Investments

3 Months Ended

Mar. 31, 2024

Investments, Debt and Equity Securities [Abstract]

Investments in Debt and Marketable Equity Securities (and Certain Trading Assets) Disclosure [Text Block]

Investments

The FHLB 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 either trading, available-for-sale, or held-to-maturity.

Interest-Bearing Deposits, Securities Purchased under Agreements to Resell, and Federal Funds Sold

The FHLB invests in interest-bearing deposits, securities purchased under agreements to resell, and Federal funds sold to provide liquidity.

At March 31, 2024 and December 31, 2023, interest-bearing deposits and Federal funds sold were transacted with counterparties that have received a credit rating of single-A or greater by a nationally recognized statistical rating organization (NRSRO). The FHLB’s internal ratings of these counterparties may differ from those issued by an NRSRO. Finance Agency regulations include a limit on the amount of unsecured credit the FHLB may extend to a counterparty. At March 31, 2024 and December 31, 2023, all investments in interest-bearing deposits and Federal funds sold were repaid or expected to be repaid according to their respective contractual terms. No allowance for credit losses was recorded for these assets at March 31, 2024 and December 31, 2023. Carrying values of interest-bearing deposits and Federal funds sold exclude accrued interest receivable of (in thousands) $7,978 and $2,779 as of March 31, 2024, and $8,627 and $3,006 as of December 31, 2023.

Securities purchased under agreements to resell are short-term and are structured such that they are evaluated regularly to determine if the market value of the underlying securities decreases below the market value required as collateral (i.e., subject to collateral maintenance provisions). If so, the counterparty must place an equivalent amount of additional securities as collateral or remit an equivalent amount of cash, generally by the next business day. Based upon the collateral held as security and collateral maintenance provisions with counterparties, the FHLB determined that no allowance for credit losses was needed for its securities purchased under agreements to resell at March 31, 2024 and December 31, 2023. The carrying value of securities purchased under agreements to resell excludes accrued interest receivable of (in thousands) $1,090 and $2,373 as of March 31, 2024 and December 31, 2023, respectively.

Debt Securities

The FHLB invests in debt securities, which are classified as either trading, available-for-sale, or held-to-maturity. The FHLB is prohibited by Finance Agency regulations from purchasing certain higher-risk securities, such as equity securities and debt instruments that are not investment quality, other than certain investments targeted at low-income persons or communities. The FHLB is not required to divest instruments that experience credit deterioration after their purchase.

Trading Securities

Table 3.1 - Trading Securities by Major Security Types (in thousands)

Fair Value	March 31, 2024		December 31, 2023
Non-mortgage-backed securities (non-MBS):
U.S. Treasury obligations	$	1,003,820	$	248,688
GSE obligations	1,477,252		1,497,009
Total non-MBS	2,481,072		1,745,697
Mortgage-backed securities (MBS):
U.S. obligation single-family	31		45
Total MBS	31		45
Total	$	2,481,103	$	1,745,742

Table 3.2 - Net Gains (Losses) on Trading Securities (in thousands)

	Three Months Ended March 31,
	2024		2023
Net unrealized gains (losses) on trading securities held at period end	$	(15,106)	$	25,360
Net gains (losses) on trading securities sold/matured during the period	1,312		—
Net gains (losses) on trading securities	$	(13,794)	$	25,360

Available-for-Sale Securities

Table 3.3 - Available-for-Sale Securities by Major Security Types (in thousands)

	March 31, 2024
	Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	6,570,152	$	8,812	$	(1,229)	$	6,577,735
GSE obligations	117,954		1,088		—		119,042
Total non-MBS	6,688,106		9,900		(1,229)		6,696,777
MBS:
GSE multi-family	2,442,937		2,671		(32,891)		2,412,717
Total MBS	2,442,937		2,671		(32,891)		2,412,717
Total	$	9,131,043	$	12,571	$	(34,120)	$	9,109,494
	December 31, 2023
	Amortized Cost (1)		Gross Unrealized Gains		Gross Unrealized Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	7,630,467	$	564	$	(19,212)	$	7,611,819
GSE obligations	119,366		575		(29)		119,912
Total non-MBS	7,749,833		1,139		(19,241)		7,731,731
MBS:
GSE multi-family	2,497,752		97		(57,992)		2,439,857
Total MBS	2,497,752		97		(57,992)		2,439,857
Total	$	10,247,585	$	1,236	$	(77,233)	$	10,171,588

(1)Amortized cost of available-for-sale securities includes adjustments made to the cost basis of an investment for accretion, amortization, and/or fair value hedge accounting adjustments, and excludes accrued interest receivable of (in thousands) $46,948 and $47,969 at March 31, 2024 and December 31, 2023, respectively.

Table 3.4 summarizes the available-for-sale securities with gross unrealized losses, which are aggregated by major security type and length of time that individual securities have been in a continuous gross unrealized loss position.

Table 3.4 - Available-for-Sale Securities in a Continuous Gross Unrealized Loss Position (in thousands)

	March 31, 2024
	Less than 12 Months				12 Months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	133,286	$	(40)	$	1,205,076	$	(1,189)	$	1,338,362	$	(1,229)
Total non-MBS	133,286		(40)		1,205,076		(1,189)		1,338,362		(1,229)
MBS:
GSE multi-family MBS	202,904		(683)		1,641,365		(32,208)		1,844,269		(32,891)
Total MBS	202,904		(683)		1,641,365		(32,208)		1,844,269		(32,891)
Total	$	336,190	$	(723)	$	2,846,441	$	(33,397)	$	3,182,631	$	(34,120)
	December 31, 2023
	Less than 12 Months				12 Months or more				Total
	Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses		Fair Value		Gross Unrealized Losses
Non-MBS:
U.S. Treasury obligations	$	5,738,322	$	(14,385)	$	907,749	$	(4,827)	$	6,646,071	$	(19,212)
GSE obligations	—		—		4,478		(29)		4,478		(29)
Total non-MBS	5,738,322		(14,385)		912,227		(4,856)		6,650,549		(19,241)
MBS:
GSE multi-family MBS	1,103,524		(12,797)		1,196,774		(45,195)		2,300,298		(57,992)
Total MBS	1,103,524		(12,797)		1,196,774		(45,195)		2,300,298		(57,992)
Total	$	6,841,846	$	(27,182)	$	2,109,001	$	(50,051)	$	8,950,847	$	(77,233)

Table 3.5 - Available-for-Sale Securities by Contractual Maturity (in thousands)

	March 31, 2024				December 31, 2023
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in 1 year or less	$	—	$	—	$	—	$	—
Due after 1 year through 5 years	5,968,388		5,975,311		7,010,815		6,994,480
Due after 5 years through 10 years	713,363		715,015		728,761		726,993
Due after 10 years	6,355		6,451		10,257		10,258
Total non-MBS	6,688,106		6,696,777		7,749,833		7,731,731
MBS (1)	2,442,937		2,412,717		2,497,752		2,439,857
Total	$	9,131,043	$	9,109,494	$	10,247,585	$	10,171,588

(1)MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

Table 3.6 - Interest Rate Payment Terms of Available-for-Sale Securities (in thousands)

	March 31, 2024		December 31, 2023
Amortized cost of non-MBS:
Fixed-rate	$	6,688,106	$	7,749,833
Total amortized cost of non-MBS	6,688,106		7,749,833
Amortized cost of MBS:
Fixed-rate	2,442,937		2,497,752
Total amortized cost of MBS	2,442,937		2,497,752
Total	$	9,131,043	$	10,247,585

Realized Gains and Losses. During the three months ended March 31, 2024, for strategic and economic reasons, the FHLB sold a portion of AFS securities. These securities had an amortized cost (determined by the specific identification method) of (in thousands) $965,153. Proceeds from the sales totaled (in thousands) $966,289, resulting in realized gains of (in thousands) $1,136. The FHLB had no sales of securities out of its available-for-sale portfolio for the three months ended March 31, 2023.

Held-to-Maturity Securities

Table 3.7 - Held-to-Maturity Securities by Major Security Types (in thousands)

	March 31, 2024
	Amortized Cost (1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	48,021	$	—	$	(34)	$	47,987
Total non-MBS	48,021		—		(34)		47,987
MBS:
U.S. obligation single-family	1,084,078		—		(147,853)		936,225
GSE single-family	3,268,527		7,810		(93,208)		3,183,129
GSE multi-family	12,137,916		3,758		(64,230)		12,077,444
Total MBS	16,490,521		11,568		(305,291)		16,196,798
Total	$	16,538,542	$	11,568	$	(305,325)	$	16,244,785
	December 31, 2023
	Amortized Cost (1)		Gross Unrecognized Holding Gains		Gross Unrecognized Holding Losses		Fair Value
Non-MBS:
U.S. Treasury obligations	$	49,078	$	—	$	(6)	$	49,072
Total non-MBS	49,078		—		(6)		49,072
MBS:
U.S. obligation single-family	1,109,265		—		(129,457)		979,808
GSE single-family	3,146,571		23,124		(79,336)		3,090,359
GSE multi-family	12,527,219		2,159		(72,004)		12,457,374
Total MBS	16,783,055		25,283		(280,797)		16,527,541
Total	$	16,832,133	$	25,283	$	(280,803)	$	16,576,613

(1)Carrying value equals amortized cost. Amortized cost of held-to-maturity securities includes adjustments made to the cost basis of an investment for accretion and amortization and excludes accrued interest receivable of (in thousands) $67,243 and $68,866 at March 31, 2024 and December 31, 2023, respectively.

Table 3.8 - Held-to-Maturity Securities by Contractual Maturity (in thousands)

	March 31, 2024				December 31, 2023
Year of Maturity	Amortized Cost (1)		Fair Value		Amortized Cost (1)		Fair Value
Non-MBS:
Due in 1 year or less	$	48,021	$	47,987	$	49,078	$	49,072
Due after 1 year through 5 years	—		—		—		—
Due after 5 years through 10 years	—		—		—		—
Due after 10 years	—		—		—		—
Total non-MBS	48,021		47,987		49,078		49,072
MBS (2)	16,490,521		16,196,798		16,783,055		16,527,541
Total	$	16,538,542	$	16,244,785	$	16,832,133	$	16,576,613

(1)Carrying value equals amortized cost.

(2)MBS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

Table 3.9 - Interest Rate Payment Terms of Held-to-Maturity Securities (in thousands)

	March 31, 2024		December 31, 2023
Amortized cost of non-MBS:
Fixed-rate	$	48,021	$	49,078
Total amortized cost of non-MBS	48,021		49,078
Amortized cost of MBS:
Fixed-rate	4,218,708		4,118,328
Variable-rate	12,271,813		12,664,727
Total amortized cost of MBS	16,490,521		16,783,055
Total	$	16,538,542	$	16,832,133

For the three months ended March 31, 2024 and 2023, the FHLB did not sell any held-to-maturity securities.

Allowance for Credit Losses on Available-for-Sale and Held-to-Maturity Securities

The FHLB evaluates available-for-sale and held-to-maturity investment securities for credit losses on a quarterly basis. The FHLB’s available-for-sale and held-to-maturity securities are U.S. Treasury obligations, GSE obligations, and MBS issued by Fannie Mae, Freddie Mac and Ginnie Mae that are backed by single-family or multi-family mortgage loans. The FHLB only purchases securities considered investment quality. At March 31, 2024 and December 31, 2023, all available-for-sale and held-to-maturity securities were rated single-A, or above, by an NRSRO, based on the lowest long-term credit rating for each security owned by the FHLB. The FHLB’s internal ratings of these securities may differ from those obtained from an NRSRO.

The FHLB evaluates individual available-for-sale securities for impairment by comparing the security’s fair value to its amortized cost. Impairment may exist when the fair value of the investment is less than its amortized cost (i.e., in an unrealized loss position). At March 31, 2024 and December 31, 2023, certain available-for-sale securities were in an unrealized loss position. These losses are considered temporary as the FHLB expects to recover the entire amortized cost basis on these available-for-sale investment securities and does not intend to sell these securities nor considers it more likely than not that it will be required to sell these securities before the anticipated recovery of each security's remaining amortized cost basis. Further, the FHLB has not experienced any payment defaults on the instruments at March 31, 2024 or December 31, 2023 and 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 the 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 available-for-sale securities at March 31, 2024 and December 31, 2023.

The FHLB evaluates its held-to-maturity securities for impairment on a collective, or pooled basis, unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. As of March 31, 2024 and December 31, 2023, the FHLB had not established an allowance for credit loss on any held-to-maturity securities because the securities: (1) were all highly-rated and/or had short remaining terms to maturity, (2) had not experienced, nor did the FHLB expect, any payment default on the instruments, (3) in the case of U.S. obligations, the securities carry an explicit government

guarantee such that the FHLB considered the risk of nonpayment to be zero, and (4) 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.