Fair Value (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value, by Balance Sheet Grouping [Table Text Block]

The following table summarizes the carrying value, fair value, and fair value hierarchy of the Bank’s financial instruments at March 31, 2020 (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 Adjustments and Cash Collateral¹		Total
Assets
Cash and due from banks	$	611		$	611		$	—		$	—	$	—	$	611
Interest-bearing deposits	1			—			1			—		—		1
Securities purchased under agreements to resell	6,550			—			6,550			—		—		6,550
Federal funds sold	8,935			—			8,935			—		—		8,935
Trading securities	1,728			—			1,728			—		—		1,728
Available-for-sale securities	16,166			—			16,166			—		—		16,166
Held-to-maturity securities	2,254			—			2,339			7		—		2,346
Advances	79,757			—			80,270			—		—		80,270
Mortgage loans held for portfolio, net	9,546			—			9,837			49		—		9,886
Accrued interest receivable	179			—			179			—		—		179
Derivative assets, net	233			—			71			—		162		233
Other assets	28			28			—			—		—		28
Liabilities
Deposits	(1,267		)	—			(1,267		)	—		—		(1,267		)
Consolidated obligations
Discount notes	(33,071		)	—			(33,109		)	—		—		(33,109		)
Bonds	(84,266		)	—			(85,331		)	—		—		(85,331		)
Total consolidated obligations	(117,337		)	—			(118,440		)	—		—		(118,440		)
Mandatorily redeemable capital stock	(96		)	(96		)	—			—		—		(96		)
Accrued interest payable	(258		)	—			(258		)	—		—		(258		)
Derivative liabilities, net	(9		)	—			(456		)	—		447		(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.

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):



				Fair Value
Financial Instruments	Carrying Value			Level 1			Level 2			Level 3		Netting Adjustments 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		)

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.

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

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 March 31, 2020 (dollars in millions):



Recurring Fair Value Measurements	Level 1		Level 2			Level 3		Netting Adjustments and Cash Collateral¹		Total
Assets
Trading securities
U.S. Treasury obligations	$	—	$	873		$	—	$	—	$	873
Other U.S. obligations	—		140			—		—		140
GSE and Tennessee Valley Authority obligations	—		64			—		—		64
Othernon-MBS	—		262			—		—		262
GSE multifamily MBS	—		389			—		—		389
Total trading securities	—		1,728			—		—		1,728
Available-for-sale securities
Other U.S. obligations	—		1,975			—		—		1,975
GSE and Tennessee Valley Authority obligations	—		1,107			—		—		1,107
State or local housing agency obligations	—		760			—		—		760
Other non-MBS	—		292			—		—		292
U.S. obligations single-family MBS	—		3,892			—		—		3,892
GSE single-family MBS	—		609			—		—		609
GSE multifamily MBS	—		7,531			—		—		7,531
Total available-for-sale securities	—		16,166			—		—		16,166
Derivative assets, net
Interest-rate related	—		67			—		162		229
Mortgage loan purchase commitments	—		4			—		—		4
Total derivative assets, net	—		71			—		162		233
Other assets	28		—			—		—		28
Total recurring assets at fair value	$	28	$	17,965		$	—	$	162	$	18,155
Liabilities
Derivative liabilities, net
Interest-rate related	—		(449		)	—		447		(2		)
Forward settlement agreements (TBAs)	—		(7		)	—		—		(7		)
Total derivative liabilities, net	—		(456		)	—		447		(9		)
Total recurring liabilities at fair value	$	—	$	(456	)	$	—	$	447	$	(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.

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.