Fair Value (Tables)

12 Months Ended

Dec. 31, 2019

The following table summarizes the carrying value, fair value, and fair value hierarchy of the Bank’s financial instruments at December 31, 2019 (dollars in millions). The Bank records trading securities, AFS securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis, and on occasion certain mortgage loans held for portfolio on a non-recurring basis. The Bank records all other financial assets and liabilities at amortized cost. The fair values do 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 assets and liabilities.



				Fair Value
Financial Instruments	Carrying Value			Level 1			Level 2			Level 3		Netting Adjustment and Cash Collateral¹		Total
Assets
Cash and due from banks	$	1,029		$	1,029		$	—		$	—	$	—	$	1,029
Interest-bearing deposits	1			—			1			—		—		1
Securities purchased under agreements to resell	13,950			—			13,950			—		—		13,950
Federal funds sold	4,605			—			4,605			—		—		4,605
Trading securities	888			—			888			—		—		888
Available-for-sale securities	16,651			—			16,651			—		—		16,651
Held-to-maturity securities	2,370			—			2,432			7		—		2,439
Advances	80,360			—			80,576			—		—		80,576
Mortgage loans held for portfolio, net	9,334			—			9,458			52		—		9,510
Accrued interest receivable	195			—			195			—		—		195
Derivative assets, net	102			—			39			—		63		102
Other assets	34			34			—			—		—		34
Liabilities
Deposits	(1,112		)	—			(1,112		)	—		—		(1,112		)
Consolidated obligations
Discount notes	(29,531		)	—			(29,532		)	—		—		(29,532		)
Bonds	(91,553		)	—			(92,002		)	—		—		(92,002		)
Total consolidated obligations	(121,084		)	—			(121,534		)	—		—		(121,534		)
Mandatorily redeemable capital stock	(206		)	(206		)	—			—		—		(206		)
Accrued interest payable	(252		)	—			(252		)	—		—		(252		)
Derivative liabilities, net	(1		)	—			(202		)	—		201		(1		)


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

The following table summarizes the carrying value, fair value, and fair value hierarchy of the Bank’s financial instruments at December 31, 2018 (dollars in millions):



				Fair Value
Financial Instruments	Carrying Value			Level 1			Level 2			Level 3		Netting Adjustments and Cash Collateral¹			Total
Assets
Cash and due from banks	$	119		$	119		$	—		$	—	$	—		$	119
Interest-bearing deposits	1			—			1			—		—			1
Securities purchased under agreements to resell	4,700			—			4,700			—		—			4,700
Federal funds sold	4,150			—			4,150			—		—			4,150
Trading securities	915			—			915			—		—			915
Available-for-sale securities	19,019			—			19,019			—		—			19,019
Held-to-maturity securities	2,992			—			3,011			10		—			3,021
Advances	106,323			—			106,317			—		—			106,317
Mortgage loans held for portfolio, net	7,835			—			7,749			57		—			7,806
Accrued interest receivable	290			—			290			—		—			290
Derivative assets, net	58			—			104			—		(46		)	58
Other assets	27			27			—			—		—			27
Liabilities
Deposits	(1,070		)	—			(1,070		)	—		—			(1,070		)
Borrowing from other FHLBanks	(500		)	—			(500		)	—		—			(500		)
Consolidated obligations
Discount notes	(42,879		)	—			(42,870		)	—		—			(42,870		)
Bonds	(93,772		)	—			(93,828		)	—		—			(93,828		)
Total consolidated obligations	(136,651		)	—			(136,698		)	—		—			(136,698		)
Mandatorily redeemable capital stock	(255		)	(255		)	—			—		—			(255		)
Accrued interest payable	(268		)	—			(268		)	—		—			(268		)
Derivative liabilities, net	(9		)	—			(139		)	—		130			(9		)

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

Recurring Fair Value

The following table summarizes, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on the Statements of Condition at December 31, 2019 (dollars in millions):



Recurring Fair Value Measurements	Level 1		Level 2			Level 3		Netting Adjustments and Cash Collateral¹		Total
Assets
Trading securities
Other U.S. obligations	$	—	$	150		$	—	$	—	$	150
GSE and Tennessee Valley Authority obligations	—		60			—		—		60
Othernon-MBS	—		259			—		—		259
GSE multifamily MBS	—		419			—		—		419
Total trading securities	—		888			—		—		888
Available-for-sale securities
Other U.S. obligations	—		2,127			—		—		2,127
GSE and Tennessee Valley Authority obligations	—		1,060			—		—		1,060
State or local housing agency obligations	—		756			—		—		756
Other non-MBS	—		285			—		—		285
U.S. obligations single-family MBS	—		4,059			—		—		4,059
GSE single-family MBS	—		649			—		—		649
GSE multifamily MBS	—		7,715			—		—		7,715
Total available-for-sale securities	—		16,651			—		—		16,651
Derivative assets, net
Interest-rate related	—		39			—		63		102
Other assets	34		—			—		—		34
Total recurring assets at fair value	$	34	$	17,578		$	—	$	63	$	17,675
Liabilities
Derivative liabilities, net
Interest-rate related	—		(202		)	—		201		(1		)
Total recurring liabilities at fair value	$	—	$	(202	)	$	—	$	201	$	(1	)


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

The following table summarizes, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on the Statements of Condition at December 31, 2018 (dollars in millions):



Recurring Fair Value Measurements	Level 1		Level 2			Level 3		Netting Adjustments and Cash Collateral¹			Total
Assets
Trading securities
Other U.S. obligations	$	—	$	159		$	—	$	—		$	159
GSE and Tennessee Valley Authority obligations	—		57			—		—			57
Othernon-MBS	—		266			—		—			266
GSE multifamily MBS	—		433			—		—			433
Total trading securities	—		915			—		—			915
Available-for-sale securities
Other U.S. obligations	—		2,602			—		—			2,602
GSE and Tennessee Valley Authority obligations	—		1,038			—		—			1,038
State or local housing agency obligations	—		814			—		—			814
Other non-MBS	—		275			—		—			275
U.S. obligations single-family MBS	—		4,483			—		—			4,483
GSE single-family MBS	—		796			—		—			796
GSE multifamily MBS	—		9,011			—		—			9,011
Total available-for-sale securities	—		19,019			—		—			19,019
Derivative assets, net
Interest-rate related	—		103			—		(46		)	57
Mortgage loan purchase agreements	—		1			—		—			1
Total derivative assets, net	—		104			—		(46		)	58
Other assets	27		—			—		—			27
Total recurring assets at fair value	$	27	$	20,038		$	—	$	(46	)	$	20,019
Liabilities
Derivative liabilities, net
Interest-rate related	—		(139		)	—		130			(9		)
Total recurring liabilities at fair value	$	—	$	(139	)	$	—	$	130		$	(9	)


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