Fair Values (Tables)

12 Months Ended

Dec. 31, 2019

Fair Value of Financial Instruments [Table Text Block]

Table 19.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at December 31, 2019 and 2018. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis, and on occasion certain private-label MBS, certain mortgage loans, and certain other assets on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 19.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

Table 19.1 - Fair Value Summary (dollars in thousands)

	December 31, 2019
	Carrying Value			Total Fair Value			Level 1			Level 2			Level 3		Netting Adjustments and Cash Collateral⁽²⁾
Financial instruments
Assets:
Cash and due from banks	$	69,416		$	69,416		$	69,416		$	—		$	—	$	—
Interest-bearing deposits	1,253,873			1,253,873			1,253,873			—			—		—
Securities purchased under agreements to resell	3,500,000			3,500,003			—			3,500,003			—		—
Federal funds sold	860,000			859,999			—			859,999			—		—
Trading securities⁽¹⁾	2,250,264			2,250,264			—			2,250,264			—		—
Available-for-sale securities⁽¹⁾	7,409,000			7,409,000			—			7,344,348			64,652		—
Held-to-maturity securities	871,107			1,035,410			—			456,942			578,468		—
Advances	34,595,363			34,735,775			—			34,735,775			—		—
Mortgage loans, net	4,501,251			4,634,141			—			4,615,737			18,404		—
Accrued interest receivable	112,163			112,163			—			112,163			—		—
Derivative assets⁽¹⁾	159,731			159,731			—			15,329			—		144,402
Other assets ⁽¹⁾	31,939			31,939			13,894			18,045			—		—
Liabilities:
Deposits	(674,309		)	(674,269		)	—			(674,269		)	—		—
COs:
Bonds	(23,888,493		)	(24,226,123		)	—			(24,226,123		)	—		—
Discount notes	(27,681,169		)	(27,681,470		)	—			(27,681,470		)	—		—
Mandatorily redeemable capital stock	(5,806		)	(5,806		)	(5,806		)	—			—		—
Accrued interest payable	(104,477		)	(104,477		)	—			(104,477		)	—		—
Derivative liabilities⁽¹⁾	(10,271		)	(10,271		)	—			(43,805		)	—		33,534
Other:
Commitments to extend credit for advances	—			(3,884		)	—			(3,884		)	—		—
Standby letters of credit	(1,723		)	(1,723		)	—			(1,723		)	—		—



	December 31, 2018
	Carrying Value			Total Fair Value			Level 1			Level 2			Level 3		Netting Adjustments and Cash Collateral⁽²⁾
Financial instruments
Assets:
Cash and due from banks	$	10,431		$	10,431		$	10,431		$	—		$	—	$	—
Interest-bearing deposits	593,199			593,199			593,199			—			—		—
Securities purchased under agreements to resell	6,499,000			6,499,078			—			6,499,078			—		—
Federal funds sold	1,500,000			1,500,002			—			1,500,002			—		—
Trading securities⁽¹⁾	163,038			163,038			—			163,038			—		—
Available-for-sale securities⁽¹⁾	5,849,944			5,849,944			—			5,800,343			49,601		—
Held-to-maturity securities	1,295,023			1,528,929			—			638,164			890,765		—
Advances	43,192,222			43,167,700			—			43,167,700			—		—
Mortgage loans, net	4,299,402			4,238,087			—			4,217,487			20,600		—
Accrued interest receivable	112,751			112,751			—			112,751			—		—
Derivative assets⁽¹⁾	22,403			22,403			—			13,832			—		8,571
Other assets⁽¹⁾	25,059			25,059			9,988			15,071			—		—
Liabilities:
Deposits	(474,878		)	(474,848		)	—			(474,848		)	—		—
COs:
Bonds	(25,912,684		)	(25,843,163		)	—			(25,843,163		)	—		—
Discount notes	(33,065,822		)	(33,062,585		)	—			(33,062,585		)	—		—
Mandatorily redeemable capital stock	(31,868		)	(31,868		)	(31,868		)	—			—		—
Accrued interest payable	(112,043		)	(112,043		)	—			(112,043		)	—		—
Derivative liabilities⁽¹⁾	(255,800		)	(255,800		)	—			(309,552		)	—		53,752
Other:
Commitments to extend credit for advances	—			(4,164		)	—			(4,164		)	—		—
Standby letters of credit	(1,257		)	(1,257		)	—			(1,257		)	—		—

_______________________


(1)	Carried at fair value and measured on a recurring basis.

(2)

These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

Fair Value Measured on Recurring and Nonrecurring Basis [Table Text Block]

Table 19.2 - Fair Value of Assets and Liabilities Measured at Fair Value on a Recurring and Nonrecurring Basis (dollars in thousands)

	December 31, 2019
	Level 1		Level 2			Level 3		Netting Adjustments and Cash Collateral ⁽¹⁾		Total
Assets:
Carried at fair value on a recurring basis
Trading securities:
Corporate bonds	$	—	$	5,896		$	—	$	—	$	5,896
U.S. Treasury obligations			2,240,236							2,240,236
U.S. government-guaranteed – single-family MBS	—		4,047			—		—		4,047
GSE – single-family MBS	—		85			—		—		85
Total trading securities	—		2,250,264			—		—		2,250,264
Available-for-sale securities:
HFA securities	—		—			64,652		—		64,652
Supranational institutions	—		416,429			—		—		416,429
U.S. government-owned corporations	—		296,761			—		—		296,761
GSE	—		123,786			—		—		123,786
U.S. government guaranteed – single-family MBS	—		57,714			—		—		57,714
U.S. government guaranteed – multifamily MBS	—		282,617			—		—		282,617
GSE – single-family MBS	—		2,590,271			—		—		2,590,271
GSE – multifamily MBS	—		3,576,770			—		—		3,576,770
Total available-for-sale securities	—		7,344,348			64,652		—		7,409,000
Derivative assets:
Interest-rate-exchange agreements	—		15,102			—		144,402		159,504
Mortgage delivery commitments	—		227			—		—		227
Total derivative assets	—		15,329			—		144,402		159,731
Other assets	13,894		18,045			—		—		31,939
Total assets carried at fair value on a recurring basis	$	13,894	$	9,627,986		$	64,652	$	144,402	$	9,850,934
Carried at fair value on a nonrecurring basis⁽²⁾
Held-to-maturity securities:
Private-label MBS	$	—	$	—		$	6,856	$	—	$	6,856
Mortgage loans held for portfolio	—		—			1,198		—		1,198
REO	—		—			78		—		78
Total assets carried at fair value on a nonrecurring basis	$	—	$	—		$	8,132	$	—	$	8,132
Liabilities:
Carried at fair value on a recurring basis
Derivative liabilities
Interest-rate-exchange agreements	$	—	$	(43,805	)	$	—	$	33,534	$	(10,271	)
Total liabilities carried at fair value on a recurring basis	$	—	$	(43,805	)	$	—	$	33,534	$	(10,271	)



	December 31, 2018
	Level 1		Level 2			Level 3		Netting Adjustments and Cash Collateral ⁽¹⁾		Total
Assets:
Carried at fair value on a recurring basis
Trading securities:
Corporate bonds	$	—	$	6,102		$	—	$	—	$	6,102
U.S. government-guaranteed – single-family MBS	—		5,344			—		—		5,344
GSE – single-family MBS	—		148			—		—		148
GSE – multifamily MBS	—		151,444			—		—		151,444
Total trading securities	—		163,038			—		—		163,038
Available-for-sale securities:
HFA securities	—		—			49,601		—		49,601
Supranational institutions	—		405,155			—		—		405,155
U.S. government-owned corporations	—		273,169			—		—		273,169
GSE	—		115,627			—		—		115,627
U.S. government guaranteed – single-family MBS	—		75,658			—		—		75,658
U.S. government guaranteed – multifamily MBS	—		361,134			—		—		361,134
GSE – single-family MBS	—		3,562,159			—		—		3,562,159
GSE – multifamily MBS	—		1,007,441			—		—		1,007,441
Total available-for-sale securities	—		5,800,343			49,601		—		5,849,944
Derivative assets:
Interest-rate-exchange agreements	—		13,493			—		8,571		22,064
Mortgage delivery commitments	—		339			—		—		339
Total derivative assets	—		13,832			—		8,571		22,403
Other assets	9,988		15,071			—		—		25,059
Total assets carried at fair value on a recurring basis	$	9,988	$	5,992,284		$	49,601	$	8,571	$	6,060,444
Carried at fair value on a nonrecurring basis⁽²⁾
Held-to-maturity securities:
Private-label MBS	$	—	$	—		$	1,668	$	—	$	1,668
Mortgage loans held for portfolio	—		—			1,144		—		1,144
REO	—		—			361		—		361
Total assets carried at fair value on a nonrecurring basis	$	—	$	—		$	3,173	$	—	$	3,173
Liabilities:
Carried at fair value on a recurring basis
Derivative liabilities
Interest-rate-exchange agreements	$	—	$	(309,552	)	$	—	$	53,752	$	(255,800	)
Total liabilities carried at fair value on a recurring basis	$	—	$	(309,552	)	$	—	$	53,752	$	(255,800	)

_______________________


(1)	These amounts represent the effect of master-netting agreements intended to allow us to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing member and/or counterparty.

(2)

We measure certain held-to-maturity investment securities, mortgage loans held for portfolio, and REO at fair value on a nonrecurring basis, that is, they are not measured at fair value on an ongoing basis but are subject to fair-value adjustments only in certain circumstances (for example, upon recognizing an other-than-temporary impairment on a held-to-maturity security). The fair values presented are as of the date the fair value adjustment was recorded.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

Table 19.3 presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3) during the years ended December 31, 2019, 2018, and 2017.

Table 19.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands)

	For the Year Ended December 31,
	2019		2018			2017
Balance at beginning of year	$	49,601	$	37,683		$	8,146
Purchases	13,820		12,800			33,350
Unrealized gains (losses) included in other comprehensive income	1,231		(882		)	(3,813		)
Balance at end of year	$	64,652	$	49,601		$	37,683

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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