |
Advances (Redemption Terms) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Federal Home Loan Bank, Advances [Line Items] | ||||
Advances (includes $2,302 and $2,059 at fair value under the fair value option, respectively) | $ 63,584 | $ 89,400 | ||
Federal Home Loan Bank Advances, Maturities [Abstract] | ||||
Overdrawn demand and overnight deposit accounts | 20 | 2 | ||
Within 1 year(2) | 32,217 | 71,050 | ||
After 1 year through 2 years | 17,839 | 7,634 | ||
After 2 years through 3 years | 6,438 | 4,036 | ||
After 3 years through 4 years | 2,262 | 3,391 | ||
After 4 years through 5 years | 4,436 | 2,815 | ||
After 5 years | 1,345 | 1,189 | ||
Total par value | 64,557 | 90,117 | ||
Valuation adjustments for hedging activities | (921) | (670) | ||
Valuation adjustments under fair value option | [1] | (52) | (47) | |
Total | $ 63,584 | $ 89,400 | ||
Federal Home Loan Bank Advances, Weighted Average Interest Rate [Abstract] | ||||
Overdrawn Demand Deposit | 5.15% | 4.15% | ||
Within 1 year | 4.98% | 4.34% | ||
After 1 year through 2 years | 3.90% | 3.30% | ||
After 2 years through 3 years | 2.99% | 2.22% | ||
After 3 years through 4 years | 3.47% | 2.05% | ||
After 4 years through 5 years | 4.00% | 3.24% | ||
After 5 years | 3.70% | 3.50% | ||
Total par value | 4.34% | 4.03% | ||
Advances | ||||
Federal Home Loan Bank, Advances [Line Items] | ||||
Advances Outstanding, Redemption Terms Within Three Months | $ 15,700 | $ 46,300 | ||
Federal Home Loan Bank Advances | ||||
Federal Home Loan Bank, Advances [Line Items] | ||||
Accrued Interest Receivable | $ 104 | $ 241 | ||
|
Advances (Earlier of Contractual Maturity or Next Call/Put Date) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Overdrawn demand and overnight deposit accounts | $ 20 | $ 2 |
Within 1 year | 32,537 | 71,370 |
After 1 year through 2 years | 17,849 | 7,634 |
After 2 years through 3 years | 6,438 | 4,046 |
After 3 years through 4 years | 2,272 | 3,391 |
After 4 years through 5 years | 4,436 | 2,825 |
After 5 years | 1,005 | 849 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Within 1 year | 33,198 | 71,850 |
After 1 year through 2 years | 18,349 | 7,634 |
After 2 years through 3 years | 6,182 | 3,836 |
After 3 years through 4 years | 2,262 | 3,391 |
After 4 years through 5 years | 3,501 | 2,215 |
After 5 years | 1,045 | 1,189 |
Total par value | $ 64,557 | $ 90,117 |
Advances (Credit and Concentration Risk) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Dec. 31, 2022 |
|
Advances [Line Items] | |||||
Advances Outstanding | $ 64,557 | $ 64,557 | $ 90,117 | ||
Western Alliance Bank | |||||
Advances [Line Items] | |||||
Interest Income from Advances | $ 19 | ||||
First Technology Federal Credit Union | |||||
Advances [Line Items] | |||||
Interest Income from Advances | 22 | ||||
MUFG Union Bank, NA | |||||
Advances [Line Items] | |||||
Interest Income from Advances | 46 | ||||
Total Members | |||||
Advances [Line Items] | |||||
Advances Outstanding | 64,557 | 66,398 | 64,557 | $ 66,398 | |
Interest Income from Advances | $ 704 | $ 333 | $ 2,682 | $ 535 | |
Total Members | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 100.00% | 100.00% | |||
Total Members | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 100.00% | 100.00% | 100.00% | 100.00% | |
Silicon Valley Bank | |||||
Advances [Line Items] | |||||
Interest Income from Advances | $ 18 | ||||
First Republic Bank | |||||
Advances [Line Items] | |||||
Interest Income from Advances | 65 | ||||
Top ten borrowers | JPMorgan Chase | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 26,409 | $ 26,409 | |||
Interest Income from Advances | $ 286 | $ 751 | |||
Top ten borrowers | JPMorgan Chase | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 41.00% | ||||
Top ten borrowers | JPMorgan Chase | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 41.00% | 28.00% | |||
Top ten borrowers | Western Alliance Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 4,700 | $ 4,000 | $ 4,700 | $ 4,000 | |
Interest Income from Advances | $ 23 | $ 155 | $ 25 | ||
Top ten borrowers | Western Alliance Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 7.00% | 6.00% | |||
Top ten borrowers | Western Alliance Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3.00% | 6.00% | 6.00% | 5.00% | |
Top ten borrowers | City National Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 4,250 | $ 4,250 | 2,050 | ||
Interest Income from Advances | $ 95 | $ 7 | $ 316 | $ 7 | |
Top ten borrowers | City National Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 7.00% | 3.00% | |||
Top ten borrowers | City National Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 13.00% | 2.00% | 12.00% | 1.00% | |
Top ten borrowers | First Technology Federal Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 3,300 | $ 3,737 | $ 3,300 | $ 3,737 | |
Interest Income from Advances | $ 34 | $ 108 | $ 41 | ||
Top ten borrowers | First Technology Federal Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 5.00% | 6.00% | |||
Top ten borrowers | First Technology Federal Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 5.00% | 7.00% | 4.00% | 8.00% | |
Top ten borrowers | MUFG Union Bank, NA | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 2,050 | $ 7,950 | $ 2,050 | $ 7,950 | |
Interest Income from Advances | $ 12 | $ 142 | $ 81 | ||
Top ten borrowers | MUFG Union Bank, NA | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 3.00% | 12.00% | |||
Top ten borrowers | MUFG Union Bank, NA | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | 14.00% | 5.00% | 15.00% | |
Top ten borrowers | SchoolsFirst Federal Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,523 | $ 1,523 | |||
Interest Income from Advances | $ 13 | $ 29 | |||
Top ten borrowers | SchoolsFirst Federal Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | ||||
Top ten borrowers | SchoolsFirst Federal Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | 1.00% | |||
Top ten borrowers | Bank of America California, National Association | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,450 | $ 1,450 | |||
Interest Income from Advances | $ 15 | $ 44 | |||
Top ten borrowers | Bank of America California, National Association | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | ||||
Top ten borrowers | Bank of America California, National Association | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | 2.00% | |||
Top ten borrowers | Luther Burbank Savings | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,427 | $ 1,427 | 1,202 | ||
Interest Income from Advances | $ 12 | $ 5 | $ 34 | $ 12 | |
Top ten borrowers | Luther Burbank Savings | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | 2.00% | |||
Top ten borrowers | Luther Burbank Savings | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | 2.00% | 1.00% | 2.00% | |
Top ten borrowers | Wells Fargo National Bank West | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,000 | $ 1,000 | 2,000 | ||
Interest Income from Advances | $ 14 | $ 2 | $ 64 | $ 2 | |
Top ten borrowers | Wells Fargo National Bank West | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | 3.00% | |||
Top ten borrowers | Wells Fargo National Bank West | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | 1.00% | 2.00% | 0.00% | |
Top ten borrowers | Logix Federal Credit Union | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 930 | $ 930 | |||
Interest Income from Advances | $ 10 | $ 33 | |||
Top ten borrowers | Logix Federal Credit Union | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 1.00% | ||||
Top ten borrowers | Logix Federal Credit Union | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 1.00% | 1.00% | |||
Top ten borrowers | Subtotal Members | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 47,039 | $ 49,309 | $ 47,039 | $ 49,309 | |
Interest Income from Advances | $ 514 | $ 186 | $ 1,676 | $ 287 | |
Top ten borrowers | Subtotal Members | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 72.00% | 75.00% | |||
Top ten borrowers | Subtotal Members | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 73.00% | 57.00% | 62.00% | 54.00% | |
Top ten borrowers | Silicon Valley Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 13,500 | $ 13,500 | |||
Interest Income from Advances | $ 20 | ||||
Top ten borrowers | Silicon Valley Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 20.00% | ||||
Top ten borrowers | Silicon Valley Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 5.00% | 4.00% | |||
Top ten borrowers | First Republic Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 11,000 | $ 11,000 | |||
Interest Income from Advances | $ 94 | ||||
Top ten borrowers | First Republic Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 17.00% | ||||
Top ten borrowers | First Republic Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 20.00% | 18.00% | |||
Top ten borrowers | Bank of the West | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 2,500 | ||||
Interest Income from Advances | $ 1 | $ 1 | |||
Top ten borrowers | Bank of the West | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 4.00% | ||||
Top ten borrowers | Bank of the West | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 0.00% | 0.00% | |||
Top ten borrowers | Pacific Western Bank | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 1,370 | $ 1,370 | |||
Interest Income from Advances | $ 1 | $ 4 | |||
Top ten borrowers | Pacific Western Bank | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 2.00% | ||||
Top ten borrowers | Pacific Western Bank | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 0.00% | 1.00% | |||
Other Borrowers | |||||
Advances [Line Items] | |||||
Advances Outstanding | $ 17,518 | $ 17,089 | $ 17,518 | $ 17,089 | |
Interest Income from Advances | $ 190 | $ 147 | $ 1,006 | $ 248 | |
Other Borrowers | Other Borrowers | Percentage of Total Advances Outstanding | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 28.00% | 25.00% | |||
Other Borrowers | Other Borrowers | Percentage of Total Interest Income from Advances | |||||
Advances [Line Items] | |||||
Concentration Risk, Percentage | 27.00% | 43.00% | 38.00% | 46.00% |
Advances (Interest Rate Payment Terms and Prepayment Fees) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Federal Home Loan Bank, Advances, Fixed Rate [Abstract] | ||
Fixed Rate, due within 1 year | $ 18,779 | $ 47,621 |
Fixed Rate, due after 1 year | 32,320 | 18,050 |
Advances, Total Fixed Rate | 51,099 | 65,671 |
Federal Home Loan Bank, Advances, Floating Rate [Abstract] | ||
Adjustable Rate, due within 1 year | 13,458 | 23,431 |
Adjustable Rate, due after 1 year | 0 | 1,015 |
Advances, Total Fixed Rate | 13,458 | 24,446 |
Total par value | $ 64,557 | $ 90,117 |
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Fixed rate medium-term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | $ 13 | $ 14 |
Fixed Rate Long Term mortgage loans | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | 718 | 761 |
Residential Portfolio Segment | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Unpaid principal balance | 731 | 775 |
Unamortized premiums | 42 | 43 |
Unamortized discounts | (2) | (2) |
Mortgage Loans Held For Portfolio | 771 | 816 |
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | 1 | 1 |
Total mortgage loans held for portfolio, net | 770 | 815 |
Accrued Interest Receivable | 5 | $ 5 |
Conventional Mortgage Loan | Residential Portfolio Segment | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 1 |
Mortgage Loans Held for Portfolio Delinquency Statistics (Details) - Conventional Mortgage Loan - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | $ 353 | $ 466 |
Originated Five or More Years before Latest Fiscal Year | 418 | 350 |
Total Amortized Cost | 771 | 816 |
In process of foreclosure, included above | 3 | 3 |
Financing Receivable, Nonaccrual | $ 16 | $ 19 |
Serious delinquencies as a percentage of total mortgage loans outstanding | 2.13% | 2.30% |
Mortgage loans on nonaccrual status, with no allowance | $ 5 | $ 7 |
30 to 59 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 5 | 4 |
Originated Five or More Years before Latest Fiscal Year | 1 | 5 |
Total Amortized Cost | 6 | 9 |
60 to 89 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 2 | 2 |
Originated Five or More Years before Latest Fiscal Year | 1 | 1 |
Total Amortized Cost | 3 | 3 |
Equal to or Greater than 90 Days Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 12 | 11 |
Originated Five or More Years before Latest Fiscal Year | 4 | 8 |
Total Amortized Cost | 16 | 19 |
Financial Asset, Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 6 | 17 |
Originated Five or More Years before Latest Fiscal Year | 19 | 14 |
Total Amortized Cost | 25 | 31 |
Financial Asset, Not Past Due | ||
Mortgage Loan Delinquency Statistics | ||
Originated, Current Fiscal Year and Preceeding Four Preceeding Fiscal Years | 399 | 449 |
Originated Five or More Years before Latest Fiscal Year | 347 | 336 |
Total Amortized Cost | $ 746 | $ 785 |
Mortgage Loans Held for Portfolio Allowance (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Loans and Leases Receivable Disclosure [Line Items] | ||
Housing price forecast appreciation over one year horizon | 2.70% | (0.70%) |
Housing price forecast appreciation over five-years plus horizon | 4.00% | 4.00% |
Residential Portfolio Segment | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 1 | $ 1 |
Residential Portfolio Segment | Conventional Mortgage Loan | ||
Loans and Leases Receivable Disclosure [Line Items] | ||
Financing Receivable, Allowance for Credit Loss, Excluding Accrued Interest | $ 1 |
Deposits (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Deposits [Line Items] | ||
Interest-bearing Deposits | $ 763 | $ 983 |
Noninterest-bearing Deposits | 5 | 6 |
Deposits | 768 | 989 |
Interest-bearing deposits | Adjustable rate | ||
Deposits [Line Items] | ||
Interest-bearing Deposits | 758 | 983 |
Interest-bearing deposits | Fixed Interest Rate | ||
Deposits [Line Items] | ||
Interest-bearing Deposits | $ 5 | $ 0 |
Consolidated Obligations (Redemption Terms) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Instrument [Line Items] | ||
Total par value | $ 71,921 | $ 76,907 |
Total CO Bonds | $ 70,907 | $ 75,768 |
Weighted Average Interest Rate [Abstract] | ||
Within 1 year | 5.03% | 4.05% |
After 1 year through 2 years | 3.63% | 2.30% |
After 2 years through 3 years | 1.54% | 1.26% |
After 3 years through 4 years | 1.33% | 0.99% |
After 4 years through 5 years | 2.45% | 1.47% |
After 5 years | 2.25% | 1.73% |
Consolidated obligation bonds | ||
Debt Instrument [Line Items] | ||
Within 1 year | $ 51,360 | $ 58,301 |
After 1 year through 2 years | 11,120 | 8,268 |
After 2 years through 3 years | 6,003 | 2,317 |
After 3 years through 4 years | 1,760 | 5,473 |
After 4 years through 5 years | 822 | 1,255 |
After 5 years | 856 | 1,293 |
Unamortized premiums | 0 | 1 |
Unamortized discounts | (7) | (5) |
Valuation adjustments for hedging activities | (964) | (1,083) |
Fair value option valuation adjustments | $ (43) | $ (52) |
Weighted Average Interest Rate [Abstract] | ||
Total par amount | 4.37% | 3.47% |
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 71,921 | $ 76,907 |
Non-callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 44,814 | 57,164 |
Callable | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 27,107 | $ 19,743 |
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Instrument [Line Items] | ||
Total bonds, par value | $ 71,921 | $ 76,907 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Debt Instrument [Line Items] | ||
Within 1 year | 66,665 | 73,049 |
After 1 year through 2 years | 4,770 | 3,310 |
After 2 years through 3 years | 268 | 187 |
After 3 years through 4 years | 170 | 313 |
After 4 years through 5 years | 12 | 0 |
After 5 years | $ 36 | $ 48 |
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Short-term Debt [Line Items] | ||||
Discount notes, par value | $ 14,406 | $ 36,159 | ||
Short-term Debt, Weighted Average Interest Rate, at Point in Time | [1] | 5.18% | 4.13% | |
Total | $ 14,293 | $ 35,929 | ||
Discount notes | ||||
Short-term Debt [Line Items] | ||||
Unamortized discounts | $ (113) | $ (230) | ||
|
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 71,921 | $ 76,907 |
Discount notes, par value | 14,406 | 36,159 |
Fixed Interest Rate | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 37,598 | 25,632 |
Adjustable Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | 33,675 | 48,997 |
Step-up Interest Rate [Member] | ||
Debt Instrument [Line Items] | ||
CO Bonds Par | $ 648 | $ 2,278 |
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||||||
---|---|---|---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
|
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | $ 6,652 | $ 7,264 | $ 6,652 | $ 7,264 | $ 6,763 | $ 7,723 | $ 6,744 | $ 6,224 |
Accumulated Defined Benefit Plans Adjustment | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (16) | (11) | (16) | (11) | (15) | (15) | (11) | (9) |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss), Reclassification Adjustment from AOCI, before Tax | (1) | 1 | 2 | |||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (1) | 0 | (1) | (2) | ||||
Accumulated Other Comprehensive Income/(Loss) | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (55) | 12 | (55) | 12 | (19) | (29) | 100 | 331 |
Other Comprehensive Income (Loss), Defined Benefit Plan, Gain (Loss), Reclassification Adjustment from AOCI, before Tax | (1) | (1) | (2) | |||||
Net change in fair value | (35) | (88) | (25) | (317) | ||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | (36) | (88) | (26) | (319) | ||||
Available-for-sale Securities | AOCI Unrealized gain/loss, Available-for-sale | ||||||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||||||
Stockholders' Equity Attributable to Parent | (39) | 23 | (39) | 23 | $ (4) | $ (14) | $ 111 | $ 340 |
AFS Unrealized Gain/(Loss) on AFS Securities | (35) | (88) | (25) | (317) | ||||
Other Comprehensive Income (Loss), Net of Tax, Portion Attributable to Parent | $ (35) | $ (88) | $ (25) | $ (317) |
Capital (Capital Requirements) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Banking Regulation, Total Capital [Abstract] | ||
Risk-Based Capital, Required | $ 1,255 | $ 898 |
Risk-Based Capital, Actual | 7,483 | 7,757 |
Regulatory Capital, Required | 3,801 | 4,842 |
Regulatory Capital, Actual | $ 7,483 | $ 7,757 |
Regulatory Capital Ratio, Required | 4.00% | 4.00% |
Regulatory Capital Ratio, Actual | 7.87% | 6.41% |
Leverage Capital, Required | $ 4,751 | $ 6,053 |
Leverage Capital, Actual | $ 11,224 | $ 11,636 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage Ratio, Actual | 11.81% | 9.61% |
Capital (Mandatorily Redeemable Capital Stock) (Details) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2023
USD ($)
Institutions
|
Sep. 30, 2022
USD ($)
|
Sep. 30, 2023
USD ($)
Institutions
|
Sep. 30, 2022
USD ($)
|
Dec. 31, 2022
Institutions
|
|
Capital [Line Items] | |||||
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 6 | 6 | 3 | ||
Interest Expense on Mandatorily Redeemable Capital Stock | $ 13 | $ 0 | $ 15 | $ 0 | |
Mandatorily Redeemable Capital Stock [Roll Forward] | |||||
Balance at the beginning of the period | 843 | 5 | 5 | 3 | |
Reclassified from/(to) capital during the period | 1 | 4 | 1,252 | 36 | |
Repurchase/redemption of mandatorily redeemable capital stock | (68) | (5) | (481) | (35) | |
Balance at the end of the period | $ 776 | $ 4 | $ 776 | $ 4 |
Capital (By Redemption Period) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Sep. 30, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
---|---|---|---|---|---|---|
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount [Abstract] | ||||||
Year 3 | $ 1 | $ 0 | ||||
Year 4 | 2 | 1 | ||||
Year 5 | 772 | 3 | ||||
Past contractual redemption date because of remaining activity | 1 | 1 | ||||
Financial Instruments Subject to Mandatory Redemption, Settlement Terms, Share Value, Amount, Total | $ 776 | $ 843 | $ 5 | $ 4 | $ 5 | $ 3 |
Capital (Retained Earnings and Dividend Policy) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|
Nov. 09, 2023 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Oct. 26, 2023 |
Jul. 31, 2023 |
Jun. 30, 2023 |
Jan. 31, 2023 |
Dec. 31, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
|
Capital [Line Items] | ||||||||||||
Retained Earnings, Set by the Board inc JCEA | $ 2,600 | $ 2,700 | ||||||||||
JCE Agreement Amounts in excess of 150% of Restricted Retained Earnings Minimum May Be Releasted | 150.00% | 150.00% | ||||||||||
Excess Capital | $ 118 | $ 118 | $ 157 | |||||||||
Excess Capital to Assets | 0.12% | 0.12% | 0.13% | |||||||||
Dividends [Abstract] | ||||||||||||
Dividends, Cash, Annualized Rate | 7.75% | 6.00% | 7.26% | 6.00% | ||||||||
Total dividends | $ 76 | $ 40 | $ 206 | $ 108 | ||||||||
Interest Expense on Mandatorily Redeemable Capital Stock | 13 | 0 | 15 | 0 | ||||||||
Retained Earnings [Abstract] | ||||||||||||
Total Capital | 6,652 | 7,264 | 6,652 | 7,264 | $ 6,763 | $ 7,723 | $ 6,744 | $ 6,224 | ||||
Transfers from restricted retained earnings | 0 | |||||||||||
Subsequent Events [Abstract] | ||||||||||||
Dividends, Common Stock, Cash | $ 63 | 40 | $ 191 | 108 | ||||||||
Subsequent Event | ||||||||||||
Subsequent Events [Abstract] | ||||||||||||
Dividends, Cash Declared, Annualized Rate | 8.25% | |||||||||||
Interest and Dividends Payable, Current | $ 68 | |||||||||||
Dividends Payable, Date to be Paid | Nov. 09, 2023 | |||||||||||
Minimum | ||||||||||||
Capital [Line Items] | ||||||||||||
Regulatory Restrictions on Payment of Capital Stock Dividends, Excess Stock to Assets, Percent | 1.00% | 1.00% | ||||||||||
Unrestricted Retained Earnings | ||||||||||||
Retained Earnings [Abstract] | ||||||||||||
Total Capital | $ 3,406 | 3,222 | $ 3,406 | 3,222 | 3,387 | 3,262 | 3,198 | 3,124 | ||||
Transfers from restricted retained earnings | (16) | |||||||||||
Subsequent Events [Abstract] | ||||||||||||
Dividends, Common Stock, Cash | 63 | 40 | 191 | 108 | ||||||||
Total Restricted Retained Earnings | ||||||||||||
Retained Earnings [Abstract] | ||||||||||||
Total Capital | $ 816 | $ 708 | $ 816 | 708 | $ 795 | $ 732 | $ 692 | $ 708 | ||||
Transfers from restricted retained earnings | $ (16) |
Capital (Excess Capital Stock) (Details) - USD ($) $ / shares in Units, $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Banking Regulation, Total Capital [Abstract] | ||
Common stock, par value | $ 100 | |
Excess Capital | $ 118 | $ 157 |
Capital (Concentration) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Mar. 31, 2023 |
Sep. 30, 2023 |
Sep. 30, 2022 |
May 01, 2023 |
Dec. 31, 2022 |
|
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | $ 3,261 | $ 3,763 | |||
JPMorgan Chase | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | 713 | 0 | |||
First Republic Bank | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | 0 | 379 | |||
First Republic Bank | JPMorgan Chase | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | $ 759 | ||||
Silicon Valley Bank | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | 0 | 418 | |||
Borrowers Holding Capital Stock Of 10% Or More | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | 713 | 797 | |||
Other Borrowers | |||||
Concentration Risk [Line Items] | |||||
Capital Stock Outstanding | $ 2,548 | $ 2,966 | |||
Other Borrowers | Other Borrowers | Other Borrowers | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 78.00% | 79.00% | |||
Total Capital Stock, 10% or more | JPMorgan Chase | JPMorgan Chase | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 0.00% | 22.00% | |||
Total Capital Stock, 10% or more | First Republic Bank | First Republic Bank | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 0.00% | 10.00% | |||
Total Capital Stock, 10% or more | Silicon Valley Bank | Silicon Valley Bank | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 0.00% | 11.00% | |||
Total Capital Stock, 10% or more | Borrowers Holding Capital Stock Of 10% Or More | Borrowers Holding Capital Stock Of 10% Or More | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 22.00% | 21.00% | |||
Total Members | Total Members | |||||
Concentration Risk [Line Items] | |||||
Percentage of Total Capital Stock Outstanding | 100.00% | 100.00% |
Segment Information (Details) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2023
USD ($)
|
Sep. 30, 2022
USD ($)
|
Sep. 30, 2023
USD ($)
segment
|
Sep. 30, 2022
USD ($)
|
Dec. 31, 2022
USD ($)
|
|
Segment Reporting Information [Line Items] | |||||
Number of Operating Segments | segment | 2 | ||||
Interest revenue (expense), net | $ 172 | $ 134 | $ 638 | $ 356 | |
Amortization of Basis Adjustments and Gain/Loss on Fair Value Hedges | (8) | 10 | (9) | (4) | |
Income/(Expense) on Economic Hedges | 3 | (24) | 2 | (17) | |
Interest Expense on Mandatorily Redeemable Capital Stock | 13 | 0 | 15 | 0 | |
Net Interest Income After Provision for/(Reversal of) Credit Losses | 164 | 148 | 630 | 377 | |
Other Income/ (Loss) | 7 | (18) | (15) | (31) | |
Other Expense | 55 | 41 | 148 | 117 | |
Income/(Loss) Before AHP Assessment | 116 | 89 | 467 | 229 | |
Total net accretion or amortization recognized in interest income associated with PLRMBS with previous credit losses to the prior methodology | 8 | 14 | 27 | 43 | |
Provision for/(reversal of) credit losses | 7 | 9 | 7 | 9 | |
Assets | 95,021 | 95,021 | $ 121,056 | ||
Advances- Related Business | |||||
Segment Reporting Information [Line Items] | |||||
Interest revenue (expense), net | 128 | 86 | 495 | 172 | |
Assets | 80,065 | 80,065 | 109,330 | ||
Mortgage- Related Business | |||||
Segment Reporting Information [Line Items] | |||||
Interest revenue (expense), net | 44 | $ 48 | 143 | $ 184 | |
Assets | $ 14,956 | $ 14,956 | $ 11,726 |
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions |
Sep. 30, 2023
USD ($)
|
---|---|
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Aggregate fair value of uncleared derivative instruments with credit risk-related contingent features in a net derivative liability position (before cash collateral and related accrued interest) | $ 454 |
Collateral Already Posted, Aggregate Fair Value | 454 |
Derivatives, Additional Net Credit Exposure | $ 793 |
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Derivatives, Fair Value [Line Items] | ||||
Derivatives, Notional Amount | $ 117,011 | $ 116,793 | ||
Derivative Assets | 1,044 | 849 | ||
Netting adjustments and cash collateral | [1] | (1,038) | (823) | |
Total Derivative Assets and Derivative Liabilities | 6 | 26 | ||
Derivative Liabilities | 1,104 | 1,195 | ||
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (1,090) | (1,193) | |
Derivative liabilities, net | 14 | 2 | ||
Cash collateral posted, including accrued interest | 472 | 694 | ||
Cash collateral received, including accrued interest | 420 | 324 | ||
Designated as Hedging Instrument | Interest rate swaps | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivatives, Notional Amount | 91,782 | 69,204 | ||
Derivative Assets | 981 | 799 | ||
Derivative Liabilities | 995 | 1,062 | ||
Not Designated as Hedging Instrument, Economic Hedge | Interest rate swaps | ||||
Derivatives, Fair Value [Line Items] | ||||
Derivatives, Notional Amount | 25,229 | 47,589 | ||
Derivative Assets | 63 | 50 | ||
Derivative Liabilities | $ 109 | $ 133 | ||
|
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Advances | $ 867 | $ 345 | $ 3,184 | $ 501 |
AFS securities | 246 | 109 | 645 | 247 |
Bonds | (963) | (143) | (3,008) | (205) |
Net gain/(loss) on derivatives | 15 | (1) | (6) | (13) |
Advances | Interest Income | Interest Rate Contract | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 237 | 314 | 484 | 771 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (74) | (301) | (297) | (802) |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | 163 | 13 | 187 | (31) |
Available-for-sale Securities | Interest Income | Interest Rate Contract | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | 450 | 507 | 657 | 1,216 |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (357) | (515) | (434) | (1,290) |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | 93 | (8) | 223 | (74) |
Consolidated Obligations, Bonds | Interest Expense | Interest Rate Contract | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Change in Unrealized Gain (Loss) on Fair Value Hedging Instruments | (106) | (391) | (310) | (989) |
Change in Unrealized Gain (Loss) on Hedged Item in Fair Value Hedge | (46) | 354 | (119) | 987 |
Net Gains Losses On Qualifying Active Fair Value Hedging Relationships | $ (152) | $ (37) | $ (429) | $ (2) |
Derivatives and Hedging Activities Cumulative adjustments table (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Liability, Fair Value Hedge | $ (34,134) | $ (21,976) |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | 40,460 | 34,535 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | (982) | (740) |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (921) | (670) |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Amortized Cost of Hedged Asset, Fair Value Hedge | 15,252 | 11,574 |
Basis Adjustment for Active Fair Value Hedged Asset Cumulative Increase Decrease | (1,747) | (1,410) |
Hedged Asset, Fair Value Hedge, Cumulative Increase (Decrease) | (1,098) | (670) |
Consolidated Obligations, Bonds | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Active Fair Value Hedged Liability Cumulative Increase Decrease | 964 | 1,083 |
Hedged Liability, Fair Value Hedge, Cumulative Increase (Decrease) | 964 | 1,083 |
Advances | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 61 | 70 |
Available-for-sale Securities | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Asset, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | 649 | 740 |
Consolidated Obligations, Bonds | ||
Derivative Instruments and Hedging Activities Disclosures [Line Items] | ||
Basis Adjustment for Hedged Liability, Discontinued Fair Value Hedge, Cumulative Increase (Decrease) | $ 0 | $ 0 |
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gain/(loss) on derivatives | $ 15 | $ (1) | $ (6) | $ (13) |
Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 13 | 23 | ||
Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 3 | (24) | ||
Total net gain/(loss) related to derivatives not designated as hedging instruments | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 16 | (1) | (3) | (13) |
Not Designated as Hedging Instrument, Economic Hedge [Member] | Interest rate swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | (5) | 4 | ||
Not Designated as Hedging Instrument, Economic Hedge [Member] | Net interest settlements | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Derivative Instruments Not Designated as Hedging Instruments, Gain (Loss), Net | 2 | (17) | ||
Not Designated as Hedging Instrument [Member] | Price Alignment Amount | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Price Alignment Amount | $ (3) | $ 0 | ||
Gain (Loss) on Derivative and Hedging Activities | Not Designated as Hedging Instrument [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Price Alignment Amount | $ (1) | $ 0 |
Derivatives and Hedging Activities (Offsetting of Derivative Assets and Derivative Liabilities) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Derivative [Line Items] | ||||
Derivative Asset, Fair Value, Gross Recognized Amount | $ 1,044 | $ 849 | ||
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (1,038) | (823) | ||
Total Derivative Assets and Derivative Liabilities | 6 | 26 | ||
Derivative Asset, Noncash collateral not offset that can be sold or repledged | 0 | (435) | ||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 6 | 461 | ||
Derivative Liability, Fair Value, Gross Recognized Amount | 1,104 | 1,195 | ||
Netting Adjustments and Cash Collateral-Derivative Liability | [1] | (1,090) | (1,193) | |
Derivative Assets and Derivative Liabilities | 14 | 2 | ||
Derivative Liability, Noncash collateral not offset that can be sold or repledged | (6) | 0 | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | 8 | 2 | ||
Uncleared derivatives | ||||
Derivative [Line Items] | ||||
Derivative Asset, Fair Value, Gross Recognized Amount | 1,035 | 834 | ||
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (1,029) | (829) | ||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 6 | 5 | ||
Derivative Liability, Fair Value, Gross Recognized Amount | 1,073 | 1,188 | ||
Netting Adjustments and Cash Collateral-Derivative Liability | (1,065) | (1,186) | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | 8 | 2 | ||
Cleared derivatives | ||||
Derivative [Line Items] | ||||
Derivative Asset, Fair Value, Gross Recognized Amount | 9 | 15 | ||
Derivative Asset Fair Value Gross Liability and Right To Reclaim Cash Offset | (9) | 6 | ||
Derivative Asset, Noncash collateral not offset that can be sold or repledged | 0 | (435) | ||
Derivative Asset, Fair Value, Amount Offset Against Collateral | 0 | 456 | ||
Derivative Liability, Fair Value, Gross Recognized Amount | 31 | 7 | ||
Netting Adjustments and Cash Collateral-Derivative Liability | (25) | (7) | ||
Derivative Liability, Noncash collateral not offset that can be sold or repledged | 6 | 0 | ||
Derivative Liability, Fair Value, Amount Offset Against Collateral | $ 0 | $ 0 | ||
|
Fair Value (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Jun. 30, 2023 |
Dec. 31, 2022 |
Sep. 30, 2022 |
Jun. 30, 2022 |
Dec. 31, 2021 |
|||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Assets | |||||||||||||||||
Cash and due from banks | $ 10 | $ 9 | |||||||||||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | [1] | 16,279 | 12,713 | ||||||||||||||
HTM Securities, Fair Value | [2] | 1,895 | 2,181 | ||||||||||||||
HTM securities, fair value | 1,852 | 2,136 | |||||||||||||||
Interest Receivable | 192 | 313 | |||||||||||||||
Derivative assets, net | 6 | 26 | |||||||||||||||
Derivative Assets | 1,044 | 849 | |||||||||||||||
Derivative Asset, Netting adjustments | [3] | 1,038 | 823 | ||||||||||||||
Liabilities | |||||||||||||||||
Mandatorily redeemable capital stock | 776 | $ 843 | 5 | $ 4 | $ 5 | $ 3 | |||||||||||
Borrowings from other Federal Home Loan Banks (FHLBanks) | 300 | 0 | |||||||||||||||
Accrued interest payable | 510 | 326 | |||||||||||||||
Derivative liabilities, net | 14 | 2 | |||||||||||||||
Derivative Liabilities | 1,104 | 1,195 | |||||||||||||||
Derivative Liability, Netting adjustments | [3] | (1,090) | (1,193) | ||||||||||||||
Carrying Value(1) | |||||||||||||||||
Assets | |||||||||||||||||
Cash and due from banks | 10 | 9 | |||||||||||||||
Interest-bearing deposits | 3,777 | 3,677 | |||||||||||||||
Securities purchased under agreements to resell | 2,750 | 7,000 | |||||||||||||||
Federal funds sold | 5,533 | 4,719 | |||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | 16,279 | 12,713 | |||||||||||||||
HTM securities, Carrying Value | (1,895) | ||||||||||||||||
HTM Securities, Fair Value | 2,181 | ||||||||||||||||
Advances | 63,584 | 89,400 | |||||||||||||||
Mortgage loans held for portfolio | 770 | 815 | |||||||||||||||
Interest Receivable | 192 | 313 | |||||||||||||||
Derivative assets, net | [4] | 6 | 26 | ||||||||||||||
Other assets | [5] | 16 | 15 | ||||||||||||||
Liabilities | |||||||||||||||||
Deposits | 768 | 989 | |||||||||||||||
Total consolidated obligations | 85,200 | 111,697 | |||||||||||||||
Mandatorily redeemable capital stock | 776 | 5 | |||||||||||||||
Borrowings from other Federal Home Loan Banks (FHLBanks) | 300 | ||||||||||||||||
Accrued interest payable | 510 | 326 | |||||||||||||||
Derivative liabilities, net | [4] | 14 | 2 | ||||||||||||||
Estimated Fair Value | |||||||||||||||||
Assets | |||||||||||||||||
Cash and due from banks | 10 | 9 | |||||||||||||||
Interest-bearing deposits | 3,777 | 3,677 | |||||||||||||||
Securities purchased under agreements to resell | 2,750 | 7,000 | |||||||||||||||
Federal funds sold | 5,533 | 4,719 | |||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | 16,279 | 12,713 | |||||||||||||||
HTM securities, fair value | 1,852 | 2,136 | |||||||||||||||
Advances | 63,407 | 89,183 | |||||||||||||||
Mortgage loans held for portfolio | 633 | 695 | |||||||||||||||
Interest Receivable | 192 | 313 | |||||||||||||||
Derivative assets, net | [4] | 6 | 26 | ||||||||||||||
Other assets | [5] | 16 | 15 | ||||||||||||||
Liabilities | |||||||||||||||||
Deposits | 768 | 989 | |||||||||||||||
Total consolidated obligations | 84,870 | 111,312 | |||||||||||||||
Mandatorily redeemable capital stock | 776 | 5 | |||||||||||||||
Borrowings from other Federal Home Loan Banks (FHLBanks) | 300 | ||||||||||||||||
Accrued interest payable | 510 | 326 | |||||||||||||||
Derivative liabilities, net | [4] | 14 | 2 | ||||||||||||||
Level 1 | |||||||||||||||||
Assets | |||||||||||||||||
Cash and due from banks | 10 | 9 | |||||||||||||||
Interest-bearing deposits | 3,777 | 3,677 | |||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | |||||||||||||||
Federal funds sold | 0 | 0 | |||||||||||||||
Trading securities | 0 | 0 | |||||||||||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | 0 | 0 | |||||||||||||||
HTM securities, fair value | 0 | 0 | |||||||||||||||
Advances | 0 | 0 | |||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | |||||||||||||||
Interest Receivable | 0 | 0 | |||||||||||||||
Derivative Assets | 0 | 0 | [4] | ||||||||||||||
Other assets | [5] | 16 | 15 | ||||||||||||||
Liabilities | |||||||||||||||||
Deposits | 0 | 0 | |||||||||||||||
Total consolidated obligations | 0 | 0 | |||||||||||||||
Mandatorily redeemable capital stock | 776 | 5 | |||||||||||||||
Borrowings from other Federal Home Loan Banks (FHLBanks) | 0 | ||||||||||||||||
Accrued interest payable | 0 | 0 | |||||||||||||||
Derivative Liabilities | 0 | 0 | [4] | ||||||||||||||
Level 2 | |||||||||||||||||
Assets | |||||||||||||||||
Cash and due from banks | 0 | 0 | |||||||||||||||
Interest-bearing deposits | 0 | 0 | |||||||||||||||
Securities purchased under agreements to resell | 2,750 | 7,000 | |||||||||||||||
Federal funds sold | 5,533 | 4,719 | |||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | 15,204 | 11,531 | |||||||||||||||
HTM securities, fair value | 1,731 | 1,993 | |||||||||||||||
Advances | 63,407 | 89,183 | |||||||||||||||
Mortgage loans held for portfolio | 633 | 695 | |||||||||||||||
Interest Receivable | 192 | 313 | |||||||||||||||
Derivative Assets | [4] | 1,044 | 849 | ||||||||||||||
Derivative Asset, Netting adjustments | [4] | (1,038) | (823) | ||||||||||||||
Other assets | [5] | 0 | 0 | ||||||||||||||
Liabilities | |||||||||||||||||
Deposits | 768 | 989 | |||||||||||||||
Total consolidated obligations | 84,870 | 111,312 | |||||||||||||||
Mandatorily redeemable capital stock | 0 | 0 | |||||||||||||||
Borrowings from other Federal Home Loan Banks (FHLBanks) | 300 | ||||||||||||||||
Accrued interest payable | 510 | 326 | |||||||||||||||
Derivative Liabilities | [4] | 1,104 | 1,195 | ||||||||||||||
Derivative Liability, Netting adjustments | [4] | (1,090) | (1,193) | ||||||||||||||
Level 3 | |||||||||||||||||
Assets | |||||||||||||||||
Cash and due from banks | 0 | 0 | |||||||||||||||
Interest-bearing deposits | 0 | 0 | |||||||||||||||
Securities purchased under agreements to resell | 0 | 0 | |||||||||||||||
Federal funds sold | 0 | 0 | |||||||||||||||
Trading securities | 0 | 0 | |||||||||||||||
Available-for-sale (AFS) securities, net of allowance for credit losses of $34 and $30, respectively (amortized cost of $16,352 and $12,757, respectively)(a) | 1,075 | 1,182 | |||||||||||||||
HTM securities, fair value | 121 | 143 | |||||||||||||||
Advances | 0 | 0 | |||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | |||||||||||||||
Interest Receivable | 0 | 0 | |||||||||||||||
Derivative Assets | 0 | 0 | [4] | ||||||||||||||
Other assets | [5] | 0 | 0 | ||||||||||||||
Liabilities | |||||||||||||||||
Deposits | 0 | 0 | |||||||||||||||
Total consolidated obligations | 0 | 0 | |||||||||||||||
Mandatorily redeemable capital stock | 0 | 0 | |||||||||||||||
Borrowings from other Federal Home Loan Banks (FHLBanks) | 0 | ||||||||||||||||
Accrued interest payable | 0 | 0 | |||||||||||||||
Derivative Liabilities | 0 | 0 | [4] | ||||||||||||||
Discount notes | Carrying Value(1) | |||||||||||||||||
Liabilities | |||||||||||||||||
Discount notes | 14,293 | 35,929 | |||||||||||||||
Discount notes | Estimated Fair Value | |||||||||||||||||
Liabilities | |||||||||||||||||
Discount notes | 14,286 | 35,916 | |||||||||||||||
Discount notes | Level 1 | |||||||||||||||||
Liabilities | |||||||||||||||||
Discount notes | 0 | 0 | |||||||||||||||
Discount notes | Level 2 | |||||||||||||||||
Liabilities | |||||||||||||||||
Discount notes | 14,286 | 35,916 | |||||||||||||||
Discount notes | Level 3 | |||||||||||||||||
Liabilities | |||||||||||||||||
Discount notes | 0 | 0 | |||||||||||||||
Bonds | |||||||||||||||||
Liabilities | |||||||||||||||||
Bonds | 605 | 2,226 | |||||||||||||||
Bonds | Carrying Value(1) | |||||||||||||||||
Liabilities | |||||||||||||||||
Bonds | 70,907 | 75,768 | |||||||||||||||
Bonds | Estimated Fair Value | |||||||||||||||||
Liabilities | |||||||||||||||||
Bonds | 70,584 | 75,396 | |||||||||||||||
Bonds | Level 1 | |||||||||||||||||
Liabilities | |||||||||||||||||
Bonds | 0 | 0 | |||||||||||||||
Bonds | Level 2 | |||||||||||||||||
Liabilities | |||||||||||||||||
Bonds | 70,584 | 75,396 | |||||||||||||||
Bonds | Level 3 | |||||||||||||||||
Liabilities | |||||||||||||||||
Bonds | $ 0 | $ 0 | |||||||||||||||
|
Fair Value (Fair Value Measured on Recurring and Nonrecurring Basis) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
|||||||||||||||||
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
MBS – Other U.S. obligations | Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | $ 0 | $ 0 | |||||||||||||||||
MBS – Other U.S. obligations | Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||||
MBS – Other U.S. obligations | Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 0 | 0 | |||||||||||||||||
MBS – Other U.S. obligations | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 4,044 | 4,024 | |||||||||||||||||
US Treasury Securities | Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
US Treasury Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 4,044 | 4,024 | |||||||||||||||||
MBS - GSEs | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 11,160 | 7,507 | |||||||||||||||||
Residential Mortgage Backed Securities | Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 1,075 | 1,182 | |||||||||||||||||
Residential Mortgage Backed Securities | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 12,235 | 8,689 | |||||||||||||||||
Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
Subtotal PLRMBS | Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 1,075 | 1,182 | |||||||||||||||||
Subtotal PLRMBS | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 1,075 | 1,182 | |||||||||||||||||
Fair value of advances under the fair value option | [1] | 2,302 | 2,059 | ||||||||||||||||
Derivative Asset, Netting adjustments | [2] | 1,038 | 823 | ||||||||||||||||
Derivative assets, net | 6 | 26 | |||||||||||||||||
Derivative Liability, Netting adjustments | [2] | (1,090) | (1,193) | ||||||||||||||||
Derivative liabilities, net | 14 | 2 | |||||||||||||||||
Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 0 | 0 | |||||||||||||||||
Other assets | [3] | 16 | 15 | ||||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | |||||||||||||||||
Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||||
Derivative Asset, Netting adjustments | [4] | (1,038) | (823) | ||||||||||||||||
Other assets | [3] | 0 | 0 | ||||||||||||||||
Derivative Liability, Netting adjustments | [4] | (1,090) | (1,193) | ||||||||||||||||
Mortgage loans held for portfolio | 633 | 695 | |||||||||||||||||
Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 0 | 0 | |||||||||||||||||
Other assets | [3] | 0 | 0 | ||||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | |||||||||||||||||
Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair value of advances under the fair value option | [5] | 2,302 | 2,059 | ||||||||||||||||
Derivative Asset, Netting adjustments | [6] | (1,038) | (823) | ||||||||||||||||
Derivative Liability, Netting adjustments | [6] | (1,090) | (1,193) | ||||||||||||||||
Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
Fair value of advances under the fair value option | [5] | 0 | 0 | ||||||||||||||||
Other assets | 16 | 15 | |||||||||||||||||
Total fair value measurements – Assets | 16 | 15 | |||||||||||||||||
Total recurring fair value measurements – Liabilities | 0 | 0 | |||||||||||||||||
Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 15,204 | 11,531 | |||||||||||||||||
Fair value of advances under the fair value option | [5] | 2,302 | 2,059 | ||||||||||||||||
Other assets | 0 | 0 | |||||||||||||||||
Total fair value measurements – Assets | 18,551 | 14,440 | |||||||||||||||||
Total recurring fair value measurements – Liabilities | 1,709 | 3,421 | |||||||||||||||||
Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 1,075 | 1,182 | |||||||||||||||||
Fair value of advances under the fair value option | [5] | 0 | 0 | ||||||||||||||||
Other assets | 0 | 0 | |||||||||||||||||
Total fair value measurements – Assets | 1,075 | 1,182 | |||||||||||||||||
Total recurring fair value measurements – Liabilities | 0 | 0 | |||||||||||||||||
Fair Value, Measurements, Nonrecurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Total fair value measurements – Assets | [7] | 0 | 0 | ||||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | [7] | ||||||||||||||||
Fair Value, Measurements, Nonrecurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Total fair value measurements – Assets | [7] | 0 | 0 | ||||||||||||||||
Mortgage loans held for portfolio | 0 | 0 | [7] | ||||||||||||||||
Fair Value, Measurements, Nonrecurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Total fair value measurements – Assets | [7] | 20 | 20 | ||||||||||||||||
Mortgage loans held for portfolio | [7] | 20 | 20 | ||||||||||||||||
Consolidated obligation bonds | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | 605 | 2,226 | |||||||||||||||||
Consolidated obligation bonds | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | 0 | 0 | |||||||||||||||||
Consolidated obligation bonds | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | 70,584 | 75,396 | |||||||||||||||||
Consolidated obligation bonds | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | 0 | 0 | |||||||||||||||||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | [8] | 605 | 2,226 | ||||||||||||||||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | [8] | 0 | 0 | ||||||||||||||||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | [8] | 605 | 2,226 | ||||||||||||||||
Consolidated obligation bonds | Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | [8] | 0 | 0 | ||||||||||||||||
Estimate of Fair Value Measurement | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Trading securities | 1 | 1 | |||||||||||||||||
Derivative assets, net | [4] | 6 | 26 | ||||||||||||||||
Other assets | [3] | 16 | 15 | ||||||||||||||||
Derivative liabilities, net | [4] | 14 | 2 | ||||||||||||||||
Mortgage loans held for portfolio | 633 | 695 | |||||||||||||||||
Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 16,279 | 12,713 | |||||||||||||||||
Other assets | 16 | 15 | |||||||||||||||||
Total fair value measurements – Assets | 18,604 | 14,814 | |||||||||||||||||
Total recurring fair value measurements – Liabilities | 619 | 2,228 | |||||||||||||||||
Estimate of Fair Value Measurement | Fair Value, Measurements, Nonrecurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Total fair value measurements – Assets | [7] | 20 | 20 | ||||||||||||||||
Mortgage loans held for portfolio | [7] | 20 | 20 | ||||||||||||||||
Estimate of Fair Value Measurement | Consolidated obligation bonds | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Bonds | 70,584 | 75,396 | |||||||||||||||||
Interest rate swaps | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Derivative Asset, Netting adjustments | [6] | (1,038) | (823) | ||||||||||||||||
Derivative Liability, Netting adjustments | [6] | (1,090) | (1,193) | ||||||||||||||||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Derivative assets, net | 0 | 0 | |||||||||||||||||
Derivative liabilities, net | 0 | 0 | |||||||||||||||||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Derivative assets, net | 1,044 | 849 | |||||||||||||||||
Derivative liabilities, net | 1,104 | 1,195 | |||||||||||||||||
Interest rate swaps | Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Derivative assets, net | 0 | 0 | |||||||||||||||||
Derivative liabilities, net | 0 | 0 | |||||||||||||||||
Interest rate swaps | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Derivative assets, net | 6 | 26 | |||||||||||||||||
Derivative liabilities, net | 14 | 2 | |||||||||||||||||
Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 1 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 2 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 11,160 | 7,507 | |||||||||||||||||
Multifamily [Member] | MBS - GSEs | Fair Value, Measurements, Recurring | Level 3 | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | 0 | 0 | |||||||||||||||||
Multifamily [Member] | MBS - GSEs | Estimate of Fair Value Measurement | Fair Value, Measurements, Recurring | |||||||||||||||||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | |||||||||||||||||||
Fair Value of AFS Securities | $ 11,160 | $ 7,507 | |||||||||||||||||
|
Fair Value (Level 3) (Details) - Subtotal PLRMBS - Fair Value, Measurements, Recurring - Level 3 - Available-for-sale Securities - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||
---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance, beginning of the period | $ 1,119 | $ 1,327 | $ 1,182 | $ 1,608 |
Interest income | 8 | 14 | 27 | 43 |
Provision for Credit Losses | (7) | (9) | (7) | (9) |
Other income/(loss) | 0 | 28 | ||
Unrealized gain/(loss) included in AOCI | (9) | (39) | (20) | (124) |
Settlements | (36) | (56) | (109) | (325) |
Transfers of HTM to AFS | 0 | 1 | 2 | 17 |
Balance, end of the period | 1,075 | 1,238 | 1,075 | 1,238 |
Total amount of gain/(loss) for the period included in earnings attributable to the change in unrealized gains/losses relating to assets held at the end of the period | 1 | 5 | 19 | 34 |
Fair Value, Asset, Recurring Basis, Still Held, Unrealized Gain (Loss), OCI | $ (9) | $ (39) | $ (20) | $ (124) |
Fair Value (Fair Value Option) (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | ||||
---|---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
|||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Balance, beginning of the period | [1] | $ 2,059 | ||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $ (12) | $ (20) | (27) | $ (53) | ||
Balance, end of the period | [1] | 2,302 | 2,302 | |||
Advances | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | (10) | (42) | (11) | (117) | ||
Consolidated obligation bonds | ||||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||||
Net gain/(loss) on advances and consolidated obligation bonds held under fair value option | $ (2) | $ 22 | $ (16) | $ 64 | ||
|
Fair Value (Fair Value Difference Between Fair Value and Remaining Contractual Principal Balance Outstanding) (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
||
---|---|---|---|---|
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value Option, Principal Balance, Advances | [1] | $ 2,354 | $ 2,106 | |
Fair Value of advances under the fair value option | [1] | 2,302 | 2,059 | |
Fair Value Over/(Under) Principal Balance, Advances | [1] | (52) | (47) | |
Consolidated obligation bonds | ||||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||||
Fair Value Option, Principal Balance, CO Bonds | 648 | 2,278 | ||
Fair value of bonds under the fair value option | 605 | 2,226 | ||
Fair Value Over/(Under) Principal Balance, CO Bonds | $ (43) | $ (52) | ||
|
Commitments and Contingencies Off-Balance Sheet Commitments (Details) - USD ($) $ in Millions |
Sep. 30, 2023 |
Dec. 31, 2022 |
---|---|---|
Loss Contingencies [Line Items] | ||
Obligation with Joint and Several Liability Arrangement, Amount Outstanding | $ 1,200,000 | $ 1,200,000 |
Other Liabilities | 669 | 203 |
Assets Pledged As Collateral | 1,300 | 1,100 |
Available-for-sale securities pledged as collateral that may be repledged | 799 | 435 |
Derivative, Collateral, Right to Reclaim Cash | 472 | 694 |
Standby letters of credit outstanding | Carrying Value(1) | ||
Loss Contingencies [Line Items] | ||
Other commitments | 56 | |
Standby letters of credit outstanding | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 9,870 | 16,591 |
Expire After One Year | 8,447 | 6,049 |
Total | 18,317 | 22,640 |
Other Liabilities | 34 | |
Commitments to issue consolidated obligation discount notes, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 0 | 300 |
Expire After One Year | 0 | 0 |
Total | 0 | 300 |
Commitments to issue consolidated obligation bonds, par | ||
Loss Contingencies [Line Items] | ||
Expire Within One Year | 229 | 2,385 |
Expire After One Year | 0 | 0 |
Total | 229 | 2,385 |
Guarantee of Indebtedness of Others | ||
Loss Contingencies [Line Items] | ||
Total consolidated obligations, par value | $ 86,300 | $ 113,100 |
Transactions with Certain Members, Certain Nonmembers, and Other FHLBanks (Details) - USD ($) $ in Millions |
3 Months Ended | 9 Months Ended | |||
---|---|---|---|---|---|
Sep. 30, 2023 |
Sep. 30, 2022 |
Sep. 30, 2023 |
Sep. 30, 2022 |
Dec. 31, 2022 |
|
Related Party Transaction [Line Items] | |||||
Payments to Extend Overnight Loans to Other FHLBanks | $ 2,600 | $ 2,400 | |||
Proceeds from Other FHLBank Borrowings | 5,500 | 10,100 | |||
Interest Expense, Loans from Other Federal Home Loan Banks | 2 | ||||
Assets: | |||||
Advances | $ 63,584 | 63,584 | $ 89,400 | ||
Mortgage loans held for portfolio | 770 | 770 | 815 | ||
Accrued interest receivable | 192 | 192 | 313 | ||
Liabilities: | |||||
Deposits | 768 | 768 | 989 | ||
Capital [Abstract] | |||||
Capital Stock | 2,485 | 2,485 | 3,758 | ||
Interest Income: | |||||
Advances | 867 | $ 345 | 3,184 | 501 | |
Mortgage loans held for portfolio | 9 | 8 | 21 | 38 | |
Capital Stock Outstanding | 3,261 | 3,261 | 3,763 | ||
Transaction with Member Officer or Director | |||||
Assets: | |||||
Advances | 6,519 | 6,519 | 7,269 | ||
Mortgage loans held for portfolio | 76 | 76 | 80 | ||
Accrued interest receivable | 9 | 9 | 9 | ||
Liabilities: | |||||
Deposits | 17 | 17 | 11 | ||
Capital [Abstract] | |||||
Capital Stock | 228 | 228 | $ 215 | ||
Interest Income: | |||||
Advances | 70 | 32 | 214 | 63 | |
Mortgage loans held for portfolio | $ 1 | $ 1 | $ 2 | $ 1 |
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