Estimated Fair Values (Tables)

6 Months Ended

Jun. 30, 2019

Financial Assets and Liabilities Measured at Fair Value on Recurring Basis

Estimated Fair Value Measurements on a Recurring Basis. The following tables present, for each fair value hierarchy level, the Bank’s financial assets and liabilities that are measured at fair value on a recurring basis on its Statements of Condition.



	As of June 30, 2019
	Fair Value Measurements Using						Netting Adjustments and Cash Collateral ⁽¹⁾
	Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral ⁽¹⁾			Total
Assets
Trading securities:
U.S. Treasury obligations	$	—	$	1,498	$	—	$	—		$	1,498
Government-sponsored enterprises debt obligations	—		58		—		—			58
Total trading securities	—		1,556		—		—			1,556
Available-for-sale securities:
Private-label residential MBS	—		—		777		—			777
Derivative assets:
Interest-rate related	—		67		—		301			368
Grantor trust (included in Other assets)	52		—		—		—			52
Total assets at fair value	$	52	$	1,623	$	777	$	301		$	2,753
Liabilities
Derivative liabilities:
Interest-rate related	$	—	$	97	$	—	$	(88	)	$	9
Total liabilities at fair value	$	—	$	97	$	—	$	(88	)	$	9

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



	As of December 31, 2018
	Fair Value Measurements Using						Netting Adjustments and Cash Collateral ⁽¹⁾
	Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral ⁽¹⁾			Total
Assets
Trading securities:
Government-sponsored enterprises debt obligations	$	—	$	55	$	—	$	—		$	55
Available-for-sale securities:
Private-label residential MBS	—		—		865		—			865
Derivative assets:
Interest-rate related	—		36		—		278			314
Grantor trust (included in Other assets)	52		—		—		—			52
Total assets at fair value	$	52	$	91	$	865	$	278		$	1,286
Liabilities
Derivative liabilities:
Interest-rate related	$	—	$	163	$	—	$	(146	)	$	17
Total liabilities at fair value	$	—	$	163	$	—	$	(146	)	$	17

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

Reconciliation of Available-For-Sale Securities Measured at Fair Value

The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3).



	For the Three Months Ended June 30,						For the Six Months Ended June 30,
	2019			2018			2019			2018
Balance, beginning of period	$	823		$	1,053		$	865		$	1,104
Total (losses) gains realized and unrealized: ⁽¹⁾
Included in net impairment losses recognized in earnings	(2		)	(1		)	(3		)	(1		)
Included in other comprehensive income	(8		)	(1		)	(16		)	(17		)
Accretion of credit losses in net interest income	12			16			27			32
Settlements	(48		)	(66		)	(96		)	(117		)
Balance, end of period	$	777		$	1,001		$	777		$	1,001

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⁽¹⁾ Related to available-for-sale securities held at period end.

Carrying Values and Estimated Fair Values

The following tables present the carrying values and estimated fair values of the Bank’s financial instruments.



	As of June 30, 2019
			Estimated Fair Value
	Carrying Value		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral ⁽¹⁾
Assets:
Cash and due from banks	$	95	$	95	$	95	$	—	$	—	$	—
Interest-bearing deposits	3,738		3,738		—		3,738		—		—
Securities purchased under agreements to resell	4,500		4,500		—		4,500		—		—
Federal funds sold	10,210		10,210		—		10,210		—		—
Trading securities	1,556		1,556		—		1,556		—		—
Available-for-sale securities	777		777		—		—		777		—
Held-to-maturity securities	25,864		25,846		—		25,486		360		—
Advances	101,776		101,867		—		101,867		—		—
Mortgage loans held for portfolio, net	328		350		—		350		—		—
Accrued interest receivable	307		307		—		307		—		—
Derivative assets	368		368		—		67		—		301
Grantor trust assets (included in Other assets)	52		52		52		—		—		—
Liabilities:
Interest-bearing deposits	1,400		1,400		—		1,400		—		—
Consolidated obligations, net:
Discount notes	64,833		64,849		—		64,849		—		—
Bonds	75,468		75,641		—		75,641		—		—
Mandatorily redeemable capital stock	1		1		1		—		—		—
Accrued interest payable	231		231		—		231		—		—
Derivative liabilities	9		9		—		97		—		(88		)

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	As of December 31, 2018
			Estimated Fair Value
	Carrying Value		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral ⁽¹⁾
Assets:
Cash and due from banks	$	35	$	35	$	35	$	—	$	—	$	—
Interest-bearing deposits	6,782		6,782		—		6,782		—		—
Securities purchased under agreements to resell	3,750		3,750		—		3,750		—		—
Federal funds sold	8,978		8,978		—		8,978		—		—
Trading securities	55		55		—		55		—		—
Available-for-sale securities	865		865		—		—		865		—
Held-to-maturity securities	23,879		23,846		—		23,428		418		—
Advances	108,462		108,448		—		108,448		—		—
Mortgage loans held for portfolio, net	360		374		—		374		—		—
Loan to another FHLBank	500		500		—		500		—		—
Accrued interest receivable	295		295		—		295		—		—
Derivative assets	314		314		—		36		—		278
Grantor trust assets (included in Other assets)	52		52		52		—		—		—
Liabilities:
Interest-bearing deposits	1,176		1,176		—		1,176		—		—
Consolidated obligations, net:
Discount notes	66,025		66,014		—		66,014		—		—
Bonds	79,114		79,086		—		79,086		—		—
Mandatorily redeemable capital stock	1		1		1		—		—		—
Accrued interest payable	204		204		—		204		—		—
Derivative liabilities	17		17		—		163		—		(146		)

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