Federally Chartered Corporation | 35-6001443 | |||||||
(State or other jurisdiction of incorporation) | (IRS employer identification number) | |||||||
8250 Woodfield Crossing Blvd. Indianapolis, IN | 46240 | |||||||
(Address of principal executive offices) | (Zip code) |
Title of each class | Trading Symbol(s) | Name of each exchange on which registered | ||||||
None | None | None |
☐ | Large accelerated filer | ☐ | Accelerated filer | ☐ | Emerging growth company | ||||||||||||
x | Non-accelerated Filer | ☐ | Smaller reporting company |
Shares outstanding as of | |||||
Class A Stock, par value $100 | |||||
Class B Stock, par value $100 |
Table of Contents | Page | |||||||
Number | ||||||||
Special Note Regarding Forward-Looking Statements | ||||||||
PART I. | FINANCIAL INFORMATION | |||||||
Item 1. | FINANCIAL STATEMENTS (unaudited) | |||||||
Statements of Condition as of | ||||||||
Statements of Income for the Three and Nine Months Ended | ||||||||
Statements of Comprehensive Income for the Three and Nine Months Ended | ||||||||
Statements of Capital for the Three and Nine Months Ended | ||||||||
Statements of Cash Flows for the | ||||||||
Notes to Financial Statements: | ||||||||
Note 1 - Summary of Significant Accounting Policies | ||||||||
Note 2 - Recently Adopted and Issued Accounting Guidance | ||||||||
Note 3 - Investments | ||||||||
Note 4 - Advances | ||||||||
Note 5 - Mortgage Loans Held for Portfolio | ||||||||
Note 6 - Derivatives and Hedging Activities | ||||||||
Note 7 - Consolidated Obligations | ||||||||
Note 8 - Affordable Housing Program | ||||||||
Note 9 - Capital | ||||||||
Note 10 - Accumulated Other Comprehensive Income | ||||||||
Note 11 - Segment Information | ||||||||
Note 12 - Estimated Fair Values | ||||||||
Note 13 - Commitments and Contingencies | ||||||||
Note 14 - Related Party and Other Transactions | ||||||||
Defined Terms | ||||||||
Item 2. | MANAGEMENT'S DISCUSSION AND ANALYSIS OF FINANCIAL CONDITION AND RESULTS OF OPERATIONS | |||||||
Presentation | ||||||||
Executive Summary | ||||||||
Selected Financial Data | ||||||||
Results of Operations and Changes in Financial Condition | ||||||||
Operating Segments | ||||||||
Analysis of Financial Condition | ||||||||
Liquidity and Capital Resources | ||||||||
Off-Balance Sheet Arrangements | ||||||||
Critical Accounting Policies and Estimates | ||||||||
Recent Accounting and Regulatory Developments | ||||||||
Risk Management | ||||||||
Item 3. | QUANTITATIVE AND QUALITATIVE DISCLOSURES ABOUT MARKET RISK | |||||||
Item 4. | CONTROLS AND PROCEDURES | |||||||
PART II. | OTHER INFORMATION | |||||||
Item 1. | LEGAL PROCEEDINGS | |||||||
Item 1A. | RISK FACTORS | |||||||
Item 2. | UNREGISTERED SALES OF EQUITY SECURITIES AND USE OF PROCEEDS | |||||||
Item 3. | DEFAULTS UPON SENIOR SECURITIES | |||||||
Item 4. | MINE SAFETY DISCLOSURES | |||||||
Item 5. | OTHER INFORMATION | |||||||
Item 6. | EXHIBITS |
March 31, 2021 | December 31, 2020 | ||||||||||
Assets: | |||||||||||
Cash and due from banks | $ | 1,443,176 | $ | 1,811,544 | |||||||
Interest-bearing deposits (Note 3) | 100,041 | 100,026 | |||||||||
Securities purchased under agreements to resell (Note 3) | 4,500,000 | 2,500,000 | |||||||||
Federal funds sold (Note 3) | 2,830,000 | 1,215,000 | |||||||||
Trading securities (Note 3) | 5,531,250 | 5,094,703 | |||||||||
Available-for-sale securities, amortized cost of $9,264,901 and $10,007,978 (Note 3) | 9,475,351 | 10,144,899 | |||||||||
Held-to-maturity securities (estimated fair values of $4,496,446 and $4,723,796) (Note 3) | 4,474,045 | 4,701,302 | |||||||||
Advances (Note 4) | 29,783,640 | 31,347,486 | |||||||||
Mortgage loans held for portfolio, net (Note 5) | 8,056,965 | 8,515,645 | |||||||||
Accrued interest receivable | 88,460 | 103,076 | |||||||||
Premises, software, and equipment, net | 33,274 | 33,993 | |||||||||
Derivative assets, net (Note 6) | 285,286 | 283,082 | |||||||||
Other assets | 78,197 | 74,000 | |||||||||
Total assets | $ | 66,679,685 | $ | 65,924,756 | |||||||
Liabilities: | |||||||||||
Deposits | $ | 1,848,361 | $ | 1,375,206 | |||||||
Consolidated obligations (Note 7): | |||||||||||
Discount notes | 17,573,424 | 16,617,079 | |||||||||
Bonds | 42,793,552 | 43,332,946 | |||||||||
Total consolidated obligations, net | 60,366,976 | 59,950,025 | |||||||||
Accrued interest payable | 60,030 | 63,581 | |||||||||
Affordable Housing Program payable (Note 8) | 35,690 | 34,402 | |||||||||
Derivative liabilities, net (Note 6) | 19,533 | 22,979 | |||||||||
Mandatorily redeemable capital stock (Note 9) | 232,695 | 250,768 | |||||||||
Other liabilities | 569,024 | 777,493 | |||||||||
Total liabilities | 63,132,309 | 62,474,454 | |||||||||
Commitments and contingencies (Note 13) | 0 | 0 | |||||||||
Capital (Note 9): | |||||||||||
Capital stock (putable at par value of $100 per share): | |||||||||||
Class B issued and outstanding shares: 22,141,922 and 22,075,696, respectively | 2,214,192 | 2,207,570 | |||||||||
Retained earnings: | |||||||||||
Unrestricted | 878,854 | 868,904 | |||||||||
Restricted | 274,403 | 268,426 | |||||||||
Total retained earnings | 1,153,257 | 1,137,330 | |||||||||
Total accumulated other comprehensive income (Note 10) | 179,927 | 105,402 | |||||||||
Total capital | 3,547,376 | 3,450,302 | |||||||||
Total liabilities and capital | $ | 66,679,685 | $ | 65,924,756 |
September 30, 2021 | December 31, 2020 | ||||||||||
Assets: | |||||||||||
Cash and due from banks | $ | 1,953,744 | $ | 1,811,544 | |||||||
Interest-bearing deposits (Note 3) | 100,041 | 100,026 | |||||||||
Securities purchased under agreements to resell (Note 3) | 4,200,000 | 2,500,000 | |||||||||
Federal funds sold (Note 3) | 2,075,000 | 1,215,000 | |||||||||
Trading securities (Note 3) | 4,858,818 | 5,094,703 | |||||||||
Available-for-sale securities, amortized cost of $9,141,491 and $10,007,978 (Note 3) | 9,319,579 | 10,144,899 | |||||||||
Held-to-maturity securities (estimated fair values of $4,510,359 and $4,723,796) (Note 3) | 4,496,595 | 4,701,302 | |||||||||
Advances (Note 4) | 26,958,039 | 31,347,486 | |||||||||
Mortgage loans held for portfolio, net (Note 5) | 7,570,462 | 8,515,645 | |||||||||
Accrued interest receivable | 75,813 | 103,076 | |||||||||
Premises, software, and equipment, net | 31,541 | 33,993 | |||||||||
Derivative assets, net (Note 6) | 231,280 | 283,082 | |||||||||
Other assets | 89,482 | 74,000 | |||||||||
Total assets | $ | 61,960,394 | $ | 65,924,756 | |||||||
Liabilities: | |||||||||||
Deposits | $ | 1,736,009 | $ | 1,375,206 | |||||||
Consolidated obligations (Note 7): | |||||||||||
Discount notes | 12,713,890 | 16,617,079 | |||||||||
Bonds | 43,225,386 | 43,332,946 | |||||||||
Total consolidated obligations, net | 55,939,276 | 59,950,025 | |||||||||
Accrued interest payable | 64,042 | 63,581 | |||||||||
Affordable Housing Program payable (Note 8) | 30,466 | 34,402 | |||||||||
Derivative liabilities, net (Note 6) | 18,542 | 22,979 | |||||||||
Mandatorily redeemable capital stock (Note 9) | 50,442 | 250,768 | |||||||||
Other liabilities | 570,382 | 777,493 | |||||||||
Total liabilities | 58,409,159 | 62,474,454 | |||||||||
Commitments and contingencies (Note 13) | 0 | 0 | |||||||||
Capital (Note 9): | |||||||||||
Capital stock (putable at par value of $100 per share): | |||||||||||
Class B issued and outstanding shares: 22,364,922 and 22,075,696, respectively | 2,236,492 | 2,207,570 | |||||||||
Retained earnings: | |||||||||||
Unrestricted | 881,456 | 868,904 | |||||||||
Restricted | 281,820 | 268,426 | |||||||||
Total retained earnings | 1,163,276 | 1,137,330 | |||||||||
Total accumulated other comprehensive income (Note 10) | 151,467 | 105,402 | |||||||||
Total capital | 3,551,235 | 3,450,302 | |||||||||
Total liabilities and capital | $ | 61,960,394 | $ | 65,924,756 |
Three Months Ended March 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
Interest Income: | |||||||||||||||||||||||
Advances | $ | 36,109 | $ | 169,625 | |||||||||||||||||||
Interest-bearing deposits | 156 | 4,718 | |||||||||||||||||||||
Securities purchased under agreements to resell | 437 | 9,833 | |||||||||||||||||||||
Federal funds sold | 803 | 9,290 | |||||||||||||||||||||
Trading securities | 16,170 | 23,796 | |||||||||||||||||||||
Available-for-sale securities | 29,836 | 36,803 | |||||||||||||||||||||
Held-to-maturity securities | 9,864 | 29,133 | |||||||||||||||||||||
Mortgage loans held for portfolio | 40,282 | 82,021 | |||||||||||||||||||||
Total interest income | 133,657 | 365,219 | |||||||||||||||||||||
Interest Expense: | |||||||||||||||||||||||
Consolidated obligation discount notes | 4,199 | 72,514 | |||||||||||||||||||||
Consolidated obligation bonds | 53,796 | 223,852 | |||||||||||||||||||||
Deposits | 37 | 2,735 | |||||||||||||||||||||
Mandatorily redeemable capital stock | 1,104 | 2,967 | |||||||||||||||||||||
Total interest expense | 59,136 | 302,068 | |||||||||||||||||||||
Net interest income | 74,521 | 63,151 | |||||||||||||||||||||
Provision for (reversal of) credit losses | 88 | (3) | |||||||||||||||||||||
Net interest income after provision for credit losses | 74,433 | 63,154 | |||||||||||||||||||||
Other Income: | |||||||||||||||||||||||
Net gains (losses) on trading securities | (13,628) | 49,833 | |||||||||||||||||||||
Net losses on derivatives | (838) | (50,950) | |||||||||||||||||||||
Service fees | 127 | 160 | |||||||||||||||||||||
Standby letters of credit fees | 171 | 156 | |||||||||||||||||||||
Other, net | 1,192 | (3,578) | |||||||||||||||||||||
Total other income (loss) | (12,976) | (4,379) | |||||||||||||||||||||
Other Expenses: | |||||||||||||||||||||||
Compensation and benefits | 15,758 | 14,385 | |||||||||||||||||||||
Other operating expenses | 7,271 | 7,309 | |||||||||||||||||||||
Federal Housing Finance Agency | 1,473 | 1,168 | |||||||||||||||||||||
Office of Finance | 1,997 | 1,274 | |||||||||||||||||||||
Other | 1,631 | 1,480 | |||||||||||||||||||||
Total other expenses | 28,130 | 25,616 | |||||||||||||||||||||
Income before assessments | 33,327 | 33,159 | |||||||||||||||||||||
Affordable Housing Program assessments | 3,443 | 3,613 | |||||||||||||||||||||
Net income | $ | 29,884 | $ | 29,546 |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
Interest Income: | |||||||||||||||||||||||
Advances | $ | 20,432 | $ | 45,084 | $ | 84,716 | $ | 291,030 | |||||||||||||||
Interest-bearing deposits | 136 | 364 | 413 | 5,396 | |||||||||||||||||||
Securities purchased under agreements to resell | 540 | 820 | 1,192 | 10,879 | |||||||||||||||||||
Federal funds sold | 728 | 542 | 2,182 | 10,155 | |||||||||||||||||||
Trading securities | 10,473 | 22,335 | 41,064 | 71,651 | |||||||||||||||||||
Available-for-sale securities | 22,477 | 22,539 | 73,497 | 72,682 | |||||||||||||||||||
Held-to-maturity securities | 7,694 | 11,201 | 25,367 | 60,147 | |||||||||||||||||||
Mortgage loans held for portfolio | 44,111 | 48,268 | 124,512 | 189,496 | |||||||||||||||||||
Total interest income | 106,591 | 151,153 | 352,943 | 711,436 | |||||||||||||||||||
Interest Expense: | |||||||||||||||||||||||
Consolidated obligation discount notes | 1,675 | 10,967 | 7,607 | 111,056 | |||||||||||||||||||
Consolidated obligation bonds | 46,601 | 77,398 | 153,071 | 398,449 | |||||||||||||||||||
Deposits | 42 | 32 | 122 | 2,821 | |||||||||||||||||||
Mandatorily redeemable capital stock | 312 | 2,037 | 2,345 | 7,777 | |||||||||||||||||||
Total interest expense | 48,630 | 90,434 | 163,145 | 520,103 | |||||||||||||||||||
Net interest income | 57,961 | 60,719 | 189,798 | 191,333 | |||||||||||||||||||
Provision for (reversal of) credit losses | (16) | 124 | 28 | 172 | |||||||||||||||||||
Net interest income after provision for credit losses | 57,977 | 60,595 | 189,770 | 191,161 | |||||||||||||||||||
Other Income: | |||||||||||||||||||||||
Net gains (losses) on trading securities | (8,207) | (19,331) | (35,566) | 1,975 | |||||||||||||||||||
Net realized gains from sale of available-for-sale securities | — | 504 | — | 504 | |||||||||||||||||||
Net gains (losses) on derivatives | (1,361) | (297) | (2,013) | (52,124) | |||||||||||||||||||
Service fees | 123 | 128 | 382 | 425 | |||||||||||||||||||
Standby letters of credit fees | 189 | 188 | 614 | 506 | |||||||||||||||||||
Other, net | 389 | 1,931 | 4,972 | 1,911 | |||||||||||||||||||
Total other income (loss) | (8,867) | (16,877) | (31,611) | (46,803) | |||||||||||||||||||
Other Expenses: | |||||||||||||||||||||||
Compensation and benefits | 14,570 | 14,519 | 44,420 | 44,156 | |||||||||||||||||||
Other operating expenses | 7,352 | 7,847 | 22,041 | 22,881 | |||||||||||||||||||
Federal Housing Finance Agency | 1,473 | 1,181 | 4,420 | 3,516 | |||||||||||||||||||
Office of Finance | 1,493 | 1,293 | 4,718 | 3,604 | |||||||||||||||||||
Other | 2,030 | 2,053 | 7,887 | 5,244 | |||||||||||||||||||
Total other expenses | 26,918 | 26,893 | 83,486 | 79,401 | |||||||||||||||||||
Income before assessments | 22,192 | 16,825 | 74,673 | 64,957 | |||||||||||||||||||
Affordable Housing Program assessments | 2,250 | 1,886 | 7,702 | 7,273 | |||||||||||||||||||
Net income | $ | 19,942 | $ | 14,939 | $ | 66,971 | $ | 57,684 |
Three Months Ended March 31, | |||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||
Net income | $ | 29,884 | $ | 29,546 | |||||||||||||||||||
Other Comprehensive Income: | |||||||||||||||||||||||
Net change in unrealized gains (losses) on available-for-sale securities | 73,529 | (148,831) | |||||||||||||||||||||
Pension benefits, net | 996 | 707 | |||||||||||||||||||||
Total other comprehensive income (loss) | 74,525 | (148,124) | |||||||||||||||||||||
Total comprehensive income (loss) | $ | 104,409 | $ | (118,578) |
Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||
Net income | $ | 19,942 | $ | 14,939 | $ | 66,971 | $ | 57,684 | |||||||||||||||
Other Comprehensive Income: | |||||||||||||||||||||||
Net change in unrealized gains (losses) on available-for-sale securities | (36,864) | 77,290 | 41,167 | 7,479 | |||||||||||||||||||
Pension benefits, net | (5,093) | 867 | 4,898 | (807) | |||||||||||||||||||
Total other comprehensive income (loss) | (41,957) | 78,157 | 46,065 | 6,672 | |||||||||||||||||||
Total comprehensive income (loss) | $ | (22,015) | $ | 93,096 | $ | 113,036 | $ | 64,356 |
Capital Stock | Retained Earnings | Accumulated Other Comprehensive Income | Total Capital | |||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | ||||||||||||||||||||||||||||||||||||||||
Balance, June 30, 2021 | 22,339 | $ | 2,233,916 | $ | 878,581 | $ | 277,832 | $ | 1,156,413 | $ | 193,424 | $ | 3,583,753 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | 15,954 | 3,988 | 19,942 | (41,957) | (22,015) | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 183 | 18,302 | 18,302 | |||||||||||||||||||||||||||||||||||||||||
Redemption/repurchase of capital stock | (113) | (11,277) | (11,277) | |||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (44) | (4,449) | (4,449) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.35% annualized) | (13,079) | — | (13,079) | (13,079) | ||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2021 | 22,365 | $ | 2,236,492 | $ | 881,456 | $ | 281,820 | $ | 1,163,276 | $ | 151,467 | $ | 3,551,235 | |||||||||||||||||||||||||||||||
Balance, June 30, 2020 | 21,943 | $ | 2,194,319 | $ | 868,328 | $ | 259,403 | $ | 1,127,731 | $ | (4,109) | $ | 3,317,941 | |||||||||||||||||||||||||||||||
Total comprehensive income | 11,952 | 2,987 | 14,939 | 78,157 | 93,096 | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 305 | 30,432 | 30,432 | |||||||||||||||||||||||||||||||||||||||||
Redemption/repurchase of capital stock | (6) | (585) | (585) | |||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (5) | (496) | (496) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (3.50% annualized) | (18,825) | — | (18,825) | (18,825) | ||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2020 | 22,237 | $ | 2,223,670 | $ | 861,455 | $ | 262,390 | $ | 1,123,845 | $ | 74,048 | $ | 3,421,563 |
Capital Stock | Retained Earnings | Accumulated Other Comprehensive Income (Loss) | Total Capital | |||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | ||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2020 | 22,076 | $ | 2,207,570 | $ | 868,904 | $ | 268,426 | $ | 1,137,330 | $ | 105,402 | $ | 3,450,302 | |||||||||||||||||||||||||||||||
Total comprehensive income | 23,907 | 5,977 | 29,884 | 74,525 | 104,409 | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 66 | 6,622 | 6,622 | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.50% annualized) | (13,957) | — | (13,957) | (13,957) | ||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2021 | 22,142 | $ | 2,214,192 | $ | 878,854 | $ | 274,403 | $ | 1,153,257 | $ | 179,927 | $ | 3,547,376 | |||||||||||||||||||||||||||||||
Balance, December 31, 2019 | 19,741 | $ | 1,974,076 | $ | 864,454 | $ | 250,854 | $ | 1,115,308 | $ | 67,376 | $ | 3,156,760 | |||||||||||||||||||||||||||||||
Total comprehensive income (loss) | 23,637 | 5,909 | 29,546 | (148,124) | (118,578) | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 1,243 | 124,378 | 124,378 | |||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (2) | (232) | (232) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (4.25% annualized) | (20,950) | — | (20,950) | (20,950) | ||||||||||||||||||||||||||||||||||||||||
Balance, March 31, 2020 | 20,982 | $ | 2,098,222 | $ | 867,141 | $ | 256,763 | $ | 1,123,904 | $ | (80,748) | $ | 3,141,378 |
Capital Stock | Retained Earnings | Accumulated Other Comprehensive Income | Total Capital | |||||||||||||||||||||||||||||||||||||||||
Shares | Par Value | Unrestricted | Restricted | Total | ||||||||||||||||||||||||||||||||||||||||
Balance, December 31, 2020 | 22,076 | $ | 2,207,570 | $ | 868,904 | $ | 268,426 | $ | 1,137,330 | $ | 105,402 | $ | 3,450,302 | |||||||||||||||||||||||||||||||
Total comprehensive income | 53,577 | 13,394 | 66,971 | 46,065 | 113,036 | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 449 | 44,929 | 44,929 | |||||||||||||||||||||||||||||||||||||||||
Redemption/repurchase of capital stock | (113) | (11,277) | (11,277) | |||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (47) | (4,730) | (4,730) | |||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (2.48% annualized) | (41,025) | — | (41,025) | (41,025) | ||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2021 | 22,365 | $ | 2,236,492 | $ | 881,456 | $ | 281,820 | $ | 1,163,276 | $ | 151,467 | $ | 3,551,235 | |||||||||||||||||||||||||||||||
Balance, December 31, 2019 | 19,741 | $ | 1,974,076 | $ | 864,454 | $ | 250,854 | $ | 1,115,308 | $ | 67,376 | $ | 3,156,760 | |||||||||||||||||||||||||||||||
Total comprehensive income | 46,148 | 11,536 | 57,684 | 6,672 | 64,356 | |||||||||||||||||||||||||||||||||||||||
Proceeds from issuance of capital stock | 2,640 | 264,022 | 264,022 | |||||||||||||||||||||||||||||||||||||||||
Redemption/repurchase of capital stock | (6) | (585) | (585) | |||||||||||||||||||||||||||||||||||||||||
Shares reclassified to mandatorily redeemable capital stock, net | (138) | (13,843) | (13,843) | |||||||||||||||||||||||||||||||||||||||||
Partial recovery of prior capital distribution to Financing Corporation | 10,574 | — | 10,574 | 10,574 | ||||||||||||||||||||||||||||||||||||||||
Cash dividends on capital stock (3.91% annualized) | (59,721) | — | (59,721) | (59,721) | ||||||||||||||||||||||||||||||||||||||||
Balance, September 30, 2020 | 22,237 | $ | 2,223,670 | $ | 861,455 | $ | 262,390 | $ | 1,123,845 | $ | 74,048 | $ | 3,421,563 |
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Operating Activities: | Operating Activities: | Operating Activities: | ||||||||||||||||||||
Net income | Net income | $ | 29,884 | $ | 29,546 | Net income | $ | 66,971 | $ | 57,684 | ||||||||||||
Adjustments to reconcile net income to net cash provided by (used in) operating activities: | Adjustments to reconcile net income to net cash provided by (used in) operating activities: | Adjustments to reconcile net income to net cash provided by (used in) operating activities: | ||||||||||||||||||||
Amortization and depreciation | Amortization and depreciation | 24,431 | 23,008 | Amortization and depreciation | 61,766 | 53,918 | ||||||||||||||||
Changes in net derivative and hedging activities | Changes in net derivative and hedging activities | 152,082 | (516,375) | Changes in net derivative and hedging activities | 87,188 | (470,940) | ||||||||||||||||
Provision for (reversal of) credit losses | 88 | (3) | ||||||||||||||||||||
Provision for credit losses | Provision for credit losses | 28 | 172 | |||||||||||||||||||
Net losses (gains) on trading securities | Net losses (gains) on trading securities | 13,628 | (49,833) | Net losses (gains) on trading securities | 35,566 | (1,975) | ||||||||||||||||
Net realized gains from sale of available-for-sale securities | Net realized gains from sale of available-for-sale securities | — | (504) | |||||||||||||||||||
Changes in: | Changes in: | Changes in: | ||||||||||||||||||||
Accrued interest receivable | Accrued interest receivable | 14,518 | 1,528 | Accrued interest receivable | 26,750 | 26,910 | ||||||||||||||||
Other assets | Other assets | (5,470) | (3,188) | Other assets | (17,725) | (1,670) | ||||||||||||||||
Accrued interest payable | Accrued interest payable | (3,551) | (42,511) | Accrued interest payable | 461 | (114,660) | ||||||||||||||||
Other liabilities | Other liabilities | 13,979 | 24,357 | Other liabilities | 19,697 | 44,253 | ||||||||||||||||
Total adjustments, net | Total adjustments, net | 209,705 | (563,017) | Total adjustments, net | 213,731 | (464,496) | ||||||||||||||||
Net cash provided by (used in) operating activities | Net cash provided by (used in) operating activities | 239,589 | (533,471) | Net cash provided by (used in) operating activities | 280,702 | (406,812) | ||||||||||||||||
Investing Activities: | Investing Activities: | Investing Activities: | ||||||||||||||||||||
Net change in: | Net change in: | Net change in: | ||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | 379,297 | 11,403 | Interest-bearing deposits | 492,551 | (34,408) | ||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | (2,000,000) | (1,900,000) | Securities purchased under agreements to resell | (1,700,000) | (3,000,000) | ||||||||||||||||
Federal funds sold | Federal funds sold | (1,615,000) | 2,550,000 | Federal funds sold | (860,000) | 1,598,000 | ||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||
Proceeds from maturities | Proceeds from maturities | 500,000 | 400,000 | Proceeds from maturities | 2,000,000 | 3,160,000 | ||||||||||||||||
Proceeds from sales | Proceeds from sales | 50,006 | — | |||||||||||||||||||
Purchases | Purchases | (950,175) | (1,164,607) | Purchases | (1,849,689) | (3,200,361) | ||||||||||||||||
Available-for-sale securities: | Available-for-sale securities: | Available-for-sale securities: | ||||||||||||||||||||
Proceeds from maturities | Proceeds from maturities | 343,500 | 22,000 | Proceeds from maturities | 727,875 | 93,550 | ||||||||||||||||
Proceeds from sales | Proceeds from sales | — | 96,779 | |||||||||||||||||||
Purchases | Purchases | (60,290) | (1,032,839) | Purchases | (140,093) | (1,564,036) | ||||||||||||||||
Held-to-maturity securities: | Held-to-maturity securities: | Held-to-maturity securities: | ||||||||||||||||||||
Proceeds from maturities | Proceeds from maturities | 290,207 | 420,864 | Proceeds from maturities | 770,773 | 1,128,834 | ||||||||||||||||
Purchases | Purchases | (215,269) | 0 | Purchases | (742,571) | (125,019) | ||||||||||||||||
Advances: | Advances: | Advances: | ||||||||||||||||||||
Principal repayments | Principal repayments | 67,477,320 | 68,421,317 | Principal repayments | 193,228,613 | 199,835,256 | ||||||||||||||||
Disbursements to members | Disbursements to members | (66,175,807) | (74,178,468) | Disbursements to members | (189,160,818) | (198,028,162) | ||||||||||||||||
Mortgage loans held for portfolio: | Mortgage loans held for portfolio: | Mortgage loans held for portfolio: | ||||||||||||||||||||
Principal collections | Principal collections | 1,034,979 | 573,013 | Principal collections | 2,348,187 | 3,175,183 | ||||||||||||||||
Purchases from members | Purchases from members | (610,090) | (360,105) | Purchases from members | (1,577,038) | (1,509,048) | ||||||||||||||||
Purchases of premises, software, and equipment | Purchases of premises, software, and equipment | (1,171) | (822) | Purchases of premises, software, and equipment | (3,375) | (3,889) | ||||||||||||||||
Loans to other Federal Home Loan Banks: | Loans to other Federal Home Loan Banks: | Loans to other Federal Home Loan Banks: | ||||||||||||||||||||
Principal repayments | Principal repayments | 10,000 | 0 | Principal repayments | 30,000 | 80,000 | ||||||||||||||||
Disbursements | Disbursements | (10,000) | 0 | Disbursements | (30,000) | (80,000) | ||||||||||||||||
Net cash used in investing activities | (1,602,499) | (6,238,244) | ||||||||||||||||||||
Net cash provided by investing activities | Net cash provided by investing activities | 3,584,421 | 1,622,679 |
Three Months Ended March 31, | Nine Months Ended September 30, | |||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | |||||||||||||||||||
Financing Activities: | Financing Activities: | Financing Activities: | ||||||||||||||||||||
Changes in deposits | Changes in deposits | 475,555 | 1,860,821 | Changes in deposits | 360,803 | 338,552 | ||||||||||||||||
Net payments on derivative contracts with financing elements | Net payments on derivative contracts with financing elements | (4,498) | 2,368 | Net payments on derivative contracts with financing elements | (11,629) | (2,307) | ||||||||||||||||
Net proceeds from issuance of consolidated obligations: | Net proceeds from issuance of consolidated obligations: | Net proceeds from issuance of consolidated obligations: | ||||||||||||||||||||
Discount notes | Discount notes | 49,078,395 | 84,066,250 | Discount notes | 183,417,467 | 238,137,022 | ||||||||||||||||
Bonds | Bonds | 11,425,764 | 14,093,533 | Bonds | 33,114,188 | 37,468,384 | ||||||||||||||||
Payments for matured and retired consolidated obligations: | Payments for matured and retired consolidated obligations: | Payments for matured and retired consolidated obligations: | ||||||||||||||||||||
Discount notes | Discount notes | (48,118,416) | (72,093,154) | Discount notes | (187,316,013) | (236,329,608) | ||||||||||||||||
Bonds | Bonds | (11,836,850) | (16,796,390) | Bonds | (33,075,310) | (41,057,605) | ||||||||||||||||
Proceeds from issuance of capital stock | Proceeds from issuance of capital stock | 6,622 | 124,378 | Proceeds from issuance of capital stock | 44,929 | 264,022 | ||||||||||||||||
Payments for redemption/repurchase of capital stock | Payments for redemption/repurchase of capital stock | (11,277) | (585) | |||||||||||||||||||
Payments for redemption/repurchase of mandatorily redeemable capital stock | Payments for redemption/repurchase of mandatorily redeemable capital stock | (18,073) | (9) | Payments for redemption/repurchase of mandatorily redeemable capital stock | (205,056) | (74,294) | ||||||||||||||||
Partial recovery of prior capital distribution to Financing Corporation | Partial recovery of prior capital distribution to Financing Corporation | — | 10,574 | |||||||||||||||||||
Dividend payments on capital stock | Dividend payments on capital stock | (13,957) | (20,950) | Dividend payments on capital stock | (41,025) | (59,721) | ||||||||||||||||
Net cash provided by financing activities | 994,542 | 11,236,847 | ||||||||||||||||||||
Net cash used in financing activities | Net cash used in financing activities | (3,722,923) | (1,305,566) | |||||||||||||||||||
Net increase (decrease) in cash and due from banks | Net increase (decrease) in cash and due from banks | (368,368) | 4,465,132 | Net increase (decrease) in cash and due from banks | 142,200 | (89,699) | ||||||||||||||||
Cash and due from banks at beginning of period | Cash and due from banks at beginning of period | 1,811,544 | 220,294 | Cash and due from banks at beginning of period | 1,811,544 | 220,294 | ||||||||||||||||
Cash and due from banks at end of period | Cash and due from banks at end of period | $ | 1,443,176 | $ | 4,685,426 | Cash and due from banks at end of period | $ | 1,953,744 | $ | 130,595 | ||||||||||||
Supplemental Disclosures: | Supplemental Disclosures: | Supplemental Disclosures: | ||||||||||||||||||||
Cash activities: | Cash activities: | Cash activities: | ||||||||||||||||||||
Interest payments | Interest payments | $ | 84,094 | $ | 335,473 | Interest payments | $ | 220,573 | $ | 716,017 | ||||||||||||
Affordable Housing Program payments | Affordable Housing Program payments | 2,155 | 2,274 | Affordable Housing Program payments | 11,638 | 10,776 | ||||||||||||||||
Non-cash activities: | Non-cash activities: | Non-cash activities: | ||||||||||||||||||||
Purchases of investment securities, traded but not yet settled | Purchases of investment securities, traded but not yet settled | 23,048 | 0 | Purchases of investment securities, traded but not yet settled | 122,924 | 65,000 | ||||||||||||||||
Capitalized interest on certain held-to-maturity securities | Capitalized interest on certain held-to-maturity securities | 78 | 506 | Capitalized interest on certain held-to-maturity securities | 841 | 1,349 | ||||||||||||||||
Par value of shares reclassified to mandatorily redeemable capital stock, net | Par value of shares reclassified to mandatorily redeemable capital stock, net | 0 | 232 | Par value of shares reclassified to mandatorily redeemable capital stock, net | 4,730 | 13,843 |
Security Type | Security Type | March 31, 2021 | December 31, 2020 | Security Type | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Non-mortgage-backed securities: | Non-mortgage-backed securities: | Non-mortgage-backed securities: | ||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | $ | 5,531,250 | $ | 5,094,703 | U.S. Treasury obligations | $ | 4,858,818 | $ | 5,094,703 | ||||||||||||||||||
Total trading securities at estimated fair value | Total trading securities at estimated fair value | $ | 5,531,250 | $ | 5,094,703 | Total trading securities at estimated fair value | $ | 4,858,818 | $ | 5,094,703 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||||||||||||||||||||
Net unrealized gains (losses) on trading securities held at period end | Net unrealized gains (losses) on trading securities held at period end | $ | (16,323) | $ | 48,463 | Net unrealized gains (losses) on trading securities held at period end | $ | 6,400 | $ | (27,983) | $ | (22,506) | $ | (19,333) | ||||||||||||||||||||||||||||||||||||||
Net realized gains on trading securities that matured/sold during the period | 2,695 | 1,370 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net realized gains (losses) on trading securities that matured/sold during the period | Net realized gains (losses) on trading securities that matured/sold during the period | (14,607) | 8,652 | (13,060) | 21,308 | |||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities | Net gains (losses) on trading securities | $ | (13,628) | $ | 49,833 | Net gains (losses) on trading securities | $ | (8,207) | $ | (19,331) | $ | (35,566) | $ | 1,975 |
Gross | Gross | Gross | Gross | |||||||||||||||||||||||||||||||||||||||||||||||||
Amortized | Unrealized | Unrealized | Estimated | Amortized | Unrealized | Unrealized | Estimated | |||||||||||||||||||||||||||||||||||||||||||||
March 31, 2021 | Cost (1) | Gains | Losses | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | Cost (1) | Gains | Losses | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | $ | 3,061,510 | $ | 48,236 | $ | 0 | $ | 3,109,746 | GSE and TVA debentures | $ | 2,683,050 | $ | 45,617 | $ | — | $ | 2,728,667 | ||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 6,203,391 | 162,214 | 0 | 6,365,605 | GSE MBS | 6,458,441 | 133,300 | (829) | 6,590,912 | ||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | $ | 9,264,901 | $ | 210,450 | $ | 0 | $ | 9,475,351 | Total AFS securities | $ | 9,141,491 | $ | 178,917 | $ | (829) | $ | 9,319,579 | ||||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | $ | 3,462,885 | $ | 40,252 | $ | 0 | $ | 3,503,137 | GSE and TVA debentures | $ | 3,462,885 | $ | 40,252 | $ | — | $ | 3,503,137 | ||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 6,545,093 | 98,263 | (1,594) | 6,641,762 | GSE MBS | 6,545,093 | 98,263 | (1,594) | 6,641,762 | ||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | $ | 10,007,978 | $ | 138,515 | $ | (1,594) | $ | 10,144,899 | Total AFS securities | $ | 10,007,978 | $ | 138,515 | $ | (1,594) | $ | 10,144,899 |
Less than 12 months | 12 months or More | Total | Less than 12 months | 12 months or More | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | Estimated | Unrealized | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | Fair Value | Losses | Fair Value | Losses | Fair Value | Losses | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | $ | 132,054 | $ | (179) | $ | 179,387 | $ | (1,415) | $ | 311,441 | $ | (1,594) | GSE MBS | $ | 174,857 | $ | (829) | $ | — | $ | — | $ | 174,857 | $ | (829) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Total impaired AFS securities | Total impaired AFS securities | $ | 132,054 | $ | (179) | $ | 179,387 | $ | (1,415) | $ | 311,441 | $ | (1,594) | Total impaired AFS securities | $ | 174,857 | $ | (829) | $ | — | $ | — | $ | 174,857 | $ | (829) | ||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | $ | 132,054 | $ | (179) | $ | 179,387 | $ | (1,415) | $ | 311,441 | $ | (1,594) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total impaired AFS securities | Total impaired AFS securities | $ | 132,054 | $ | (179) | $ | 179,387 | $ | (1,415) | $ | 311,441 | $ | (1,594) |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Amortized | Estimated | Amortized | Estimated | Amortized | Estimated | Amortized | Estimated | |||||||||||||||||||||||||||||||||||||||||||||
Year of Contractual Maturity | Year of Contractual Maturity | Cost | Fair Value | Cost | Fair Value | Year of Contractual Maturity | Cost | Fair Value | Cost | Fair Value | ||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 728,215 | $ | 729,403 | $ | 705,134 | $ | 705,442 | Due in 1 year or less | $ | 584,204 | $ | 585,335 | $ | 705,134 | $ | 705,442 | ||||||||||||||||||||||||||||||||||
Due after 1 year through 5 years | Due after 1 year through 5 years | 1,062,268 | 1,077,612 | 1,215,038 | 1,225,187 | Due after 1 year through 5 years | 1,411,287 | 1,437,066 | 1,215,038 | 1,225,187 | ||||||||||||||||||||||||||||||||||||||||||
Due after 5 years through 10 years | Due after 5 years through 10 years | 1,271,027 | 1,302,731 | 1,542,713 | 1,572,508 | Due after 5 years through 10 years | 687,559 | 706,266 | 1,542,713 | 1,572,508 | ||||||||||||||||||||||||||||||||||||||||||
Total non-MBS | Total non-MBS | 3,061,510 | 3,109,746 | 3,462,885 | 3,503,137 | Total non-MBS | 2,683,050 | 2,728,667 | 3,462,885 | 3,503,137 | ||||||||||||||||||||||||||||||||||||||||||
Total MBS | Total MBS | 6,203,391 | 6,365,605 | 6,545,093 | 6,641,762 | Total MBS | 6,458,441 | 6,590,912 | 6,545,093 | 6,641,762 | ||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | $ | 9,264,901 | $ | 9,475,351 | $ | 10,007,978 | $ | 10,144,899 | Total AFS securities | $ | 9,141,491 | $ | 9,319,579 | $ | 10,007,978 | $ | 10,144,899 |
Gross | Gross | Gross | Gross | |||||||||||||||||||||||||||||||||||||||||||||||||
Unrecognized | Unrecognized | Unrecognized | Unrecognized | |||||||||||||||||||||||||||||||||||||||||||||||||
Amortized | Holding | Holding | Estimated | Amortized | Holding | Holding | Estimated | |||||||||||||||||||||||||||||||||||||||||||||
March 31, 2021 | Cost (1) | Gains (2) | Losses (2) | Fair Value | ||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | Cost (1) | Gains (2) | Losses (2) | Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||
MBS: | MBS: | MBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed MBS | Other U.S. obligations - guaranteed MBS | $ | 2,571,561 | $ | 10,290 | $ | (3,114) | $ | 2,578,737 | Other U.S. obligations - guaranteed MBS | $ | 2,737,308 | $ | 8,716 | $ | (6,875) | $ | 2,739,149 | ||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 1,902,484 | 20,992 | (5,767) | 1,917,709 | GSE MBS | 1,759,287 | 16,904 | (4,981) | 1,771,210 | ||||||||||||||||||||||||||||||||||||||||||
Total HTM securities | Total HTM securities | $ | 4,474,045 | $ | 31,282 | $ | (8,881) | $ | 4,496,446 | Total HTM securities | $ | 4,496,595 | $ | 25,620 | $ | (11,856) | $ | 4,510,359 | ||||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||
MBS: | MBS: | MBS: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed MBS | Other U.S. obligations - guaranteed MBS | $ | 2,622,677 | $ | 6,920 | $ | (4,590) | $ | 2,625,007 | Other U.S. obligations - guaranteed MBS | $ | 2,622,677 | $ | 6,920 | $ | (4,590) | $ | 2,625,007 | ||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 2,078,625 | 21,640 | (1,476) | 2,098,789 | GSE MBS | 2,078,625 | 21,640 | (1,476) | 2,098,789 | ||||||||||||||||||||||||||||||||||||||||||
Total HTM securities | Total HTM securities | $ | 4,701,302 | $ | 28,560 | $ | (6,066) | $ | 4,723,796 | Total HTM securities | $ | 4,701,302 | $ | 28,560 | $ | (6,066) | $ | 4,723,796 |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Redemption Term | Redemption Term | Amount | WAIR % | Amount | WAIR % | Redemption Term | Amount | WAIR % | Amount | WAIR % | ||||||||||||||||||||||||||||||||||||||||||
Overdrawn demand and overnight deposit accounts | Overdrawn demand and overnight deposit accounts | $ | 29,977 | 2.43 | $ | — | — | |||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 9,240,561 | 0.43 | $ | 10,115,576 | 0.51 | Due in 1 year or less | 6,865,431 | 0.60 | 10,115,576 | 0.51 | ||||||||||||||||||||||||||||||||||||||||
Due after 1 year through 2 years | Due after 1 year through 2 years | 2,547,282 | 1.59 | 2,149,839 | 1.57 | Due after 1 year through 2 years | 2,340,823 | 1.89 | 2,149,839 | 1.57 | ||||||||||||||||||||||||||||||||||||||||||
Due after 2 years through 3 years | Due after 2 years through 3 years | 2,862,368 | 2.03 | 2,760,624 | 2.02 | Due after 2 years through 3 years | 3,770,555 | 1.50 | 2,760,624 | 2.02 | ||||||||||||||||||||||||||||||||||||||||||
Due after 3 years through 4 years | Due after 3 years through 4 years | 3,340,787 | 1.26 | 3,725,103 | 1.36 | Due after 3 years through 4 years | 2,736,669 | 1.32 | 3,725,103 | 1.36 | ||||||||||||||||||||||||||||||||||||||||||
Due after 4 years through 5 years | Due after 4 years through 5 years | 3,037,457 | 1.27 | 3,020,039 | 1.29 | Due after 4 years through 5 years | 1,848,753 | 1.33 | 3,020,039 | 1.29 | ||||||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 8,360,890 | 1.01 | 8,919,678 | 1.05 | Thereafter | 9,030,857 | 0.89 | 8,919,678 | 1.05 | ||||||||||||||||||||||||||||||||||||||||||
Total advances, par value | Total advances, par value | 29,389,345 | 1.03 | 30,690,859 | 1.06 | Total advances, par value | 26,623,065 | 1.07 | 30,690,859 | 1.06 | ||||||||||||||||||||||||||||||||||||||||||
Fair-value hedging basis adjustments, net | Fair-value hedging basis adjustments, net | 384,034 | 645,946 | Fair-value hedging basis adjustments, net | 325,320 | 645,946 | ||||||||||||||||||||||||||||||||||||||||||||||
Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 10,261 | 10,681 | Unamortized swap termination fees associated with modified advances, net of deferred prepayment fees | 9,654 | 10,681 | ||||||||||||||||||||||||||||||||||||||||||||||
Total advances (1) | Total advances (1) | $ | 29,783,640 | $ | 31,347,486 | Total advances (1) | $ | 26,958,039 | $ | 31,347,486 |
Earlier of Redemption or Next Call Date | Earlier of Redemption or Next Put Date | Earlier of Redemption or Next Call Date | Earlier of Redemption or Next Put Date | |||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2021 | December 31, 2020 | March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||
Overdrawn demand and overnight deposit accounts | Overdrawn demand and overnight deposit accounts | $ | 29,977 | $ | — | $ | 29,977 | $ | — | |||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 14,353,269 | $ | 15,296,034 | $ | 13,708,561 | $ | 14,645,076 | Due in 1 year or less | 11,806,255 | 15,296,034 | 12,302,331 | 14,645,076 | ||||||||||||||||||||||||||||||||||||||
Due after 1 year through 2 years | Due after 1 year through 2 years | 2,232,992 | 1,797,049 | 3,523,607 | 3,107,339 | Due after 1 year through 2 years | 2,004,432 | 1,797,049 | 2,876,028 | 3,107,339 | ||||||||||||||||||||||||||||||||||||||||||
Due after 2 years through 3 years | Due after 2 years through 3 years | 2,450,268 | 2,440,024 | 2,837,648 | 3,160,729 | Due after 2 years through 3 years | 2,358,055 | 2,440,024 | 4,094,555 | 3,160,729 | ||||||||||||||||||||||||||||||||||||||||||
Due after 3 years through 4 years | Due after 3 years through 4 years | 1,972,287 | 2,246,102 | 3,762,187 | 3,824,603 | Due after 3 years through 4 years | 1,985,969 | 2,246,102 | 2,788,069 | 3,824,603 | ||||||||||||||||||||||||||||||||||||||||||
Due after 4 years through 5 years | Due after 4 years through 5 years | 2,044,307 | 2,076,839 | 2,426,957 | 2,585,439 | Due after 4 years through 5 years | 1,335,378 | 2,076,839 | 1,598,753 | 2,585,439 | ||||||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 6,336,222 | 6,834,811 | 3,130,385 | 3,367,673 | Thereafter | 7,102,999 | 6,834,811 | 2,933,352 | 3,367,673 | ||||||||||||||||||||||||||||||||||||||||||
Total advances, par value | Total advances, par value | $ | 29,389,345 | $ | 30,690,859 | $ | 29,389,345 | $ | 30,690,859 | Total advances, par value | $ | 26,623,065 | $ | 30,690,859 | $ | 26,623,065 | $ | 30,690,859 |
Term | Term | March 31, 2021 | December 31, 2020 | Term | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Fixed-rate long-term mortgages | Fixed-rate long-term mortgages | $ | 6,764,434 | $ | 7,257,237 | Fixed-rate long-term mortgages | $ | 6,330,986 | $ | 7,257,237 | ||||||||||||||||||
Fixed-rate medium-term (1) mortgages | Fixed-rate medium-term (1) mortgages | 1,106,667 | 1,065,329 | Fixed-rate medium-term (1) mortgages | 1,059,771 | 1,065,329 | ||||||||||||||||||||||
Total mortgage loans held for portfolio, UPB | Total mortgage loans held for portfolio, UPB | 7,871,101 | 8,322,566 | Total mortgage loans held for portfolio, UPB | 7,390,757 | 8,322,566 | ||||||||||||||||||||||
Unamortized premiums | Unamortized premiums | 182,872 | 187,425 | Unamortized premiums | 177,749 | 187,425 | ||||||||||||||||||||||
Unamortized discounts | Unamortized discounts | (1,683) | (1,638) | Unamortized discounts | (2,441) | (1,638) | ||||||||||||||||||||||
Hedging basis adjustments, net | Hedging basis adjustments, net | 5,025 | 7,642 | Hedging basis adjustments, net | 4,722 | 7,642 | ||||||||||||||||||||||
Total mortgage loans held for portfolio | Total mortgage loans held for portfolio | 8,057,315 | 8,515,995 | Total mortgage loans held for portfolio | 7,570,787 | 8,515,995 | ||||||||||||||||||||||
Allowance for credit losses | Allowance for credit losses | (350) | (350) | Allowance for credit losses | (325) | (350) | ||||||||||||||||||||||
Total mortgage loans held for portfolio, net (2) | Total mortgage loans held for portfolio, net (2) | $ | 8,056,965 | $ | 8,515,645 | Total mortgage loans held for portfolio, net (2) | $ | 7,570,462 | $ | 8,515,645 |
Type | Type | March 31, 2021 | December 31, 2020 | Type | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Conventional | Conventional | $ | 7,641,110 | $ | 8,069,274 | Conventional | $ | 7,197,498 | $ | 8,069,274 | ||||||||||||||||||
Government-guaranteed or -insured | Government-guaranteed or -insured | 229,991 | 253,292 | Government-guaranteed or -insured | 193,259 | 253,292 | ||||||||||||||||||||||
Total mortgage loans held for portfolio, UPB | Total mortgage loans held for portfolio, UPB | $ | 7,871,101 | $ | 8,322,566 | Total mortgage loans held for portfolio, UPB | $ | 7,390,757 | $ | 8,322,566 |
Product | Product | March 31, 2021 | December 31, 2020 | Product | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
MPP | MPP | $ | 7,732,209 | $ | 8,163,902 | MPP | $ | 7,275,562 | $ | 8,163,902 | ||||||||||||||||||
MPF Program | MPF Program | 138,892 | 158,664 | MPF Program | 115,195 | 158,664 | ||||||||||||||||||||||
Total mortgage loans held for portfolio, UPB | Total mortgage loans held for portfolio, UPB | $ | 7,871,101 | $ | 8,322,566 | Total mortgage loans held for portfolio, UPB | $ | 7,390,757 | $ | 8,322,566 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
LRA Activity | LRA Activity | 2021 | 2020 | LRA Activity | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Liability, beginning of period | Liability, beginning of period | $ | 207,305 | $ | 186,585 | Liability, beginning of period | $ | 220,061 | $ | 196,653 | $ | 207,305 | $ | 186,585 | ||||||||||||||||||||||||||||||||||||||
Additions | Additions | 7,117 | 4,254 | Additions | 5,007 | 5,344 | 18,371 | 17,658 | ||||||||||||||||||||||||||||||||||||||||||||
Claims paid | Claims paid | (34) | (45) | Claims paid | (29) | (52) | (94) | (293) | ||||||||||||||||||||||||||||||||||||||||||||
Distributions to PFIs | Distributions to PFIs | (124) | (514) | Distributions to PFIs | (117) | (891) | (660) | (2,896) | ||||||||||||||||||||||||||||||||||||||||||||
Liability, end of period | Liability, end of period | $ | 214,264 | $ | 190,280 | Liability, end of period | $ | 224,922 | $ | 201,054 | $ | 224,922 | $ | 201,054 |
Origination Year | Origination Year | |||||||||||||||||||||||||||||||||||||||
Payment Status as of March 31, 2021 | Prior to 2017 | 2017 to 2021 | Total | |||||||||||||||||||||||||||||||||||||
Payment Status as of September 30, 2021 | Payment Status as of September 30, 2021 | Prior to 2017 | 2017 to 2021 | Total | ||||||||||||||||||||||||||||||||||||
Past due: | Past due: | Past due: | ||||||||||||||||||||||||||||||||||||||
30-59 days | 30-59 days | $ | 15,867 | $ | 24,254 | $ | 40,121 | 30-59 days | $ | 16,664 | $ | 10,675 | $ | 27,339 | ||||||||||||||||||||||||||
60-89 days | 60-89 days | 3,839 | 9,328 | 13,167 | 60-89 days | 3,041 | 1,740 | 4,781 | ||||||||||||||||||||||||||||||||
90 days or more | 90 days or more | 38,577 | 38,757 | 77,334 | 90 days or more | 23,574 | 16,127 | 39,701 | ||||||||||||||||||||||||||||||||
Total past due | Total past due | 58,283 | 72,339 | 130,622 | Total past due | 43,279 | 28,542 | 71,821 | ||||||||||||||||||||||||||||||||
Total current | Total current | 4,319,959 | 3,373,978 | 7,693,937 | Total current | 2,685,414 | 4,618,028 | 7,303,442 | ||||||||||||||||||||||||||||||||
Total conventional mortgage loans, amortized cost | Total conventional mortgage loans, amortized cost | $ | 4,378,242 | $ | 3,446,317 | $ | 7,824,559 | Total conventional mortgage loans, amortized cost | $ | 2,728,693 | $ | 4,646,570 | $ | 7,375,263 |
Origination Year | ||||||||||||||||||||
Payment Status as of December 31, 2020 | Prior to 2016 | 2016 to 2020 | Total | |||||||||||||||||
Past due: | ||||||||||||||||||||
30-59 days | $ | 19,893 | $ | 22,130 | $ | 42,023 | ||||||||||||||
60-89 days | 6,980 | 12,078 | 19,058 | |||||||||||||||||
90 days or more | 27,467 | 67,075 | 94,542 | |||||||||||||||||
Total past due | 54,340 | 101,283 | 155,623 | |||||||||||||||||
Total current | 2,468,908 | 5,635,070 | 8,103,978 | |||||||||||||||||
Total conventional mortgage loans, amortized cost | $ | 2,523,248 | $ | 5,736,353 | $ | 8,259,601 |
Other Delinquency Statistics as of March 31, 2021 | Conventional | Government | Total | |||||||||||||||||||||||||||||||||||||
Other Delinquency Statistics as of September 30, 2021 | Other Delinquency Statistics as of September 30, 2021 | Conventional | Government | Total | ||||||||||||||||||||||||||||||||||||
In process of foreclosure (1) | In process of foreclosure (1) | $ | 1,565 | $ | 0 | $ | 1,565 | In process of foreclosure (1) | $ | 2,121 | $ | — | $ | 2,121 | ||||||||||||||||||||||||||
Serious delinquency rate (2) | Serious delinquency rate (2) | 0.99 | % | 1.55 | % | 1.00 | % | Serious delinquency rate (2) | 0.54 | % | 1.44 | % | 0.56 | % | ||||||||||||||||||||||||||
Past due 90 days or more still accruing interest (3) | Past due 90 days or more still accruing interest (3) | $ | 31,180 | $ | 2,974 | $ | 34,154 | Past due 90 days or more still accruing interest (3) | $ | 18,979 | $ | 2,094 | $ | 21,073 | ||||||||||||||||||||||||||
On non-accrual status (4) | On non-accrual status (4) | $ | 72,706 | $ | 0 | $ | 72,706 | On non-accrual status (4) | $ | 32,581 | $ | — | $ | 32,581 | ||||||||||||||||||||||||||
Other Delinquency Statistics as of December 31, 2020 | Other Delinquency Statistics as of December 31, 2020 | Other Delinquency Statistics as of December 31, 2020 | ||||||||||||||||||||||||||||||||||||||
In process of foreclosure (1) | In process of foreclosure (1) | $ | 2,689 | $ | 0 | $ | 2,689 | In process of foreclosure (1) | $ | 2,689 | $ | — | $ | 2,689 | ||||||||||||||||||||||||||
Serious delinquency rate (2) | Serious delinquency rate (2) | 1.14 | % | 3.36 | % | 1.21 | % | Serious delinquency rate (2) | 1.14 | % | 3.36 | % | 1.21 | % | ||||||||||||||||||||||||||
Past due 90 days or more still accruing interest (3) | Past due 90 days or more still accruing interest (3) | $ | 36,585 | $ | 7,933 | $ | 44,518 | Past due 90 days or more still accruing interest (3) | $ | 36,585 | $ | 7,933 | $ | 44,518 | ||||||||||||||||||||||||||
On non-accrual status (4) | On non-accrual status (4) | $ | 87,763 | $ | 0 | $ | 87,763 | On non-accrual status (4) | $ | 87,763 | $ | — | $ | 87,763 |
Components of Allowance | Components of Allowance | March 31, 2021 | December 31, 2020 | Components of Allowance | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
MPP expected losses remaining after borrower's equity, before credit enhancements | MPP expected losses remaining after borrower's equity, before credit enhancements | $ | 4,766 | $ | 10,305 | MPP expected losses remaining after borrower's equity, before credit enhancements | $ | 5,028 | $ | 10,305 | ||||||||||||||||||
Portion of expected losses recoverable from credit enhancements: | Portion of expected losses recoverable from credit enhancements: | Portion of expected losses recoverable from credit enhancements: | ||||||||||||||||||||||||||
PMI | PMI | (1,454) | (2,277) | PMI | (837) | (2,277) | ||||||||||||||||||||||
LRA (1) | LRA (1) | (2,385) | (6,847) | LRA (1) | (3,299) | (6,847) | ||||||||||||||||||||||
SMI | SMI | (709) | (963) | SMI | (674) | (963) | ||||||||||||||||||||||
Total portion recoverable from credit enhancements | Total portion recoverable from credit enhancements | (4,548) | (10,087) | Total portion recoverable from credit enhancements | (4,810) | (10,087) | ||||||||||||||||||||||
Allowance for unrecoverable PMI/SMI | Allowance for unrecoverable PMI/SMI | 32 | 32 | Allowance for unrecoverable PMI/SMI | 32 | 32 | ||||||||||||||||||||||
Allowance for MPP credit losses | Allowance for MPP credit losses | 250 | 250 | Allowance for MPP credit losses | 250 | 250 | ||||||||||||||||||||||
Allowance for MPF Program credit losses | Allowance for MPF Program credit losses | 100 | 100 | Allowance for MPF Program credit losses | 75 | 100 | ||||||||||||||||||||||
Allowance for credit losses | Allowance for credit losses | $ | 350 | $ | 350 | Allowance for credit losses | $ | 325 | $ | 350 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Rollforward of Allowance | Rollforward of Allowance | 2021 | 2020 | Rollforward of Allowance | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Balance, beginning of period | Balance, beginning of period | $ | 350 | $ | 300 | Balance, beginning of period | $ | 325 | $ | 325 | $ | 350 | $ | 300 | ||||||||||||||||||||||||||||||||||||||
Charge-offs | Charge-offs | (92) | (13) | Charge-offs | 5 | (50) | (87) | (93) | ||||||||||||||||||||||||||||||||||||||||||||
Recoveries | Recoveries | 4 | 16 | Recoveries | 11 | 1 | 34 | 21 | ||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | 88 | (3) | Provision for (reversal of) credit losses | (16) | 124 | 28 | 172 | ||||||||||||||||||||||||||||||||||||||||||||
Balance, end of period | Balance, end of period | $ | 350 | $ | 300 | Balance, end of period | $ | 325 | $ | 400 | $ | 325 | $ | 400 |
Estimated Fair Value | Estimated Fair Value | |||||||||||||||||||||||||||||||||||||||
Notional | Derivative | Derivative | Notional | Derivative | Derivative | |||||||||||||||||||||||||||||||||||
March 31, 2021 | Amount | Assets | Liabilities | |||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | Amount | Assets | Liabilities | ||||||||||||||||||||||||||||||||||||
Derivatives designated as hedging instruments: | Derivatives designated as hedging instruments: | Derivatives designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | $ | 42,814,912 | $ | 114,543 | $ | 479,055 | Interest-rate swaps | $ | 42,839,114 | $ | 78,296 | $ | 380,416 | ||||||||||||||||||||||||||
Total derivatives designated as hedging instruments | Total derivatives designated as hedging instruments | 42,814,912 | 114,543 | 479,055 | Total derivatives designated as hedging instruments | 42,839,114 | 78,296 | 380,416 | ||||||||||||||||||||||||||||||||
Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||
Economic hedges: | Economic hedges: | Economic hedges: | ||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | 9,477,000 | 7,226 | 2 | Interest-rate swaps | 9,327,000 | 4,321 | 161 | ||||||||||||||||||||||||||||||||
Interest-rate caps/floors | Interest-rate caps/floors | 625,500 | 1,245 | 0 | Interest-rate caps/floors | 625,500 | 644 | — | ||||||||||||||||||||||||||||||||
Interest-rate forwards | Interest-rate forwards | 231,800 | 2,230 | 0 | Interest-rate forwards | 141,100 | 336 | 47 | ||||||||||||||||||||||||||||||||
MDCs | MDCs | 231,325 | 23 | 1,255 | MDCs | 139,076 | 81 | 257 | ||||||||||||||||||||||||||||||||
Total derivatives not designated as hedging instruments | Total derivatives not designated as hedging instruments | 10,565,625 | 10,724 | 1,257 | Total derivatives not designated as hedging instruments | 10,232,676 | 5,382 | 465 | ||||||||||||||||||||||||||||||||
Total derivatives before adjustments | Total derivatives before adjustments | $ | 53,380,537 | 125,267 | 480,312 | Total derivatives before adjustments | $ | 53,071,790 | 83,678 | 380,881 | ||||||||||||||||||||||||||||||
Netting adjustments and cash collateral (1) | Netting adjustments and cash collateral (1) | 160,019 | (460,779) | Netting adjustments and cash collateral (1) | 147,602 | (362,339) | ||||||||||||||||||||||||||||||||||
Total derivatives, net | Total derivatives, net | $ | 285,286 | $ | 19,533 | Total derivatives, net | $ | 231,280 | $ | 18,542 | ||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||
Derivatives designated as hedging instruments: | Derivatives designated as hedging instruments: | Derivatives designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | $ | 40,227,966 | $ | 13,018 | $ | 761,330 | Interest-rate swaps | $ | 40,227,966 | $ | 13,018 | $ | 761,330 | ||||||||||||||||||||||||||
Total derivatives designated as hedging instruments | Total derivatives designated as hedging instruments | 40,227,966 | 13,018 | 761,330 | Total derivatives designated as hedging instruments | 40,227,966 | 13,018 | 761,330 | ||||||||||||||||||||||||||||||||
Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | Derivatives not designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||
Economic hedges; | Economic hedges; | Economic hedges; | ||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | 9,177,000 | 5,404 | 181 | Interest-rate swaps | 9,177,000 | 5,404 | 181 | ||||||||||||||||||||||||||||||||
Interest-rate caps/floors | Interest-rate caps/floors | 625,500 | 1,113 | 0 | Interest-rate caps/floors | 625,500 | 1,113 | — | ||||||||||||||||||||||||||||||||
Interest-rate forwards | Interest-rate forwards | 180,900 | 0 | 1,486 | Interest-rate forwards | 180,900 | — | 1,486 | ||||||||||||||||||||||||||||||||
MDCs | MDCs | 180,152 | 1,022 | 0 | MDCs | 180,152 | 1,022 | — | ||||||||||||||||||||||||||||||||
Total derivatives not designated as hedging instruments | Total derivatives not designated as hedging instruments | 10,163,552 | 7,539 | 1,667 | Total derivatives not designated as hedging instruments | 10,163,552 | 7,539 | 1,667 | ||||||||||||||||||||||||||||||||
Total derivatives before adjustments | Total derivatives before adjustments | $ | 50,391,518 | 20,557 | 762,997 | Total derivatives before adjustments | $ | 50,391,518 | 20,557 | 762,997 | ||||||||||||||||||||||||||||||
Netting adjustments and cash collateral (1) | Netting adjustments and cash collateral (1) | 262,525 | (740,018) | Netting adjustments and cash collateral (1) | 262,525 | (740,018) | ||||||||||||||||||||||||||||||||||
Total derivatives, net | Total derivatives, net | $ | 283,082 | $ | 22,979 | Total derivatives, net | $ | 283,082 | $ | 22,979 |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | Derivative Assets | Derivative Liabilities | |||||||||||||||||||||||||||||||||||||||||||||
Derivative instruments meeting netting requirements: | Derivative instruments meeting netting requirements: | Derivative instruments meeting netting requirements: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Gross recognized amount | Gross recognized amount | Gross recognized amount | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | $ | 106,312 | $ | 478,836 | $ | 13,793 | $ | 755,118 | Uncleared | $ | 78,602 | $ | 376,138 | $ | 13,793 | $ | 755,118 | ||||||||||||||||||||||||||||||||||
Cleared | Cleared | 16,702 | 221 | 5,742 | 6,393 | Cleared | 4,659 | 4,439 | 5,742 | 6,393 | ||||||||||||||||||||||||||||||||||||||||||
Total gross recognized amount | Total gross recognized amount | 123,014 | 479,057 | 19,535 | 761,511 | Total gross recognized amount | 83,261 | 380,577 | 19,535 | 761,511 | ||||||||||||||||||||||||||||||||||||||||||
Gross amounts of netting adjustments and cash collateral | Gross amounts of netting adjustments and cash collateral | Gross amounts of netting adjustments and cash collateral | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | (100,508) | (460,558) | (13,793) | (733,625) | Uncleared | (78,283) | (357,900) | (13,793) | (733,625) | ||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | 260,527 | (221) | 276,318 | (6,393) | Cleared | 225,885 | (4,439) | 276,318 | (6,393) | ||||||||||||||||||||||||||||||||||||||||||
Total gross amounts of netting adjustments and cash collateral | Total gross amounts of netting adjustments and cash collateral | 160,019 | (460,779) | 262,525 | (740,018) | Total gross amounts of netting adjustments and cash collateral | 147,602 | (362,339) | 262,525 | (740,018) | ||||||||||||||||||||||||||||||||||||||||||
Net amounts after netting adjustments and cash collateral | Net amounts after netting adjustments and cash collateral | Net amounts after netting adjustments and cash collateral | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | 5,804 | 18,278 | 0 | 21,493 | Uncleared | 319 | 18,238 | — | 21,493 | ||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | 277,229 | 0 | 282,060 | 0 | Cleared | 230,544 | — | 282,060 | — | ||||||||||||||||||||||||||||||||||||||||||
Total net amounts after netting adjustments and cash collateral | Total net amounts after netting adjustments and cash collateral | 283,033 | 18,278 | 282,060 | 21,493 | Total net amounts after netting adjustments and cash collateral | 230,863 | 18,238 | 282,060 | 21,493 | ||||||||||||||||||||||||||||||||||||||||||
Derivative instruments not meeting netting requirements (1) | Derivative instruments not meeting netting requirements (1) | 2,253 | 1,255 | 1,022 | 1,486 | Derivative instruments not meeting netting requirements (1) | 417 | 304 | 1,022 | 1,486 | ||||||||||||||||||||||||||||||||||||||||||
Total derivatives, at estimated fair value | Total derivatives, at estimated fair value | $ | 285,286 | $ | 19,533 | $ | 283,082 | $ | 22,979 | Total derivatives, at estimated fair value | $ | 231,280 | $ | 18,542 | $ | 283,082 | $ | 22,979 |
Three Months Ended September 30, 2021 | Advances | Investments | CO Bonds | Total | ||||||||||||||||||||||
Changes in estimated fair value: | ||||||||||||||||||||||||||
Hedged items (attributable to risk being hedged) | $ | (66,161) | $ | (30,326) | $ | 37,891 | $ | (58,596) | ||||||||||||||||||
Derivatives | 58,792 | 32,609 | (35,558) | 55,843 | ||||||||||||||||||||||
Net changes in estimated fair value before price alignment interest | (7,369) | 2,283 | 2,333 | (2,753) | ||||||||||||||||||||||
Price alignment interest (1) | 22 | 10 | (2) | 30 | ||||||||||||||||||||||
Net interest settlements on derivatives (2) | (45,957) | (25,658) | 27,351 | (44,264) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on active hedging relationships | — | 1,114 | 44 | 1,158 | ||||||||||||||||||||||
Net gains (losses) on qualifying fair-value hedging relationships | (53,304) | (22,251) | 29,726 | (45,829) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (58) | (11,472) | — | (11,530) | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities in net interest income (3) | $ | (53,362) | $ | (33,723) | $ | 29,726 | $ | (57,359) | ||||||||||||||||||
Three Months Ended September 30, 2020 | ||||||||||||||||||||||||||
Changes in estimated fair value: | ||||||||||||||||||||||||||
Hedged items (attributable to risk being hedged) | $ | (104,009) | $ | (50,989) | $ | 13,439 | $ | (141,559) | ||||||||||||||||||
Derivatives | 99,757 | 53,325 | (13,934) | 139,148 | ||||||||||||||||||||||
Net changes in estimated fair value before price alignment interest | (4,252) | 2,336 | (495) | (2,411) | ||||||||||||||||||||||
Price alignment interest (1) | 92 | 73 | (10) | 155 | ||||||||||||||||||||||
Net interest settlements on derivatives (2) | (54,836) | (39,134) | 15,069 | (78,901) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on active hedging relationships | 1 | 1,263 | 751 | 2,015 | ||||||||||||||||||||||
Net gains (losses) on qualifying fair-value hedging relationships | (58,995) | (35,462) | 15,315 | (79,142) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | — | — | — | — | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities in net interest income (3) | $ | (58,995) | $ | (35,462) | $ | 15,315 | $ | (79,142) |
Nine Months Ended September 30, 2021 | Advances | Investments | CO Bonds | Total | ||||||||||||||||||||||
Changes in estimated fair value: | ||||||||||||||||||||||||||
Hedged items (attributable to risk being hedged) | $ | (299,081) | $ | (256,325) | $ | 121,951 | $ | (433,455) | ||||||||||||||||||
Derivatives | 293,540 | 266,802 | (116,664) | 443,678 | ||||||||||||||||||||||
Net changes in estimated fair value before price alignment interest | (5,541) | 10,477 | 5,287 | 10,223 | ||||||||||||||||||||||
Price alignment interest (1) | 58 | 27 | (6) | 79 | ||||||||||||||||||||||
Net interest settlements on derivatives (2) | (137,849) | (86,438) | 61,588 | (162,699) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on active hedging relationships | — | 5,274 | 206 | 5,480 | ||||||||||||||||||||||
Net gains (losses) on qualifying fair-value hedging relationships | (143,332) | (70,660) | 67,075 | (146,917) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (170) | (24,264) | — | (24,434) | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities in net interest income (3) | $ | (143,502) | $ | (94,924) | $ | 67,075 | $ | (171,351) |
Three Months Ended March 31, 2021 | Advances | Investments | CO Bonds | Total | ||||||||||||||||||||||
Changes in estimated fair value: | ||||||||||||||||||||||||||
Hedged items (attributable to risk being hedged) | $ | (243,469) | $ | (311,803) | $ | 123,272 | $ | (432,000) | ||||||||||||||||||
Derivatives | 246,853 | 321,926 | (118,190) | 450,589 | ||||||||||||||||||||||
Net changes in estimated fair value before price alignment interest | 3,384 | 10,123 | 5,082 | 18,589 | ||||||||||||||||||||||
Price alignment interest (1) | 29 | 15 | (3) | 41 | ||||||||||||||||||||||
Net interest settlements on derivatives (2) | (45,719) | (32,453) | 12,226 | (65,946) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on active hedging relationships | 0 | 678 | 143 | 821 | ||||||||||||||||||||||
Net gains (losses) on qualifying fair-value hedging relationships | (42,306) | (21,637) | 17,448 | (46,495) | ||||||||||||||||||||||
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | (56) | (5,389) | 0 | (5,445) | ||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities in net interest income (3) | $ | (42,362) | $ | (27,026) | $ | 17,448 | $ | (51,940) |
Three Months Ended March 31, 2020 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2020 | Nine Months Ended September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||
Changes in estimated fair value: | Changes in estimated fair value: | Changes in estimated fair value: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Hedged items (attributable to risk being hedged) | Hedged items (attributable to risk being hedged) | $ | 628,294 | $ | 599,478 | $ | (64,789) | $ | 1,162,983 | Hedged items (attributable to risk being hedged) | $ | 530,727 | $ | 589,234 | $ | (26,013) | $ | 1,093,948 | ||||||||||||||||||||||||||||||||||
Derivatives | Derivatives | (609,739) | (610,488) | 53,647 | (1,166,580) | Derivatives | (533,327) | (614,242) | 28,821 | (1,118,748) | ||||||||||||||||||||||||||||||||||||||||||
Net changes in estimated fair value before price alignment interest | Net changes in estimated fair value before price alignment interest | 18,555 | (11,010) | (11,142) | (3,597) | Net changes in estimated fair value before price alignment interest | (2,600) | (25,008) | 2,808 | (24,800) | ||||||||||||||||||||||||||||||||||||||||||
Price alignment interest (1) | Price alignment interest (1) | 584 | 357 | (144) | 797 | Price alignment interest (1) | 732 | 474 | (159) | 1,047 | ||||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives (2) | Net interest settlements on derivatives (2) | (30) | (5,684) | 9,997 | 4,283 | Net interest settlements on derivatives (2) | (83,275) | (72,815) | 43,844 | (112,246) | ||||||||||||||||||||||||||||||||||||||||||
Amortization/accretion of gains (losses) on active hedging relationships | Amortization/accretion of gains (losses) on active hedging relationships | (7) | 302 | 550 | 845 | Amortization/accretion of gains (losses) on active hedging relationships | (13) | 1,902 | 2,084 | 3,973 | ||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on qualifying fair-value hedging relationships | Net gains (losses) on qualifying fair-value hedging relationships | 19,102 | (16,035) | (739) | 2,328 | Net gains (losses) on qualifying fair-value hedging relationships | (85,156) | (95,447) | 48,577 | (132,026) | ||||||||||||||||||||||||||||||||||||||||||
Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | 0 | 0 | (36) | (36) | Amortization/accretion of gains (losses) on discontinued fair-value hedging relationships | — | — | (36) | (36) | ||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives and hedging activities in net interest income (3) | Net gains (losses) on derivatives and hedging activities in net interest income (3) | $ | 19,102 | $ | (16,035) | $ | (775) | $ | 2,292 | Net gains (losses) on derivatives and hedging activities in net interest income (3) | $ | (85,156) | $ | (95,447) | $ | 48,541 | $ | (132,062) |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Type of Hedge | Type of Hedge | 2021 | 2020 | Type of Hedge | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Net gain (loss) on derivatives not designated as hedging instruments: | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives not designated as hedging instruments: | Net gains (losses) on derivatives not designated as hedging instruments: | |||||||||||||||||||||||||||||||||||||||||||||||||||
Economic hedges: | Economic hedges: | Economic hedges: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps | Interest-rate swaps | $ | 4,111 | $ | (40,419) | Interest-rate swaps | $ | 175 | $ | 11,994 | $ | 8,369 | $ | (8,287) | ||||||||||||||||||||||||||||||||||||||
Swaptions | Swaptions | 0 | (307) | Swaptions | — | — | — | (323) | ||||||||||||||||||||||||||||||||||||||||||||
Interest-rate caps/floors | Interest-rate caps/floors | 132 | 492 | Interest-rate caps/floors | (72) | (228) | (468) | 236 | ||||||||||||||||||||||||||||||||||||||||||||
Interest-rate forwards | Interest-rate forwards | 4,156 | (7,379) | Interest-rate forwards | (459) | (917) | 2,353 | (11,840) | ||||||||||||||||||||||||||||||||||||||||||||
Net interest settlements | Net interest settlements | (4,953) | (8,385) | Net interest settlements | (1,333) | (11,579) | (9,571) | (40,491) | ||||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | (4,284) | 5,048 | MDCs | 328 | 433 | (2,696) | 8,581 | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives in other income | Net gains (losses) on derivatives in other income | $ | (838) | $ | (50,950) | Net gains (losses) on derivatives in other income | $ | (1,361) | $ | (297) | $ | (2,013) | $ | (52,124) |
March 31, 2021 | Advances | Investments | CO Bonds | |||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | Advances | Investments | CO Bonds | ||||||||||||||||||||||||||||||||||||||||||||||||
Amortized cost of hedged items (1) | Amortized cost of hedged items (1) | $ | 16,606,246 | $ | 9,264,901 | $ | 20,338,173 | Amortized cost of hedged items (1) | $ | 16,446,754 | $ | 9,141,491 | $ | 19,794,934 | ||||||||||||||||||||||||||||||||||||||
Cumulative basis adjustments included in amortized cost: | Cumulative basis adjustments included in amortized cost: | Cumulative basis adjustments included in amortized cost: | ||||||||||||||||||||||||||||||||||||||||||||||||||
For active fair-value hedging relationships (2) | For active fair-value hedging relationships (2) | $ | 383,290 | $ | (8,253) | $ | (101,668) | For active fair-value hedging relationships (2) | $ | 324,690 | $ | (71,459) | $ | (100,409) | ||||||||||||||||||||||||||||||||||||||
For discontinued fair-value hedging relationships | For discontinued fair-value hedging relationships | 744 | 236,812 | 0 | For discontinued fair-value hedging relationships | 630 | 359,318 | — | ||||||||||||||||||||||||||||||||||||||||||||
Total cumulative fair-value hedging basis adjustments on hedged items | Total cumulative fair-value hedging basis adjustments on hedged items | $ | 384,034 | $ | 228,559 | $ | (101,668) | Total cumulative fair-value hedging basis adjustments on hedged items | $ | 325,320 | $ | 287,859 | $ | (100,409) |
December 31, 2020 | December 31, 2020 | December 31, 2020 | ||||||||||||||||||||||||||||||||||||||
Amortized cost of hedged items (1) | Amortized cost of hedged items (1) | $ | 17,219,312 | $ | 9,882,225 | $ | 17,406,679 | Amortized cost of hedged items (1) | $ | 17,219,312 | $ | 9,882,225 | $ | 17,406,679 | ||||||||||||||||||||||||||
Cumulative basis adjustments included in amortized cost: | Cumulative basis adjustments included in amortized cost: | Cumulative basis adjustments included in amortized cost: | ||||||||||||||||||||||||||||||||||||||
For active fair-value hedging relationships (2) | For active fair-value hedging relationships (2) | $ | 645,146 | $ | 501,865 | $ | 21,605 | For active fair-value hedging relationships (2) | $ | 645,146 | $ | 501,865 | $ | 21,605 | ||||||||||||||||||||||||||
For discontinued fair-value hedging relationships | For discontinued fair-value hedging relationships | 799 | 125,754 | 0 | For discontinued fair-value hedging relationships | 799 | 125,754 | — | ||||||||||||||||||||||||||||||||
Total cumulative fair-value hedging basis adjustments on hedged items | Total cumulative fair-value hedging basis adjustments on hedged items | $ | 645,945 | $ | 627,619 | $ | 21,605 | Total cumulative fair-value hedging basis adjustments on hedged items | $ | 645,945 | $ | 627,619 | $ | 21,605 |
Discount Notes | Discount Notes | March 31, 2021 | December 31, 2020 | Discount Notes | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Book value | Book value | $ | 17,573,424 | $ | 16,617,079 | Book value | $ | 12,713,890 | $ | 16,617,079 | ||||||||||||||||||
Par value | Par value | $ | 17,575,089 | $ | 16,620,486 | Par value | 12,715,399 | 16,620,486 | ||||||||||||||||||||
Weighted average effective interest rate | Weighted average effective interest rate | 0.05 | % | 0.12 | % | Weighted average effective interest rate | 0.05 | % | 0.12 | % |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Year of Contractual Maturity | Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | Year of Contractual Maturity | Amount | WAIR% | Amount | WAIR% | ||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 24,709,760 | 0.25 | $ | 31,126,310 | 0.29 | Due in 1 year or less | $ | 19,458,850 | 0.27 | $ | 31,126,310 | 0.29 | ||||||||||||||||||||||||||||||||||||||
Due after 1 year through 2 years | Due after 1 year through 2 years | 5,287,285 | 0.80 | 4,109,700 | 0.70 | Due after 1 year through 2 years | 4,130,410 | 0.96 | 4,109,700 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||
Due after 2 years through 3 years | Due after 2 years through 3 years | 1,067,625 | 1.43 | 1,753,010 | 1.34 | Due after 2 years through 3 years | 3,001,900 | 0.68 | 1,753,010 | 1.34 | ||||||||||||||||||||||||||||||||||||||||||
Due after 3 years through 4 years | Due after 3 years through 4 years | 1,228,750 | 1.16 | 767,250 | 1.93 | Due after 3 years through 4 years | 3,730,900 | 0.73 | 767,250 | 1.93 | ||||||||||||||||||||||||||||||||||||||||||
Due after 4 years through 5 years | Due after 4 years through 5 years | 3,599,800 | 0.83 | 837,300 | 1.13 | Due after 4 years through 5 years | 5,420,250 | 1.06 | 837,300 | 1.13 | ||||||||||||||||||||||||||||||||||||||||||
Thereafter | Thereafter | 6,916,000 | 2.33 | 4,652,000 | 2.91 | Thereafter | 7,514,000 | 2.13 | 4,652,000 | 2.91 | ||||||||||||||||||||||||||||||||||||||||||
Total CO bonds, par value | Total CO bonds, par value | 42,809,220 | 0.76 | 43,245,570 | 0.70 | Total CO bonds, par value | 43,256,310 | 0.83 | 43,245,570 | 0.70 | ||||||||||||||||||||||||||||||||||||||||||
Unamortized premiums | Unamortized premiums | 105,489 | 87,133 | Unamortized premiums | 87,809 | 87,133 | ||||||||||||||||||||||||||||||||||||||||||||||
Unamortized discounts | Unamortized discounts | (12,258) | (12,703) | Unamortized discounts | (11,725) | (12,703) | ||||||||||||||||||||||||||||||||||||||||||||||
Unamortized concessions | Unamortized concessions | (7,231) | (8,659) | Unamortized concessions | (6,599) | (8,659) | ||||||||||||||||||||||||||||||||||||||||||||||
Fair-value hedging basis adjustments, net | Fair-value hedging basis adjustments, net | (101,668) | 21,605 | Fair-value hedging basis adjustments, net | (100,409) | 21,605 | ||||||||||||||||||||||||||||||||||||||||||||||
Total CO bonds | Total CO bonds | $ | 42,793,552 | $ | 43,332,946 | Total CO bonds | $ | 43,225,386 | $ | 43,332,946 |
Redemption Feature | Redemption Feature | March 31, 2021 | December 31, 2020 | Redemption Feature | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Non-callable / non-putable | Non-callable / non-putable | $ | 30,730,720 | $ | 36,809,070 | Non-callable / non-putable | $ | 26,902,810 | $ | 36,809,070 | ||||||||||||||||||
Callable | Callable | 12,078,500 | 6,436,500 | Callable | 16,353,500 | 6,436,500 | ||||||||||||||||||||||
Total CO bonds, par value | Total CO bonds, par value | $ | 42,809,220 | $ | 43,245,570 | Total CO bonds, par value | $ | 43,256,310 | $ | 43,245,570 |
Year of Contractual Maturity or Next Call Date | March 31, 2021 | December 31, 2020 | ||||||||||||
Due in 1 year or less | $ | 33,158,260 | $ | 34,272,810 | ||||||||||
Due after 1 year through 2 years | 5,472,285 | 4,159,700 | ||||||||||||
Due after 2 years through 3 years | 1,037,625 | 1,608,010 | ||||||||||||
Due after 3 years through 4 years | 430,250 | 443,750 | ||||||||||||
Due after 4 years through 5 years | 559,800 | 563,300 | ||||||||||||
Thereafter | 2,151,000 | 2,198,000 | ||||||||||||
Total CO bonds, par value | $ | 42,809,220 | $ | 43,245,570 |
Year of Contractual Maturity or Next Call Date | September 30, 2021 | December 31, 2020 | ||||||||||||
Due in 1 year or less | $ | 35,255,350 | $ | 34,272,810 | ||||||||||
Due after 1 year through 2 years | 4,482,410 | 4,159,700 | ||||||||||||
Due after 2 years through 3 years | 652,900 | 1,608,010 | ||||||||||||
Due after 3 years through 4 years | 608,900 | 443,750 | ||||||||||||
Due after 4 years through 5 years | 437,750 | 563,300 | ||||||||||||
Thereafter | 1,819,000 | 2,198,000 | ||||||||||||
Total CO bonds, par value | $ | 43,256,310 | $ | 43,245,570 |
Interest-Rate Payment Type | Interest-Rate Payment Type | March 31, 2021 | December 31, 2020 | Interest-Rate Payment Type | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Fixed-rate | Fixed-rate | $ | 27,957,220 | $ | 24,750,570 | Fixed-rate | $ | 33,086,810 | $ | 24,750,570 | ||||||||||||||||||
Step-up | Step-up | 15,000 | 15,000 | Step-up | 628,500 | 15,000 | ||||||||||||||||||||||
Simple variable-rate | Simple variable-rate | 14,837,000 | 18,480,000 | Simple variable-rate | 9,541,000 | 18,480,000 | ||||||||||||||||||||||
Total CO bonds, par value | Total CO bonds, par value | $ | 42,809,220 | $ | 43,245,570 | Total CO bonds, par value | $ | 43,256,310 | $ | 43,245,570 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
AHP Activity | AHP Activity | 2021 | 2020 | AHP Activity | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Liability at beginning of period | Liability at beginning of period | $ | 34,402 | $ | 38,084 | Liability at beginning of period | $ | 30,765 | $ | 36,661 | $ | 34,402 | $ | 38,084 | ||||||||||||||||||||||||||||||||||||||
Assessment (expense) | Assessment (expense) | 3,443 | 3,613 | Assessment (expense) | 2,250 | 1,886 | 7,702 | 7,273 | ||||||||||||||||||||||||||||||||||||||||||||
Subsidy usage, net (1) | Subsidy usage, net (1) | (2,155) | (2,274) | Subsidy usage, net (1) | (2,549) | (3,966) | (11,638) | (10,776) | ||||||||||||||||||||||||||||||||||||||||||||
Liability at end of period | Liability at end of period | $ | 35,690 | $ | 39,423 | Liability at end of period | $ | 30,466 | $ | 34,581 | $ | 30,466 | $ | 34,581 |
Capital stock outstanding | Capital stock outstanding | March 31, 2021 | December 31, 2020 | Capital stock outstanding | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Class B-1 | Class B-1 | $ | 851,090 | $ | 797,196 | Class B-1 | $ | 968,869 | $ | 797,196 | ||||||||||||||||||
Class B-2 | Class B-2 | 1,363,102 | 1,410,374 | Class B-2 | 1,267,623 | 1,410,374 | ||||||||||||||||||||||
Total Class B | Total Class B | $ | 2,214,192 | $ | 2,207,570 | Total Class B | $ | 2,236,492 | $ | 2,207,570 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS Activity | MRCS Activity | 2021 | 2020 | MRCS Activity | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Liability at beginning of period | Liability at beginning of period | $ | 250,768 | $ | 322,902 | Liability at beginning of period | $ | 232,893 | $ | 299,704 | $ | 250,768 | $ | 322,902 | ||||||||||||||||||||||||||||||||||||||
Reclassification from capital stock | Reclassification from capital stock | 0 | 232 | Reclassification from capital stock | 4,449 | 496 | 4,730 | 13,843 | ||||||||||||||||||||||||||||||||||||||||||||
Redemptions/repurchases | Redemptions/repurchases | (18,073) | (9) | Redemptions/repurchases | (186,900) | (37,750) | (205,056) | (74,331) | ||||||||||||||||||||||||||||||||||||||||||||
Accrued distributions | Accrued distributions | — | 4 | — | 40 | |||||||||||||||||||||||||||||||||||||||||||||||
Liability at end of period | Liability at end of period | $ | 232,695 | $ | 323,125 | Liability at end of period | $ | 50,442 | $ | 262,454 | $ | 50,442 | $ | 262,454 |
MRCS Contractual Year of Redemption | MRCS Contractual Year of Redemption | March 31, 2021 | December 31, 2020 | MRCS Contractual Year of Redemption | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Year 1 (1)(2) | Year 1 (1)(2) | $ | 22,223 | $ | 9,274 | Year 1 (1)(2) | $ | 12,431 | $ | 9,274 | ||||||||||||||||||
Year 2 | Year 2 | 0 | 0 | Year 2 | 471 | — | ||||||||||||||||||||||
Year 3 | Year 3 | 28,833 | 26,723 | Year 3 | 9,873 | 26,723 | ||||||||||||||||||||||
Year 4 | Year 4 | 149,080 | 150,957 | Year 4 | 4,270 | 150,957 | ||||||||||||||||||||||
Year 5 | Year 5 | 32,559 | 32,791 | Year 5 | 23,397 | 32,791 | ||||||||||||||||||||||
Thereafter (3) | Thereafter (3) | 0 | 31,023 | Thereafter (3) | — | 31,023 | ||||||||||||||||||||||
Total MRCS | Total MRCS | $ | 232,695 | $ | 250,768 | Total MRCS | $ | 50,442 | $ | 250,768 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS Distributions | MRCS Distributions | 2021 | 2020 | MRCS Distributions | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Recorded as interest expense | Recorded as interest expense | $ | 1,104 | $ | 2,967 | Recorded as interest expense | $ | 312 | $ | 2,037 | $ | 2,345 | $ | 7,777 | ||||||||||||||||||||||||||||||||||||||
Recorded as distributions from retained earnings | Recorded as distributions from retained earnings | 83 | 0 | Recorded as distributions from retained earnings | 13 | 4 | 97 | 40 | ||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 1,187 | $ | 2,967 | Total | $ | 325 | $ | 2,041 | $ | 2,442 | $ | 7,817 |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Regulatory Capital Requirements | Regulatory Capital Requirements | Required | Actual | Required | Actual | Regulatory Capital Requirements | Required | Actual | Required | Actual | ||||||||||||||||||||||||||||||||||||||||||
Risk-based capital | Risk-based capital | $ | 802,640 | $ | 3,600,144 | $ | 630,661 | $ | 3,595,668 | Risk-based capital | $ | 973,066 | $ | 3,450,210 | $ | 630,661 | $ | 3,595,668 | ||||||||||||||||||||||||||||||||||
Total regulatory capital | Total regulatory capital | $ | 2,667,187 | $ | 3,600,144 | $ | 2,636,990 | $ | 3,595,668 | Total regulatory capital | $ | 2,478,416 | $ | 3,450,210 | $ | 2,636,990 | $ | 3,595,668 | ||||||||||||||||||||||||||||||||||
Total regulatory capital-to-assets ratio | Total regulatory capital-to-assets ratio | 4.00% | 5.40% | 4.00% | 5.45% | Total regulatory capital-to-assets ratio | 4.00% | 5.57% | 4.00% | 5.45% | ||||||||||||||||||||||||||||||||||||||||||
Leverage capital | Leverage capital | $ | 3,333,984 | $ | 5,400,216 | $ | 3,296,238 | $ | 5,393,502 | Leverage capital | $ | 3,098,020 | $ | 5,175,315 | $ | 3,296,238 | $ | 5,393,502 | ||||||||||||||||||||||||||||||||||
Leverage ratio | Leverage ratio | 5.00% | 8.10% | 5.00% | 8.18% | Leverage ratio | 5.00% | 8.36% | 5.00% | 8.18% |
AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Pension Benefits | Total AOCI | |||||||||||||||||
Balance, December 31, 2020 | $ | 136,921 | $ | (31,519) | $ | 105,402 | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | 73,529 | 0 | 73,529 | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | 0 | 996 | 996 | |||||||||||||||||
Total other comprehensive income (loss) | 73,529 | 996 | 74,525 | |||||||||||||||||
Balance, March 31, 2021 | $ | 210,450 | $ | (30,523) | $ | 179,927 | ||||||||||||||
Balance, December 31, 2019 | $ | 89,813 | $ | (22,437) | $ | 67,376 | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | (148,831) | 0 | (148,831) | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | 0 | 707 | 707 | |||||||||||||||||
Total other comprehensive income (loss) | (148,831) | 707 | (148,124) | |||||||||||||||||
Balance, March 31, 2020 | $ | (59,018) | $ | (21,730) | $ | (80,748) |
AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Pension Benefits | Total AOCI | |||||||||||||||||
Balance, June 30, 2021 | $ | 214,952 | $ | (21,528) | $ | 193,424 | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | (36,864) | — | (36,864) | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | — | (5,093) | (5,093) | |||||||||||||||||
Total other comprehensive income (loss) | (36,864) | (5,093) | (41,957) | |||||||||||||||||
Balance, September 30, 2021 | $ | 178,088 | $ | (26,621) | $ | 151,467 | ||||||||||||||
Balance, June 30, 2020 | $ | 20,002 | $ | (24,111) | $ | (4,109) | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | 77,290 | — | 77,290 | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | — | 867 | 867 | |||||||||||||||||
Total other comprehensive income | 77,290 | 867 | 78,157 | |||||||||||||||||
Balance, September 30, 2020 | $ | 97,292 | $ | (23,244) | $ | 74,048 |
AOCI Rollforward | Unrealized Gains (Losses) on AFS Securities | Pension Benefits | Total AOCI | |||||||||||||||||
Balance, December 31, 2020 | $ | 136,921 | $ | (31,519) | $ | 105,402 | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | 41,167 | — | 41,167 | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | — | 4,898 | 4,898 | |||||||||||||||||
Total other comprehensive income | 41,167 | 4,898 | 46,065 | |||||||||||||||||
Balance, September 30, 2021 | $ | 178,088 | $ | (26,621) | $ | 151,467 | ||||||||||||||
Balance, December 31, 2019 | $ | 89,813 | $ | (22,437) | $ | 67,376 | ||||||||||||||
OCI before reclassifications: | ||||||||||||||||||||
Net change in unrealized gains (losses) | 7,479 | — | 7,479 | |||||||||||||||||
Reclassifications from OCI to net income: | ||||||||||||||||||||
Pension benefits, net | — | (807) | (807) | |||||||||||||||||
Total other comprehensive income (loss) | 7,479 | (807) | 6,672 | |||||||||||||||||
Balance, September 30, 2020 | $ | 97,292 | $ | (23,244) | $ | 74,048 |
Three Months Ended March 31, 2021 | Three Months Ended March 31, 2020 | Three Months Ended September 30, 2021 | Three Months Ended September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 74,185 | $ | 336 | $ | 74,521 | $ | 50,075 | $ | 13,076 | $ | 63,151 | Net interest income | $ | 49,655 | $ | 8,306 | $ | 57,961 | $ | 65,392 | $ | (4,673) | $ | 60,719 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | 0 | 88 | 88 | 0 | (3) | (3) | Provision for (reversal of) credit losses | — | (16) | (16) | — | 124 | 124 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (12,877) | (99) | (12,976) | (2,111) | (2,268) | (4,379) | Other income (loss) | (8,779) | (88) | (8,867) | (16,480) | (397) | (16,877) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 24,118 | 4,012 | 28,130 | 21,764 | 3,852 | 25,616 | Other expenses | 23,016 | 3,902 | 26,918 | 22,992 | 3,901 | 26,893 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before assessments | Income (loss) before assessments | 37,190 | (3,863) | 33,327 | 26,200 | 6,959 | 33,159 | Income (loss) before assessments | 17,860 | 4,332 | 22,192 | 25,920 | (9,095) | 16,825 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments (credits) | Affordable Housing Program assessments (credits) | 3,829 | (386) | 3,443 | 2,917 | 696 | 3,613 | Affordable Housing Program assessments (credits) | 1,816 | 434 | 2,250 | 2,796 | (910) | 1,886 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | $ | 33,361 | $ | (3,477) | $ | 29,884 | $ | 23,283 | $ | 6,263 | $ | 29,546 | Net income (loss) | $ | 16,044 | $ | 3,898 | $ | 19,942 | $ | 23,124 | $ | (8,185) | $ | 14,939 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Nine Months Ended September 30, 2021 | Nine Months Ended September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Mortgage Loans | Total | Traditional | Mortgage Loans | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 177,792 | $ | 12,006 | $ | 189,798 | $ | 177,645 | $ | 13,688 | $ | 191,333 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | 28 | 28 | — | 172 | 172 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (31,388) | (223) | (31,611) | (43,771) | (3,032) | (46,803) | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 71,356 | 12,130 | 83,486 | 67,601 | 11,800 | 79,401 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before assessments | Income (loss) before assessments | 75,048 | (375) | 74,673 | 66,273 | (1,316) | 64,957 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Affordable Housing Program assessments (credits) | Affordable Housing Program assessments (credits) | 7,739 | (37) | 7,702 | 7,405 | (132) | 7,273 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | $ | 67,309 | $ | (338) | $ | 66,971 | $ | 58,868 | $ | (1,184) | $ | 57,684 |
By Date | By Date | Traditional | Mortgage Loans | Total | By Date | Traditional | Mortgage Loans | Total | ||||||||||||||||||||||||||||||||
March 31, 2021 | $ | 58,622,720 | $ | 8,056,965 | $ | 66,679,685 | ||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | $ | 54,389,932 | $ | 7,570,462 | $ | 61,960,394 | |||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | 57,409,111 | 8,515,645 | 65,924,756 | December 31, 2020 | 57,409,111 | 8,515,645 | 65,924,756 |
March 31, 2021 | ||||||||||||||||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 1,443,176 | $ | 1,443,176 | $ | 1,443,176 | $ | 0 | $ | 0 | $ | — | ||||||||||||||||||||||||||
Interest-bearing deposits | 100,041 | 100,041 | 100,000 | 41 | 0 | — | ||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 4,500,000 | 4,500,000 | 0 | 4,500,000 | 0 | — | ||||||||||||||||||||||||||||||||
Federal funds sold | 2,830,000 | 2,830,000 | 0 | 2,830,000 | 0 | — | ||||||||||||||||||||||||||||||||
Trading securities | 5,531,250 | 5,531,250 | 0 | 5,531,250 | 0 | — | ||||||||||||||||||||||||||||||||
AFS securities | 9,475,351 | 9,475,351 | 0 | 9,475,351 | 0 | — | ||||||||||||||||||||||||||||||||
HTM securities | 4,474,045 | 4,496,446 | 0 | 4,496,446 | 0 | — | ||||||||||||||||||||||||||||||||
Advances | 29,783,640 | 29,757,639 | 0 | 29,757,639 | 0 | — | ||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 8,056,965 | 8,339,938 | 0 | 8,288,499 | 51,439 | — | ||||||||||||||||||||||||||||||||
Accrued interest receivable | 88,460 | 88,460 | 0 | 88,460 | 0 | — | ||||||||||||||||||||||||||||||||
Derivative assets, net | 285,286 | 285,286 | 0 | 125,267 | 0 | 160,019 | ||||||||||||||||||||||||||||||||
Grantor trust assets (2) | 57,245 | 57,245 | 57,245 | 0 | 0 | — | ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||
Deposits | 1,848,361 | 1,848,361 | 0 | 1,848,361 | 0 | — | ||||||||||||||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||||||||||||||||
Discount notes | 17,573,424 | 17,574,194 | 0 | 17,574,194 | 0 | — | ||||||||||||||||||||||||||||||||
Bonds | 42,793,552 | 43,149,682 | 0 | 43,149,682 | 0 | — | ||||||||||||||||||||||||||||||||
Accrued interest payable | 60,030 | 60,030 | 0 | 60,030 | 0 | — | ||||||||||||||||||||||||||||||||
Derivative liabilities, net | 19,533 | 19,533 | 0 | 480,312 | 0 | (460,779) | ||||||||||||||||||||||||||||||||
MRCS | 232,695 | 232,695 | 232,695 | 0 | 0 | — |
September 30, 2021 | ||||||||||||||||||||||||||||||||||||||
Estimated Fair Value | ||||||||||||||||||||||||||||||||||||||
Carrying | Netting | |||||||||||||||||||||||||||||||||||||
Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | $ | 1,953,744 | $ | 1,953,744 | $ | 1,953,744 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||
Interest-bearing deposits | 100,041 | 100,041 | 100,000 | 41 | — | — | ||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | 4,200,000 | 4,200,000 | — | 4,200,000 | — | — | ||||||||||||||||||||||||||||||||
Federal funds sold | 2,075,000 | 2,075,000 | — | 2,075,000 | — | — | ||||||||||||||||||||||||||||||||
Trading securities | 4,858,818 | 4,858,818 | — | 4,858,818 | — | — | ||||||||||||||||||||||||||||||||
AFS securities | 9,319,579 | 9,319,579 | — | 9,319,579 | — | — | ||||||||||||||||||||||||||||||||
HTM securities | 4,496,595 | 4,510,359 | — | 4,510,359 | — | — | ||||||||||||||||||||||||||||||||
Advances | 26,958,039 | 26,929,765 | — | 26,929,765 | — | — | ||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | 7,570,462 | 7,839,709 | — | 7,809,902 | 29,807 | — | ||||||||||||||||||||||||||||||||
Accrued interest receivable | 75,813 | 75,813 | — | 75,813 | — | — | ||||||||||||||||||||||||||||||||
Derivative assets, net | 231,280 | 231,280 | — | 83,678 | — | 147,602 | ||||||||||||||||||||||||||||||||
Grantor trust assets (2) | 60,129 | 60,129 | 60,129 | — | — | — | ||||||||||||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||||||||
Deposits | 1,736,009 | 1,736,009 | — | 1,736,009 | — | — | ||||||||||||||||||||||||||||||||
Consolidated obligations: | ||||||||||||||||||||||||||||||||||||||
Discount notes | 12,713,890 | 12,713,966 | — | 12,713,966 | — | — | ||||||||||||||||||||||||||||||||
Bonds | 43,225,386 | 43,615,928 | — | 43,615,928 | — | — | ||||||||||||||||||||||||||||||||
Accrued interest payable | 64,042 | 64,042 | — | 64,042 | — | — | ||||||||||||||||||||||||||||||||
Derivative liabilities, net | 18,542 | 18,542 | — | 380,881 | — | (362,339) | ||||||||||||||||||||||||||||||||
MRCS | 50,442 | 50,442 | 50,442 | — | — | — |
December 31, 2020 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Estimated Fair Value | Estimated Fair Value | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Carrying | Netting | Carrying | Netting | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Financial Instruments | Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | Financial Instruments | Value | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and due from banks | Cash and due from banks | $ | 1,811,544 | $ | 1,811,544 | $ | 1,811,544 | $ | 0 | $ | 0 | $ | — | Cash and due from banks | $ | 1,811,544 | $ | 1,811,544 | $ | 1,811,544 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | 100,026 | 100,026 | 100,000 | 26 | 0 | — | Interest-bearing deposits | 100,026 | 100,026 | 100,000 | 26 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 2,500,000 | 2,500,000 | 0 | 2,500,000 | 0 | — | Securities purchased under agreements to resell | 2,500,000 | 2,500,000 | — | 2,500,000 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Federal funds sold | Federal funds sold | 1,215,000 | 1,215,000 | 0 | 1,215,000 | 0 | — | Federal funds sold | 1,215,000 | 1,215,000 | — | 1,215,000 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities | Trading securities | 5,094,703 | 5,094,703 | 0 | 5,094,703 | 0 | — | Trading securities | 5,094,703 | 5,094,703 | — | 5,094,703 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AFS securities | AFS securities | 10,144,899 | 10,144,899 | 0 | 10,144,899 | 0 | — | AFS securities | 10,144,899 | 10,144,899 | — | 10,144,899 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
HTM securities | HTM securities | 4,701,302 | 4,723,796 | 0 | 4,723,796 | 0 | — | HTM securities | 4,701,302 | 4,723,796 | — | 4,723,796 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | 31,347,486 | 31,290,664 | 0 | 31,290,664 | 0 | — | Advances | 31,347,486 | 31,290,664 | — | 31,290,664 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | Mortgage loans held for portfolio, net | 8,515,645 | 8,922,185 | 0 | 8,860,853 | 61,332 | — | Mortgage loans held for portfolio, net | 8,515,645 | 8,922,185 | — | 8,860,853 | 61,332 | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued interest receivable | Accrued interest receivable | 103,076 | 103,076 | 0 | 103,076 | 0 | — | Accrued interest receivable | 103,076 | 103,076 | — | 103,076 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets, net | Derivative assets, net | 283,082 | 283,082 | 0 | 20,557 | 0 | 262,525 | Derivative assets, net | 283,082 | 283,082 | — | 20,557 | — | 262,525 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Grantor trust assets (2) | Grantor trust assets (2) | 51,032 | 51,032 | 51,032 | 0 | 0 | — | Grantor trust assets (2) | 51,032 | 51,032 | 51,032 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Deposits | Deposits | 1,375,206 | 1,375,206 | 0 | 1,375,206 | 0 | — | Deposits | 1,375,206 | 1,375,206 | — | 1,375,206 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations: | Consolidated obligations: | Consolidated obligations: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | Discount notes | 16,617,079 | 16,617,976 | 0 | 16,617,976 | 0 | — | Discount notes | 16,617,079 | 16,617,976 | — | 16,617,976 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Bonds | Bonds | 43,332,946 | 43,952,206 | 0 | 43,952,206 | 0 | — | Bonds | 43,332,946 | 43,952,206 | — | 43,952,206 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Accrued interest payable | Accrued interest payable | 63,581 | 63,581 | 0 | 63,581 | 0 | — | Accrued interest payable | 63,581 | 63,581 | — | 63,581 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities, net | Derivative liabilities, net | 22,979 | 22,979 | 0 | 762,997 | 0 | (740,018) | Derivative liabilities, net | 22,979 | 22,979 | — | 762,997 | — | (740,018) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS | MRCS | 250,768 | 250,768 | 250,768 | 0 | 0 | — | MRCS | 250,768 | 250,768 | 250,768 | — | — | — |
Netting | ||||||||||||||||||||||||||||||||
March 31, 2021 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | |||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||||||||
U.S. Treasury securities | $ | 5,531,250 | $ | 0 | $ | 5,531,250 | $ | 0 | $ | — | ||||||||||||||||||||||
Total trading securities | 5,531,250 | 0 | 5,531,250 | 0 | — | |||||||||||||||||||||||||||
AFS securities: | ||||||||||||||||||||||||||||||||
GSE and TVA debentures | 3,109,746 | 0 | 3,109,746 | 0 | — | |||||||||||||||||||||||||||
GSE MBS | 6,365,605 | 0 | 6,365,605 | 0 | — | |||||||||||||||||||||||||||
Total AFS securities | 9,475,351 | 0 | 9,475,351 | 0 | — | |||||||||||||||||||||||||||
Derivative assets: | ||||||||||||||||||||||||||||||||
Interest-rate related | 285,263 | 0 | 125,244 | 0 | 160,019 | |||||||||||||||||||||||||||
MDCs | 23 | 0 | 23 | 0 | 0 | |||||||||||||||||||||||||||
Total derivative assets, net | 285,286 | 0 | 125,267 | 0 | 160,019 | |||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||
Grantor trust assets | 57,245 | 57,245 | 0 | 0 | — | |||||||||||||||||||||||||||
Total assets at recurring estimated fair value | $ | 15,349,132 | $ | 57,245 | $ | 15,131,868 | $ | 0 | $ | 160,019 | ||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||||||||||
Interest-rate related | $ | 18,278 | $ | 0 | $ | 479,057 | $ | 0 | $ | (460,779) | ||||||||||||||||||||||
MDCs | 1,255 | 0 | 1,255 | 0 | 0 | |||||||||||||||||||||||||||
Total derivative liabilities, net | 19,533 | 0 | 480,312 | 0 | (460,779) | |||||||||||||||||||||||||||
Total liabilities at recurring estimated fair value | $ | 19,533 | $ | 0 | $ | 480,312 | $ | 0 | $ | (460,779) | ||||||||||||||||||||||
Mortgage loans held for portfolio (2) | $ | 1,330 | $ | 0 | $ | 0 | $ | 1,330 | $ | — | ||||||||||||||||||||||
Total assets at non-recurring estimated fair value | $ | 1,330 | $ | 0 | $ | 0 | $ | 1,330 | $ | — |
Netting | ||||||||||||||||||||||||||||||||
September 30, 2021 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | |||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||||||||
U.S. Treasury securities | $ | 4,858,818 | $ | — | $ | 4,858,818 | $ | — | $ | — | ||||||||||||||||||||||
Total trading securities | 4,858,818 | — | 4,858,818 | — | — | |||||||||||||||||||||||||||
AFS securities: | ||||||||||||||||||||||||||||||||
GSE and TVA debentures | 2,728,667 | — | 2,728,667 | — | — | |||||||||||||||||||||||||||
GSE MBS | 6,590,912 | — | 6,590,912 | — | — | |||||||||||||||||||||||||||
Total AFS securities | 9,319,579 | — | 9,319,579 | — | — | |||||||||||||||||||||||||||
Derivative assets: | ||||||||||||||||||||||||||||||||
Interest-rate related | 231,199 | — | 83,597 | — | 147,602 | |||||||||||||||||||||||||||
MDCs | 81 | — | 81 | — | — | |||||||||||||||||||||||||||
Total derivative assets, net | 231,280 | — | 83,678 | — | 147,602 | |||||||||||||||||||||||||||
Other assets: | ||||||||||||||||||||||||||||||||
Grantor trust assets | 60,129 | 60,129 | — | — | — | |||||||||||||||||||||||||||
Total assets at recurring estimated fair value | $ | 14,469,806 | $ | 60,129 | $ | 14,262,075 | $ | — | $ | 147,602 | ||||||||||||||||||||||
Derivative liabilities: | ||||||||||||||||||||||||||||||||
Interest-rate related | $ | 18,285 | $ | — | $ | 380,624 | $ | — | $ | (362,339) | ||||||||||||||||||||||
MDCs | 257 | — | 257 | — | — | |||||||||||||||||||||||||||
Total derivative liabilities, net | 18,542 | — | 380,881 | — | (362,339) | |||||||||||||||||||||||||||
Total liabilities at recurring estimated fair value | $ | 18,542 | $ | — | $ | 380,881 | $ | — | $ | (362,339) | ||||||||||||||||||||||
Mortgage loans held for portfolio (2) | $ | 1,141 | $ | — | $ | — | $ | 1,141 | $ | — | ||||||||||||||||||||||
Total assets at non-recurring estimated fair value | $ | 1,141 | $ | — | $ | — | $ | 1,141 | $ | — |
Netting | Netting | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
December 31, 2020 | December 31, 2020 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | December 31, 2020 | Total | Level 1 | Level 2 | Level 3 | Adjustments (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
U.S. Treasury securities | U.S. Treasury securities | $ | 5,094,703 | $ | 0 | $ | 5,094,703 | $ | 0 | $ | — | U.S. Treasury securities | $ | 5,094,703 | $ | — | $ | 5,094,703 | $ | — | $ | — | ||||||||||||||||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 5,094,703 | 0 | 5,094,703 | 0 | — | Total trading securities | 5,094,703 | — | 5,094,703 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
AFS securities: | AFS securities: | AFS securities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 3,503,137 | 0 | 3,503,137 | 0 | — | GSE and TVA debentures | 3,503,137 | — | 3,503,137 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 6,641,762 | 0 | 6,641,762 | 0 | — | GSE MBS | 6,641,762 | — | 6,641,762 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | 10,144,899 | 0 | 10,144,899 | 0 | — | Total AFS securities | 10,144,899 | — | 10,144,899 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Derivative assets: | Derivative assets: | Derivative assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate related | Interest-rate related | 282,060 | 0 | 19,535 | 0 | 262,525 | Interest-rate related | 282,060 | — | 19,535 | — | 262,525 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | 1,022 | 0 | 1,022 | 0 | — | MDCs | 1,022 | — | 1,022 | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative assets, net | Total derivative assets, net | 283,082 | 0 | 20,557 | 0 | 262,525 | Total derivative assets, net | 283,082 | — | 20,557 | — | 262,525 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other assets: | Other assets: | Other assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Grantor trust assets | Grantor trust assets | 51,032 | 51,032 | 0 | 0 | — | Grantor trust assets | 51,032 | 51,032 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets at recurring estimated fair value | Total assets at recurring estimated fair value | $ | 15,573,716 | $ | 51,032 | $ | 15,260,159 | $ | 0 | $ | 262,525 | Total assets at recurring estimated fair value | $ | 15,573,716 | $ | 51,032 | $ | 15,260,159 | $ | — | $ | 262,525 | ||||||||||||||||||||||||||||||||||||||||||
Derivative liabilities: | Derivative liabilities: | Derivative liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate related | Interest-rate related | $ | 22,979 | $ | 0 | $ | 762,997 | $ | 0 | $ | (740,018) | Interest-rate related | $ | 22,979 | $ | — | $ | 762,997 | $ | — | $ | (740,018) | ||||||||||||||||||||||||||||||||||||||||||
MDCs | MDCs | 0 | 0 | 0 | 0 | 0 | MDCs | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative liabilities, net | Total derivative liabilities, net | 22,979 | 0 | 762,997 | 0 | (740,018) | Total derivative liabilities, net | 22,979 | — | 762,997 | — | (740,018) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total liabilities at recurring estimated fair value | Total liabilities at recurring estimated fair value | $ | 22,979 | $ | 0 | $ | 762,997 | $ | 0 | $ | (740,018) | Total liabilities at recurring estimated fair value | $ | 22,979 | $ | — | $ | 762,997 | $ | — | $ | (740,018) | ||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio (3) | Mortgage loans held for portfolio (3) | $ | 1,460 | $ | 0 | $ | 0 | $ | 1,460 | $ | — | Mortgage loans held for portfolio (3) | $ | 1,460 | $ | — | $ | — | $ | 1,460 | $ | — | ||||||||||||||||||||||||||||||||||||||||||
Total assets at non-recurring estimated fair value | Total assets at non-recurring estimated fair value | $ | 1,460 | $ | 0 | $ | 0 | $ | 1,460 | $ | — | Total assets at non-recurring estimated fair value | $ | 1,460 | $ | — | $ | — | $ | 1,460 | $ | — |
March 31, 2021 | September 30, 2021 | |||||||||||||||||||||||||||||||||||||||
Type of Commitment | Type of Commitment | Expire within one year | Expire after one year | Total | Type of Commitment | Expire within one year | Expire after one year | Total | ||||||||||||||||||||||||||||||||
Standby letters of credit outstanding | Standby letters of credit outstanding | $ | 173,761 | $ | 202,553 | $ | 376,314 | Standby letters of credit outstanding | $ | 70,984 | $ | 303,170 | $ | 374,154 | ||||||||||||||||||||||||||
Unused lines of credit (1) | Unused lines of credit (1) | 917,602 | 0 | 917,602 | Unused lines of credit (1) | 923,200 | — | 923,200 | ||||||||||||||||||||||||||||||||
Commitments to fund additional advances (2) | Commitments to fund additional advances (2) | 37,000 | 0 | 37,000 | Commitments to fund additional advances (2) | 33,000 | — | 33,000 | ||||||||||||||||||||||||||||||||
Commitments to fund or purchase mortgage loans, net (3) | Commitments to fund or purchase mortgage loans, net (3) | 231,325 | 0 | 231,325 | Commitments to fund or purchase mortgage loans, net (3) | 139,076 | — | 139,076 | ||||||||||||||||||||||||||||||||
Unsettled CO bonds, at par | Unsettled CO bonds, at par | 369,000 | 0 | 369,000 | Unsettled CO bonds, at par | 640,000 | — | 640,000 |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Balances with Directors' Financial Institutions | Balances with Directors' Financial Institutions | Par value | % of Total | Par value | % of Total | Balances with Directors' Financial Institutions | Par value | % of Total | Par value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Capital stock | Capital stock | $ | 433,736 | 18 | % | $ | 426,003 | 17 | % | Capital stock | $ | 433,736 | 19 | % | $ | 426,003 | 17 | % | ||||||||||||||||||||||||||||||||||
Advances | Advances | 4,386,317 | 15 | % | 5,397,433 | 18 | % | Advances | 3,239,201 | 12 | % | 5,397,433 | 18 | % |
Transactions with Directors' Financial Institutions | Transactions with Directors' Financial Institutions | Three Months Ended March 31, | Transactions with Directors' Financial Institutions | Three Months Ended September 30, | Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||||||||||||||||
2021 | 2020 | Transactions with Directors' Financial Institutions | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||||
Net capital stock issuances (redemptions and repurchases) | Net capital stock issuances (redemptions and repurchases) | $ | 0 | $ | 5,846 | $ | — | $ | 450 | $ | — | $ | 78,071 | |||||||||||||||||||||||||||||||||||||||
Net advances (repayments) | Net advances (repayments) | (1,049,277) | 2,037,731 | Net advances (repayments) | (146,031) | (784,706) | (2,189,295) | (1,504,938) | ||||||||||||||||||||||||||||||||||||||||||||
Mortgage loan purchases | Mortgage loan purchases | 12,877 | 12,352 | Mortgage loan purchases | 18,293 | 7,390 | 47,915 | 34,254 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Loans to other FHLBanks | Loans to other FHLBanks | 2021 | 2020 | Loans to other FHLBanks | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Principal repayments | Principal repayments | $ | 10,000 | $ | 0 | Principal repayments | $ | 10,000 | $ | 60,000 | $ | 30,000 | $ | 80,000 | ||||||||||||||||||||||||||||||||||||||
Disbursements | Disbursements | (10,000) | 0 | Disbursements | (10,000) | (60,000) | (30,000) | (80,000) |
Three-Month Average | Period End | |||||||||||||||||||||||||
March 31, 2021 | March 31, 2020 | March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||
Federal Funds Effective | 0.08 | % | 1.23 | % | 0.06 | % | 0.09 | % | ||||||||||||||||||
SOFR | 0.04 | % | 1.23 | % | 0.01 | % | 0.07 | % | ||||||||||||||||||
Overnight LIBOR | 0.08 | % | 1.23 | % | 0.08 | % | 0.08 | % | ||||||||||||||||||
1-week OIS | 0.07 | % | 1.20 | % | 0.06 | % | 0.09 | % | ||||||||||||||||||
3-month LIBOR | 0.20 | % | 1.53 | % | 0.19 | % | 0.24 | % | ||||||||||||||||||
3-month U.S. Treasury yield | 0.04 | % | 1.09 | % | 0.02 | % | 0.07 | % | ||||||||||||||||||
2-year U.S Treasury yield | 0.13 | % | 1.09 | % | 0.16 | % | 0.12 | % | ||||||||||||||||||
10-year U.S. Treasury yield | 1.32 | % | 1.37 | % | 1.74 | % | 0.92 | % |
Three-Month Average | Nine-Month Average | Period End | ||||||||||||||||||||||||||||||||||||
September 30, | September 30, | September 30, | December 31, | |||||||||||||||||||||||||||||||||||
2021 | 2020 | 2021 | 2020 | 2021 | 2020 | |||||||||||||||||||||||||||||||||
Federal Funds Effective | 0.09 | % | 0.09 | % | 0.08 | % | 0.45 | % | 0.06 | % | 0.09 | % | ||||||||||||||||||||||||||
SOFR | 0.05 | % | 0.09 | % | 0.04 | % | 0.45 | % | 0.05 | % | 0.07 | % | ||||||||||||||||||||||||||
Overnight LIBOR | 0.08 | % | 0.08 | % | 0.08 | % | 0.46 | % | 0.08 | % | 0.08 | % | ||||||||||||||||||||||||||
1-week OIS | 0.09 | % | 0.09 | % | 0.08 | % | 0.45 | % | 0.08 | % | 0.09 | % | ||||||||||||||||||||||||||
3-month LIBOR | 0.13 | % | 0.25 | % | 0.16 | % | 0.79 | % | 0.13 | % | 0.24 | % | ||||||||||||||||||||||||||
3-month U.S. Treasury yield | 0.04 | % | 0.11 | % | 0.04 | % | 0.44 | % | 0.04 | % | 0.07 | % | ||||||||||||||||||||||||||
2-year U.S Treasury yield | 0.22 | % | 0.14 | % | 0.18 | % | 0.47 | % | 0.28 | % | 0.12 | % | ||||||||||||||||||||||||||
10-year U.S. Treasury yield | 1.32 | % | 0.65 | % | 1.41 | % | 0.90 | % | 1.49 | % | 0.92 | % |
As of and for the Three Months Ended | As of and for the Three Months Ended | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2021 | December 31, 2020 | September 30, 2020 | June 30, 2020 | March 31, 2020 | September 30, 2021 | June 30, 2021 | March 31, 2021 | December 31, 2020 | September 30, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||
Statement of Condition: | Statement of Condition: | Statement of Condition: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | $ | 29,784 | $ | 31,347 | $ | 31,264 | $ | 34,848 | $ | 38,927 | Advances | $ | 26,958 | $ | 27,633 | $ | 29,784 | $ | 31,347 | $ | 31,264 | ||||||||||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | Mortgage loans held for portfolio, net | 8,057 | 8,516 | 9,237 | 10,083 | 10,649 | Mortgage loans held for portfolio, net | 7,570 | 7,737 | 8,057 | 8,516 | 9,237 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Cash and short-term investments | Cash and short-term investments | 8,873 | 5,627 | 5,639 | 5,791 | 8,085 | Cash and short-term investments | 8,329 | 7,268 | 8,873 | 5,627 | 5,639 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Investment securities | Investment securities | 19,480 | 19,941 | 19,695 | 19,817 | 20,487 | Investment securities | 18,675 | 19,689 | 19,480 | 19,941 | 19,695 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | 66,680 | 65,925 | 66,342 | 71,070 | 78,666 | Total assets | 61,960 | 62,771 | 66,680 | 65,925 | 66,342 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | Discount notes | 17,573 | 16,617 | 19,462 | 28,234 | 29,653 | Discount notes | 12,714 | 14,445 | 17,573 | 16,617 | 19,462 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
CO bonds | CO bonds | 42,794 | 43,333 | 41,148 | 36,973 | 42,079 | CO bonds | 43,225 | 42,363 | 42,794 | 43,333 | 41,148 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total consolidated obligations | Total consolidated obligations | 60,367 | 59,950 | 60,610 | 65,207 | 71,732 | Total consolidated obligations | 55,939 | 56,808 | 60,367 | 59,950 | 60,610 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
MRCS | MRCS | 233 | 251 | 262 | 300 | 323 | MRCS | 50 | 233 | 233 | 251 | 262 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Capital stock | Capital stock | 2,214 | 2,208 | 2,224 | 2,194 | 2,098 | Capital stock | 2,237 | 2,234 | 2,214 | 2,208 | 2,224 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Retained earnings | Retained earnings | 1,153 | 1,137 | 1,124 | 1,128 | 1,124 | Retained earnings | 1,163 | 1,157 | 1,153 | 1,137 | 1,124 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
AOCI | AOCI | 180 | 105 | 74 | (4) | (81) | AOCI | 151 | 193 | 180 | 105 | 74 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total capital | Total capital | 3,547 | 3,450 | 3,422 | 3,318 | 3,141 | Total capital | 3,551 | 3,584 | 3,547 | 3,450 | 3,422 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Statement of Income: | Statement of Income: | Statement of Income: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 74 | $ | 72 | $ | 61 | $ | 67 | $ | 63 | Net interest income | $ | 58 | $ | 57 | $ | 75 | $ | 72 | $ | 61 | ||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | — | — | — | — | Provision for (reversal of) credit losses | — | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (13) | (9) | (17) | (25) | (4) | Other income (loss) | (9) | (10) | (13) | (9) | (17) | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 28 | 30 | 27 | 26 | 26 | Other expenses | 27 | 28 | 28 | 30 | 27 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
AHP assessments | AHP assessments | 3 | 4 | 2 | 2 | 3 | AHP assessments | 2 | 2 | 4 | 4 | 2 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | Net income | $ | 30 | $ | 29 | $ | 15 | $ | 14 | $ | 30 | Net income | $ | 20 | $ | 17 | $ | 30 | $ | 29 | $ | 15 | ||||||||||||||||||||||||||||||||||||||||||
Selected Financial Ratios: | Selected Financial Ratios: | Selected Financial Ratios: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest margin (1) | Net interest margin (1) | 0.44 | % | 0.43 | % | 0.35 | % | 0.37 | % | 0.36 | % | Net interest margin (1) | 0.37 | % | 0.36 | % | 0.44 | % | 0.43 | % | 0.35 | % | ||||||||||||||||||||||||||||||||||||||||||
Return on average equity (2) | Return on average equity (2) | 3.40 | % | 3.49 | % | 1.70 | % | 1.64 | % | 3.81 | % | Return on average equity (2) | 2.22 | % | 1.94 | % | 3.40 | % | 3.49 | % | 1.70 | % | ||||||||||||||||||||||||||||||||||||||||||
Return on average assets (2) | Return on average assets (2) | 0.18 | % | 0.18 | % | 0.08 | % | 0.07 | % | 0.17 | % | Return on average assets (2) | 0.13 | % | 0.11 | % | 0.18 | % | 0.18 | % | 0.08 | % | ||||||||||||||||||||||||||||||||||||||||||
Weighted average dividend rate (3) | Weighted average dividend rate (3) | 2.50 | % | 3.00 | % | 3.50 | % | 4.00 | % | 4.25 | % | Weighted average dividend rate (3) | 2.35 | % | 2.57 | % | 2.50 | % | 3.00 | % | 3.50 | % | ||||||||||||||||||||||||||||||||||||||||||
Dividend payout ratio (4) | Dividend payout ratio (4) | 46.70 | % | 55.32 | % | 126.01 | % | 150.84 | % | 70.91 | % | Dividend payout ratio (4) | 65.59 | % | 81.59 | % | 46.70 | % | 55.32 | % | 126.01 | % | ||||||||||||||||||||||||||||||||||||||||||
Average equity to average assets | Average equity to average assets | 5.24 | % | 5.19 | % | 4.86 | % | 4.39 | % | 4.43 | % | Average equity to average assets | 5.67 | % | 5.47 | % | 5.24 | % | 5.19 | % | 4.86 | % | ||||||||||||||||||||||||||||||||||||||||||
Total capital ratio (5) | Total capital ratio (5) | 5.32 | % | 5.23 | % | 5.16 | % | 4.67 | % | 3.99 | % | Total capital ratio (5) | 5.73 | % | 5.71 | % | 5.32 | % | 5.23 | % | 5.16 | % | ||||||||||||||||||||||||||||||||||||||||||
Total regulatory capital ratio (6) | Total regulatory capital ratio (6) | 5.40 | % | 5.45 | % | 5.44 | % | 5.10 | % | 4.51 | % | Total regulatory capital ratio (6) | 5.57 | % | 5.77 | % | 5.40 | % | 5.45 | % | 5.44 | % |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Condensed Statements of Comprehensive Income | Condensed Statements of Comprehensive Income | 2021 | 2020 | $ Change | % Change | Condensed Statements of Comprehensive Income | 2021 | 2020 | $ Change | % Change | 2021 | 2020 | $ Change | % Change | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 74 | $ | 63 | $ | 11 | 18 | % | Net interest income | $ | 58 | $ | 61 | $ | (3) | (5) | % | $ | 190 | $ | 191 | $ | (1) | (1) | % | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | — | — | Provision for (reversal of) credit losses | — | — | — | — | — | — | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net interest income after provision for credit losses | Net interest income after provision for credit losses | 74 | 63 | 11 | 18 | % | Net interest income after provision for credit losses | 58 | 61 | (3) | (4) | % | 190 | 191 | (1) | (1) | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (13) | (4) | (9) | Other income (loss) | (9) | (17) | 8 | (32) | (47) | 15 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 28 | 26 | 2 | Other expenses | 27 | 27 | — | 83 | 79 | 4 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Income before assessments | Income before assessments | 33 | 33 | — | 1 | % | Income before assessments | 22 | 17 | 5 | 32 | % | 75 | 65 | 10 | 15 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
AHP assessments | AHP assessments | 3 | 3 | — | AHP assessments | 2 | 2 | — | 8 | 7 | 1 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Net income | Net income | 30 | 30 | — | 1 | % | Net income | 20 | 15 | 5 | 33 | % | 67 | 58 | 9 | 16 | % | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total other comprehensive income (loss) | Total other comprehensive income (loss) | 74 | (148) | 222 | Total other comprehensive income (loss) | (42) | 78 | (120) | 46 | 6 | 40 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Total comprehensive income (loss) | Total comprehensive income (loss) | $ | 104 | $ | (118) | $ | 222 | 188 | % | Total comprehensive income (loss) | $ | (22) | $ | 93 | $ | (115) | (124) | % | $ | 113 | $ | 64 | $ | 49 | 76 | % |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Reconciliation of Net Income | Reconciliation of Net Income | 2021 | 2020 | Reconciliation of Net Income | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
GAAP net income | GAAP net income | $ | 29.9 | $ | 29.5 | GAAP net income | $ | 19.9 | $ | 14.9 | $ | 67.0 | $ | 57.7 | ||||||||||||||||||||||||||||||||||||||
Adjustments to exclude: | Adjustments to exclude: | Adjustments to exclude: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fair-value hedging (gains) losses (1) | Fair-value hedging (gains) losses (1) | (18.6) | 3.6 | Fair-value hedging (gains) losses (1) | 2.8 | 2.4 | (10.2) | 24.6 | ||||||||||||||||||||||||||||||||||||||||||||
Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2) | Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2) | 5.4 | (0.5) | Amortization/accretion of (gains) losses on active and discontinued fair-value hedging relationships (2) | 11.5 | (0.6) | 24.4 | (1.8) | ||||||||||||||||||||||||||||||||||||||||||||
Trading (gains) losses, net of economic hedging gains (losses) | Trading (gains) losses, net of economic hedging gains (losses) | 9.0 | (9.7) | Trading (gains) losses, net of economic hedging gains (losses) | 7.7 | 5.6 | 26.9 | 4.9 | ||||||||||||||||||||||||||||||||||||||||||||
Net unrealized (gains) losses on other economic hedges | Net unrealized (gains) losses on other economic hedges | 0.4 | (0.1) | Net unrealized (gains) losses on other economic hedges | 0.4 | 1.9 | 0.8 | 1.2 | ||||||||||||||||||||||||||||||||||||||||||||
Net realized (gains) on sales of investment securities | Net realized (gains) on sales of investment securities | — | (0.5) | — | (0.5) | |||||||||||||||||||||||||||||||||||||||||||||||
Interest expense on MRCS | Interest expense on MRCS | 1.1 | 3.0 | Interest expense on MRCS | 0.3 | 2.0 | 2.3 | 7.8 | ||||||||||||||||||||||||||||||||||||||||||||
Total adjustments | Total adjustments | (2.7) | (3.7) | Total adjustments | 22.7 | 10.8 | 44.2 | 36.2 | ||||||||||||||||||||||||||||||||||||||||||||
AHP assessments on adjustments | AHP assessments on adjustments | 0.4 | 0.7 | AHP assessments on adjustments | (2.2) | (0.9) | (4.2) | (2.8) | ||||||||||||||||||||||||||||||||||||||||||||
Adjusted net income (non-GAAP measure) | Adjusted net income (non-GAAP measure) | $ | 27.6 | $ | 26.5 | Adjusted net income (non-GAAP measure) | $ | 40.4 | $ | 24.8 | $ | 107.0 | $ | 91.1 |
Condensed Statements of Condition | Condensed Statements of Condition | March 31, 2021 | December 31, 2020 | $ Change | % Change | Condensed Statements of Condition | September 30, 2021 | December 31, 2020 | $ Change | % Change | ||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | $ | 29,784 | $ | 31,347 | $ | (1,563) | (5) | % | Advances | $ | 26,958 | $ | 31,347 | $ | (4,389) | (14) | % | ||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | Mortgage loans held for portfolio, net | 8,057 | 8,516 | (459) | (5) | % | Mortgage loans held for portfolio, net | 7,570 | 8,516 | (946) | (11) | % | ||||||||||||||||||||||||||||||||||||||||
Cash and short-term investments (1) | Cash and short-term investments (1) | 8,873 | 5,627 | 3,246 | 58 | % | Cash and short-term investments (1) | 8,329 | 5,627 | 2,702 | 48 | % | ||||||||||||||||||||||||||||||||||||||||
Investment securities and other assets (2) | Investment securities and other assets (2) | 19,966 | 20,435 | (469) | (2) | % | Investment securities and other assets (2) | 19,103 | 20,435 | (1,332) | (7) | % | ||||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | $ | 66,680 | $ | 65,925 | $ | 755 | 1 | % | Total assets | $ | 61,960 | $ | 65,925 | $ | (3,965) | (6) | % | ||||||||||||||||||||||||||||||||||
Consolidated obligations | Consolidated obligations | $ | 60,367 | $ | 59,950 | $ | 417 | 1 | % | Consolidated obligations | $ | 55,939 | $ | 59,950 | $ | (4,011) | (7) | % | ||||||||||||||||||||||||||||||||||
MRCS | MRCS | 233 | 251 | (18) | (7) | % | MRCS | 50 | 251 | (201) | (80) | % | ||||||||||||||||||||||||||||||||||||||||
Other liabilities | Other liabilities | 2,533 | 2,274 | 259 | 11 | % | Other liabilities | 2,420 | 2,274 | 146 | 6 | % | ||||||||||||||||||||||||||||||||||||||||
Total liabilities | Total liabilities | 63,133 | 62,475 | 658 | 1 | % | Total liabilities | 58,409 | 62,475 | (4,066) | (7) | % | ||||||||||||||||||||||||||||||||||||||||
Capital stock | Capital stock | 2,214 | 2,208 | 6 | — | % | Capital stock | 2,237 | 2,208 | 29 | 1 | % | ||||||||||||||||||||||||||||||||||||||||
Retained earnings (3) | Retained earnings (3) | 1,153 | 1,137 | 16 | 1 | % | Retained earnings (3) | 1,163 | 1,137 | 26 | 2 | % | ||||||||||||||||||||||||||||||||||||||||
AOCI | AOCI | 180 | 105 | 75 | 71 | % | AOCI | 151 | 105 | 46 | 44 | % | ||||||||||||||||||||||||||||||||||||||||
Total capital | Total capital | 3,547 | 3,450 | 97 | 3 | % | Total capital | 3,551 | 3,450 | 101 | 3 | % | ||||||||||||||||||||||||||||||||||||||||
Total liabilities and capital | Total liabilities and capital | $ | 66,680 | $ | 65,925 | $ | 755 | 1 | % | Total liabilities and capital | $ | 61,960 | $ | 65,925 | $ | (3,965) | (6) | % | ||||||||||||||||||||||||||||||||||
Total regulatory capital (4) | Total regulatory capital (4) | $ | 3,600 | $ | 3,596 | $ | 4 | — | % | Total regulatory capital (4) | $ | 3,450 | $ | 3,596 | $ | (146) | (4) | % |
Three Months Ended March 31, | |||||||||||||||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||||||||||||||
Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | Average Balance | Interest Income/ Expense (1) | Average Yield/Cost of Funds (1) (2) | ||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | $ | 8,301 | $ | 1 | 0.06 | % | $ | 5,792 | $ | 19 | 1.33 | % | |||||||||||||||||||||||
Investment securities (3) | 20,029 | 56 | 1.13 | % | 19,632 | 90 | 1.84 | % | |||||||||||||||||||||||||||
Advances (4) | 29,627 | 36 | 0.49 | % | 32,739 | 169 | 2.08 | % | |||||||||||||||||||||||||||
Mortgage loans held for portfolio (4) (5) | 8,282 | 40 | 1.97 | % | 10,742 | 82 | 3.07 | % | |||||||||||||||||||||||||||
Other assets (interest-earning) (6) | 903 | — | 0.07 | % | 1,607 | 5 | 1.18 | % | |||||||||||||||||||||||||||
Total interest-earning assets | 67,142 | 133 | 0.81 | % | 70,512 | 365 | 2.08 | % | |||||||||||||||||||||||||||
Other assets (7) | 916 | (14) | |||||||||||||||||||||||||||||||||
Total assets | $ | 68,058 | $ | 70,498 | |||||||||||||||||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 1,511 | — | 0.01 | % | $ | 1,353 | 3 | 0.81 | % | |||||||||||||||||||||||||
Discount notes | 18,773 | 4 | 0.09 | % | 20,083 | 72 | 1.45 | % | |||||||||||||||||||||||||||
CO bonds (4) | 43,225 | 54 | 0.50 | % | 44,422 | 224 | 2.03 | % | |||||||||||||||||||||||||||
MRCS | 243 | 1 | 1.85 | % | 323 | 3 | 3.69 | % | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 63,752 | 59 | 0.38 | % | 66,181 | 302 | 1.84 | % | |||||||||||||||||||||||||||
Other liabilities | 738 | 1,194 | |||||||||||||||||||||||||||||||||
Total capital | 3,568 | 3,123 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 68,058 | $ | 70,498 | |||||||||||||||||||||||||||||||
Net interest income | $ | 74 | $ | 63 | |||||||||||||||||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities (2) | 0.43 | % | 0.24 | % | |||||||||||||||||||||||||||||||
Net interest margin (8) | 0.44 | % | 0.36 | % | |||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.05 | 1.07 |
Three Months Ended September 30, | |||||||||||||||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||||||||||||||
Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | ||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | $ | 6,344 | $ | 2 | 0.08 | % | $ | 5,945 | $ | 2 | 0.09 | % | |||||||||||||||||||||||
Investment securities (3) | 19,218 | 41 | 0.84 | % | 19,860 | 56 | 1.12 | % | |||||||||||||||||||||||||||
Advances (4) | 28,378 | 20 | 0.29 | % | 32,990 | 45 | 0.54 | % | |||||||||||||||||||||||||||
Mortgage loans held for portfolio (4) (5) | 7,660 | 44 | 2.28 | % | 9,673 | 48 | 1.99 | % | |||||||||||||||||||||||||||
Other assets (interest-earning) (6) | 671 | — | 0.08 | % | 1,528 | — | 0.09 | % | |||||||||||||||||||||||||||
Total interest-earning assets | 62,271 | 107 | 0.68 | % | 69,996 | 151 | 0.86 | % | |||||||||||||||||||||||||||
Other assets (7) | 476 | (639) | |||||||||||||||||||||||||||||||||
Total assets | $ | 62,747 | $ | 69,357 | |||||||||||||||||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 1,677 | — | 0.01 | % | $ | 1,264 | — | 0.01 | % | |||||||||||||||||||||||||
Discount notes | 13,350 | 2 | 0.05 | % | 24,479 | 11 | 0.18 | % | |||||||||||||||||||||||||||
CO bonds (4) | 43,282 | 47 | 0.43 | % | 38,965 | 77 | 0.79 | % | |||||||||||||||||||||||||||
MRCS | 174 | — | 0.71 | % | 280 | 2 | 2.90 | % | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 58,483 | 49 | 0.33 | % | 64,988 | 90 | 0.55 | % | |||||||||||||||||||||||||||
Other liabilities | 707 | 999 | |||||||||||||||||||||||||||||||||
Total capital | 3,557 | 3,370 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 62,747 | $ | 69,357 | |||||||||||||||||||||||||||||||
Net interest income | $ | 58 | $ | 61 | |||||||||||||||||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities (1) (2) | 0.35 | % | 0.31 | % | |||||||||||||||||||||||||||||||
Net interest margin (1) (8) | 0.37 | % | 0.35 | % | |||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.06 | 1.08 |
Nine Months Ended September 30, | |||||||||||||||||||||||||||||||||||
2021 | 2020 | ||||||||||||||||||||||||||||||||||
Average Balance | Interest Income/ Expense (1) | Average Yield/ Cost of Funds (1) (2) | Average Balance | Interest Income/ Expense (1) | Average Yield/Cost of Funds (1) (2) | ||||||||||||||||||||||||||||||
Assets: | |||||||||||||||||||||||||||||||||||
Federal funds sold and securities purchased under agreements to resell | $ | 7,281 | $ | 3 | 0.06 | % | $ | 5,450 | $ | 21 | 0.52 | % | |||||||||||||||||||||||
Investment securities (3) | 19,615 | 140 | 0.95 | % | 19,913 | 205 | 1.37 | % | |||||||||||||||||||||||||||
Advances (4) | 29,000 | 85 | 0.39 | % | 33,977 | 291 | 1.14 | % | |||||||||||||||||||||||||||
Mortgage loans held for portfolio (4) (5) | 7,937 | 125 | 2.10 | % | 10,277 | 189 | 2.46 | % | |||||||||||||||||||||||||||
Other assets (interest-earning) (6) | 767 | — | 0.07 | % | 1,563 | 5 | 0.46 | % | |||||||||||||||||||||||||||
Total interest-earning assets | 64,600 | 353 | 0.73 | % | 71,180 | 711 | 1.34 | % | |||||||||||||||||||||||||||
Other assets (7) | 653 | 55 | |||||||||||||||||||||||||||||||||
Total assets | $ | 65,253 | $ | 71,235 | |||||||||||||||||||||||||||||||
Liabilities and Capital: | |||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | 1,628 | — | 0.01 | % | $ | 1,392 | 3 | 0.27 | % | |||||||||||||||||||||||||
Discount notes | 16,187 | 8 | 0.06 | % | 24,772 | 111 | 0.60 | % | |||||||||||||||||||||||||||
CO bonds (4) | 42,943 | 153 | 0.48 | % | 40,503 | 398 | 1.31 | % | |||||||||||||||||||||||||||
MRCS | 216 | 2 | 1.45 | % | 302 | 8 | 3.44 | % | |||||||||||||||||||||||||||
Total interest-bearing liabilities | 60,974 | 163 | 0.36 | % | 66,969 | 520 | 1.04 | % | |||||||||||||||||||||||||||
Other liabilities | 720 | 1,020 | |||||||||||||||||||||||||||||||||
Total capital | 3,559 | 3,246 | |||||||||||||||||||||||||||||||||
Total liabilities and capital | $ | 65,253 | $ | 71,235 | |||||||||||||||||||||||||||||||
Net interest income | $ | 190 | $ | 191 | |||||||||||||||||||||||||||||||
Net spread on interest-earning assets less interest-bearing liabilities (1) (2) | 0.37 | % | 0.30 | % | |||||||||||||||||||||||||||||||
Net interest margin (1) (8) | 0.39 | % | 0.36 | % | |||||||||||||||||||||||||||||||
Average interest-earning assets to interest-bearing liabilities | 1.06 | 1.06 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Components | Components | 2021 | 2020 | Components | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Net unrealized gains (losses) on trading securities (1) | Net unrealized gains (losses) on trading securities (1) | $ | 6 | $ | (28) | $ | (23) | $ | (19) | |||||||||||||||||||||||||||||||||||||||||||
Net realized gains (losses) on trading securities (1) | Net realized gains (losses) on trading securities (1) | $ | 3 | $ | 1 | Net realized gains (losses) on trading securities (1) | (14) | 9 | (13) | 21 | ||||||||||||||||||||||||||||||||||||||||||
Net unrealized gains (losses) on trading securities (1) | (16) | 49 | ||||||||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on derivatives hedging trading securities | Net gains (losses) on derivatives hedging trading securities | 5 | (40) | Net gains (losses) on derivatives hedging trading securities | 1 | 14 | 9 | (7) | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on trading securities, net of associated derivatives | Net gains (losses) on trading securities, net of associated derivatives | (8) | 10 | Net gains (losses) on trading securities, net of associated derivatives | (7) | (5) | (27) | (5) | ||||||||||||||||||||||||||||||||||||||||||||
Net interest settlements on derivatives | Net interest settlements on derivatives | (5) | (8) | Net interest settlements on derivatives | (2) | (12) | (10) | (40) | ||||||||||||||||||||||||||||||||||||||||||||
Net gains (losses) on other derivatives not designated as hedging instruments | Net gains (losses) on other derivatives not designated as hedging instruments | (1) | (3) | Net gains (losses) on other derivatives not designated as hedging instruments | — | (2) | (1) | (5) | ||||||||||||||||||||||||||||||||||||||||||||
Net realized gains from sale of available-for-sale securities | Net realized gains from sale of available-for-sale securities | — | 1 | — | 1 | |||||||||||||||||||||||||||||||||||||||||||||||
Change in fair value of investments indirectly funding our SERP | Change in fair value of investments indirectly funding our SERP | 1 | (3) | Change in fair value of investments indirectly funding our SERP | — | 1 | 3 | — | ||||||||||||||||||||||||||||||||||||||||||||
Other, net | Other, net | — | — | 3 | 2 | |||||||||||||||||||||||||||||||||||||||||||||||
Total other income (loss) | Total other income (loss) | $ | (13) | $ | (4) | Total other income (loss) | $ | (9) | $ | (17) | $ | (32) | $ | (47) |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Components | Components | 2021 | 2020 | Components | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Compensation and benefits | Compensation and benefits | $ | 16 | $ | 14 | Compensation and benefits | $ | 14 | $ | 15 | $ | 44 | $ | 44 | ||||||||||||||||||||||||||||||||||||||
Other operating expenses | Other operating expenses | 7 | 7 | Other operating expenses | 7 | 8 | 22 | 23 | ||||||||||||||||||||||||||||||||||||||||||||
Finance Agency and Office of Finance | Finance Agency and Office of Finance | 3 | 3 | Finance Agency and Office of Finance | 4 | 2 | 9 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
Other | Other | 2 | 2 | Other | 2 | 2 | 8 | 5 | ||||||||||||||||||||||||||||||||||||||||||||
Total other expenses | Total other expenses | $ | 28 | $ | 26 | Total other expenses | $ | 27 | $ | 27 | $ | 83 | $ | 79 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Traditional | Traditional | 2021 | 2020 | Traditional | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | 74 | $ | 50 | Net interest income | $ | 50 | $ | 65 | $ | 178 | $ | 177 | ||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | — | Provision for (reversal of) credit losses | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | (13) | (2) | Other income (loss) | (9) | (17) | (31) | (44) | ||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 24 | 22 | Other expenses | 23 | 23 | 72 | 68 | ||||||||||||||||||||||||||||||||||||||||||||
Income before assessments | Income before assessments | 37 | 26 | Income before assessments | 18 | 25 | 75 | 65 | ||||||||||||||||||||||||||||||||||||||||||||
AHP assessments | AHP assessments | 3 | 3 | AHP assessments | 2 | 2 | 8 | 7 | ||||||||||||||||||||||||||||||||||||||||||||
Net income | Net income | $ | 34 | $ | 23 | Net income | $ | 16 | $ | 23 | $ | 67 | $ | 58 |
Three Months Ended March 31, | Three Months Ended September 30, | Nine Months Ended September 30, | ||||||||||||||||||||||||||||||||||||||||||||||||||
Mortgage Loans | Mortgage Loans | 2021 | 2020 | Mortgage Loans | 2021 | 2020 | 2021 | 2020 | ||||||||||||||||||||||||||||||||||||||||||||
Net interest income | Net interest income | $ | — | $ | 13 | Net interest income | $ | 8 | $ | (4) | $ | 12 | $ | 14 | ||||||||||||||||||||||||||||||||||||||
Provision for (reversal of) credit losses | Provision for (reversal of) credit losses | — | — | Provision for (reversal of) credit losses | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Other income (loss) | Other income (loss) | — | (2) | Other income (loss) | — | — | — | (3) | ||||||||||||||||||||||||||||||||||||||||||||
Other expenses | Other expenses | 4 | 4 | Other expenses | 4 | 4 | 12 | 12 | ||||||||||||||||||||||||||||||||||||||||||||
Income (loss) before assessments | Income (loss) before assessments | (4) | 7 | Income (loss) before assessments | 4 | (8) | — | (1) | ||||||||||||||||||||||||||||||||||||||||||||
AHP assessments (credits) | AHP assessments (credits) | — | — | AHP assessments (credits) | — | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||
Net income (loss) | Net income (loss) | $ | (4) | $ | 7 | Net income (loss) | $ | 4 | $ | (8) | $ | — | $ | (1) |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Major Asset Categories | Major Asset Categories | Carrying Value | % of Total | Carrying Value | % of Total | Major Asset Categories | Carrying Value | % of Total | Carrying Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Advances | Advances | $ | 29,784 | 45 | % | $ | 31,347 | 48 | % | Advances | $ | 26,958 | 44 | % | $ | 31,347 | 48 | % | ||||||||||||||||||||||||||||||||||
Mortgage loans held for portfolio, net | Mortgage loans held for portfolio, net | 8,057 | 12 | % | 8,516 | 13 | % | Mortgage loans held for portfolio, net | 7,570 | 12 | % | 8,516 | 13 | % | ||||||||||||||||||||||||||||||||||||||
Cash and short-term investments | Cash and short-term investments | 8,873 | 13 | % | 5,627 | 9 | % | Cash and short-term investments | 8,329 | 13 | % | 5,627 | 9 | % | ||||||||||||||||||||||||||||||||||||||
Trading securities | Trading securities | 5,531 | 8 | % | 5,095 | 8 | % | Trading securities | 4,859 | 8 | % | 5,095 | 8 | % | ||||||||||||||||||||||||||||||||||||||
Other investment securities | Other investment securities | 13,949 | 21 | % | 14,846 | 22 | % | Other investment securities | 13,816 | 22 | % | 14,846 | 22 | % | ||||||||||||||||||||||||||||||||||||||
Other assets (1) | Other assets (1) | 486 | 1 | % | 494 | — | % | Other assets (1) | 428 | 1 | % | 494 | — | % | ||||||||||||||||||||||||||||||||||||||
Total assets | Total assets | $ | 66,680 | 100 | % | $ | 65,925 | 100 | % | Total assets | $ | 61,960 | 100 | % | $ | 65,925 | 100 | % |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Borrower Type | Borrower Type | Par Value | % of Total | Par Value | % of Total | Borrower Type | Par Value | % of Total | Par Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Depository institutions: | Depository institutions: | Depository institutions: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial banks and savings institutions (1) | Commercial banks and savings institutions (1) | $ | 12,636 | 43 | % | $ | 14,749 | 48 | % | Commercial banks and savings institutions (1) | $ | 11,766 | 44 | % | $ | 14,749 | 48 | % | ||||||||||||||||||||||||||||||||||
Credit unions | Credit unions | 2,389 | 8 | % | 2,548 | 8 | % | Credit unions | 2,268 | 9 | % | 2,548 | 8 | % | ||||||||||||||||||||||||||||||||||||||
Former members - depositories | Former members - depositories | 228 | 1 | % | 268 | 1 | % | Former members - depositories | 254 | 1 | % | 268 | 1 | % | ||||||||||||||||||||||||||||||||||||||
Total depository institutions | Total depository institutions | 15,253 | 52 | % | 17,565 | 57 | % | Total depository institutions | 14,288 | 54 | % | 17,565 | 57 | % | ||||||||||||||||||||||||||||||||||||||
Insurance companies: | Insurance companies: | Insurance companies: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Insurance companies | 13,843 | 47 | % | 12,832 | 42 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Former members - insurance | 293 | 1 | % | 294 | 1 | % | ||||||||||||||||||||||||||||||||||||||||||||||
Captive insurance companies (2) | Captive insurance companies (2) | 263 | 1 | % | 288 | 1 | % | |||||||||||||||||||||||||||||||||||||||||||||
Other insurance companies | Other insurance companies | 12,067 | 45 | % | 12,832 | 42 | % | |||||||||||||||||||||||||||||||||||||||||||||
Former members - insurance companies | Former members - insurance companies | 5 | — | % | 6 | — | % | |||||||||||||||||||||||||||||||||||||||||||||
Total insurance companies | Total insurance companies | 14,136 | 48 | % | 13,126 | 43 | % | Total insurance companies | 12,335 | 46 | % | 13,126 | 43 | % | ||||||||||||||||||||||||||||||||||||||
CDFIs | CDFIs | — | — | % | — | — | % | CDFIs | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total advances outstanding | Total advances outstanding | $ | 29,389 | 100 | % | $ | 30,691 | 100 | % | Total advances outstanding | $ | 26,623 | 100 | % | $ | 30,691 | 100 | % |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Product Type and Redemption Term | Product Type and Redemption Term | Par Value | % of Total | Par Value | % of Total | Product Type and Redemption Term | Par Value | % of Total | Par Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Fixed-rate: | Fixed-rate: | Fixed-rate: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Fixed-rate (1) | Fixed-rate (1) | Fixed-rate (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | $ | 9,181 | 32 | % | $ | 10,023 | 33 | % | Due in 1 year or less | $ | 6,797 | 26 | % | $ | 10,023 | 33 | % | ||||||||||||||||||||||||||||||||||
Due after 1 year | Due after 1 year | 7,702 | 26 | % | 7,998 | 26 | % | Due after 1 year | 6,562 | 25 | % | 7,998 | 26 | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 16,883 | 58 | % | 18,021 | 59 | % | Total | 13,359 | 51 | % | 18,021 | 59 | % | ||||||||||||||||||||||||||||||||||||||
Putable | Putable | Putable | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | — | — | % | — | — | % | Due in 1 year or less | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 year | Due after 1 year | 7,194 | 25 | % | 7,252 | 24 | % | Due after 1 year | 8,097 | 30 | % | 7,252 | 24 | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 7,194 | 25 | % | 7,252 | 24 | % | Total | 8,097 | 30 | % | 7,252 | 24 | % | ||||||||||||||||||||||||||||||||||||||
Other (2) | Other (2) | Other (2) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | 32 | — | % | 32 | — | % | Due in 1 year or less | 23 | — | % | 32 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 year | Due after 1 year | 141 | — | % | 147 | — | % | Due after 1 year | 129 | — | % | 147 | — | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 173 | — | % | 179 | — | % | Total | 152 | — | % | 179 | — | % | ||||||||||||||||||||||||||||||||||||||
Total fixed-rate | Total fixed-rate | 24,250 | 83 | % | 25,452 | 83 | % | Total fixed-rate | 21,608 | 81 | % | 25,452 | 83 | % | ||||||||||||||||||||||||||||||||||||||
Variable-rate: | Variable-rate: | Variable-rate: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Variable-rate (1) | Variable-rate (1) | Variable-rate (1) | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | 17 | — | % | 24 | — | % | Due in 1 year or less | 10 | — | % | 24 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 year | Due after 1 year | — | — | % | — | — | % | Due after 1 year | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 17 | — | % | 24 | — | % | Total | 10 | — | % | 24 | — | % | ||||||||||||||||||||||||||||||||||||||
Callable or prepayable | Callable or prepayable | Callable or prepayable | ||||||||||||||||||||||||||||||||||||||||||||||||||
Due in 1 year or less | Due in 1 year or less | 11 | — | % | 36 | — | % | Due in 1 year or less | 36 | — | % | 36 | — | % | ||||||||||||||||||||||||||||||||||||||
Due after 1 year | Due after 1 year | 5,111 | 17 | % | 5,179 | 17 | % | Due after 1 year | 4,939 | 19 | % | 5,179 | 17 | % | ||||||||||||||||||||||||||||||||||||||
Total | Total | 5,122 | 17 | % | 5,215 | 17 | % | Total | 4,975 | 19 | % | 5,215 | 17 | % | ||||||||||||||||||||||||||||||||||||||
Total variable-rate | Total variable-rate | 5,139 | 17 | % | 5,239 | 17 | % | Total variable-rate | 4,985 | 19 | % | 5,239 | 17 | % | ||||||||||||||||||||||||||||||||||||||
Overdrawn demand and overnight deposit accounts | Overdrawn demand and overnight deposit accounts | 30 | — | % | — | — | % | |||||||||||||||||||||||||||||||||||||||||||||
Total advances | Total advances | $ | 29,389 | 100 | % | $ | 30,691 | 100 | % | Total advances | $ | 26,623 | 100 | % | $ | 30,691 | 100 | % |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
Product Type | Product Type | UPB | % of Total | UPB | % of Total | Product Type | UPB | % of Total | UPB | % of Total | ||||||||||||||||||||||||||||||||||||||||||
MPP: | MPP: | MPP: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Conventional Advantage | Conventional Advantage | $ | 7,149 | 91 | % | $ | 7,529 | 90 | % | Conventional Advantage | $ | 6,786 | 92 | % | $ | 7,529 | 90 | % | ||||||||||||||||||||||||||||||||||
Conventional Original | Conventional Original | 385 | 5 | % | 417 | 5 | % | Conventional Original | 324 | 4 | % | 417 | 5 | % | ||||||||||||||||||||||||||||||||||||||
FHA | FHA | 198 | 3 | % | 218 | 3 | % | FHA | 166 | 2 | % | 218 | 3 | % | ||||||||||||||||||||||||||||||||||||||
Total MPP | Total MPP | 7,732 | 99 | % | 8,164 | 98 | % | Total MPP | 7,276 | 98 | % | 8,164 | 98 | % | ||||||||||||||||||||||||||||||||||||||
MPF Program: | MPF Program: | MPF Program: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Conventional | Conventional | 107 | 1 | % | 123 | 2 | % | Conventional | 87 | 2 | % | 123 | 2 | % | ||||||||||||||||||||||||||||||||||||||
Government | Government | 32 | — | % | 36 | — | % | Government | 28 | — | % | 36 | — | % | ||||||||||||||||||||||||||||||||||||||
Total MPF Program | Total MPF Program | 139 | 1 | % | 159 | 2 | % | Total MPF Program | 115 | 2 | % | 159 | 2 | % | ||||||||||||||||||||||||||||||||||||||
Total mortgage loans held for portfolio | Total mortgage loans held for portfolio | $ | 7,871 | 100 | % | $ | 8,323 | 100 | % | Total mortgage loans held for portfolio | $ | 7,391 | 100 | % | $ | 8,323 | 100 | % |
Components | Components | March 31, 2021 | December 31, 2020 | Change | Components | September 30, 2021 | December 31, 2020 | Change | ||||||||||||||||||||||||||||||||
Cash and short-term investments: | Cash and short-term investments: | Cash and short-term investments: | ||||||||||||||||||||||||||||||||||||||
Cash and due from banks | Cash and due from banks | $ | 1,443 | $ | 1,812 | $ | (369) | Cash and due from banks | $ | 1,954 | $ | 1,812 | $ | 142 | ||||||||||||||||||||||||||
Interest-bearing deposits | Interest-bearing deposits | 100 | 100 | — | Interest-bearing deposits | 100 | 100 | — | ||||||||||||||||||||||||||||||||
Securities purchased under agreements to resell | Securities purchased under agreements to resell | 4,500 | 2,500 | 2,000 | Securities purchased under agreements to resell | 4,200 | 2,500 | 1,700 | ||||||||||||||||||||||||||||||||
Federal funds sold | Federal funds sold | 2,830 | 1,215 | 1,615 | Federal funds sold | 2,075 | 1,215 | 860 | ||||||||||||||||||||||||||||||||
Total cash and short-term investments | Total cash and short-term investments | 8,873 | 5,627 | 3,246 | Total cash and short-term investments | 8,329 | 5,627 | 2,702 | ||||||||||||||||||||||||||||||||
Trading securities: | Trading securities: | Trading securities: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | U.S. Treasury obligations | 5,531 | 5,095 | 436 | U.S. Treasury obligations | 4,859 | 5,095 | (236) | ||||||||||||||||||||||||||||||||
Total trading securities | Total trading securities | 5,531 | 5,095 | 436 | Total trading securities | 4,859 | 5,095 | (236) | ||||||||||||||||||||||||||||||||
Other investment securities: | Other investment securities: | Other investment securities: | ||||||||||||||||||||||||||||||||||||||
AFS securities: | AFS securities: | AFS securities: | ||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | GSE and TVA debentures | 3,109 | 3,503 | (394) | GSE and TVA debentures | 2,729 | 3,503 | (774) | ||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 6,366 | 6,642 | (276) | GSE MBS | 6,590 | 6,642 | (52) | ||||||||||||||||||||||||||||||||
Total AFS securities | Total AFS securities | 9,475 | 10,145 | (670) | Total AFS securities | 9,319 | 10,145 | (826) | ||||||||||||||||||||||||||||||||
HTM securities: | HTM securities: | HTM securities: | ||||||||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed MBS | Other U.S. obligations - guaranteed MBS | 2,572 | 2,623 | (51) | Other U.S. obligations - guaranteed MBS | 2,738 | 2,623 | 115 | ||||||||||||||||||||||||||||||||
GSE MBS | GSE MBS | 1,902 | 2,078 | (176) | GSE MBS | 1,759 | 2,078 | (319) | ||||||||||||||||||||||||||||||||
Total HTM securities | Total HTM securities | 4,474 | 4,701 | (227) | Total HTM securities | 4,497 | 4,701 | (204) | ||||||||||||||||||||||||||||||||
Total investment securities | Total investment securities | 19,480 | 19,941 | (461) | Total investment securities | 18,675 | 19,941 | (1,266) | ||||||||||||||||||||||||||||||||
Total cash and investments, carrying value | Total cash and investments, carrying value | $ | 28,353 | $ | 25,568 | $ | 2,785 | Total cash and investments, carrying value | $ | 27,004 | $ | 25,568 | $ | 1,436 |
March 31, 2021 | December 31, 2020 | |||||||||||||||||||||||||
Interest-Rate Payment Terms | Estimated Fair Value | % of Total | Estimated Fair Value | % of Total | ||||||||||||||||||||||
Trading Securities: | ||||||||||||||||||||||||||
U.S. Treasury obligations fixed-rate | $ | 5,531 | 100 | % | $ | 5,095 | 100 | % | ||||||||||||||||||
Total trading securities | $ | 5,531 | 100 | % | $ | 5,095 | 100 | % | ||||||||||||||||||
Amortized Cost | % of Total | Amortized Cost | % of Total | |||||||||||||||||||||||
AFS Securities: | ||||||||||||||||||||||||||
Total non-MBS fixed-rate | $ | 3,062 | 33 | % | $ | 3,463 | 35 | % | ||||||||||||||||||
Total MBS fixed-rate | 6,203 | 67 | % | 6,545 | 65 | % | ||||||||||||||||||||
Total AFS securities | $ | 9,265 | 100 | % | $ | 10,008 | 100 | % | ||||||||||||||||||
HTM Securities: | ||||||||||||||||||||||||||
MBS: | ||||||||||||||||||||||||||
Fixed-rate | $ | 253 | 6 | % | $ | 283 | 6 | % | ||||||||||||||||||
Variable-rate | 4,221 | 94 | % | 4,418 | 94 | % | ||||||||||||||||||||
Total MBS | 4,474 | 100 | % | 4,701 | 100 | % | ||||||||||||||||||||
Total HTM securities | $ | 4,474 | 100 | % | $ | 4,701 | 100 | % | ||||||||||||||||||
Total AFS and HTM securities: | ||||||||||||||||||||||||||
Total fixed-rate | $ | 9,518 | 69 | % | $ | 10,291 | 70 | % | ||||||||||||||||||
Total variable-rate | 4,221 | 31 | % | 4,418 | 30 | % | ||||||||||||||||||||
Total AFS and HTM securities | $ | 13,739 | 100 | % | $ | 14,709 | 100 | % |
September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||
Interest-Rate Payment Terms | Estimated Fair Value | % of Total | Estimated Fair Value | % of Total | ||||||||||||||||||||||
Trading Securities: | ||||||||||||||||||||||||||
U.S. Treasury obligations fixed-rate | $ | 4,859 | 100 | % | $ | 5,095 | 100 | % | ||||||||||||||||||
Total trading securities | $ | 4,859 | 100 | % | $ | 5,095 | 100 | % | ||||||||||||||||||
Amortized Cost | % of Total | Amortized Cost | % of Total | |||||||||||||||||||||||
AFS Securities: | ||||||||||||||||||||||||||
Total non-MBS fixed-rate | $ | 2,683 | 29 | % | $ | 3,463 | 35 | % | ||||||||||||||||||
Total MBS fixed-rate | 6,458 | 71 | % | 6,545 | 65 | % | ||||||||||||||||||||
Total AFS securities | $ | 9,141 | 100 | % | $ | 10,008 | 100 | % | ||||||||||||||||||
HTM Securities: | ||||||||||||||||||||||||||
MBS: | ||||||||||||||||||||||||||
Fixed-rate | $ | 227 | 5 | % | $ | 283 | 6 | % | ||||||||||||||||||
Variable-rate | 4,270 | 95 | % | 4,418 | 94 | % | ||||||||||||||||||||
Total MBS | 4,497 | 100 | % | 4,701 | 100 | % | ||||||||||||||||||||
Total HTM securities | $ | 4,497 | 100 | % | $ | 4,701 | 100 | % | ||||||||||||||||||
Total AFS and HTM securities: | ||||||||||||||||||||||||||
Total fixed-rate | $ | 9,368 | 69 | % | $ | 10,291 | 70 | % | ||||||||||||||||||
Total variable-rate | 4,270 | 31 | % | 4,418 | 30 | % | ||||||||||||||||||||
Total AFS and HTM securities | $ | 13,638 | 100 | % | $ | 14,709 | 100 | % |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
By Term | By Term | Par Value | % of Total | Par Value | % of Total | By Term | Par Value | % of Total | Par Value | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Consolidated obligations due in 1 year or less: | Consolidated obligations due in 1 year or less: | Consolidated obligations due in 1 year or less: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Discount notes | Discount notes | $ | 17,575 | 29 | % | $ | 16,620 | 28 | % | Discount notes | $ | 12,715 | 22 | % | $ | 16,620 | 28 | % | ||||||||||||||||||||||||||||||||||
CO bonds | CO bonds | 24,710 | 41 | % | 31,127 | 52 | % | CO bonds | 19,459 | 35 | % | 31,127 | 52 | % | ||||||||||||||||||||||||||||||||||||||
Total due in 1 year or less | Total due in 1 year or less | 42,285 | 70 | % | 47,747 | 80 | % | Total due in 1 year or less | 32,174 | 57 | % | 47,747 | 80 | % | ||||||||||||||||||||||||||||||||||||||
Long-term CO bonds | Long-term CO bonds | 18,099 | 30 | % | 12,119 | 20 | % | Long-term CO bonds | 23,798 | 43 | % | 12,119 | 20 | % | ||||||||||||||||||||||||||||||||||||||
Total consolidated obligations | Total consolidated obligations | $ | 60,384 | 100 | % | $ | 59,866 | 100 | % | Total consolidated obligations | $ | 55,972 | 100 | % | $ | 59,866 | 100 | % |
Hedged Item | Hedged Item | March 31, 2021 | December 31, 2020 | Hedged Item | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Advances | Advances | $ | 16,222 | $ | 16,573 | Advances | $ | 17,355 | $ | 16,573 | ||||||||||||||||||
Investments | Investments | 15,141 | 15,035 | Investments | 14,307 | 15,035 | ||||||||||||||||||||||
Mortgage loans | Mortgage loans | 463 | 361 | Mortgage loans | 280 | 361 | ||||||||||||||||||||||
CO bonds | CO bonds | 20,555 | 17,473 | CO bonds | 20,530 | 17,473 | ||||||||||||||||||||||
Discount notes | Discount notes | 1,000 | 950 | Discount notes | 600 | 950 | ||||||||||||||||||||||
Total notional | Total notional | $ | 53,381 | $ | 50,392 | Total notional | $ | 53,072 | $ | 50,392 |
March 31, 2021 | Advances | Investments | CO Bonds | Total | ||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | Advances | Investments | CO Bonds | Total | |||||||||||||||||||||||||||||||||||||||||||||||
Cumulative fair-value hedging basis adjustments on hedged items | Cumulative fair-value hedging basis adjustments on hedged items | $ | 384 | $ | 229 | $ | 102 | $ | 715 | Cumulative fair-value hedging basis adjustments on hedged items | $ | 325 | $ | 288 | $ | 100 | $ | 713 | ||||||||||||||||||||||||||||||||||
Estimated fair value of associated derivatives, net | Estimated fair value of associated derivatives, net | (376) | (21) | (95) | (492) | Estimated fair value of associated derivatives, net | (327) | (1) | (93) | (421) | ||||||||||||||||||||||||||||||||||||||||||
Net cumulative fair-value hedging basis adjustments | Net cumulative fair-value hedging basis adjustments | $ | 8 | $ | 208 | $ | 7 | $ | 223 | Net cumulative fair-value hedging basis adjustments | $ | (2) | $ | 287 | $ | 7 | $ | 292 |
Components | Components | March 31, 2021 | December 31, 2020 | Components | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Capital stock | Capital stock | 62 | % | 64 | % | Capital stock | 63 | % | 64 | % | ||||||||||||||||||
Retained earnings | Retained earnings | 33 | % | 33 | % | Retained earnings | 33 | % | 33 | % | ||||||||||||||||||
AOCI | AOCI | 5 | % | 3 | % | AOCI | 4 | % | 3 | % | ||||||||||||||||||
Total GAAP capital | Total GAAP capital | 100 | % | 100 | % | Total GAAP capital | 100 | % | 100 | % |
Reconciliation | Reconciliation | March 31, 2021 | December 31, 2020 | Reconciliation | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Total GAAP capital | Total GAAP capital | $ | 3,547 | $ | 3,450 | Total GAAP capital | $ | 3,551 | $ | 3,450 | ||||||||||||||||||
Exclude: AOCI | Exclude: AOCI | (180) | (105) | Exclude: AOCI | (151) | (105) | ||||||||||||||||||||||
Add: MRCS | Add: MRCS | 233 | 251 | Add: MRCS | 50 | 251 | ||||||||||||||||||||||
Total regulatory capital | Total regulatory capital | $ | 3,600 | $ | 3,596 | Total regulatory capital | $ | 3,450 | $ | 3,596 |
March 31, 2021 | December 31, 2020 | September 30, 2021 | December 31, 2020 | |||||||||||||||||||||||||||||||||||||||||||||||||
By Type of Member Institution | By Type of Member Institution | Amount | % of Total | Amount | % of Total | By Type of Member Institution | Amount | % of Total | Amount | % of Total | ||||||||||||||||||||||||||||||||||||||||||
Capital Stock: | Capital Stock: | Capital Stock: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Depository institutions: | Depository institutions: | Depository institutions: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Commercial banks and savings institutions | Commercial banks and savings institutions | $ | 1,114 | 46 | % | $ | 1,108 | 45 | % | Commercial banks and savings institutions | $ | 1,130 | 50 | % | $ | 1,108 | 45 | % | ||||||||||||||||||||||||||||||||||
Credit unions | Credit unions | 298 | 12 | % | 298 | 12 | % | Credit unions | 303 | 13 | % | 298 | 12 | % | ||||||||||||||||||||||||||||||||||||||
Total depository institutions | Total depository institutions | 1,412 | 58 | % | 1,406 | 57 | % | Total depository institutions | 1,433 | 63 | % | 1,406 | 57 | % | ||||||||||||||||||||||||||||||||||||||
Insurance companies | Insurance companies | 802 | 33 | % | 802 | 33 | % | Insurance companies | 804 | 35 | % | 802 | 33 | % | ||||||||||||||||||||||||||||||||||||||
CDFIs | CDFIs | — | — | % | — | — | % | CDFIs | — | — | % | — | — | % | ||||||||||||||||||||||||||||||||||||||
Total capital stock, putable at par value | Total capital stock, putable at par value | 2,214 | 91 | % | 2,208 | 90 | % | Total capital stock, putable at par value | 2,237 | 98 | % | 2,208 | 90 | % | ||||||||||||||||||||||||||||||||||||||
MRCS: | MRCS: | MRCS: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Captive insurance companies (1) | Captive insurance companies (1) | 13 | 1 | % | 31 | 1 | % | Captive insurance companies (1) | 12 | 1 | % | 31 | 1 | % | ||||||||||||||||||||||||||||||||||||||
Former members | Former members | 220 | 8 | % | 220 | 9 | % | Former members | 38 | 1 | % | 220 | 9 | % | ||||||||||||||||||||||||||||||||||||||
Total MRCS | Total MRCS | 233 | 9 | % | 251 | 10 | % | Total MRCS | 50 | 2 | % | 251 | 10 | % | ||||||||||||||||||||||||||||||||||||||
Total regulatory capital stock | Total regulatory capital stock | $ | 2,447 | 100 | % | $ | 2,459 | 100 | % | Total regulatory capital stock | $ | 2,287 | 100 | % | $ | 2,459 | 100 | % |
Components | Components | March 31, 2021 | December 31, 2020 | Components | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Member capital stock not subject to outstanding redemption requests | Member capital stock not subject to outstanding redemption requests | $ | 655 | $ | 605 | Member capital stock not subject to outstanding redemption requests | $ | 842 | $ | 605 | ||||||||||||||||||
Member capital stock subject to outstanding redemption requests | Member capital stock subject to outstanding redemption requests | 11 | — | |||||||||||||||||||||||||
MRCS | MRCS | 209 | 225 | MRCS | 28 | 225 | ||||||||||||||||||||||
Total excess capital stock | Total excess capital stock | $ | 864 | $ | 830 | Total excess capital stock | $ | 881 | $ | 830 | ||||||||||||||||||
Excess stock as a percentage of regulatory capital stock | Excess stock as a percentage of regulatory capital stock | 35 | % | 34 | % | Excess stock as a percentage of regulatory capital stock | 39 | % | 34 | % |
Risk-Based Capital Components | Risk-Based Capital Components | March 31, 2021 | December 31, 2020 | Risk-Based Capital Components | September 30, 2021 | December 31, 2020 | ||||||||||||||||||||||
Credit risk | Credit risk | $ | 176 | $ | 158 | Credit risk | $ | 155 | $ | 158 | ||||||||||||||||||
Market risk | Market risk | 442 | 327 | Market risk | 594 | 327 | ||||||||||||||||||||||
Operations risk | Operations risk | 185 | 146 | Operations risk | 224 | 146 | ||||||||||||||||||||||
Total risk-based capital requirement | Total risk-based capital requirement | $ | 803 | $ | 631 | Total risk-based capital requirement | $ | 973 | $ | 631 | ||||||||||||||||||
Permanent capital | Permanent capital | $ | 3,600 | $ | 3,596 | Permanent capital | $ | 3,450 | $ | 3,596 |
March 31, 2021 | AA | A | Total | |||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | AA | A | Total | ||||||||||||||||||||||||||||||||||||
Domestic | Domestic | $ | — | $ | 100 | $ | 100 | Domestic | $ | — | $ | 100 | $ | 100 | ||||||||||||||||||||||||||
Australia | Australia | 1,000 | — | 1,000 | Australia | 960 | — | 960 | ||||||||||||||||||||||||||||||||
Canada | Canada | — | 610 | 610 | Canada | — | 500 | 500 | ||||||||||||||||||||||||||||||||
Netherlands | Netherlands | — | 610 | 610 | Netherlands | — | 615 | 615 | ||||||||||||||||||||||||||||||||
Sweden | — | 610 | 610 | |||||||||||||||||||||||||||||||||||||
Total unsecured credit exposure | Total unsecured credit exposure | $ | 1,000 | $ | 1,930 | $ | 2,930 | Total unsecured credit exposure | $ | 960 | $ | 1,215 | $ | 2,175 |
Below | ||||||||||||||||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||||||||||||||||
September 30, 2021 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | — | $ | 100 | $ | — | $ | — | $ | 100 | ||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | 4,200 | — | — | — | 4,200 | ||||||||||||||||||||||||||||||||
Federal funds sold | — | 960 | 1,115 | — | — | 2,075 | ||||||||||||||||||||||||||||||||
Total short-term investments | — | 5,160 | 1,215 | — | — | 6,375 | ||||||||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | — | 4,859 | — | — | — | 4,859 | ||||||||||||||||||||||||||||||||
Total trading securities | — | 4,859 | — | — | — | 4,859 | ||||||||||||||||||||||||||||||||
Other investment securities: | ||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | — | 2,729 | — | — | — | 2,729 | ||||||||||||||||||||||||||||||||
GSE MBS | — | 8,350 | — | — | — | 8,350 | ||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 2,737 | — | — | — | 2,737 | ||||||||||||||||||||||||||||||||
Total other investment securities | — | 13,816 | — | — | — | 13,816 | ||||||||||||||||||||||||||||||||
Total investments, carrying value | $ | — | $ | 23,835 | $ | 1,215 | $ | — | $ | — | $ | 25,050 | ||||||||||||||||||||||||||
Percentage of total | — | % | 95 | % | 5 | % | — | % | — | % | 100 | % | ||||||||||||||||||||||||||
Below | ||||||||||||||||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||||||||||||||||
March 31, 2021 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | — | $ | 100 | $ | — | $ | — | $ | 100 | ||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | 4,500 | — | — | — | 4,500 | ||||||||||||||||||||||||||||||||
Federal funds sold | — | 1,000 | 1,830 | — | — | 2,830 | ||||||||||||||||||||||||||||||||
Total short-term investments | — | 5,500 | 1,930 | — | — | 7,430 | ||||||||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | — | 5,531 | — | — | — | 5,531 | ||||||||||||||||||||||||||||||||
Total trading securities | — | 5,531 | — | — | — | 5,531 | ||||||||||||||||||||||||||||||||
Other investment securities: | ||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | — | 3,109 | — | — | — | 3,109 | ||||||||||||||||||||||||||||||||
GSE MBS | — | 8,268 | — | — | — | 8,268 | ||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 2,572 | — | — | — | 2,572 | ||||||||||||||||||||||||||||||||
Total other investment securities | — | 13,949 | — | — | — | 13,949 | ||||||||||||||||||||||||||||||||
Total investments, carrying value | $ | — | $ | 24,980 | $ | 1,930 | $ | — | $ | — | $ | 26,910 | ||||||||||||||||||||||||||
Percentage of total | — | % | 93 | % | 7 | % | — | % | — | % | 100 | % | ||||||||||||||||||||||||||
Below | ||||||||||||||||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||||||||||||||||
December 31, 2020 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | — | $ | 100 | $ | — | $ | — | $ | 100 | ||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | 2,500 | — | — | — | 2,500 | ||||||||||||||||||||||||||||||||
Federal funds sold | — | 100 | 1,115 | — | — | 1,215 | ||||||||||||||||||||||||||||||||
Total short-term investments | — | 2,600 | 1,215 | — | — | 3,815 | ||||||||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | — | 5,095 | — | — | — | 5,095 | ||||||||||||||||||||||||||||||||
Total trading securities | — | 5,095 | — | — | — | 5,095 | ||||||||||||||||||||||||||||||||
Other investment securities: | ||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | — | 3,503 | — | — | — | 3,503 | ||||||||||||||||||||||||||||||||
GSE MBS | — | 8,720 | — | — | — | 8,720 | ||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 2,623 | — | — | — | 2,623 | ||||||||||||||||||||||||||||||||
Total other investment securities | — | 14,846 | — | — | — | 14,846 | ||||||||||||||||||||||||||||||||
Total investments, carrying value | $ | — | $ | 22,541 | $ | 1,215 | $ | — | $ | — | $ | 23,756 | ||||||||||||||||||||||||||
Percentage of total | — | % | 95 | % | 5 | % | — | % | — | % | 100 | % | ||||||||||||||||||||||||||
Below | ||||||||||||||||||||||||||||||||||||||
Investment | ||||||||||||||||||||||||||||||||||||||
December 31, 2020 | AAA | AA | A | BBB | Grade | Total | ||||||||||||||||||||||||||||||||
Short-term investments: | ||||||||||||||||||||||||||||||||||||||
Interest-bearing deposits | $ | — | $ | — | $ | 100 | $ | — | $ | — | $ | 100 | ||||||||||||||||||||||||||
Securities purchased under agreements to resell | — | 2,500 | — | — | — | 2,500 | ||||||||||||||||||||||||||||||||
Federal funds sold | — | 100 | 1,115 | — | — | 1,215 | ||||||||||||||||||||||||||||||||
Total short-term investments | — | 2,600 | 1,215 | — | — | 3,815 | ||||||||||||||||||||||||||||||||
Trading securities: | ||||||||||||||||||||||||||||||||||||||
U.S. Treasury obligations | — | 5,095 | — | — | — | 5,095 | ||||||||||||||||||||||||||||||||
Total trading securities | — | 5,095 | — | — | — | 5,095 | ||||||||||||||||||||||||||||||||
Other investment securities: | ||||||||||||||||||||||||||||||||||||||
GSE and TVA debentures | — | 3,503 | — | — | — | 3,503 | ||||||||||||||||||||||||||||||||
GSE MBS | — | 8,720 | — | — | — | 8,720 | ||||||||||||||||||||||||||||||||
Other U.S. obligations - guaranteed RMBS | — | 2,623 | — | — | — | 2,623 | ||||||||||||||||||||||||||||||||
Total other investment securities | — | 14,846 | — | — | — | 14,846 | ||||||||||||||||||||||||||||||||
Total investments, carrying value | $ | — | $ | 22,541 | $ | 1,215 | $ | — | $ | — | $ | 23,756 | ||||||||||||||||||||||||||
Percentage of total | — | % | 95 | % | 5 | % | — | % | — | % | 100 | % | ||||||||||||||||||||||||||
Three Months Ended September 30, 2021 | ||||||||||||||||||||||||||||||||||||||
LRA Activity | Original | Advantage | Total | |||||||||||||||||||||||||||||||||||
Liability, beginning of period | $ | 4 | $ | 216 | $ | 220 | ||||||||||||||||||||||||||||||||
Additions | — | 5 | 5 | |||||||||||||||||||||||||||||||||||
Claims paid | — | — | — | |||||||||||||||||||||||||||||||||||
Distributions to PFIs | — | — | — | |||||||||||||||||||||||||||||||||||
Liability, end of period | $ | 4 | $ | 221 | $ | 225 |
Three Months Ended March 31, 2021 | Nine Months Ended September 30, 2021 | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
LRA Activity | LRA Activity | Original | Advantage | Total | LRA Activity | Original | Advantage | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liability, beginning of period | Liability, beginning of period | $ | 4 | $ | 203 | $ | 207 | Liability, beginning of period | $ | 4 | $ | 203 | $ | 207 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Additions | Additions | — | 7 | 7 | Additions | — | 18 | 18 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Claims paid | Claims paid | — | — | — | Claims paid | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Distributions to PFIs | Distributions to PFIs | — | — | — | Distributions to PFIs | — | — | — | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Liability, end of period | Liability, end of period | $ | 4 | $ | 210 | $ | 214 | Liability, end of period | $ | 4 | $ | 221 | $ | 225 |
March 31, 2021 | Notional Amount | Net Estimated Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure | ||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | Notional Amount | Net Estimated Fair Value Before Collateral | Cash Collateral Pledged To (From) Counterparties | Net Credit Exposure | |||||||||||||||||||||||||||||||||||||||||||||||
Non-member counterparties: | Non-member counterparties: | Non-member counterparties: | ||||||||||||||||||||||||||||||||||||||||||||||||||
Asset positions with credit exposure | Asset positions with credit exposure | Asset positions with credit exposure | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared derivatives - A | Uncleared derivatives - A | $ | 232 | $ | 2 | $ | — | $ | 2 | Uncleared derivatives - A | $ | 63 | $ | — | $ | — | $ | — | ||||||||||||||||||||||||||||||||||
Cleared derivatives (1) | Cleared derivatives (1) | 30,817 | 16 | 261 | 277 | Cleared derivatives (1) | 9,900 | 3 | 77 | 80 | ||||||||||||||||||||||||||||||||||||||||||
Liability positions with credit exposure | Liability positions with credit exposure | Liability positions with credit exposure | ||||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared derivatives - AA | 201 | (12) | 13 | 1 | ||||||||||||||||||||||||||||||||||||||||||||||||
Uncleared derivatives - A | Uncleared derivatives - A | 9,350 | (140) | 145 | 5 | Uncleared derivatives - A | 199 | (5) | 5 | — | ||||||||||||||||||||||||||||||||||||||||||
Cleared derivatives (1) | Cleared derivatives (1) | — | — | — | — | Cleared derivatives (1) | 14,956 | (3) | 154 | 151 | ||||||||||||||||||||||||||||||||||||||||||
Total derivative positions with credit exposure to non-member counterparties | Total derivative positions with credit exposure to non-member counterparties | 40,600 | (134) | 419 | 285 | Total derivative positions with credit exposure to non-member counterparties | 25,118 | (5) | 236 | 231 | ||||||||||||||||||||||||||||||||||||||||||
Total derivative positions with credit exposure to member institutions (2) | Total derivative positions with credit exposure to member institutions (2) | 30 | — | — | — | Total derivative positions with credit exposure to member institutions (2) | 42 | — | — | — | ||||||||||||||||||||||||||||||||||||||||||
Subtotal - derivative positions with credit exposure | Subtotal - derivative positions with credit exposure | 40,630 | $ | (134) | $ | 419 | $ | 285 | Subtotal - derivative positions with credit exposure | 25,160 | $ | (5) | $ | 236 | $ | 231 | ||||||||||||||||||||||||||||||||||||
Derivative positions without credit exposure | Derivative positions without credit exposure | 12,751 | Derivative positions without credit exposure | 27,912 | ||||||||||||||||||||||||||||||||||||||||||||||||
Total derivative positions | Total derivative positions | $ | 53,381 | Total derivative positions | $ | 53,072 |
March 31, 2021 | Down 200 (1) | Down 100 (1) | Base | Up 100 | Up 200 | |||||||||||||||||||||||||||
MVE | $ | 3,841 | $ | 3,816 | $ | 3,802 | $ | 3,812 | $ | 3,782 | ||||||||||||||||||||||
Percent change in MVE from base | 1.0 | % | 0.4 | % | — | % | 0.3 | % | (0.5) | % | ||||||||||||||||||||||
MVE/book value of equity | 101.6 | % | 101.0 | % | 100.6 | % | 100.9 | % | 100.0 | % | ||||||||||||||||||||||
Duration of equity | 1.6 | 0.5 | (0.2) | 0.2 | 1.3 |
September 30, 2021 | Down 200 (1) | Down 100 (1) | Base | Up 100 | Up 200 | |||||||||||||||||||||||||||
MVE | $ | 3,691 | $ | 3,578 | $ | 3,544 | $ | 3,534 | $ | 3,493 | ||||||||||||||||||||||
Percent change in MVE from base | 4.1 | % | 1.0 | % | — | % | (0.3) | % | (1.5) | % | ||||||||||||||||||||||
MVE/book value of equity | 102.5 | % | 99.4 | % | 98.4 | % | 98.1 | % | 97.0 | % | ||||||||||||||||||||||
Duration of equity | 1.9 | 1.8 | 0.4 | 0.7 | 1.6 |
December 31, 2020 | ||||||||||||||||||||||||||||||||
MVE | $ | 3,621 | $ | 3,605 | $ | 3,559 | $ | 3,579 | $ | 3,590 | ||||||||||||||||||||||
Percent change in MVE from base | 1.8 | % | 1.3 | % | 0 | % | 0.6 | % | 0.9 | % | ||||||||||||||||||||||
MVE/book value of equity | 97.8 | % | 97.4 | % | 96.2 | % | 96.7 | % | 97.0 | % | ||||||||||||||||||||||
Duration of equity | — | 0.8 | 0.7 | (0.7) | 0.4 |
LIBOR-Indexed Financial Instruments | LIBOR-Indexed Financial Instruments | Year of Maturity | LIBOR-Indexed Financial Instruments | Year of Maturity | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
March 31, 2021 | 2021 | 2022 | Through June 30, 2023 | Thereafter | Total | |||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
September 30, 2021 | September 30, 2021 | 2021 | 2022 | Through June 30, 2023 | Thereafter | Total | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Assets: | Assets: | Assets: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Advances, par value (1) | Advances, par value (1) | $ | 10 | $ | 303 | $ | 143 | $ | 2,404 | $ | 2,860 | Advances, par value (1) | $ | — | $ | 198 | $ | 78 | $ | 2,324 | $ | 2,600 | ||||||||||||||||||||||||||||||||||||||||||
Mortgage-backed securities, par value (2) | Mortgage-backed securities, par value (2) | — | — | — | 3,328 | 3,328 | Mortgage-backed securities, par value (2) | — | — | — | 2,879 | 2,879 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 10 | $ | 303 | $ | 143 | $ | 5,732 | $ | 6,188 | Total | $ | — | $ | 198 | $ | 78 | $ | 5,203 | $ | 5,479 | ||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps - receive leg, notional (2): | Interest-rate swaps - receive leg, notional (2): | Interest-rate swaps - receive leg, notional (2): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | $ | 1,466 | $ | 1,459 | $ | 785 | $ | 4,217 | $ | 7,927 | Cleared | $ | 147 | $ | 1,421 | $ | 770 | $ | 3,768 | $ | 6,106 | ||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | 95 | 320 | 316 | 8,706 | 9,437 | Uncleared | 22 | 320 | 316 | 6,498 | 7,156 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 1,561 | $ | 1,779 | $ | 1,101 | $ | 12,923 | $ | 17,364 | Total | $ | 169 | $ | 1,741 | $ | 1,086 | $ | 10,266 | $ | 13,262 | ||||||||||||||||||||||||||||||||||||||||||
Liabilities: | Liabilities: | Liabilities: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
CO bonds, par value (2) | CO bonds, par value (2) | $ | 5,360 | $ | — | $ | — | $ | — | $ | 5,360 | CO bonds, par value (2) | $ | 825 | $ | — | $ | — | $ | — | $ | 825 | ||||||||||||||||||||||||||||||||||||||||||
Interest-rate swaps - pay leg, notional (2): | Interest-rate swaps - pay leg, notional (2): | Interest-rate swaps - pay leg, notional (2): | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Cleared | Cleared | $ | 10,202 | $ | 234 | $ | 200 | $ | — | $ | 10,636 | Cleared | $ | 4,815 | $ | 1,434 | $ | 200 | $ | — | $ | 6,449 | ||||||||||||||||||||||||||||||||||||||||||
Uncleared | Uncleared | 3,150 | — | — | 84 | 3,234 | Uncleared | — | — | — | 15 | 15 | ||||||||||||||||||||||||||||||||||||||||||||||||||||
Total | Total | $ | 13,352 | $ | 234 | $ | 200 | $ | 84 | $ | 13,870 | Total | $ | 4,815 | $ | 1,434 | $ | 200 | $ | 15 | $ | 6,464 | ||||||||||||||||||||||||||||||||||||||||||
Other derivatives, notional: | Other derivatives, notional: | Other derivatives, notional: | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Interest-rate caps held (2) | Interest-rate caps held (2) | $ | — | $ | 15 | $ | — | $ | 611 | $ | 626 | Interest-rate caps held (2) | $ | — | $ | 15 | $ | — | $ | 611 | $ | 626 |
December 31, 2020 | ||||||||||||||||||||||||||||||||
Assets: | ||||||||||||||||||||||||||||||||
Advances, par value (1) | $ | 40 | $ | 353 | $ | 187 | $ | 2,913 | $ | 3,493 | ||||||||||||||||||||||
Mortgage-backed securities, par value (2) | — | 32 | — | 3,555 | 3,587 | |||||||||||||||||||||||||||
Total | $ | 40 | $ | 385 | $ | 187 | $ | 6,468 | $ | 7,080 | ||||||||||||||||||||||
Interest-rate swaps - receive leg, notional (2): | ||||||||||||||||||||||||||||||||
Cleared | $ | 2,037 | $ | 1,464 | $ | 786 | $ | 4,218 | $ | 8,505 | ||||||||||||||||||||||
Uncleared | 105 | 320 | 316 | 9,914 | 10,655 | |||||||||||||||||||||||||||
Total | $ | 2,142 | $ | 1,784 | $ | 1,102 | $ | 14,132 | $ | 19,160 | ||||||||||||||||||||||
Liabilities: | ||||||||||||||||||||||||||||||||
CO bonds, par value (2) | $ | 6,675 | $ | — | $ | — | $ | — | $ | 6,675 | ||||||||||||||||||||||
Interest-rate swaps - pay leg, notional (2): | ||||||||||||||||||||||||||||||||
Cleared | $ | 12,711 | $ | 234 | $ | 200 | $ | — | $ | 13,145 | ||||||||||||||||||||||
Uncleared | 2,950 | — | — | 204 | 3,154 | |||||||||||||||||||||||||||
Total | $ | 15,661 | $ | 234 | $ | 200 | $ | 204 | $ | 16,299 | ||||||||||||||||||||||
Other derivatives, notional: | ||||||||||||||||||||||||||||||||
Interest-rate caps held (2) | $ | — | $ | 15 | $ | — | $ | 611 | $ | 626 |
Exhibit Number | Description | |||||||
3.1* | ||||||||
3.2* | ||||||||
4.1* | ||||||||
10.1* | ||||||||
31.1 | ||||||||
31.2 | ||||||||
31.3 | ||||||||
32 | ||||||||
101.INS | XBRL Instance Document | |||||||
101.SCH | XBRL Taxonomy Extension Schema Document | |||||||
101.CAL | XBRL Taxonomy Extension Calculation Linkbase Document | |||||||
101.LAB | XBRL Taxonomy Extension Label Linkbase Document | |||||||
101.PRE | XBRL Taxonomy Extension Presentation Linkbase Document | |||||||
101.DEF | XBRL Taxonomy Extension Definition Linkbase Document |
FEDERAL HOME LOAN BANK OF INDIANAPOLIS | ||||||||
By: | /s/ CINDY L. KONICH | |||||||
Name: | Cindy L. Konich | |||||||
Title: | President - Chief Executive Officer | |||||||
By: | /s/ GREGORY L. TEARE | |||||||
Name: | Gregory L. Teare | |||||||
Title: | Executive Vice President - Chief Financial Officer | |||||||
By: | /s/ K. LOWELL SHORT, JR. | |||||||
Name: | K. Lowell Short, Jr. | |||||||
Title: | Senior Vice President - Chief Accounting Officer |