Fair Values (Tables)

3 Months Ended

Mar. 31, 2020

Fair Value of Financial Instruments [Table Text Block]

Table 13.1 presents the carrying value, fair value, and fair value hierarchy of our financial assets and liabilities at March 31, 2020, and December 31, 2019. We record trading securities, available-for-sale securities, derivative assets, derivative liabilities, and certain other assets at fair value on a recurring basis, and certain mortgage loans and certain other assets at fair value on a non-recurring basis. We record all other financial assets and liabilities at amortized cost. Refer to Table 13.2 for further details about the financial assets and liabilities held at fair value on either a recurring or non-recurring basis.

Table 13.1 - Fair Value Summary (dollars in thousands)

	March 31, 2020
	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	$	806,985		$	806,985		$	806,985		$	—		$	—	$	—
Interest-bearing deposits	1,130,563			1,130,563			1,130,563			—			—		—
Securities purchased under agreements to resell	2,000,000			1,999,954			—			1,999,954			—		—
Federal funds sold	3,455,000			3,454,927			—			3,454,927			—		—
Trading securities⁽¹⁾	3,563,368			3,563,368			—			3,563,368			—		—
Available-for-sale securities⁽¹⁾	7,246,334			7,246,334			—			7,180,939			65,395		—
Held-to-maturity securities	676,888			733,970			—			384,446			349,524		—
Advances	45,076,223			45,434,302			—			45,434,302			—		—
Mortgage loans, net	4,528,474			4,766,735			—			4,747,540			19,195		—
Accrued interest receivable	109,878			109,878			—			109,878			—		—
Derivative assets⁽¹⁾	227,720			227,720			—			30,859			—		196,861
Other assets ⁽¹⁾	30,926			30,926			16,238			14,688			—		—
Liabilities:
Deposits	(859,816		)	(859,815		)	—			(859,815		)	—		—
COs:
Bonds	(24,576,586		)	(25,122,573		)	—			(25,122,573		)	—		—
Discount notes	(39,692,253		)	(39,735,774		)	—			(39,735,774		)	—		—
Mandatorily redeemable capital stock	(6,112		)	(6,112		)	(6,112		)	—			—		—
Accrued interest payable	(108,010		)	(108,010		)	—			(108,010		)	—		—
Derivative liabilities⁽¹⁾	(24,404		)	(24,404		)	—			(104,649		)	—		80,245
Other:
Commitments to extend credit for advances	—			(2,623		)	—			(2,623		)	—		—
Standby letters of credit	(1,540		)	(1,540		)	—			(1,540		)	—		—



	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		)	—		—

_______________________


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

	March 31, 2020
	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	$	—	$	5,330		$	—	$	—	$	5,330
U.S. Treasury obligations	—		3,554,179			—		—		3,554,179
U.S. government-guaranteed – single-family MBS	—		3,794			—		—		3,794
GSE – single-family MBS	—		65			—		—		65
Total trading securities	—		3,563,368			—		—		3,563,368
Available-for-sale securities:
HFA securities	—		—			65,395		—		65,395
Supranational institutions	—		438,284			—		—		438,284
U.S. government-owned corporations	—		314,724			—		—		314,724
GSE	—		133,789			—		—		133,789
U.S. government guaranteed – single-family MBS	—		52,586			—		—		52,586
U.S. government guaranteed – multifamily MBS	—		248,428			—		—		248,428
GSE – single-family MBS	—		2,342,640			—		—		2,342,640
GSE – multifamily MBS	—		3,650,488			—		—		3,650,488
Total available-for-sale securities	—		7,180,939			65,395		—		7,246,334
Derivative assets:
Interest-rate-exchange agreements	—		30,712			—		196,861		227,573
Mortgage delivery commitments	—		147			—		—		147
Total derivative assets	—		30,859			—		196,861		227,720
Other assets	16,238		14,688			—		—		30,926
Total assets carried at fair value on a recurring basis	$	16,238	$	10,789,854		$	65,395	$	196,861	$	11,068,348
Carried at fair value on a nonrecurring basis⁽²⁾
Mortgage loans held for portfolio	$	—	$	—		$	1,269	$	—	$	1,269
REO	—		—			110		—		110
Total assets carried at fair value on a nonrecurring basis	$	—	$	—		$	1,379	$	—	$	1,379
Liabilities:
Carried at fair value on a recurring basis
Derivative liabilities
Interest-rate-exchange agreements	$	—	$	(103,954	)	$	—	$	80,245	$	(23,709	)
Mortgage delivery commitments	—		(695		)	—		—		(695		)
Total liabilities carried at fair value on a recurring basis	$	—	$	(104,649	)	$	—	$	80,245	$	(24,404	)



	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	)

_______________________


(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. 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 13.3 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 three months ended March 31, 2020 and 2019.

Table 13.3 - Roll Forward of Level 3 Available-for-Sale Securities (dollars in thousands)

	For the Three Months Ended March 31,
	2020		2019
Balance at beginning of period	$	64,652	$	49,601
Unrealized gains included in other comprehensive income	743		747
Balance at end of period	$	65,395	$	50,348

- 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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