Document and Entity Information
Document and Entity Information - USD ($) | 12 Months Ended | ||
Dec. 31, 2022 | Jan. 31, 2023 | Jun. 30, 2022 | |
Document and Entity Information [Abstract] | |||
Entity Tax Identification Number | 36-6001019 | ||
Entity Address, Address Line One | 433 West Van Buren Street, Suite 501S | ||
Entity Address, City or Town | Chicago, | ||
Entity Address, State or Province | IL | ||
Entity Address, Postal Zip Code | 60607 | ||
Entity Registrant Name | Federal Home Loan Bank of Chicago | ||
City Area Code | 312 | ||
Local Phone Number | 565-5700 | ||
Entity Central Index Key | 0001331451 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Non-accelerated Filer | ||
Document Type | 10-K | ||
Document Annual Report | true | ||
Document Period End Date | Dec. 31, 2022 | ||
Document Transition Report | false | ||
Entity File Number | 000-51401 | ||
Document Fiscal Year Focus | 2022 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Common Stock, Shares Outstanding | 32,969,372 | ||
Common Stock, Value, Outstanding | $ 2,717,899,691 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Emerging Growth Company | false | ||
Entity Small Business | false | ||
Entity Shell Company | false | ||
Entity Current Reporting Status | Yes | ||
Entity Interactive Data Current | Yes | ||
Entity Public Float | $ 0 | ||
Entity Incorporation, State or Country Code | X1 | ||
Auditor Firm ID | 238 | ||
Auditor Location | Chicago, IL 60606 | ||
Auditor Name | PricewaterhouseCoopers LLP | ||
ICFR Auditor Attestation Flag | true |
Statements of Condition
Statements of Condition - USD ($) shares in Millions, $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Assets | ||
Cash and due from banks | $ 35 | $ 45 |
Interest-bearing deposits | 2,570 | 855 |
Federal funds sold | 6,443 | 3,527 |
Securities purchased under agreements to resell | 18,500 | 8,740 |
Trading | 3 | 954 |
Trading, pledged | 0 | 645 |
Available-for-sale | 20,700 | 22,706 |
Available-for-sale, amortized cost | 20,879 | 22,340 |
Available-for-sale, pledged | 692 | 0 |
Held-to-maturity, amortized cost | 1,431 | 1,801 |
Held-to-maturity, fair value | 1,419 | 1,832 |
Investment debt securities | 22,134 | 25,461 |
Advances | 66,288 | 48,049 |
Advances, fair value | 661 | 1,173 |
MPF Loans held in portfolio, net of allowance | 10,160 | 9,843 |
Derivative assets | 25 | 14 |
Other assets | 698 | 420 |
Other assets, fair value | 109 | 104 |
Assets | 126,853 | 96,954 |
Deposits - | ||
Demand and overnight - noninterest-bearing | 94 | 205 |
Demand and overnight - interest-bearing | 477 | 829 |
Demand and overnight - interest-bearing, from other FHLBs | 11 | 11 |
Deposits | 571 | 1,034 |
Consolidated obligations - | ||
Discount Notes | 59,531 | 24,563 |
Discount Notes, fair value | 253 | 0 |
Bonds | 58,116 | 63,373 |
Bonds, fair value | 718 | 665 |
Consolidated obligations, net - | 117,647 | 87,936 |
Derivative liabilities | 10 | 32 |
Affordable Housing Program assessment payable | 99 | 85 |
Mandatorily redeemable capital stock | 248 | 247 |
Other liabilities | 813 | 868 |
Liabilities | 119,388 | 90,202 |
Commitments and contingencies - see notes to the financial statements | ||
Capital | ||
Class B1 activity stock | $ 2,310 | $ 1,409 |
Class B1 activity stock shares issued and outstanding in millions | 23 | 14 |
Class B2 membership stock | $ 679 | $ 740 |
Class B2 membership stock shares issued and outstanding in millions | 7 | 7 |
Capital stock - putable | $ 2,989 | $ 2,149 |
Capital stock, par value per share | $ 100 | $ 100 |
Retained earnings - unrestricted | $ 3,778 | $ 3,558 |
Retained earnings - restricted | 786 | 703 |
Retained earnings | 4,564 | 4,261 |
Accumulated other comprehensive income (loss) (AOCI) | (88) | 342 |
Capital | 7,465 | 6,752 |
Liabilities and capital | 126,853 | 96,954 |
MPF Loans held in portfolio | ||
Assets | ||
Allowance for credit losses | (5) | (5) |
Allowance for credit losses | (5) | (5) |
Other assets | ||
Assets | ||
Allowance for credit losses | (7) | (7) |
Allowance for credit losses | $ (7) | $ (7) |
Statements of Income
Statements of Income - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Income Statement [Abstract] | |||
Interest income | $ 2,536 | $ 828 | $ 1,435 |
Interest expense | 1,859 | 285 | 840 |
Net interest income | 677 | 543 | 595 |
Provision for (reversal of) credit losses | 2 | 2 | 7 |
Net interest income after provision for (reversal of) credit losses | 675 | 541 | 588 |
Noninterest income - | |||
Trading securities | 1 | (44) | 15 |
Investment securities gains | 0 | 1 | 109 |
Derivatives | 48 | 17 | (148) |
Instruments held under the fair value option | (56) | (46) | 60 |
MPF Fees | 36 | 46 | 54 |
MPF Fees from other FHLBs | 24 | 25 | 31 |
Other, net | 3 | 14 | 14 |
Noninterest income (loss) | 32 | (12) | 104 |
Noninterest expense - | |||
Compensation and benefits | 117 | 105 | 132 |
Nonpayroll operating expenses | 93 | 81 | 88 |
Voluntary Community Investment contributions | 11 | 4 | 6 |
COVID-19 relief program | 0 | 3 | 28 |
Federal Housing Finance Agency and Office of Finance | 19 | 17 | 13 |
Other, net | 4 | 12 | 8 |
Noninterest expense | 244 | 222 | 275 |
Income before assessments | 463 | 307 | 417 |
Affordable Housing Program assessment | 48 | 32 | 43 |
Net income | $ 415 | $ 275 | $ 374 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Statement of Comprehensive Income [Abstract] | |||
Net income | $ 415 | $ 275 | $ 374 |
Other comprehensive income (loss) - | |||
Net unrealized gain (loss) available-for-sale debt securities | (545) | 74 | 188 |
Noncredit OTTI held-to-maturity debt securities | 0 | 0 | 85 |
Net unrealized gain (loss) cash flow hedges | 113 | 54 | (27) |
Postretirement plans | 2 | 7 | (10) |
Other comprehensive income (loss) | (430) | 135 | 236 |
Comprehensive income | $ (15) | $ 410 | $ 610 |
Statements of Stockholders' Equ
Statements of Stockholders' Equity - USD ($) shares in Millions, $ in Millions | Total | Cumulative Effect, Period of Adoption, Adjustment [Member] | Retained Earnings, Unrestricted | Retained Earnings, Unrestricted Cumulative Effect, Period of Adoption, Adjustment [Member] | Retained Earnings, Restricted | AOCI | Common Stock Capital Stock - Putable - B1 Activity | Common Stock Capital Stock - Putable - B2 Membership |
Shares, beginning at Dec. 31, 2019 | 13 | 4 | ||||||
Balance, beginning at Dec. 31, 2019 | $ 5,454 | $ 3,197 | $ 573 | $ (29) | $ 1,337 | $ 376 | ||
Balance, beginning (Accounting Standards Update 2016-13 [Member]) at Dec. 31, 2019 | $ (7) | $ (7) | ||||||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 610 | 299 | 75 | 236 | ||||
Issuance of capital stock (shares) | 18 | 0 | ||||||
Issuance of capital stock | 1,725 | $ 1,701 | $ 24 | |||||
Repurchases of capital stock (shares) | 0 | (14) | ||||||
Repurchase of capital stock | (1,427) | $ 0 | $ (1,427) | |||||
Capital stock reclassified to mandatorily redeemable capital stock liability (shares) | 0 | 0 | ||||||
Capital stock reclassified to mandatorily redeemable capital stock liability | (1) | $ 0 | $ (1) | |||||
Transfers between classes of capital stock (shares) | (18) | 18 | ||||||
Transfers between classes of capital stock | $ (1,781) | $ 1,781 | ||||||
Partial recovery of prior capital distribution to FICO - see Note 12 | (19) | (19) | ||||||
Cash dividends - class B1 annualized rate and amount | (77) | (77) | ||||||
Cash dividends - class B2 annualized rate and amount | (7) | (7) | ||||||
Common Stock Dividend - Annualized Rate | 5% | 2.25% | ||||||
Total change in period (shares) | 0 | 4 | ||||||
Total change in period, excl. cumulative effect | 842 | 234 | 75 | 236 | $ (80) | $ 377 | ||
Shares, ending at Dec. 31, 2020 | 13 | 8 | ||||||
Balance, ending at Dec. 31, 2020 | 6,289 | 3,424 | 648 | 207 | $ 1,257 | $ 753 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | 410 | 220 | 55 | 135 | ||||
Issuance of capital stock (shares) | 6 | 0 | ||||||
Issuance of capital stock | 689 | $ 669 | $ 20 | |||||
Repurchases of capital stock (shares) | 0 | (6) | ||||||
Repurchase of capital stock | (544) | $ 0 | $ (544) | |||||
Capital stock reclassified to mandatorily redeemable capital stock liability (shares) | 0 | 0 | ||||||
Capital stock reclassified to mandatorily redeemable capital stock liability | (6) | $ 0 | $ (6) | |||||
Transfers between classes of capital stock (shares) | (5) | 5 | ||||||
Transfers between classes of capital stock | $ (517) | $ 517 | ||||||
Cash dividends - class B1 annualized rate and amount | (76) | (76) | ||||||
Cash dividends - class B2 annualized rate and amount | (10) | (10) | ||||||
Common Stock Dividend - Annualized Rate | 5% | 2% | ||||||
Total change in period (shares) | 1 | (1) | ||||||
Total change in period, excl. cumulative effect | 463 | 134 | 55 | 135 | $ 152 | $ (13) | ||
Shares, ending at Dec. 31, 2021 | 14 | 7 | ||||||
Balance, ending at Dec. 31, 2021 | 6,752 | 3,558 | 703 | 342 | $ 1,409 | $ 740 | ||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | ||||||||
Comprehensive income | (15) | 332 | 83 | (430) | ||||
Issuance of capital stock (shares) | 27 | 0 | ||||||
Issuance of capital stock | 2,653 | $ 2,633 | $ 20 | |||||
Repurchases of capital stock (shares) | 0 | (17) | ||||||
Repurchase of capital stock | (1,754) | $ 0 | $ (1,754) | |||||
Capital stock reclassified to mandatorily redeemable capital stock liability (shares) | (1) | 0 | ||||||
Capital stock reclassified to mandatorily redeemable capital stock liability | (59) | $ (55) | $ (4) | |||||
Transfers between classes of capital stock (shares) | (17) | 17 | ||||||
Transfers between classes of capital stock | $ (1,677) | $ 1,677 | ||||||
Cash dividends - class B1 annualized rate and amount | (103) | (103) | ||||||
Cash dividends - class B2 annualized rate and amount | (9) | (9) | ||||||
Common Stock Dividend - Annualized Rate | 5.60% | 2.32% | ||||||
Total change in period (shares) | 9 | 0 | ||||||
Total change in period, excl. cumulative effect | 713 | 220 | 83 | (430) | $ 901 | $ (61) | ||
Shares, ending at Dec. 31, 2022 | 23 | 7 | ||||||
Balance, ending at Dec. 31, 2022 | $ 7,465 | $ 3,778 | $ 786 | $ (88) | $ 2,310 | $ 679 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Operating | |||
Net income | $ 415 | $ 275 | $ 374 |
Adjustments to reconcile net income to net cash provided by operating activities - | |||
Net amortization (accretion) | 350 | 132 | 137 |
Change in net fair value on derivatives and hedging activities | 1,018 | 186 | (579) |
Realized (gain) loss on sale of HTM securities | 0 | 0 | (103) |
Net change in fair value on trading securities | (1) | 44 | (15) |
Net change in fair value on financial instruments held under fair value option | 56 | 46 | (60) |
Other, net | 27 | 27 | 11 |
Changes in operating assets and liabilities | (91) | 22 | (80) |
Net cash provided by (used in) operating activities | 1,774 | 732 | (315) |
Investing | |||
Net change interest-bearing deposits | (1,715) | 0 | 825 |
Net change federal funds sold | (2,916) | 598 | 3,231 |
Net change securities purchased under agreements to resell | (9,760) | 1,380 | (3,370) |
Trading debt securities - | |||
Sales | 0 | 0 | 1,602 |
Proceeds from maturities and paydowns | 952 | 4,352 | 1,654 |
Purchases | 0 | (749) | (3,225) |
Available-for-sale debt securities - | |||
Sales | 0 | 20 | 33 |
Proceeds from maturities and paydowns | 4,881 | 605 | 902 |
Purchases | (6,101) | (5,145) | (2,785) |
Held-to-maturity debt securities - | |||
Sales | 0 | 0 | 404 |
Proceeds from maturities and paydowns | 3,492 | 2,711 | 2,485 |
Purchases | (3,121) | (3,021) | (1,795) |
Advances - | |||
Principal collected | 1,014,661 | 523,849 | 965,414 |
Issued | (1,034,411) | (525,736) | (961,113) |
MPF Loans held in portfolio - | |||
Principal collected | 1,272 | 3,118 | 4,103 |
Purchases | (1,630) | (3,004) | (4,222) |
Other investing activities | (18) | (15) | (38) |
Net cash provided by (used in) investing activities | (34,414) | (1,037) | 4,105 |
Financing | |||
Net change deposits | (463) | (250) | 437 |
Net change deposits, from other FHLBs | (1) | (6) | 3 |
Discount notes - | |||
Net proceeds from issuance | 728,840 | 402,576 | 760,866 |
Payments for maturing and retiring | (694,144) | (426,653) | (753,826) |
Consolidated obligation bonds - | |||
Net proceeds from issuance | 20,753 | 46,604 | 39,750 |
Payments for maturing and retiring | (23,085) | (25,489) | (47,690) |
Capital stock - | |||
Proceeds from issuance | 2,653 | 689 | 1,725 |
Repurchases | (1,754) | (544) | (1,427) |
Cash dividends paid | (112) | (86) | (84) |
Other financing activities | (58) | (38) | (29) |
Net cash provided by (used in) financing activities | 32,630 | (3,191) | (278) |
Net increase (decrease) in cash and due from banks | (10) | (3,496) | 3,512 |
Cash and due from banks at beginning of period | 45 | 3,541 | 29 |
Cash and due from banks at end of period | 35 | 45 | 3,541 |
Supplemental | |||
Interest paid | 1,253 | 466 | 1,093 |
Affordable Housing Program assessments paid | 34 | 36 | 38 |
Transfer of MPF Loans held for sale in other assets to securitized mortgage loans in trading debt securities | 216 | 417 | 368 |
Investment securities purchased but settled in subsequent periods | $ 325 | $ 504 | $ 60 |
Background and Basis of Present
Background and Basis of Presentation | 12 Months Ended |
Dec. 31, 2022 | |
Organization, Consolidation and Presentation of Financial Statements [Abstract] | |
Organization, Consolidation and Presentation of Financial Statements Disclosure [Text Block] | Background and Basis of Presentation The Federal Home Loan Bank of Chicago is a federally chartered corporation and one of 11 Federal Home Loan Banks (the FHLBs) that, with the Office of Finance, comprise the Federal Home Loan Bank System (the System). The FHLBs are government-sponsored enterprises (GSE) of the United States of America and were organized under the Federal Home Loan Bank Act of 1932, as amended (FHLB Act), in order to improve the availability of funds to support home ownership. We are supervised and regulated by the Federal Housing Finance Agency (FHFA), an independent federal agency in the executive branch of the United States (U.S.) government. Each FHLB is a member-owned cooperative with members from a specifically defined geographic district. Our defined geographic district is Illinois and Wisconsin. All federally insured depository institutions, insurance companies engaged in residential housing finance, credit unions and CDFIs located in our district are eligible to apply for membership with us. All our members are required to purchase our capital stock as a condition of membership. Our capital stock is not publicly traded, and is issued, repurchased or redeemed at par value, $100 per share, subject to certain statutory and regulatory limits. As a cooperative, we do business with our members, and former members (under limited circumstances). Specifically, we provide credit principally in the form of secured loans called advances. We also provide liquidity for home mortgage loans to members approved as Participating Financial Institutions (PFIs) through the Mortgage Partnership Finance ® (MPF ® ) Program. Our accounting and financial reporting policies conform to generally accepted accounting principles in the United States of America (GAAP). Amounts in prior periods may be reclassified to conform to the current presentation and, if material, are disclosed in the following notes. Unless otherwise specified, references to we, us, our, and the Bank are to the Federal Home Loan Bank of Chicago. “Mortgage Partnership Finance”, “MPF”, "eMPF", “MPF Xtra”, "Downpayment Plus", "DPP", Downpayment Plus Advantage", "DPP Advantage", and "Community First" are federally registered trademarks of the Federal Home Loan Bank of Chicago. Refer to the Glossary of Terms on page 128 for the definitions of certain terms used herein. Use of Estimates and Assumptions We are required to make estimates and assumptions when preparing our financial statements in accordance with GAAP. The most significant of these estimates and assumptions applies to fair value measurements, which includes derivative instruments. Our actual results may differ from the results reported in our financial statements due to such estimates and assumptions. This includes the reported amounts of assets and liabilities, the reported amounts of income and expense, and the disclosure of contingent assets and liabilities. Basis of Presentation Gross versus Net Presentation - We present derivative assets and liabilities on a net basis in our Statements of Condition when our right to net amounts due between us and our counterparty, or us and our clearing agent, is enforceable at law. We include accrued net interest settlements and cash collateral, including initial and variation margin, in the carrying amount of a derivative. Over-the-counter derivatives are netted by contract (e.g., master netting agreement), to discharge all or a portion of the amounts that would be owed to our counterparty by applying them against the amounts that our counterparty owes to us. Additionally, we clear certain derivatives transactions with clearinghouses classified as a Derivatives Clearing Organization (DCO), through Futures Commission Merchants (FCM), a clearing member of the DCO. If these netted amounts are positive, they are classified as a derivative asset and if negative, they are classified as a derivative liability. We characterize the treatment of variation margin payments as settlements rather than as collateral for our cleared derivatives. As a result, we account for variation margin payments as settlements to our derivative assets and derivative liabilities. See Note 2 - Summary of Significant Accounting Policies for further details. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay for excess collateral to be returned. For derivative instruments that meet the netting requirements, any excess cash collateral received or pledged is recognized as a derivative liability or asset. Derivatives that do not have the legal right of offset are presented on a gross basis in our Statements of Condition . Refer to Note 9 - Derivatives and Hedging Activities for further details. Our policy is to report securities purchased under agreements to resell and securities sold under agreements to repurchase, if any, and securities borrowing transactions, if any, on a gross basis. Consolidation of Variable Interest Entities - We are not the primary beneficiary of any variable interest entity. Specifically, we do not have the power to direct the activities of any variable interest entity that would most significantly impact its economic performance and we do not have the obligation to absorb losses or the right to receive benefits from any variable interest entity that could potentially be significant to a variable interest entity. As a result, we do not consolidate any of our investments in variable interest entities. Instead, we classify variable interest entities as investment debt securities in our Statements of Condition . Such investment debt securities include, but are not limited to, Federal Family Education Loan Program asset backed securities (FFELP ABS). Additionally, under its MPF program, the Bank may also purchase loans from participating financial institutions (PFIs) and simultaneously sell these loans to investors who, in turn, may securitize them. Simultaneous with the sale of these loans, the Bank may purchase the MBS backed by these loans, which represent variable interests in securitization vehicles. We do not consolidate these securitization vehicles as we are not the primary beneficiary for the reasons described above. Refer to Note 2 - Summary of Significant Accounting Policies for further details. |
Summary of Significant Accounti
Summary of Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies [Text Block] | Summary of Significant Accounting Policies We adopted the Accounting Standards Update Measurement of Credit Losses on Financial Instruments (ASU 2016-13), as amended, for interim and annual periods effective January 1, 2020, on a modified retrospective basis. The impact at the time of adoption was recognized for any difference between our existing and Currently Expected Credit Losses (CECL) allowance for credit losses as a cumulative effect adjustment to the opening balance of our retained earnings as of January 1, 2020. We recorded a cumulative effect adjustment to our opening balance of retained earnings of $(7) million, which related to Community First ® Fund (the “Fund”) loans. There were no other material adjustments recognized at the time of adoption. ASU 2016-13 amended existing GAAP guidance applicable to measuring credit losses on financial assets carried at amortized cost, which includes loans and held-to-maturity (HTM) securities, to be presented at the net amount expected to be collected. The guidance also requires credit losses relating to these financial instruments as well as available-for-sale (AFS) securities to be recorded through an allowance for credit losses. The amendment replaced the “incurred loss” impairment methodology with a “currently expected credit losses” or CECL framework. The measurement of CECL is based on relevant information about certain events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the financial instrument’s reported amount. Expected recoveries of amounts previously written off and expected to be written off should be included in the allowance for credit losses determination but should not exceed the aggregate of amounts previously written off and expected to be written off by us. In addition, for collateral dependent financial assets, the amendment indicated that an allowance for credit losses that is added to the amortized cost of the financial asset(s) should not exceed amounts previously written off. We present accrued interest receivable separately from the amortized cost of loans and HTM debt securities in Other assets on our Statements of Condition . An allowance for credit losses determination is not required because we recognize the reversal of interest on a monthly basis in the event of an interest shortfall. The accounting for HTM and available for sale (AFS) debt securities changed on a prospective basis. Additionally, HTM and AFS debt securities will have their own allowance for credit losses, as applicable. Fair Value Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. Valuation Techniques and Significant Inputs We utilize the fair value hierarchy when selecting valuation techniques and significant inputs to measure the fair value of our assets and liabilities. Our valuation techniques may utilize market, cost, and/or income models to estimate fair values. Under the fair value hierarchy, valuation techniques and significant inputs are prioritized from the most objective, such as quoted market prices in external active markets, to the least objective, such as valuation approaches that utilize unobservable inputs. The fair value hierarchy requires us to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. Outlined below is an overview of Level 1, Level 2, and Level 3 of the fair value hierarchy. Refer to Note 15 - Fair Value for further details on our valuation techniques and significant inputs. Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that we can access at the measurement date. Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 3 inputs are unobservable inputs used to measure fair value of an asset or liability to the extent that relevant observable inputs are not available; for example, situations in which there is little, if any, market activity for the asset or liability at the measurement date. Fair Value Option Financial instruments for which we elect the fair value option are carried at fair value with any changes in fair value immediately recognized as noninterest income - instruments held under fair value option, net in our Statements of Income . Interest income or expense recognized in our Statements of Income on these financial instruments is based solely on the contractual amount of interest due or unpaid, except for our zero coupon rate discount notes for which we accrete the initial discount into interest expense over the life of the discount note. Any transaction fees or costs, are immediately recognized into noninterest expense - other in our Statements of Income . See Note 15 - Fair Value to the financial statements for further details. Cash and Cash Equivalents We consider only cash and due from banks as cash and cash equivalents. We do not have any restricted cash. Interest-Bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell We invest in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold. Securities purchased under agreements to resell are accounted for as short-term collateralized loans. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is presented separately in our Statements of Condition . Interest-bearing deposits, federal funds sold, and securities purchased under agreements to resell are evaluated quarterly for expected credit losses. Under CECL, the Bank uses the collateral maintenance provision practical expedient for our securities purchased under agreements to resell, which allows expected credit losses to be measured based on the difference between the fair value of the collateral and the investment’s amortized cost. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. These investments provide short-term liquidity and are carried at amortized cost. If applicable, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. We did not establish an allowance for credit losses for our unsecured overnight interest-bearing deposits or federal funds sold as of December 31, 2022 since all federal funds sold were repaid and all unsecured overnight interest-bearing deposits were returned according to their contractual terms. Investment Debt Securities We record purchases and sales of investment debt securities (securities) on a trade date basis. We classify securities as either trading, available-for-sale (AFS), or held-to-maturity (HTM) based on the criteria outlined below. Classification is made at the time a security is acquired and then reassessed on a quarterly basis or as the need arises. • Securities held solely for liquidity purposes are classified as trading and are carried at fair value. We are prohibited from holding trading debt securities for speculative purposes pursuant to FHFA regulations. • Securities held to provide additional earnings are classified as HTM. Classification as HTM requires that we have both the intent and ability to hold the security to maturity. • Securities not classified as either trading or HTM are classified as AFS; for example, securities held for asset-liability management purposes. Our accounting policies for trading, AFS and HTM debt securities are outlined below. For all securities the cost of a security sold or the amount reclassified out of accumulated other comprehensive income into earnings is determined on a specific identification basis. Trading debt securities are carried at fair value with any changes in fair value immediately recognized as noninterest income on trading debt securities in our Statements of Income . As a result, trading debt securities are not assessed for credit losses. Interest income on trading debt securities is based solely on the contractual amount of interest due, except for securities, if any, that have a zero coupon rate. For trading debt securities with a zero coupon rate, we accrete the initial discount into interest income over their life into our Statements of Income . Cash flows from trading debt securities, excluding cash flows from our securitized MPF Government MBS product, are presented on a gross basis and classified as investing activities in our statements of cash flows. Cash flows from our securitized MPF Government MBS product are presented on a gross basis and classified as operating activities in our statements of cash flows. AFS securities are carried at fair value with any changes in fair value immediately recognized into Other Comprehensive Income (OCI) as net unrealized gains (losses) on AFS securities, except for AFS securities that are in a fair value hedge relationship. Changes in fair value related to the benchmark interest rate on AFS securities in a fair value hedging relationship are immediately recognized into interest income in our Statements of Income together with the related change in the fair value of the derivative with the remainder of the change in fair value of the security recorded in OCI as net unrealized gains (losses) on AFS securities. For securities classified as AFS, we evaluate an individual security for impairment on a quarterly basis. Impairment exists when the fair value of the investment is less than its amortized cost basis (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there would be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows expected to be collected from the security with the amortized cost basis of the security. If the present value of cash flows is less than amortized cost basis, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The allowance is limited to the amount of the unrealized loss. If management intends to sell an AFS security in an unrealized loss position or more likely than not will be required to sell the security before expected recovery of its amortized cost, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date. If management does not intend to sell an AFS security, and it is not more likely than not that management will be required to sell the debt security, then the unrealized loss is recorded as net unrealized gains (losses) on AFS securities within OCI. For improvements in impaired AFS securities with an allowance for credit losses recognized after the adoption of CECL guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. HTM securities are carried at amortized cost. Amortized cost represents the original cost of a security adjusted for accretion, amortization, collection of principal, and write-downs on or subsequent to January 1, 2020 recognized into earnings (less any cumulative effect adjustments). Accrued interest receivable is presented separately in our Statements of Condition . HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. In assessing whether a credit loss exists on an impaired security, we consider whether there is expected to be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows expected to be collected from the security with the amortized cost of the security. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the HTM security carrying value. For improvements in cash flows on impaired HTM securities with an allowance for credit losses recognized after the adoption of CECL guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. Specifically, we evaluate the yield of each impaired HTM security on a quarterly basis. We adjust the impaired security's yield for subsequent increases or decreases in its estimated cash flows, if any. The adjusted yield is then used to calculate the amount to be recognized into interest income over the remaining life of the impaired security. For improvements in impaired HTM securities with an allowance for credit losses recognized after the adoption of CECL guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. In assessing whether a credit loss exists on an impaired security, we consider whether there is expected to be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows expected to be collected from the security with the amortized cost of the security. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the HTM security carrying value. Certain changes in circumstances may cause us to change our intent to hold a security to maturity without calling into question our intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security due to changes in circumstances, such as evidence of significant credit deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for us that could not have been reasonably anticipated by us may cause us to sell or transfer an HTM security without necessarily calling into question our intent to hold other debt securities to maturity. Further, the sale of an HTM debt security would not be considered inconsistent with its classification as HTM if (1) the sale occurs near enough to its maturity date (for example, within three months of maturity) or call date if exercise of the call is probable, that interest rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security's fair value; or (2) the sale of the security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. We use the interest method to amortize/accrete premiums/discounts on HTM and AFS securities into interest income in our Statements of Income . HTM and AFS securities having a prepayment feature amortize/accrete premiums/discounts over their estimated lives based on anticipated prepayments. We recalculate their effective yield on an ongoing basis to reflect actual payments to date and anticipated future payments. HTM and AFS securities that do not have a prepayment feature amortize/accrete premiums/discounts over their contractual life. Gains and losses on sales of securities are included in noninterest income in our Statements of Income . Advances An advance is carried at its amortized cost, except when we elect the fair value option. Amortized cost represents the original amount funded to our member adjusted for any accretion, amortization, collection of cash, and fair value hedge accounting adjustments, if any. Fair value hedge adjustments include ongoing (open) and/or discontinued (closed) fair value hedges. We utilize the interest method to amortize/accrete over contractual life any premiums/discounts and closed fair value and/or cash flow hedging adjustments. Pursuant to CECL, accrued interest receivable is presented separately on our Statements of Condition except for advances for which we elected the fair value option. The advances carried at amortized cost are evaluated quarterly for expected credit losses. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Refer to Note 6 - Advances and Note 8 - Allowance for Credit Losses for further details. In cases where the Bank funds a new advance concurrently with or within a short period of time before or after the prepayment of an existing advance, it evaluates whether it constitutes a new advance. If the Bank concludes the difference is more than minor based on using both quantitative and qualitative assessments of the modifications made to the original contractual terms, then the advance is accounted for as a new advance. The existing advance is considered terminated with any prepayment fees and related hedging adjustments are immediately recognized into interest income. Prepayment fees on advances treated as modifications are deferred and amortized as a yield adjustment to interest income. We issued advances with a zero coupon interest rate in 2021 and 2020 as part of our COVID-19 relief program. We imputed an interest rate based on prevailing market rates creating a discount on the advance with the offset immediately recognized to the COVID-19 program expense. We accreted the discount as a yield adjustment to interest income over the life of the advance. MPF Loans MPF Loans Held in Portfolio MPF Loans for which we have the intent and ability to hold for the foreseeable future, or until maturity or payoff, are classified as MPF Loans held in portfolio. Such loans are carried on an amortized cost basis in our Statements of Condition . Amortized cost represents the initial fair value amount of the MPF delivery commitment as of the purchase or settlement date, agent fees (i.e., market risk premiums or discounts paid to or received from PFIs), if any, subsequently adjusted, if applicable, for accretion, amortization, collection of cash, charge-offs, and cumulative basis adjustments related to fair value hedges. We use the interest method to amortize yield adjustments into interest income in our Statements of Income over the contractual life of an MPF Loan held in portfolio. Accrued interest receivable is presented separately in our Statements of Condition . The Bank performs a quarterly assessment of its mortgage loans held in portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Pursuant to CECL, the Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. Such loans are considered collateral dependent loans. Specifically, a loan is considered collateral dependent if repayment is expected to be provided substantially through the sale of the collateral when the borrower is experiencing financial difficulty based on the entity’s assessment as of the reporting date. A loan that is considered collateral dependent is measured for credit loss on an individual basis based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as an allowance for credit loss or charged-off. When developing the allowance for credit losses, the Bank measures the estimated loss over the remaining life of a mortgage loan, which also considers how the Bank’s credit enhancements mitigate credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as the Bank writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank includes estimates of expected recoveries within the allowance for credit losses. See Note 8 – Allowance for Credit Losses for details on the allowance methodologies relating to mortgage loans. See Note 7 - MPF Loans Held in Portfolio for further details pertaining to the MPF Program and MPF Loans. MPF Loans Held for Sale/Sold MPF Loans acquired by the Bank under the MPF Government MBS product are classified as MPF Loans held for sale (HFS). We classify MPF Loans HFS in Other Assets rather than as a separate line item in our Statements of Condition on the basis of materiality. Other products such as MPF Xtra® loans are generally bought and resold on the same day. They qualify for sales accounting treatment and thus are not carried on our balance sheet at the end of a reporting period. MPF Loans under the MPF Government MBS product qualify, once sold, for sales accounting treatment and are reclassified from MPF Loans HFS to trading debt securities upon their securitization. Refer to Note 1 – Background and Basis of Presentation which further expands on our involvement with these securitizations. Cash flows from the MPF Government MBS product are classified as operating activities in our Statements of Cash Flows . We have elected the fair value option for these HFS MPF Loans on our balance sheet. We make customary representations and warranties regarding the underwriting and loan eligibility of MPF Loans that are sold to third party investors. If a loan underwriting requirement or other warranty is breached, these third parties could require us to repurchase the MPF Loan or provide an indemnity. We establish reserves for mortgage representation and warranty related matters when it is probable that a loss associated with a claim or proceeding has been incurred and the amount of the loss can be reasonably estimated. For the periods presented, the reserves associated with these representations and warranties were not material. The Bank does not own the servicing rights related to these sold loans because the servicing is either retained by the PFI or sold by the PFI to a third party. The Bank has ongoing operating expenses related to administering these loans that are expensed as incurred. Cash related to loan these programs is maintained in custodial accounts and is not included in the financial statements, but certain loan costs and other related administration fees are recognized into noninterest income - MPF fees in our Statements of Income as follows: • Third party transaction costs attributable to the sale and securitization of MPF Loans HFS/Sold are recognized as a component of the gain or loss on sale of the transferred financial assets. • Administration fees on loans serviced by the PFI are recognized on a straight-line basis over the life of the loan. For MPF Loans HFS/Sold where servicing is released, the fees are recognized immediately. Allowance for Credit Losses We determine an allowance for credit losses, if any, for each of our portfolio segments based on CECL beginning January 1, 2020. Previously, we recognized a credit loss when it was probable a credit loss has been incurred and when the credit loss amount was reasonably estimable. A portfolio segment represents the level of disaggregation we utilize to develop and document a systematic method for determining an allowance for credit losses attributable to our financing receivables. An allowance for credit losses is a contra valuation account attributable to an on-balance sheet portfolio segment. We recognize the change in our allowance for credit losses during the reporting period as a provision for (reversal of) credit losses in our Statements of Income . We establish a separate liability for credit losses, if any, attributable to off-balance sheet financial instruments, such as standby letters of credit (also referred to herein as letters of credit), using the same approach described above for on-balance sheet financial instruments. We recognize the change in credit losses attributable to off-balance sheet financial instruments during the reporting period, if any, as a provision for (reversal of) credit losses in our Statements of Income . Charge-off Policy We recognize a charge-off on an MPF Loan upon the occurrence of a confirming event, which include, but are not limited to, the events shown below. The charge-off amount equals the difference between the loan's amortized cost and its fair value, less costs to sell. We use an Automated Valuation Methodology (AVM) to determine the fair value of our impaired conventional MPF Loans held in portfolio, including troubled debt restructurings, and real estate owned (REO). The charge-off policy does not apply to Government Loans which are guaranteed. • At foreclosure following the acquisition of REO unless a gain is recognized in noninterest income because the REO’s fair value is supportable by objective evidence in the marketplace. • When a loan is 180 days or more past due and its fair value, less cost to sell, is less than the loan's amortized cost, except when there is a presumption that the loan's amortized cost will be collected. • When a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less costs to sell, within 60 days of receipt of the notification of filing from the bankruptcy court or within the delinquency time frames specified in the adverse classification guidance, whichever is shorter. A loan is not written down if the loan is performing, the borrower continues making payments on the loan, and repayment in full is expected. • Fraudulent loans, not covered by any existing representations and warranties in the loan purchase agreement, are charged off within 90 days of discovery of the fraud, or within the delinquency time frames specified in the adverse classification guidance, whichever is shorter. Past Due Past due loans are those where the borrower has failed to make a payment of principal and interest within 30 days of its due date. In determining a single family mortgage loan’s delinquency status, the Bank may use one of two methods to recognize partial payments. A payment equivalent to 90 percent or more of the contractual payment may be considered a full payment in computing delinquency. Alternatively, the Bank may use the paid through date. In the latter case, credit is given for aggregate partial payments received. If the Bank can clearly document that the delinquent loan is well secured and in the process of collection, such that collection will occur regardless of delinquency status, then the loan need not be adversely classified. A well secured loan is collateralized by a perfected security interest in real property with an estimated fair value, less cost to sell, sufficient to recover the amortized cost in the loan. In the process of collection means that either a collection effort or legal action is proceeding and is reasonably expected to result in recovery of the loan balance or restoration of the loan to a current status, generally within the next 90 days. Other exceptions to this adverse classification policy might be for loans that are supported by valid insurance claims, like federal loan guarantee programs. Nonaccrual Conventional MPF Loans held in portfolio are placed on nonaccrual when they become 90 days past due and/or are "adversely classified" - that is, when a loan is classified as "Substandard", "Doubtful", or "Loss". An adverse classification means that such a loan is not considered well secured and is in the process of collection. All previously accrued but not collected interest is reversed from interest income. Subsequent accruals of interest income are discontinued. Ongoing recognition of any discounts, premiums, deferred loan origination fees or costs, and hedge basis adjustments also are discontinued. As a general rule, a nonaccrual asset may be restored to accrual status when (1) none of its principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual principal and interest, or (2) when it otherwise becomes well secured and in the process of collection. Troubled Debt Restructurings (TDRs) We consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties. Insignificant delays in payment of 6 months or less are not considered troubled debt restructurings. Troubled debt restructurings include loans that resulted from borrowers that filed for Chapter 7 bankruptcy in which the bankruptcy court discharged the borrower's obligation to us and the borrower did not reaffirm the debt. We place conventional MPF Loans that are deemed to be troubled debt restructurings on nonaccrual status. MPF Loans that are modified as part of a troubled debt restructuring or are in bankruptcy may be returned to accrual status provided such loans have been performing for 6 consecutive months, none of its contractual principal and interest is due and unpaid, and we expect repayment of the remaining contractual interest and contractual principal. Off-Balance Sheet Credit Exposures The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, we establish a separate liability for credit losses, if any, attributable to off-balance sheet financial instruments, such as standby letters of credit (also referred to herein as letters of credit), using the same approach described above for on-balance sheet financial instruments. We recognize the change in credit losses attributable to off-balance sheet financial instruments during the reporting period, if any, as a provision for or (reversal of) credit losses in our Statements of Income . Refer to Note 8 - Allowance for Credit Losses for further details. Derivatives We presented hedge ineffectiveness and net interest settlements as either interest income or interest expense in our Statements of Income . For cash flow hedges, we recognize changes in fair value on the hedged item in AOCI until they are required to be reclassified into our Statements of Income - that is, amounts recorded in AOCI are reclassified either to interest income or interest expense depending on the hedged item during the period in which the hedged transaction affects earnings. We carry all derivatives at fair value in our Statements of Condition . We designate derivatives either as fair value hedges, cash flow hedges, or economic hedges. We use fair value hedges to manage our exposure to changes in fair value of (1) a recognized asset or liability or (2) an unrecognized firm commitment attributable to changes in a benchmark interest rate. Our cash flow hedge strategy is to hedge the total net proceeds received from rolling forecasted zero-coupon discount note issuances attributable to changes in the benchmark interest rate by entering into interest rate swaps to mitigate such risk. We are not using the cash flow hedge strategy for new transactions at this time, as we use LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions. We use economic hedges in cases where hedge accounting treatment is not permitted or achievable. Accounting for Variation Margin Payments - We account for variation margin payments made to or received by the DCOs (Derivatives Clearing Organization) through our FCMs (Futures Commission Merchant) as settlements to our cleared derivative assets and deri |
Recently Issued but Not Yet Ado
Recently Issued but Not Yet Adopted Accounting Standards | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Standards Update and Change in Accounting Principle [Abstract] | |
Description of New Accounting Pronouncements Not yet Adopted [Text Block] | Recently Issued but Not Yet Adopted Accounting Standards During March 2022, the Financial Accounting Standards Board (FASB) issued ASU 2022-01 Derivatives and Hedging (Topic 815): Fair Value Hedging—Portfolio Layer Method.This ASU broadens the availability of fair value hedging to non-prepayable and prepayable portfolios.The guidance on hedging multiple layers in a closed portfolio is applied prospectively. The guidance on the accounting for fair value basis adjustments is applied on a modified retrospective basis. Further, an entity may reclassify debt securities from held-to-maturity to available for sale if it includes them in a closed portfolio that is hedged under the portfolio layer method. This ASU is effective for the Bank starting January 1, 2023, with early adoption permitted.The Bank does not expect this guidance to materially impact its financial statements. Also during March 2022, the FASB issued ASU 2022-02 Financial Instruments - Credit Losses (Topic 326): Troubled Debt Restructurings and Vintage Disclosures to eliminate the recognition and measurement guidance for troubled debt restructurings for creditors that have adopted Current Expected Credit Losses (CECL) methodology. The ASU also requires enhanced disclosures about loan modifications for borrowers experiencing financial difficulty and requires the presentation of gross write-offs by year of origination.This ASU is effective starting January 1, 2023, with early adoption permitted.The Bank does not expect this guidance to materially impact its financial statements. During December 2022, the FASB issued ASU 2022-03 Reference Rate Reform (Topic 848): Deferral of the Sunset Date of Topic 848. The amendments in this Update defer the sunset date of Topic 848 from December 31, 2022, to December 31, 2024, after which entities will no longer be permitted to apply the relief in Topic 848. The amendments in this Update are effective for all entities upon issuance.The extension of the sunset date of Topic 848 did not have a material impact on the Bank's financial statements for the periods presented. |
Interest Income and Interest Ex
Interest Income and Interest Expense | 12 Months Ended |
Dec. 31, 2022 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense Disclosure [Text Block] | Interest Income and Interest Expense The following table presents interest income and interest expense for the periods indicated. For the years ended December 31, 2022 2021 2020 Interest income - Trading $ 1 $ 47 $ 107 Available-for-sale interest income 521 197 313 Available-for-sale prepayment fees 47 11 2 Available-for-sale 568 208 315 Held-to-maturity 35 29 75 Investment debt securities 604 284 497 Advance interest income 1,311 253 535 Advance prepayment fees 11 29 51 Advances 1,322 282 586 MPF Loans held in portfolio 284 251 295 Federal funds sold 170 5 30 Securities purchased under agreements to resell 95 2 14 Interest-bearing deposits 58 2 8 Other 3 2 5 Interest income 2,536 828 1,435 Interest expense - Consolidated obligations - Discount notes 738 44 307 Bonds 1,090 229 516 Other 31 12 17 Interest expense 1,859 285 840 Net interest income $ 677 $ 543 $ 595 |
Investment Debt Securities
Investment Debt Securities | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Investment Securities [Text Block] | Investment Debt Securities We classify debt securities as either trading, held-to-maturity (HTM), or available-for-sale (AFS). Our security disclosures within these classifications are disaggregated by major security types as shown below. Our major security types are based on the nature and risks of the security: • U.S. Government & other government related - may consist of the sovereign debt of the United States; debt issued by GSEs; debt issued by the Tennessee Valley Authority; and securities guaranteed by the Small Business Administration. • Federal Family Education Loan Program - asset-backed-securities (FFELP ABS). • GSE mortgage-backed securities (MBS) - issued by Fannie Mae and Freddie Mac. • Government guaranteed MBS. • State or local housing agency obligations. We have no allowance for credit losses on our investment debt securities and we have elected to exclude accrued interest receivable from the amortized cost in the following AFS and HTM tables. Prior to 2022, we included accrued interest in the carrying value of our AFS securities. See Note 8 - Allowance for Credit Losses for further details on these amounts. Pledged Collateral We disclose the amount of investment debt securities pledged as collateral pertaining to our derivatives activity on our Statements of Condition . See Note 9 - Derivatives and Hedging Activities for further details. Trading Debt Securities The following table presents the fair value of our trading debt securities. As of December 31, 2022 December 31, 2021 U.S. Government & other government related $ — $ 948 MBS GSE 3 6 Trading debt securities $ 3 $ 954 The following table presents our gains and losses on trading debt securities recorded in noninterest income - other, net. For the years ended December 31, 2022 2021 2020 Net unrealized gains (losses) on securities held at period end $ 1 $ (14) $ (2) Net realized gains (losses) on securities sold/matured during the period — (30) 17 Net gains (losses) on trading debt securities $ 1 $ (44) $ 15 Available-for-Sale Debt Securities (AFS) The following table presents the amortized cost and fair value of our AFS debt securities. Amortized Cost Basis a Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Net Carrying Amount and Fair Value As of December 31, 2022 U.S. Government & other government related $ 2,219 $ 1 $ (132) $ 2,088 State or local housing agency 8 — — 8 FFELP ABS 2,253 61 (10) 2,304 MBS GSE 16,285 45 (145) 16,185 Government guaranteed 114 1 — 115 Available-for-sale debt securities $ 20,879 $ 108 $ (287) $ 20,700 As of December 31, 2021 U.S. Government & other government related $ 4,659 $ 34 $ (12) $ 4,681 State or local housing agency 8 1 — 9 FFELP ABS 2,642 130 — 2,772 MBS GSE 14,849 234 (26) 15,057 Government guaranteed 182 5 — 187 Available-for-sale debt securities $ 22,340 $ 404 $ (38) $ 22,706 a Includes adjustments made to the cost basis of an investment for accretion, amortization, and fair value hedge accounting adjustments. This also includes accrued interest receivable of $54 million at December 31, 2021. We had no sales of AFS debt securities for the periods presented. Any gains or losses are determined on a specific identification basis. Held-to-Maturity Debt Securities (HTM) The following table presents the amortized cost, carrying amount, and fair value of our HTM debt securities. Amortized Cost and Net Carrying Amount a Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of December 31, 2022 U.S. Government & other government related $ 1,210 $ — $ (14) $ 1,196 MBS GSE 164 3 — 167 Government guaranteed 49 — — 49 Other $ 8 $ — $ (1) $ 7 Held-to-maturity debt securities $ 1,431 $ 3 $ (15) $ 1,419 As of December 31, 2021 U.S. Government & other government related $ 1,506 $ 11 $ — $ 1,517 MBS GSE 214 19 — 233 Government guaranteed 71 1 — 72 Other $ 10 $ — $ — $ 10 Held-to-maturity debt securities $ 1,801 $ 31 $ — $ 1,832 a Includes adjustments made to the cost basis of an investment for accretion, and/or amortization. We had no sales of HTM debt securities for the periods presented. Any gains or losses are determined on a specific identification basis. Interest Rate Payment Terms The following table presents the interest rate payment terms of AFS and HTM debt securities at amortized cost basis for the reporting periods indicated. Available-for-Sale Held-to-Maturity As of December 31, 2022 2021 2022 2021 Non-MBS Fixed-rate $ 2,228 $ 4,665 $ 1,210 $ 1,506 Variable-rate 2,252 2,644 — — MBS Fixed-rate 15,846 14,331 110 144 Variable-rate 553 700 111 151 Total $ 20,879 $ 22,340 $ 1,431 $ 1,801 Contractual Maturity The maturity of our AFS and HTM debt securities is detailed in the following table. MBS and FFELP ABS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Available-for-Sale Held-to-Maturity As of December 31, 2022 Amortized Cost Basis Net Carrying Amount and Fair Value Amortized Cost and Net Carrying Amount Fair Value Non MBS and FFELP ABS Year of Maturity - Due in one year or less $ — $ — $ 994 $ 994 Due after one year through five years 1,023 1,019 26 24 Due after five years through ten years 383 352 190 178 Due after ten years 821 725 — — MBS and FFELP ABS 18,652 18,604 221 223 Total debt securities $ 20,879 $ 20,700 $ 1,431 $ 1,419 AFS Securities in a Continuous Unrealized Loss Position The following table presents unrealized losses on our AFS portfolio for periods less than 12 months and for 12 months or more. These losses are considered temporary as we expect to recover the entire amortized cost basis and neither intend to sell these securities nor consider it more likely than not that we will be required to sell these securities before the anticipated recovery of each security’s remaining amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported. Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Available-for-sale debt securities As of December 31, 2022 U.S. Government & other government related $ 1,130 $ (60) $ 386 $ (72) $ 1,516 $ (132) State or local housing agency 8 — — — 8 — FFELP ABS 347 (10) — — 347 (10) MBS GSE 8,922 (89) 992 (56) 9,914 (145) Government guaranteed 33 — — — 33 — Available-for-sale debt securities $ 10,440 $ (159) $ 1,378 $ (128) $ 11,818 $ (287) As of December 31, 2021 U.S. Government & other government related $ 3,764 $ (12) $ — $ — $ 3,764 $ (12) MBS GSE 1,549 (23) 54 (3) 1,603 (26) Available-for-sale debt securities $ 5,313 $ (35) $ 54 $ (3) $ 5,367 $ (38) Credit Loss Analysis We recognized no credit losses on HTM or AFS debt securities for the periods presented. Accretion on Prior Years' Other-Than-Temporary Impairment |
Advances
Advances | 12 Months Ended |
Dec. 31, 2022 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Text Block] | Advances We offer a wide range of fixed and variable rate advance products with different maturities, interest rates, payment characteristics and options. We have no allowance for credit losses on our advances and we have elected to exclude accrued interest receivable from the amortized cost in the following tables. See Note 8 - Allowance for Credit Losses for further details on these amounts. The following table presents our advances by terms of contractual maturity and the related weighted average contractual interest rate. For amortizing advances, contractual maturity is determined based on the advance’s amortization schedule. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of December 31, 2022 Par Value Amount Weighted Average Contractual Interest Rate Due in one year or less $ 36,796 a 4.13 % One to two years 9,990 a 3.70 % Two to three years 4,013 2.45 % Three to four years 4,705 3.14 % Four to five years 3,256 3.25 % Five to fifteen years 8,189 2.46 % More than fifteen years 508 5.14 % Total $ 67,457 3.66 % a Of the advances due in one year or less and one to two years, $7.0 billion and $4.0 billion, respectively, were issued to One Mortgage Partners Corp. (now JPMorgan Chase Bank NA), our former captive insurance company member, whose membership was terminated in 2021 in connection with an FHFA rule. The following table presents our advances by terms of contractual maturity and reconciles the par value of our advances to the carrying amount on our Statements of Condition as of the dates indicated. As of December 31, 2022 December 31, 2021 Fixed-rate due in one year or less $ 20,341 $ 9,285 Fixed-rate due after one year 19,057 18,679 Total fixed-rate 39,398 27,964 Variable-rate due in one year or less 16,455 4,324 Variable-rate due after one year 11,604 15,420 Total variable-rate 28,059 19,744 Par value 67,457 47,708 Fair value hedging adjustments (1,191) 227 Other adjustments 22 114 Advances $ 66,288 $ 48,049 The following advance borrowers exceeded 10% of our advances outstanding. As of December 31, 2022 Par Value % of Total Outstanding JPMorgan Chase Bank NA $ 11,000 a 16.3 % The Northern Trust Company 7,500 11.1 % a Effective February 19, 2021, we terminated One Mortgage Partners Corp.'s (OMP) membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership. In December 2021, OMP merged with and into its parent company, JPMorgan Chase Bank NA (JPM). For details on the contractual maturity terms of JPM’s advances, see the table above presenting advances by terms of contractual maturity. |
MPF Loans Held in Portfolio
MPF Loans Held in Portfolio | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Loans, Notes, Trade and Other Receivables Disclosure [Text Block] | MPF Loans Held in Portfolio We acquire MPF Loans from PFIs to hold in our portfolio. MPF Loans that are held in portfolio are fixed-rate conventional and Government Loans secured by one-to-four family residential properties with maturities ranging from 5 years to 30 years. The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. We have an allowance for credit losses on our MPF Loans and we have elected to exclude accrued interest receivable from the amortized cost in the following tables. See Note 8 - Allowance for Credit Losses for further details on these amounts. As of December 31, 2022 December 31, 2021 Medium term (15 years or less) $ 1,521 $ 1,653 Long term (greater than 15 years) 8,502 8,031 Unpaid principal balance 10,023 9,684 Net premiums, credit enhancement, and/or deferred loan fees 163 174 Fair value hedging and delivery commitment basis adjustments (21) (10) MPF Loans held in portfolio, before allowance for credit losses 10,165 9,848 Allowance for credit losses on MPF Loans (5) (5) MPF Loans held in portfolio, net $ 10,160 $ 9,843 Conventional mortgage loans $ 9,221 $ 8,845 Government Loans 802 839 Unpaid principal balance $ 10,023 $ 9,684 The above table excludes MPF Loans acquired under the MPF Xtra and MPF Government MBS products. See Note 2 - Summary of Significant Accounting Policies for information related to the accounting treatment of these off-balance sheet MPF Loan products. Coronavirus Disease 2019 (COVID-19) Forbearance Section 4013 of the Coronavirus Aid, Relief and Economic Security Act (the CARES Act) provided temporary relief from the accounting and reporting requirements for troubled debt restructurings (TDRs) for certain loan modifications related to the COVID-19 pandemic. Specifically, the CARES Act provided that a qualifying financial institution may elect to suspend (1) the requirements under U.S. GAAP for certain loan modifications that would otherwise be categorized as a TDR, and (2) any determination that such loan modifications would be considered a TDR, including the related impairment for accounting purposes. Section 4013 of the CARES Act applied to any modification related to an economic hardship as a result of the COVID-19 pandemic, including a forbearance arrangement, an interest rate modification, a repayment plan, or any similar arrangement that defers or delays payment of principal or interest. Although we elected to suspend TDR accounting for eligible modifications under Section 4013 of the CARES Act for the period beginning March 1, 2020, we resumed TDR accounting when this section of the CARES Act expired on January 1, 2022. |
Allowance for Credit Losses
Allowance for Credit Losses | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Allowance for Credit Losses [Text Block] | Allowance for Credit Losses See Note 2 - Summary of Significant Accounting Policies for further details regarding our accounting policies pertaining to credit losses that are applicable to each of our portfolio segments discussed below. Our credit analysis determines whether an asset is classified as adversely classified. An asset not adversely classified is supported by an appropriate credit analysis that documents the quality of a loan or an investment debt security, as well as ongoing analyses that demonstrate the obligor’s continued repayment capacity. In such cases, the loan or investment security will not be adversely classified as substandard, doubtful, or loss. Adversely classified loans or investment debt securities are expected to have credit losses and thus will have an allowance. We have the following portfolio segments: Nongovernment related • Member credit products (advances, letters of credit and other extensions of credit to borrowers) • Conventional MPF Loans held in portfolio • Interest-Bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell • Community First Fund (the Fund) • Municipal Securities and Standby Bond Purchase Agreements Member Credit Products Member Credit Products encompass secured credit extensions to members including advances and letters of credit. The Bank's Credit Department monitors the financial performance of members at least quarterly, classifies credit extensions in accordance with our asset classification approach, monitors that our credit outstanding is sufficiently well collateralized and recommends credit reserves against individual credit exposures if needed. We did not record an allowance for credit losses related to our advances nor a liability for our letters of credit as of the end of this reporting period based on the factors outlined below. • None of our Member Credit Products portfolio was adversely classified. • Loss mitigation techniques, which include, but are not limited to the following: ◦ Credit monitoring which includes underwriting; credit limits; and ongoing collateral monitoring ◦ Collateral policies or monitoring which include: ▪ Rights to collateral, nature of the collateral and future changes to collateral. ▪ Complying with regulatory requirements to fully collateralize member credit products, which incorporate the associated collateral haircut process. Collateral value represents the borrowing capacity assigned to pledged collateral and does not imply fair value. • Our credit outstanding is sufficiently well collateralized as of the end of this reporting period - that is, the applicable agreement with a member requires that the member provide collateral value equal to its credit outstanding (unless we specifically require more for a particular member - for example, due to the member’s risk rating based on our credit analyses of our members). Further, we require our members to pledge additional collateral if we perceive additional risk. • Credit risk mitigation efforts such as collateral reviews to confirm the collateral meets eligibility requirements and ongoing monitoring to verify the sufficiency of collateral to mitigate exposure from member credit products; • All payments due under the contractual terms have been received as of the end of this reporting period. In particular, no Member Credit Products were past due, on nonaccrual status, involved in a troubled debt restructuring, or otherwise considered impaired. Our long history of no credit losses on advances and letters of credit along with loss mitigation techniques is sufficient to support a conclusion of zero allowance for credit losses as of the end of this reporting period. Conventional MPF Loans Held in Portfolio We measure expected credit losses on conventional MPF Loans held in portfolio on a collective basis, pooling loans with similar risk characteristics. If an MPF Loan no longer shares risk characteristics with other loans in the pool (for example, the loan has become collateral dependent), it is removed from the pool and evaluated for expected credit losses on an individual basis. The analysis on a pool basis includes consideration of various loan portfolio characteristics, such as past performance, current conditions, and reasonable and supportable forecasts of expected economic credit losses. The model projects cash flows of estimated expected credit losses over the remaining life of an MPF Loan, which also considers how credit enhancements mitigate those credit losses through the MPF credit sharing structure at a Master Commitment (MC) level. The model relies on a number of assumptions, with the primary ones being a housing price index (HPI), the unemployment rate, and interest rates including: • Base case scenario, consisting of the HPI scenario at the Metropolitan Statistical Area (MSA) level and the unemployment rate scenario at the State level • A reasonable and supportable short-term forecast horizon of 12 months • A transition period reverting to the long-term mean, which varies based on MSA (and on average is approximately four years) • Model projections of prepayment, default, and loss severities are calibrated based on back-testing results since the beginning of the last full economic cycle The model consists of two sub-models (a prepayment and default model and a loss given default model), with the ability to calibrate the model to unique aspects of our portfolio. The allowance excludes accrued interest receivable since we place the loan on nonaccrual when the loan becomes impaired and reverse interest income. In addition to evaluating our model output, management included a qualitative adjustment to reflect the additional economic uncertainty arising from, among other things, the impact of the COVID-19 pandemic. As economic and market uncertainties persist that have affected and are expected to continue to affect borrowers across our conventional MPF Loans, significant judgment is required to estimate the impact and scope of the current economic environment, as well as its potential impact on borrower defaults and loss severities. It can be difficult to predict exactly how borrower behavior will be impacted by these changes in economic conditions. We expect that subsequent changes to this forecast and the related estimates will be reflected in the provision for credit losses in future periods. Our estimates include forecasts of prepayment, default, and severities; actual results could differ from the estimates and assumptions in our models. At this time, we have determined loan payment status based on the borrower’s last payment, and therefore do not assume any benefit associated with the possibility of the borrower completing any forbearance available to the borrower and becoming current on the loan. MPF Risk Sharing Structure Our allowance for credit losses considers the risk sharing structure of conventional MPF Loans held in portfolio, with credit losses absorbed in the following order: • Borrower's equity. • Primary mortgage insurance (PMI), if any. • The PFI. We will withhold a PFI's scheduled performance credit enhancement fee in order to reimburse ourselves for any losses allocated to the First Loss Account (FLA) in instances where performance credit enhancement fees are applicable to the MC under which the loan was sold to us. We refer to these reimbursable credit enhancement fees as Recoverable CE Fees. The FLA functions as a tracking mechanism for our first layer of loss exposure before determining the point at which a PFI's CE Amount would cover the next layer of losses. Our FLA exposure varies by MPF Loan product type - that is, MPF Original, MPF 35, MPF 100, MPF 125, and MPF Plus. • We incur the next layer, up to the amount of the FLA. • The PFI. The PFI's CE Amount, which may include proceeds from a provider of supplemental mortgage guaranty insurance (SMI). • We will absorb any losses after the CE Amount has been exhausted. The entire population of conventional MPF Loans is analyzed using the MPF Risk Sharing Structure at the MC level using roll rates and the Total Severity Rate. The credit risk analysis determines the degree to which layers of the MPF Risk Sharing Structure are available to recover losses on MPF Loans. PFIs deliver MPF Loans into pools designated by product specific MCs. The credit risk analysis is performed at an individual MC level since credit loss recovery from a PFI is MC- specific - that is, credit losses on a loan may be absorbed by the PFI only by its risk layer of the MC related to that loan. The total losses resulting after factoring in the MPF Risk Sharing Structure are then calculated. The adjusted total losses are then split into credit losses and noncredit losses. A credit loss only consists of the loss resulting from the timing and amount of unpaid principal on an MPF Loan and does not include periodic expenses incurred during the time period in which an MPF Loan has become REO. Such periodic expenses are noncredit losses and they are directly expensed through the Statements of Income as incurred. The following table presents the activity in our allowance for credit losses for MPF Loans for the three years ended December 31, 2022. For the years ended December 31, 2022 2021 2020 Allowance for MPF credit losses beginning balance $ 5 $ 3 $ 1 MPF credit losses charged-off (3) (2) (4) Credit loss recovery 1 1 — Provision for (reversal of) MPF for credit losses 2 3 6 Allowance for MPF credit losses ending balance $ 5 $ 5 $ 3 The following tables summarize our conventional MPF Loans by our key credit quality indicators. As of December 31, 2022 December 31, 2021 Conventional MPF Amortized Cost by Origination Year Conventional MPF Amortized Cost by Origination Year 2017 to 2021 Prior to 2017 Total 2016 to 2020 Prior to 2016 Total Past due 30-59 days $ 34 $ 21 $ 55 $ 23 $ 18 $ 41 Past due 60-89 days 7 6 13 8 6 14 Past due 90 days or more 17 18 35 43 30 73 Past due 58 45 103 74 54 128 Current 8,246 1,003 9,249 7,883 987 8,870 Total outstanding $ 8,304 $ 1,048 $ 9,352 $ 7,957 $ 1,041 $ 8,998 As of December 31, 2022 December 31, 2021 Amortized Cost Amortized Cost Conventional Government Total Conventional Government Total In process of foreclosure $ 19 $ 5 $ 24 $ 6 $ 3 $ 9 Serious delinquency rate 0.42 % 1.90 % 0.54 % 0.82 % 2.33 % 0.95 % Past due 90 days or more and still accruing interest $ 3 $ 15 $ 18 $ 30 $ 19 $ 49 Loans on nonaccrual status 39 — 39 47 — 47 Loans on nonaccrual status with no allowance for credit losses 15 — 15 11 — 11 Interest-Bearing Deposits, Federal Funds Sold and Term Securities Purchased Under Agreements to Resell We face credit risk on our unsecured short-term investment portfolio. We invest in unsecured overnight interest-bearing deposits and federal funds sold in order to ensure the availability of funds to meet members' credit and liquidity needs. If the credit markets experience significant disruptions, it may increase the likelihood that one of our counterparties could experience liquidity or financial constraints that may cause them to become insolvent or otherwise default on their obligations to us. We did not establish an allowance for credit losses for our unsecured overnight interest-bearing deposits or federal funds sold as of December 31, 2022 since all federal funds sold were repaid and all unsecured overnight interest-bearing deposits were returned according to their contractual terms. We invest in overnight securities purchased under agreements to resell in order to ensure the availability of funds to meet members' liquidity and credit needs. Securities purchased under agreements to resell are secured by marketable securities held by a third party custodian and collateral is adjusted daily to ensure full collateral coverage. If the credit markets experience disruptions and as a result, one of our counterparties becomes insolvent or otherwise defaults on their obligations to us and the collateral is insufficient to cover our exposure, we may suffer a credit loss. We did not record credit losses for our securities purchased under an agreement to resell portfolio segment since the entire portfolio was not adversely classified and sufficient collateral existed as of December 31, 2022. We also did not establish an allowance for credit losses for overnight securities purchased under an agreement to resell as of December 31, 2022 since overnight securities purchased under agreements to resell were paid according to their contractual terms. Community First Fund (the Fund) We created the Fund, which is structured as an on-balance sheet revolving pool of funds, with a mission to provide access to capital that supports economic development and affordable housing needs in the communities that our members serve in Illinois and Wisconsin. This is accomplished by providing long-term, unsecured loans to community development intermediary organizations (Partners). Partners to the Fund are unregulated and are often less sophisticated than our regulated members. We calculate a loss allowance based on expected loss rates on representative rated securities and average tenor of the outstanding portfolio. As of December 31, 2022 we had $47 million in Fund loans outstanding compared to $45 million at December 31, 2021. Under CECL, on January 1, 2020, we recorded a $7 million allowances for credit losses on a basis of expected losses over the life of the loans, although as of that date and through December 31, 2022, all Fund loans were current and none were past due or on nonaccrual status. The following table details our allowance for credit losses on Fund loans. As we had not incurred any credit losses under the pre-CECL accounting policy, we had no allowance prior to 2021. For the year ended December 31, 2022 2021 2020 Allowance for Fund loan credit losses beginning balance $ 7 $ 7 $ — Adjustment for cumulative effect of accounting change — — 7 Provision for (reversal of) Fund loan for credit losses — (1) — Other — 1 — Allowance for Fund loan credit losses ending balance $ 7 $ 7 $ 7 Municipal Securities and Standby Bond Purchase Agreements We invest in municipal securities consisting of Housing Finance Authority (HFA) securities and off-balance sheet Standby Bond Purchase Agreements (SBPAs) with these authorities. Nearly all of the securities were classified as AFS, only an immaterial amount were HTM. We review the ratings of the HFA securities and the corresponding Moody’s Default Balance to determine potential credit exposure. Our municipal securities are rated above BBB, and no credit losses were expected for HFA securities and SBPAs at December 31, 2022. PLMBS We sold our PLMBS during October 2020, as discussed in Note 2 – Summary of Significant Accounting Policies . We did not record any credit losses on these PLMBS in 2020. U.S. Government related assets • Investment debt securities issued or guaranteed by the U.S. Government • Investment debt securities issued or guaranteed by U.S. Government Sponsored Enterprises • U.S. Government guaranteed Federal Family Education Loan Program (FFELP) • U.S. Government guaranteed MPF Loans held in portfolio We have not established an allowance for credit losses for U.S. Government related assets, as we do not expect any losses on the basis of: 1) an explicit U.S. Government guarantee; 2) the assumption that an implicit U.S. Government guarantee exists; 3) a demonstration of the U.S. Government’s willingness to act on the implicit guarantee as evidenced by U.S. Government capitalization and support during past financial crisis events that resulted in no losses for investors in such securities; and 4) the assumption of the U.S. Government’s willingness and ability to act on the explicit and implicit guarantees in the future on the basis of the importance of federal agencies and GSEs in terms of promoting public policy and economic stability. With respect to defaulted U.S. Government guaranteed MPF Loans, any losses incurred that are not recovered from the U.S. Government insurer or guarantor are absorbed by the MPF PFI servicer. Accordingly, credit losses are based on our assessment of our servicers' ability to absorb losses not covered by the applicable U.S. Government guarantee or insurance. We did not establish an allowance for credit losses on our Government Loans held in portfolio for the reporting periods presented based on our assessment that our servicers have the ability to absorb such losses. Further, no Government MPF Loans were placed on nonaccrual status or as troubled debt restructurings for the same reason. Accrued interest receivable We present accrued interest receivable separately for loans and AFS/HTM debt securities. We do not measure an allowance for credit losses on loan related accrued interest receivables as we reverse accrued interest on a monthly basis when the loan is placed on nonaccrual status. The following table summarizes our accrued interest receivable by portfolio segment. Financial instrument type December 31, 2022 December 31, 2021 MPF Loans held in portfolio $ 51 $ 45 HTM securities 9 4 AFS securities 81 — Interest-bearing deposits 7 — Federal funds sold 2 — Securities purchased under agreements to resell 4 — Advances 197 34 Accrued interest receivable $ 351 $ 83 The above table excludes accrued interest of $54 million on AFS securities at December 31, 2021 . Prior to 2022, we included accrued interest in the carrying value of our AFS securities. See Note 5 - Investment Debt Securities for 2021 AFS carrying values. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities [Text Block] | Derivatives and Hedging Activities Refer to Note 2 - Summary of Significant Accounting Policies for our accounting policies for derivatives. We transact most of our derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. We are not a derivatives dealer and do not trade derivatives for speculative purposes. We enter into derivative transactions through either of the following: • A bilateral agreement with an individual counterparty for over-the-counter derivative transactions. • Clearinghouses classified as DCOs through FCMs, which are clearing members of the DCOs, for cleared derivative transactions. Managing Interest Rate Risk We use fair value hedges to manage our exposure to changes in the fair value of (1) a recognized asset or liability or (2) an unrecognized firm commitment, attributable to changes in a benchmark interest rate, such as SOFR. We use cash flow hedges to hedge the variability in the total proceeds received from rolling forecasted zero-coupon discount note issuance, attributable to changes in the benchmark interest rate, by entering into pay-fixed interest rate swaps. We are not using the cash flow hedge strategy for new transactions at this time, as we used LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions. We may elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, and consolidated obligation discount notes and bonds, in cases where hedge accounting treatment may not be achieved due to the inability to meet the hedge effectiveness testing criteria, or in certain cases where we wish to mitigate the risk associated with selecting the fair value option for other instruments. We may also use economic hedges when hedge accounting is not permitted or hedge effectiveness is not achievable. Managing Credit Risk on Derivative Agreements Over-the-counter (bilateral) Derivative Transactions : We are subject to credit risk due to the risk of nonperformance by counterparties to our derivative agreements. For bilateral derivative agreements, the degree of counterparty risk depends on the extent to which master netting arrangements, collateral requirements and other credit enhancements are included in such contracts to mitigate the risk. We manage counterparty credit risk through credit analysis, collateral requirements and adherence to the requirements set forth in our policies and FHFA regulations. We require collateral agreements on all over-the-counter derivatives. Additionally, collateral related to over-the-counter derivatives with member institutions includes collateral assigned to us, as evidenced by a written security agreement, and which may be held by the member institution for our benefit. As of December 31, 2022, based on credit analyses and collateral requirements, we have not recorded a credit loss on our over-the-counter derivative agreements. See Note 15 - Fair Value for discussion regarding our fair value methodology for over-the-counter derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. For nearly all of our bilateral derivative transactions executed prior to March 1, 2017, and for all transactions entered into on or after March 1, 2017, our bilateral derivative agreements are fully collateralized with a zero unsecured threshold in accordance with variation margin requirements issued by the U.S. federal bank regulatory agencies and the Commodity Futures Trading Commission (CFTC). We pledged no investment securities on our bilateral derivative transactions (that can be sold or repledged by our counterparty) as of December 31, 2022. For certain transactions executed prior to March 1, 2017, we may be required to post net additional collateral with our counterparties if there is deterioration in our credit rating. If our credit rating had been lowered from its current rating to the next lower rating by a major credit rating agency, such as Standard and Poor's or Moody’s, the amount of collateral we would have been required to deliver would have been immaterial at December 31, 2022. Bilateral derivative transactions executed on or after September 1, 2022, are subject to two-way initial margin requirements if our aggregate uncleared derivative transactions exposure to a counterparty exceeds a specified threshold. The initial margin is required to be held at a third-party custodian and does not change ownership. Rather, the party in respect of which the initial margin has been posted to a third-party custodian will have a security interest in the amount of initial margin required to be posted and can only take ownership upon the occurrence of certain events, including an event of default due to bankruptcy, insolvency, or similar proceeding. As of December 31, 2022, we were not required to exchange any initial margin with our bilateral derivative counterparties. Cleared Derivative Transactions : Cleared derivative transactions are subject to variation and initial margin requirements established by the DCO and its clearing members. Variation margin payments are characterized as settlement of a derivative’s mark-to-market exposure and not as collateral against the derivative’s mark-to-market exposure. See Note 1 - Background and Basis of Presentation and Note 2 - Summary of Significant Accounting Policies for further discussion. We post our initial margin collateral payments and make variation margin settlement payments through our FCMs, on behalf of the DCO, which could expose us to institutional credit risk in the event that the FCMs or the DCO fail to meet their obligations. Clearing derivatives through a DCO mitigates counterparty credit risk exposure because the DCO is substituted for individual counterparties and variation margin settlement payments are made daily through the FCMs for changes in the value of cleared derivatives. The DCO determines initial margin requirements for cleared derivatives. We pledged $692 million of investment securities (that can be sold or repledged) as part of our initial margin related to cleared derivative transactions at December 31, 2022. Additionally, an FCM may require additional initial margin to be posted based on credit considerations, including but not limited to, if our credit rating downgrades. We had no requirement to post additional initial margin by our FCMs at December 31, 2022. The following table presents details on the notional amounts, and cleared and bilateral derivative assets and liabilities on our Statements of Condition . The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. As of December 31, 2022 December 31, 2021 Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 90,805 $ 1,092 $ 2,825 $ 70,321 $ 58 $ 466 Derivatives not in hedge accounting relationships- Interest rate contracts 2,420 17 47 2,772 10 59 Mortgage delivery commitments 142 — — 625 2 2 Other 119 2 — 148 — — Derivatives not in hedge accounting relationships 2,681 19 47 3,545 12 61 Gross derivative amount before netting adjustments and cash collateral $ 93,486 1,111 2,872 $ 73,866 70 527 Netting adjustments and cash collateral (1,086) (2,862) (56) (495) Derivatives on Statements of Condition $ 25 $ 10 $ 14 $ 32 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 2,124 $ 447 Cash collateral received and related accrued interest $ 348 $ 8 The following table presents the noninterest income - derivatives and economic hedging activities as presented in the Statements of Income . For the years ending December 31, 2022 2021 2020 Economic hedges - Interest rate contracts $ 66 $ 26 $ (144) Other 4 (9) (9) Economic hedges 70 17 (153) Variation margin on daily settled cleared derivatives (22) — 5 Noninterest income - Derivatives and hedging activities $ 48 $ 17 $ (148) The following tables present details regarding the offsetting of our cleared and bilateral derivatives on our Statements of Condition . The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. Derivative Assets As of December 31, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 1,004 $ 107 $ 1,111 $ 61 $ 7 $ 68 Netting adjustments and cash collateral (999) (87) (1,086) (49) (7) (56) Derivatives with legal right of offset - net 5 20 25 12 — 12 Derivatives without legal right of offset — — — 2 — 2 Derivatives on Statements of Condition 5 20 25 14 — 14 Net amount $ 5 $ 20 $ 25 $ 14 $ — $ 14 Derivative Liabilities As of December 31, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 2,785 $ 87 $ 2,872 $ 495 $ 30 $ 525 Netting adjustments and cash collateral (2,775) (87) (2,862) (487) (8) (495) Derivatives with legal right of offset - net 10 — 10 8 22 30 Derivatives without legal right of offset — — — 2 — 2 Derivatives on Statements of Condition 10 — 10 10 22 32 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 22 22 Net amount $ 10 $ — $ 10 $ 10 $ — $ 10 At December 31, 2022 and December 31, 2021 we had $692 million and $622 million of additional credit exposure due to pledging of noncash collateral to our counterparties, which exceeded our net derivative position for combined cleared and bilateral derivatives. Fair Value Hedges The following table presents our fair value hedging results by the type of hedged item. We had no net gain or loss on hedged firm commitments that no longer qualified as a fair value hedge. Changes in fair value of the derivative and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Gains (losses) on derivatives include unrealized changes in fair value, as well as net interest settlements. The line for Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans. As of December 31, 2022 we did not have any active fair value hedges on our MPF Loans. For the years ending December 31, Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income 2022 Available-for-sale debt securities $ 2,368 $ (2,427) $ (59) Advances 1,535 (1,418) 117 Consolidated obligation bonds (3,112) 2,905 (207) Other — 1 1 Total $ 791 $ (939) $ (148) 2021 Available-for-sale debt securities $ 478 $ (757) $ (279) Advances 325 (533) (208) Consolidated obligation bonds (180) 409 229 Other — (1) (1) Total $ 623 $ (882) $ (259) 2020 Available-for-sale debt securities $ (1,046) $ 864 $ (182) Advances (632) 416 (216) Consolidated obligation bonds 271 (148) 123 Other — 1 1 Total $ (1,407) $ 1,133 $ (274) The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items. Amortized cost of hedged asset/liability Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Total amount of fair value hedging basis adjustments As of December 31, 2022 Available-for-sale securities $ 16,918 $ (2,016) $ 345 $ (1,671) Advances 19,790 (1,192) 2 (1,190) Consolidated obligation bonds 47,416 (3,102) (12) (3,114) Other 211 — 4 4 As of December 31, 2021 Available-for-sale securities $ 14,412 $ 335 $ 421 $ 756 Advances 19,720 225 2 227 Consolidated obligation bonds 36,335 (192) (16) (208) Other 265 — 6 6 Cash Flow Hedges For cash flow hedges the entire change in the fair value of the hedging instrument is recorded in AOCI and reclassified into earnings (net interest income) as the hedged item affects earnings. Hedge effectiveness testing is performed to determine whether hedge accounting is qualified. We are exposed to the variability in the total net proceeds received from forecasted zero-coupon discount note issuances, which is attributable to changes in the benchmark interest rate. As a result, we enter into cash flow hedge relationships utilizing derivative agreements to hedge the total net proceeds received from our "rolling" forecasted zero-coupon discount note issuances attributable to changes in the benchmark interest rate. The maximum length of time over which we are hedging this exposure is 7 years. We reclassify amounts in AOCI into our Statements of Income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued cash flow hedges for the periods presented. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were immaterial as of December 31, 2022. We are not using the cash flow hedge strategy for new transactions at this time, as we used LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions. The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our Statements of Income . In this regard, the Amount Reclassified from AOCI into Net Interest Income column below includes the following: • The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are initially recorded in AOCI and are reclassified to the interest income/expense line item of the respective hedged item type. For the years ending December 31, Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income 2022 Discount notes $ 114 $ 2 Bonds — (1) Total $ 114 $ 1 2021 Discount notes $ 35 $ (18) Bonds — (1) Total $ 35 $ (19) 2020 Discount notes $ (48) $ (20) Bonds — (1) Total $ (48) $ (21) |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Debt Disclosure [Text Block] | Consolidated Obligations The FHLBs issue consolidated obligations through the Office of Finance as their agent. Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated discount notes are issued to raise short-term funds, are issued at less than their face amount and redeemed at par value when they mature. The maturity of consolidated obligation bonds may range from less than one year to over 20 years, but they are not subject to any statutory or regulatory limits on maturity. The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of December 31, 2022 December 31, 2021 Consolidated obligation discount notes - carrying amount $ 59,531 $ 24,563 Consolidated obligation discount notes - principal amount 59,814 24,565 Weighted Average Interest Rate 4.15 % 0.05 % The following table presents the remaining life of our consolidated obligation bonds by contractual maturity and the related weighted average interest rate, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of December 31, 2022 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 11,292 1.99 % $ 50,355 One to two years 12,814 1.77 % 4,592 Two to three years 7,994 1.93 % 1,969 Three to four years 13,407 1.33 % 2,625 Four to five years 5,366 2.28 % 953 Thereafter 10,401 2.20 % 780 Total par value $ 61,274 1.85 % $ 61,274 The following table presents consolidated obligation bonds outstanding by call feature. As of December 31, 2022 December 31, 2021 Noncallable $ 16,775 $ 24,516 Callable 44,499 39,087 Par value 61,274 63,603 Fair value hedging adjustments (3,114) (208) Other adjustments (44) (22) Consolidated obligation bonds $ 58,116 $ 63,373 Consolidated obligations are issued with either fixed or floating rate payment terms that may use a variety of indices for interest rate resets (e.g. SOFR). Additionally, both fixed-rate bonds and floating-rate bonds may contain an embedded derivative, such as a call feature or complex coupon payment terms, if requested by investors. When such consolidated obligations are issued, we may concurrently enter into an interest rate swap containing offsetting features that effectively convert the terms of the bond to a variable-rate bond tied to an index or a fixed-rate bond. Consolidated obligation bonds, beyond having fixed-rate or floating-rate payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms: Step-Up Bonds and Step-Down Bonds - Bonds that pay interest at increasing or decreasing fixed rates for specified intervals over their life. These bonds are callable at our option on the step-up or step-down dates. The following table presents interest rate payment terms for consolidated obligation bonds for which we are primary obligor at the dates indicated. As of December 31, 2022 December 31, 2021 Fixed-rate $ 50,872 $ 40,842 Variable-rate 1,120 18,320 Step-up 9,282 4,441 Par value $ 61,274 $ 63,603 The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of December 31, 2022 and December 31, 2021. Refer to Note 16 - Commitments and Contingencies for further details. Par values as of December 31, 2022 December 31, 2021 Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 712,178 $ 469,565 $ 1,181,743 $ 441,936 $ 210,926 $ 652,862 FHLB Chicago as primary obligor 61,274 59,814 121,088 63,603 24,565 88,168 As a percent of the FHLB System 9 % 13 % 10 % 14 % 12 % 14 % |
Affordable Housing Program (Not
Affordable Housing Program (Notes) | 12 Months Ended |
Dec. 31, 2022 | |
Federal Home Loan Banks [Abstract] | |
Affordable Housing Program [Text Block] | Affordable Housing Program The Financial Institutions Reform, Recovery and Enforcement Act of 1989 (FIRREA) contains provisions for the establishment of an Affordable Housing Program (AHP) by each FHLB. Through this program, we provide subsidies in the form of direct grants for members to support the acquisition, construction, and/or rehabilitation of affordable housing. Annually, each FHLB must set aside for its AHP the greater of 10% of its current year's income subject to assessments (e.g., excluding any interest expense related to MRCS), or the prorated sum required to ensure the aggregate contribution by the FHLBs is no less than $100 million. The exclusion of interest expense related to MRCS is a regulatory calculation that was established by the FHFA. Interest expense related to MRCS for 2022, 2021, and 2020, was $16 million, $12 million, and $15 million. We accrue the AHP expense monthly based on our income subject to assessments and recognize an AHP liability. As subsidies are provided, the AHP liability is reduced. The following table summarizes the changes in the AHP payable for the periods indicated. For the years ended December 31, 2022 2021 2020 AHP balance at beginning of year $ 85 $ 89 $ 84 AHP expense accrual 48 32 43 Cash disbursements for AHP (34) (36) (38) AHP balance at end of year $ 99 $ 85 $ 89 |
Capital and Mandatorily Redeema
Capital and Mandatorily Redeemable Capital Stock (MRCS) | 12 Months Ended |
Dec. 31, 2022 | |
Federal Home Loan Banks [Abstract] | |
Stockholders' Equity Note Disclosure [Text Block] | Capital and Mandatorily Redeemable Capital Stock (MRCS) Under our Capital Plan our stock consists of two sub-classes of stock, Class B1 activity stock and Class B2 membership stock (together, Class B stock), both with a par value of $100 and redeemable on five years' written notice, subject to certain conditions. Under the Capital Plan, each member is required to own capital stock in an amount equal to the greater of a membership stock requirement or an activity stock requirement. All stock that supports a member's activity stock requirement with the Bank is classified as Class B1 activity stock. Any additional amount of stock necessary for the total amount of Class B stock held to equal a member’s minimum investment amount will be classified as Class B2 membership stock. Members purchase Class B2 membership stock to satisfy their membership stock requirement with the Bank. Stock held in excess of a member’s minimum investment requirement is classified as Class B2 excess capital stock. Members that withdraw from membership must wait at least five years after their membership was terminated and all of their capital stock was redeemed or repurchased before being readmitted to membership in any FHLB. Under our Capital Plan, any dividend declared on Class B1 shares must be greater than or equal to the dividend declared on Class B2 shares for the same period. We have paid an enhanced dividend on Class B1 activity stock since the fourth quarter of 2013. Future dividend payments remain subject to declaration by our Board and will depend on future operating results, our Retained Earnings and Dividend Policy and any other factors the Board determines to be relevant. Minimum Capital Requirements We are subject by FHFA regulation to the following three capital requirements: • Total regulatory capital ratio; • Leverage capital ratio; and • Risk-based capital. For purposes of calculating our compliance with these minimum capital requirements in effect: • “Permanent capital” includes our retained earnings plus the amount paid in for our Class B stock, including Class B stock classified as mandatorily redeemable. • “Total capital” means the sum of (1) our permanent capital plus (2) any general allowance for losses. • “Total assets” are the total assets determined in accordance with GAAP. Permanent capital and total capital do not include accumulated other comprehensive income (loss). Total Regulatory Capital Ratio . We must maintain a minimum ratio of total capital to total assets of at least 4.00%. For safety and soundness reasons, this ratio may be increased by the FHFA with respect to an individual FHLB. Leverage Capital Ratio . We must also maintain a leverage ratio of total capital to total assets of at least 5.00%. For purposes of determining this leverage ratio, total capital is computed by multiplying our permanent capital by 1.5 and adding to this product all other components of total capital. This ratio also may be increased by the FHFA with respect to an individual FHLB. Risk-Based Capital . Under the risk-based capital requirement, we must maintain permanent capital in an amount at least equal to the sum of our: (i) credit risk capital requirement, (ii) market risk capital requirement, and (iii) operational risk capital requirement; all of which are calculated in accordance with the rules and regulations of the FHFA. As of December 31, 2022 December 31, 2021 Requirement Actual Requirement Actual Total regulatory capital $ 5,074 $ 7,801 $ 3,878 $ 6,656 Total regulatory capital ratio 4.00 % 6.15 % 4.00 % 6.87 % Leverage capital $ 6,343 $ 11,701 $ 4,848 $ 9,984 Leverage capital ratio 5.00 % 9.22 % 5.00 % 10.30 % Risk-based capital $ 1,786 $ 7,801 $ 1,297 $ 6,656 Total regulatory capital and leverage capital includes mandatorily redeemable capital stock (MRCS) but does not include AOCI. Under the FHFA regulation on capital classifications and critical capital levels for the FHLBs, we are adequately capitalized. Additionally, an FHFA Advisory Bulletin sets forth guidance for each FHLB to maintain a ratio of at least two percent of capital stock to total assets. In accordance with this guidance, the FHFA considers the proportion of capital stock to assets, measured on a daily average basis at month end, when assessing each FHLB’s capital management practices. Capital Concentration None of our members (including any successor) had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS) as of December 31, 2022. Mandatorily Redeemable Capital Stock (MRCS) The following table shows our MRCS redemption terms by year payable. As of December 31, 2022 Amount One to two years 1 Three to four years 245 a Four to five years 2 Mandatorily Redeemable Capital Stock 248 a Represents the redemption period of Class B stock held by former captive insurance company members which began immediately upon their terminations of membership on February 19, 2021, in accordance with the FHFA Rule on FHLB membership. However, based on our current excess stock repurchase practices, we expect to repurchase nearly all of their excess stock prior to the end of the redemption period. Repurchase of Excess Capital Stock Members may request repurchases of excess stock on any business day. Additionally, on a monthly basis, the Bank repurchases excess capital stock held by each member or former member that exceeds certain limits set by the Bank. All repurchases of excess capital stock, including any future monthly repurchases, will continue until otherwise announced, but remain subject to our regulatory requirements, certain financial and capital thresholds, and prudent business practices. Dividends Our ability to pay dividends is subject to the FHLB Act and FHFA regulations. On January 24, 2023 our Board of Directors declared a 7.1250% cash dividend (annualized) for Class B1 activity stock and a 3.0625% cash dividend (annualized) for Class B2 membership stock based on our preliminary financial results for the fourth quarter of 2022. This dividend totaled $52 million (recorded as $48 million dividends on capital stock and $4 million interest expense on mandatorily redeemable capital stock) and was paid on February 15, 2023. Any future dividend payment remains subject to declaration by the Board and will depend on future operating results, our Retained Earnings and Dividend Policy and any other factors the Board determines to be relevant. Joint Capital Enhancement Agreement All of the FHLBs, including us, entered into a Joint Capital Enhancement Agreement (as later amended, the JCE Agreement) and implemented it in our respective capital plans. The intent of the JCE Agreement is to enhance the capital position of each FHLB by allocating that portion of each FHLB's earnings to a separate restricted retained earnings account at that FHLB. The JCE Agreement provides that each FHLB is required to contribute 20% of its net income each quarter to a restricted retained earnings account until the balance of that account equals at least 1% of that FHLB's average balance of outstanding consolidated obligations for the previous quarter. Additionally, the JCE Agreement provides that amounts in restricted retained earnings in excess of 150% of an FHLB’s restricted retained earnings minimum (i.e., one percent of that FHLB’s total consolidated obligations calculated as of the last day of each calendar quarter) may be released from restricted retained earnings. Although restricted retained earnings under the JCE Agreement are included in determining whether we have attained the retained earnings target under the Bank's Retained Earnings and Dividend Policy, these restricted retained earnings will not be available to pay dividends. We do not believe that the requirement to contribute 20% of our future net income to a restricted retained earnings account under the JCE Agreement will have an impact on our ability to pay dividends except in the most extreme circumstances. There is a provision in the JCE Agreement that if, at any time, our restricted retained earnings were to fall below the required level, we would only be permitted to pay dividends out of (1) current net income not required to be added to our restricted retained earnings and (2) retained earnings that are not restricted. FICO Dissolution The Competitive Equality Banking Act of 1987 was enacted in August 1987, which, among other things, provided for the recapitalization of the Federal Savings and Loan Insurance Corporation through a newly-chartered entity, the Financing Corporation (FICO). The capitalization of FICO was provided by capital distributions from the FHLBs to FICO in exchange for FICO nonvoting capital stock. Capital distributions were made by the FHLBs in 1987, 1988 and 1989 that aggregated to $680 million. Upon passage of the Financial Institutions Reform, Recovery and Enforcement Act of 1989, the FHLBs’ previous investment in capital stock of FICO was determined to be non-redeemable and the FHLBs charged-off their prior capital distributions to FICO directly against retained earnings. In connection with the dissolution of FICO in July 2020, FICO determined that excess funds aggregating to $200 million were available for distribution to its stockholders, the FHLBs, and FICO distributed these funds to the FHLBs in June 2020. Specifically, our partial recovery of prior capital distribution was $19 million, which was determined based on our share of the $680 million originally contributed to FICO. We treated the receipt of these funds as a return of our investment in FICO capital stock, and therefore as a partial recovery of the prior capital distributions we made to FICO in 1987, 1988, and 1989. These funds have been credited to unrestricted retained earnings in our Statements of Capital on page F-7 and in Other Financing Activities in our Statements of Cash Flows on page F-9. |
Accumulated Other Comprehensive
Accumulated Other Comprehensive Income (Loss) | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Comprehensive Income (Loss) Note [Text Block] | Accumulated Other Comprehensive Income (Loss) The following table summarizes the gains (losses) in AOCI for the reporting periods indicated. Net Unrealized - Noncredit OTTI - Net Unrealized - Cash Flow Hedges For the years ended December 31, Available-for-sale Debt Securities Held-to-maturity Debt Securities Post-Retirement Plans AOCI 2022 Beginning balance $ 366 $ — $ (11) $ (13) $ 342 Other comprehensive income before reclassification - recorded to the Statements of Condition (545) — 114 — (431) Amounts reclassified in period to Statements of Income: Net interest income (1) (1) Noninterest expense 2 2 Ending balance $ (179) $ — $ 102 $ (11) $ (88) 2021 Beginning balance $ 292 $ — $ (65) $ (20) $ 207 Other comprehensive income before reclassification - recorded to the Statements of Condition 75 — 35 (1) 109 Amounts reclassified in period to Statements of Income: Net interest income 19 19 Noninterest income (1) — (1) Noninterest expense 8 8 Ending balance $ 366 $ — $ (11) $ (13) $ 342 2020 Beginning balance $ 104 $ (85) $ (38) $ (10) $ (29) Other comprehensive income before reclassification - recorded to the Statements of Condition 194 85 (48) (19) 212 Amounts reclassified in period to Statements of Income: Net interest income 21 21 Noninterest income (6) — (6) Noninterest expense 9 9 Ending balance $ 292 $ — $ (65) $ (20) $ 207 |
Employee retirement plans (Note
Employee retirement plans (Notes) | 12 Months Ended |
Dec. 31, 2022 | |
Retirement Benefits [Abstract] | |
Pension and Other Postretirement Benefits Disclosure [Text Block] | Employee Retirement Plans We participate in the Pentegra Defined Benefit (DB) Plan for Financial Institutions (the Pension Plan), a multiple employer, tax-qualified noncontributory defined-benefit pension plan. The Pension Plan year runs from July 1 to June 30. Substantially all of our officers and employees participate in the Pension Plan. Our risks in participating in the Pension Plan are as follows: • The Pension Plan is a single plan under Internal Revenue Code Section 413(c) and, as a result, all of the assets stand behind all of the liabilities. Accordingly, contributions made by us may be used to provide benefits to participants of other participating employers. • If a participating employer withdraws from the Pension Plan, the unfunded obligations of the Pension Plan may be borne by the remaining participating employers, which would include us. • If we choose to withdraw from the Pension Plan, we may be required to pay the Pension Plan an amount based on the underfunded status of the Pension Plan, referred to as a withdrawal liability. Relevant information concerning the Pension Plan is outlined below: • The Pension Plan's Employer Identification Number is 13-5645888 and the Plan Number is 333. • A single Form 5500 is filed on behalf of all employers who participate in the Pension Plan. A Form 5500 was not available for the Pension Plan year ended June 30, 2022, as of the date of filing of this Form 10-K filing. • Our contribution for each of the years ending December 31, 2022 and December 31, 2021 was not more than 5% of the total contributions to the Pension Plan. Our contribution for the year ending December 31, 2020 was more than 5% of the total contributions to the Pension Plan. • The Pension Plan is not a collective bargaining agreement. • We did not pay any surcharges to the Pension Plan. • There was no funding improvement plan or rehabilitation plan implemented, nor is any such plan pending. Contributions to the Pension Plan include both mandatory amounts required under federal law and discretionary contributions to improve the Plan's funded status. The Moving Ahead for Progress in the 21st Century Act (“MAP-21”), enacted in 2012, provided temporary relief for employers like the Bank who participate in plans for which funding contributions are determined under the Employee Retirement Income Security Act of 1974. Specifically, MAP-21 allows the Bank to use a 25-year average discount rate within an upper and lower range rather than the current discount rate when determining its minimum funding obligation. In effect, the discount rate under MAP-21 is higher than the current discount rate, which reduces the Bank’s minimum funding obligation and expense recognized into earnings.This is due to the inverse relationship between the discount rate and the pension liability and expense - that is, the higher the discount rate, the lower the liability and expense amount. This discount rate relief was extended in 2014 when the Highway and Transportation Funding Act (“HATFA”) was signed into law. The discount rate relief was extended again through the year 2020 (with graduated increases each year thereafter until expiring in 2023) when the Bipartisan Budget Act of 2015 (“BBA 2015”) was enacted in 2015. Additional discount rate relief was extended in 2021 through the American Rescue Plan of 2021 ("ARPA"). The following table provides details on our multiemployer Pension Plan. The funded status is calculated as the market value of plan assets divided by the funding target and reflects contributions received through the plan year ended June 30. Pension Plan 2022 2021 2020 Net pension cost (minimum required contribution) including administrative fees, charged to compensation and benefits expense for the years ended December 31, $ 2 $ 4 $ 18 Prepaid pension contributions, in other assets, as of December 31, 63 64 67 Plan funded status as of the plan years ended June 30, 119 % 130 % 108 % Our portion of plan funded status as of the plan years ended June 30, 159 % 180 % 145 % |
Fair Value
Fair Value | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value Disclosures [Text Block] | Fair Value Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. Refer to Note 2 - Summary of Significant Accounting Policies for our fair value measurement policies. Valuation Techniques and Significant Inputs Outlined below is a description of our valuation techniques and significant assumptions. Assets for which fair value approximates carrying amount. Due to the short-term nature and negligible credit risk, we use the carrying amount to estimate fair value of cash and due from banks, interest-bearing deposits, federal funds sold, securities purchased under agreements to resell, and accrued interest receivable. Investment debt securities—non-MBS and MBS. We use one of the valuation approaches outlined below to determine fair value. • Prices received from third party pricing vendors provided we believe their pricing models are consistent with what other market participants would use; or • An income approach based on a market-observable interest rate curve adjusted for a spread. The significant inputs and assumptions utilized by third party pricing vendors in their proprietary pricing models are derived as outlined below for these securities. • Market observable sources (Level 1), which include, but are not limited to, benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers, and other market related data, for securities that are actively traded. • Available market observable inputs (Level 2) rather than quoted market prices are used when valuing securities primarily comprised of our portfolio of government, mortgage and asset-backed securities. Available market information is used, such as benchmark curves, benchmarking of like securities, sector groupings, and matrix pricing for fixed income securities that do not trade on a daily basis. • Significant unobservable inputs (Level 3) for securities. Valuations are derived from techniques that use significant assumptions not observable in the market, which include pricing models, discounted cash flow models, or similar techniques. We annually review the multiple third party pricing vendors we utilize to measure the fair value of our agency MBS and FFELP ABS. Our annual review includes, but is not limited to, the following: • Confirming and further augmenting our understanding of the vendors' pricing processes, methodologies and control procedures. • Reviewing, if available, the vendors' independent auditors' reports to assess the vendors' internal controls over their valuation processes. • Assessing our third party vendors' proprietary pricing models for reasonableness, including the underlying inputs and assumptions utilized. This is achieved by sampling securities across different asset classes and utilizing deep dive analyses since we do not have direct access to their propriety pricing models. • Using our internal model price in cases where a fair value is not provided by any third party pricing vendor to measure the fair value. In this process, we compare prices for comparable securities provided by third party pricing vendors to our internal pricing model to test for reasonableness. • Using our third party vendor's pricing challenge process, which is in place for all security valuations. The pricing challenge process facilitates identification and resolution of potentially erroneous prices. Non-MBS securities - SBA, agency bonds and housing development bonds. We use one third party pricing vendor to measure the fair value of these securities. If available, we compare the prices received from that service to two other third party pricing vendors to determine if the price is reasonable. If no other third party prices are available, we validate against internal models. Advances. We determine the fair value of an advance by calculating the present value of its expected future cash flows. Accrued interest receivable is included in the expected future cash flows for an advance carried at fair value under the fair value option, and accordingly, accrued interest receivable on such an advance is classified in Advances in our Statements of Condition . Accrued interest receivable is not included in the expected future cash flows on an advance carried on an amortized cost basis, and accordingly, accrued interest receivable on such an advance is classified in Other Assets in our Statements of Condition . In determining fair value we do not factor in prepayment risk in cases where an advance carries a prepayment fee since we are financially indifferent whether or not the borrower prepays. The significant inputs used to determine fair value for advances carried under the fair value option in our Statements of Condition are shown below. • Consolidated Obligation Curve (CO Curve). The Office of Finance constructs this market-observable curve using the U.S. Treasury Curve as a base which is then adjusted by adding indicative spreads obtained largely from market observable sources, which includes the benchmark component interest rate. These market indications are derived from pricing indications from dealers, historical pricing relationships, market activity such as recent GSE trades, and other secondary market activity. The CO Curve best represents our cost of funds and is an integral factor with respect to pricing our advance products, and accordingly, we utilize it to measure an advance's fair value. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. • Target spread assumption.The target spread relative to the cost of funds that we expect to earn for a given advance. MPF Loans held in portfolio. We measure the fair value of our entire mortgage loan portfolio based on to-be-announced (TBA) securities, which represent quoted market prices for new mortgage-backed securities issued by U.S. government-sponsored enterprises, and adjust that fair value amount for impaired MPF Loans held in portfolio. The prices of the referenced mortgage-backed securities and the MPF Loans are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Prices are then adjusted for differences in coupon, average loan rate, seasoning, settlements, purchase market spread, loan balance, and cash flow remittance between our MPF Loans and the referenced mortgage-backed securities. MPF Loans held for sale (included in Other Assets). We measure the fair value of our MPF Loans HFS portfolio based on TBA securities, which represent quoted market prices for new mortgage-backed securities issued by U.S. government-sponsored enterprises. Derivative assets/liabilities. Derivative instruments are primarily transacted in the institutional dealer market and priced with observable market assumptions at a mid-market valuation point. We estimate the fair value of a derivative that is not transacted in such an active market using standard valuation techniques, such as discounted cash-flow analysis and comparisons to similar instruments. We are subject to nonperformance risk in derivative transactions due to the potential default by our derivative counterparties or a DCO. To mitigate this risk, we have entered into master netting agreements and credit support agreements with our derivative counterparties for our bilaterally executed derivative contracts that provide for the daily delivery of collateral. We apply the “portfolio exception” for purposes of determining the nonperformance risk adjustment, if any, to the fair value of our derivative instruments. As a result, we measure the nonperformance risk adjustment on our derivative instruments by taking into consideration the effects of legally enforceable master netting agreements that allow us to settle positive and negative positions and offset collateral with the same counterparty on a net basis. For transactions executed as a cleared derivative, we settle our variation margin exposure daily in cash and pledge securities collateral for initial margin exposure. We also have established the enforceability of offsetting rights incorporated in the agreements for the cleared derivative transactions. Our net counterparty position equals the amount attributable to a particular credit exposure that we would receive to sell a net long position or that we would pay to transfer a net short position. Based on our risk management practices described above and our assessment of any change in our own credit spread, we concluded that the effect of the credit differential between us and our derivative counterparties and the DCO was sufficiently mitigated, to an immaterial level, so that no nonperformance risk adjustments were deemed necessary to the recorded fair value of our derivative assets/liabilities in our Statements of Condition . See Note 9 - Derivatives and Hedging Activities for further discussion of our credit risk management practices. In estimating a derivative's fair value, we use a discounted cash flow analysis utilizing market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are shown below. Interest-rate related: • We use the SOFR curve to determine the fair value of our cleared derivative contracts, and bilateral derivative contracts that use the SOFR index. For bilateral derivative contracts using an index other than SOFR, we use the OIS curve to determine the fair value. • Volatility assumption market-based expectations of future interest rate volatility implied from current market prices for similar options. • Prepayment assumption, if applicable. Mortgage delivery commitments and TBA mortgage-backed securities: • TBA price. Market-based prices of TBAs are determined by coupon class and expected term until settlement. Deposits. We determine the fair values of deposits by their book values. Community First Fund. We determine the fair values of Community First Fund loans by their book values. Consolidated obligations. We estimate fair values based on the cost of raising comparable term debt using internal valuation models. Our internal valuation models use standard valuation techniques and estimate fair values based on the following significant inputs for those consolidated obligations carried at fair value: • CO Curve for fixed-rate, noncallable (bullet) consolidated obligations and a spread to a benchmark swap curve for callable consolidated obligations based on price indications for callable consolidated obligations from the Office of Finance. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. • Spread assumption. A spread adjustment to a benchmark swap curve used to value callable consolidated obligations carried at fair value. Controls over Internal Valuation Methodologies and Third Party Pricing Vendors Segregation of duties is a key control over our internal valuation methodologies and third party pricing vendors. In this regard, our segregation of duties are outlined below. • Senior management is responsible for our valuation policies. Senior management's responsibility is independent of our investing and treasury functions. • The Asset/Liability Management Committee approves fair value policies and reviews the appropriateness of current valuation methodologies and policies. Model validation is overseen by the Risk Management Committee of the Board of Directors. • The Audit Committee of the Board of Directors oversees the controls utilized by the Asset/Liability Management Committee over their processes. This includes the results of independent model validations where appropriate. • The Risk Management Group prepares the fair value measurements of our financial instruments, evaluates the appropriateness of the fair values generated by pricing models, and assures the reasonableness and consistent application of valuation approaches and assumptions utilized in cases where unobservable inputs are utilized. In addition, the group performs control processes to ensure the fair values received from third party pricing services are consistent with GAAP fair value measurement guidance. • The Risk Management Group's responsibility is independent of our investing and treasury management functions. Other control processes over our internal valuation methodologies include, but are not limited to, the following: • Reviewing the pricing model's theoretical soundness and appropriateness by personnel with relevant expertise who are independent from the fair value measurement function. • Back testing models to subsequent transactions (e.g. termination of a derivative), analysis of actual cash flows to projected cash flows, comparisons with similar observable positions, and comparisons with information received from pricing services for financial instruments where prices or valuations require unobservable inputs. Other control processes over third party pricing vendors, include, but are not limited to, the following: • Understanding and evaluating the fair value measurements received on each major investment security type to ensure that the amounts reported in our financial statements as well as our fair value disclosures comply with GAAP. • Utilizing all fair value inputs received from multiple third party pricing vendors to determine the fair value of an individual security unless we determine that exclusion of a fair value input is appropriate based on our control processes. • Discussions with our third party pricing vendors to ensure that they are in compliance with fair value measurement guidance under GAAP. Such discussions focus on the following: • Understanding their pricing models to the extent possible, as some pricing models are proprietary in nature. • Understanding the principal or most advantageous market selected and our ability to access that market. • Assumptions and significant inputs used in determining the fair value measurement. • The appropriateness of the fair value hierarchy level as of the reporting date. • Whether the market was active or illiquid as of the reporting date. • Whether transactions were between willing buyers and sellers or distressed in nature as of the reporting date. • Whether the fair value measurements as of the reporting date is based on current or stale assumptions and inputs. • Obtaining the third party pricing vendor methodologies and control reports. • Challenging fair value measurements received that represent outliers to the fair value measurements received on the same financial instrument from a different third party pricing service. We document these challenges on a monthly basis. • Examining the underlying inputs and assumptions for a sample of individual securities across asset classes and average life. • Identifying stale prices, prices changed significantly from prior valuations, and other anomalies that may indicate that a price may not be accurate. Fair Value Estimates The following table is a summary of the fair value estimates and related levels in the hierarchy. The carrying amounts are per the Statements of Condition . Fair value estimates represent the exit prices that we would receive to sell assets or pay to transfer liabilities in an orderly transaction with market participants at the measurement date. They do not represent an estimate of our overall market value as a going concern, as they do not take into account future business opportunities or profitability of assets and liabilities. We measure instrument-specific credit risk attributable to our consolidated obligations based on our nonperformance risk, which includes the credit risk associated with the joint and several liability of other FHLBs, see Note 16 – Commitments and Contingencies . As a result, we did not recognize any instrument-specific credit risk attributable to our consolidated obligations that are carried at fair value. See Note 2 - Summary of Significant Accounting Policies for our fair value policies and Note 9 - Derivatives and Hedging Activities for more information on the Netting and Cash Collateral amounts. The net carrying amount in the below table is net of any allowance for credit losses. Net Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral As of December 31, 2022 Carried at amortized cost Cash and due from banks and interest-bearing deposits $ 2,605 $ 2,605 $ 2,605 Federal funds sold and securities purchased under agreements to resell 24,943 24,943 $ 24,943 Held-to-maturity debt securities 1,431 1,419 1,412 $ 7 Advances 65,627 65,581 65,581 MPF Loans held in portfolio, net 10,154 8,973 8,962 11 Other assets 351 351 351 Carried at fair value on a recurring basis Trading debt securities 3 3 3 Available-for-sale debt securities 20,700 20,700 20,700 Advances 661 661 661 Derivative assets 25 25 1,111 $ (1,086) Other assets 109 109 109 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 6 6 6 Financial assets 126,615 $ 125,376 $ 2,605 $ 123,833 $ 24 $ (1,086) Other non financial assets 238 Assets $ 126,853 Carried at amortized cost Deposits $ (571) $ (571) $ (571) Consolidated obligation discount notes (59,278) (59,264) (59,264) Consolidated obligation bonds (57,398) (55,766) (55,766) Mandatorily redeemable capital stock (248) (248) $ (248) Other liabilities (240) (240) (240) Carried at fair value on a recurring basis Consolidated obligation discount notes (253) (253) (253) Consolidated obligation bonds (718) (718) (718) Derivative liabilities (10) (10) (2,872) $ 2,862 Financial liabilities (118,716) $ (117,070) $ (248) $ (119,684) $ — $ 2,862 Other non financial liabilities (672) Liabilities $ (119,388) Net Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral As of December 31, 2021 Carried at amortized cost Cash and due from banks and interest-bearing deposits $ 900 $ 900 $ 900 Federal funds sold and securities purchased under agreements to resell 12,267 12,267 $ 12,267 Held-to-maturity debt securities 1,801 1,832 1,822 $ 10 Advances 46,876 47,108 47,108 MPF Loans held in portfolio, net 9,839 9,908 9,900 8 Other assets 83 83 83 Carried at fair value on a recurring basis Trading debt securities 954 954 954 Available-for-sale debt securities 22,706 22,706 22,706 Advances 1,173 1,173 1,173 Derivative assets 14 14 70 $ (56) Other assets 104 104 104 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 4 4 4 Financial assets 96,721 $ 97,053 $ 900 $ 96,187 $ 22 $ (56) Other non financial assets 233 Assets $ 96,954 Carried at amortized cost Deposits $ (1,034) $ (1,034) $ (1,034) Consolidated obligation discount notes (24,563) (24,563) (24,563) Consolidated obligation bonds (62,708) (62,585) (62,585) Mandatorily redeemable capital stock (247) (247) $ (247) Other liabilities (116) (116) (116) Carried at fair value on a recurring basis Consolidated obligation bonds (665) (665) (665) Derivative liabilities (32) (32) (527) $ 495 Financial liabilities (89,365) $ (89,242) $ (247) $ (89,490) $ — $ 495 Other non financial liabilities (837) Liabilities $ (90,202) We had no transfers between levels for the periods shown. Level 3 Rollforward The following table presents a rollforward of assets and liabilities that are measured at fair value on a recurring basis on the Statements of Condition using significant unobservable inputs (Level 3). We sold our AFS PLMBS during October 2020, as discussed in Note 2 – Summary of Significant Accounting Policies . There was no material activity in the current period for recurring Level 3 assets. Available-For-Sale PLMBS For the years ended December 31, 2020 Balance at beginning of period $ 35 Gain (loss) included in earnings - Gain (loss) on sale 6 Interest income 2 Gain (loss) included in OCI - Net unrealized on AFS securities (6) Sales (32) Paydowns and settlements (5) Balance at end of period $ — Unrealized gains (losses) recorded in earnings and attributable to instruments still held at period end $ — Fair Value Option We may elect the fair value option for financial instruments, such as advances, MPF Loans held for sale, and consolidated obligation discount notes and bonds, in cases where hedge accounting treatment may not be achieved due to the inability to meet the hedge effectiveness testing criteria, or in certain cases where we wish to mitigate the risk associated with selecting the fair value option for other instruments. Financial instruments for which we elected the fair value option along with their related fair value are shown on our Statements of Condition . Refer to Note 2 - Summary of Significant Accounting Policies for further details. The following table presents the gains (losses) in fair values of financial assets and liabilities carried at fair value under the fair value option, which are recognized in noninterest income - instruments held under the fair value option in our Statements of Income . For the years ended December 31, 2022 2021 2020 Advances $ (73) $ (46) $ 64 Discount notes 2 — — Bonds 23 4 (3) Other (8) (4) (1) Noninterest income - Instruments held under fair value option $ (56) $ (46) $ 60 The following table reflects the difference between the aggregate UPB outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. December 31, 2022 December 31, 2021 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 680 $ 741 $ 1,117 $ 666 Fair value over (under) UPB (19) (23) 56 (1) Fair value $ 661 $ 718 $ 1,173 $ 665 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies [Text Block] | Commitments and Contingencies The following table shows our commitments outstanding, which represent off-balance sheet obligations. As of December 31, 2022 December 31, 2021 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Member standby letters of credit $ 4,485 $ 6,265 a $ 10,750 $ 4,285 $ 7,032 a $ 11,317 MPF delivery commitments 93 — 93 366 — 366 Advance commitments 76 5 81 43 2 45 Housing authority standby bond purchase agreements 56 485 541 25 477 502 Unsettled consolidated obligation bonds 65 — 65 378 — 378 Other 2 — 2 3 — 3 Commitments $ 4,777 $ 6,755 $ 11,532 $ 5,100 $ 7,511 $ 12,611 a Contains $5.8 billion and $6.1 billion of member standby letters of credit at December 31, 2022 and December 31, 2021, which were renewable annually. Commitments Member standby letters of credit. A member standby letter of credit is a financing arrangement between us and our member. We execute a letter of credit with a member for a fee and require that member to fully collateralize the letter of credit at the time of issuance. If we are required to make payment for a beneficiary's draw, the payment amount is converted into a collateralized advance to the member if not reimbursed by the member. We monitor the creditworthiness of our members that have letters of credit. See Note 8 - Allowance for Credit Losses for information related to our credit risk for member standby letters of credit. Housing authority standby bond purchase agreements. We enter into agreements with state housing authorities within our district to provide them liquidity for a fee. Specifically, if required under the terms of the agreement, we purchase and hold a state housing authority's bonds until their designated marketing agent can find a suitable investor or the state housing authority repurchases the bond. These standby bond purchase commitments have original expiration periods of up to 5 years, expiring no later than 2027, although some may be renewable at our option. We purchased no bonds under these agreements during the periods presented above. Advance commitments. We enter into forward-starting advances, which lock in a predetermined interest rate for an advance that will be funded at a future date subject to certain conditions. MPF delivery commitments. Includes delivery commitments to purchase all MPF Loans, including MPF Loans we hold in our portfolio and MPF Loans that are subsequently sold or securitized. Contingencies Joint and Several Liability on Behalf of Another FHLB. We have a contingent obligation for the payment of principal and interest on consolidated obligations of all the FHLBs resulting from our joint and several liability. We did not expect to pay any additional amounts under our joint and several liability as of December 31, 2022 and December 31, 2021. Legal Proceedings. We may be subject to various legal proceedings arising in the normal course of business. After consultation with legal counsel, management is not aware of any such proceedings that might result in our ultimate liability in an amount that would have a material effect on our financial condition or results of operations. |
Transactions with Related Parti
Transactions with Related Parties and Other FHLBs | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions Disclosure [Text Block] | Transactions with Related Parties and Other FHLBs We define related parties as either members whose officers or directors serve on our Board of Directors, or members that control more than 10% of our total voting interests. We did not have any members that controlled more than 10% of our total voting interests for the periods presented in these financial statements. In the normal course of business, we may extend credit to or enter into other transactions with a related party. These transactions are done at market terms that are no more favorable than the terms of comparable transactions with other members who are not considered related parties. Members The following table summarizes material balances we had with our members who are related parties as defined above (including their affiliates) as of the dates presented. The related net income impacts to our Statements of Income were not material. As of December 31, 2022 December 31, 2021 Assets - Advances $ 386 $ 235 Liabilities - Deposits 3 15 Equity - Capital Stock 18 18 Other FHLBs From time to time, we may loan to, or borrow from, other FHLBs. These transactions are done at market terms that are no more favorable than the terms of comparable transactions with other counterparties. These transactions are overnight, maturing the following business day. In addition, we provide programmatic and operational support in our role as the administrator of the MPF Program on behalf of the other MPF Banks for a membership and volume-based administration fee. Material transactions with other FHLBs are identified on the face of our Financial Statements . |
Summary of Significant Accoun_2
Summary of Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2022 | |
Accounting Policies [Abstract] | |
Financing Receivable | We adopted the Accounting Standards Update Measurement of Credit Losses on Financial Instruments (ASU 2016-13), as amended, for interim and annual periods effective January 1, 2020, on a modified retrospective basis. The impact at the time of adoption was recognized for any difference between our existing and Currently Expected Credit Losses (CECL) allowance for credit losses as a cumulative effect adjustment to the opening balance of our retained earnings as of January 1, 2020. We recorded a cumulative effect adjustment to our opening balance of retained earnings of $(7) million, which related to Community First ® Fund (the “Fund”) loans. There were no other material adjustments recognized at the time of adoption. ASU 2016-13 amended existing GAAP guidance applicable to measuring credit losses on financial assets carried at amortized cost, which includes loans and held-to-maturity (HTM) securities, to be presented at the net amount expected to be collected. The guidance also requires credit losses relating to these financial instruments as well as available-for-sale (AFS) securities to be recorded through an allowance for credit losses. The amendment replaced the “incurred loss” impairment methodology with a “currently expected credit losses” or CECL framework. The measurement of CECL is based on relevant information about certain events, including historical experience, current conditions, and reasonable and supportable forecasts that affect the collectability of the financial instrument’s reported amount. Expected recoveries of amounts previously written off and expected to be written off should be included in the allowance for credit losses determination but should not exceed the aggregate of amounts previously written off and expected to be written off by us. In addition, for collateral dependent financial assets, the amendment indicated that an allowance for credit losses that is added to the amortized cost of the financial asset(s) should not exceed amounts previously written off. We present accrued interest receivable separately from the amortized cost of loans and HTM debt securities in Other assets on our Statements of Condition |
Fair Value of Financial Instruments, Policy | Fair Value Fair value represents the exit price that we would receive to sell an asset or pay to transfer a liability in an orderly transaction with a market participant at the measurement date. Valuation Techniques and Significant Inputs We utilize the fair value hierarchy when selecting valuation techniques and significant inputs to measure the fair value of our assets and liabilities. Our valuation techniques may utilize market, cost, and/or income models to estimate fair values. Under the fair value hierarchy, valuation techniques and significant inputs are prioritized from the most objective, such as quoted market prices in external active markets, to the least objective, such as valuation approaches that utilize unobservable inputs. The fair value hierarchy requires us to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value. Outlined below is an overview of Level 1, Level 2, and Level 3 of the fair value hierarchy. Refer to Note 15 - Fair Value for further details on our valuation techniques and significant inputs. Level 1 inputs are quoted prices (unadjusted) in active markets for identical assets or liabilities that we can access at the measurement date. Level 2 inputs are inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 3 inputs are unobservable inputs used to measure fair value of an asset or liability to the extent that relevant observable inputs are not available; for example, situations in which there is little, if any, market activity for the asset or liability at the measurement date. Fair Value Option Financial instruments for which we elect the fair value option are carried at fair value with any changes in fair value immediately recognized as noninterest income - instruments held under fair value option, net in our Statements of Income . Interest income or expense recognized in our Statements of Income on these financial instruments is based solely on the contractual amount of interest due or unpaid, except for our zero coupon rate discount notes for which we accrete the initial discount into interest expense over the life of the discount note. Any transaction fees or costs, are immediately recognized into noninterest expense - other in our Statements of Income . See Note 15 - Fair Value to the financial statements for further details. |
Cash and Cash Equivalents, Policy [Policy Text Block] | Cash and Cash Equivalents We consider only cash and due from banks as cash and cash equivalents. We do not have any restricted cash. |
Interest Bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell | Interest-Bearing Deposits, Federal Funds Sold and Securities Purchased Under Agreements to Resell We invest in interest-bearing deposits, securities purchased under agreements to resell, and federal funds sold. Securities purchased under agreements to resell are accounted for as short-term collateralized loans. These investments provide short-term liquidity and are carried at amortized cost. Accrued interest receivable is presented separately in our Statements of Condition . Interest-bearing deposits, federal funds sold, and securities purchased under agreements to resell are evaluated quarterly for expected credit losses. Under CECL, the Bank uses the collateral maintenance provision practical expedient for our securities purchased under agreements to resell, which allows expected credit losses to be measured based on the difference between the fair value of the collateral and the investment’s amortized cost. Consequently, a credit loss would be recognized if there is a collateral shortfall which the Bank does not believe the counterparty will replenish in accordance with its contractual terms. The credit loss would be limited to the difference between the fair value of the collateral and the investment’s amortized cost. These investments provide short-term liquidity and are carried at amortized cost. If applicable, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. We did not establish an allowance for credit losses for our unsecured overnight interest-bearing deposits or federal funds sold as of December 31, 2022 since all federal funds sold were repaid and all unsecured overnight interest-bearing deposits were returned according to their contractual terms. |
Marketable Securities, Policy [Policy Text Block] | Investment Debt Securities We record purchases and sales of investment debt securities (securities) on a trade date basis. We classify securities as either trading, available-for-sale (AFS), or held-to-maturity (HTM) based on the criteria outlined below. Classification is made at the time a security is acquired and then reassessed on a quarterly basis or as the need arises. • Securities held solely for liquidity purposes are classified as trading and are carried at fair value. We are prohibited from holding trading debt securities for speculative purposes pursuant to FHFA regulations. • Securities held to provide additional earnings are classified as HTM. Classification as HTM requires that we have both the intent and ability to hold the security to maturity. • Securities not classified as either trading or HTM are classified as AFS; for example, securities held for asset-liability management purposes. Our accounting policies for trading, AFS and HTM debt securities are outlined below. For all securities the cost of a security sold or the amount reclassified out of accumulated other comprehensive income into earnings is determined on a specific identification basis. Trading debt securities are carried at fair value with any changes in fair value immediately recognized as noninterest income on trading debt securities in our Statements of Income . As a result, trading debt securities are not assessed for credit losses. Interest income on trading debt securities is based solely on the contractual amount of interest due, except for securities, if any, that have a zero coupon rate. For trading debt securities with a zero coupon rate, we accrete the initial discount into interest income over their life into our Statements of Income . Cash flows from trading debt securities, excluding cash flows from our securitized MPF Government MBS product, are presented on a gross basis and classified as investing activities in our statements of cash flows. Cash flows from our securitized MPF Government MBS product are presented on a gross basis and classified as operating activities in our statements of cash flows. AFS securities are carried at fair value with any changes in fair value immediately recognized into Other Comprehensive Income (OCI) as net unrealized gains (losses) on AFS securities, except for AFS securities that are in a fair value hedge relationship. Changes in fair value related to the benchmark interest rate on AFS securities in a fair value hedging relationship are immediately recognized into interest income in our Statements of Income together with the related change in the fair value of the derivative with the remainder of the change in fair value of the security recorded in OCI as net unrealized gains (losses) on AFS securities. For securities classified as AFS, we evaluate an individual security for impairment on a quarterly basis. Impairment exists when the fair value of the investment is less than its amortized cost basis (i.e., in an unrealized loss position). In assessing whether a credit loss exists on an impaired security, we consider whether there would be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows expected to be collected from the security with the amortized cost basis of the security. If the present value of cash flows is less than amortized cost basis, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. The allowance is limited to the amount of the unrealized loss. If management intends to sell an AFS security in an unrealized loss position or more likely than not will be required to sell the security before expected recovery of its amortized cost, any allowance for credit losses is written off and the amortized cost basis is written down to the security’s fair value at the reporting date. If management does not intend to sell an AFS security, and it is not more likely than not that management will be required to sell the debt security, then the unrealized loss is recorded as net unrealized gains (losses) on AFS securities within OCI. For improvements in impaired AFS securities with an allowance for credit losses recognized after the adoption of CECL guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. HTM securities are carried at amortized cost. Amortized cost represents the original cost of a security adjusted for accretion, amortization, collection of principal, and write-downs on or subsequent to January 1, 2020 recognized into earnings (less any cumulative effect adjustments). Accrued interest receivable is presented separately in our Statements of Condition . HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. In assessing whether a credit loss exists on an impaired security, we consider whether there is expected to be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows expected to be collected from the security with the amortized cost of the security. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the HTM security carrying value. For improvements in cash flows on impaired HTM securities with an allowance for credit losses recognized after the adoption of CECL guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. Specifically, we evaluate the yield of each impaired HTM security on a quarterly basis. We adjust the impaired security's yield for subsequent increases or decreases in its estimated cash flows, if any. The adjusted yield is then used to calculate the amount to be recognized into interest income over the remaining life of the impaired security. For improvements in impaired HTM securities with an allowance for credit losses recognized after the adoption of CECL guidance, the allowance for credit losses associated with recoveries may be derecognized up to its full amount. HTM securities are evaluated quarterly for expected credit losses on a pool basis unless an individual assessment is deemed necessary because the securities do not possess similar risk characteristics. In assessing whether a credit loss exists on an impaired security, we consider whether there is expected to be a shortfall in receiving all cash flows contractually due. When a shortfall is considered possible, we compare the present value of cash flows expected to be collected from the security with the amortized cost of the security. If the present value of cash flows is less than amortized cost, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Prior to January 1, 2020, credit losses were recorded as a direct write-down of the HTM security carrying value. Certain changes in circumstances may cause us to change our intent to hold a security to maturity without calling into question our intent to hold other debt securities to maturity in the future. The sale or transfer of an HTM security due to changes in circumstances, such as evidence of significant credit deterioration in the issuer's creditworthiness or changes in regulatory requirements, is not considered inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for us that could not have been reasonably anticipated by us may cause us to sell or transfer an HTM security without necessarily calling into question our intent to hold other debt securities to maturity. Further, the sale of an HTM debt security would not be considered inconsistent with its classification as HTM if (1) the sale occurs near enough to its maturity date (for example, within three months of maturity) or call date if exercise of the call is probable, that interest rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security's fair value; or (2) the sale of the security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. We use the interest method to amortize/accrete premiums/discounts on HTM and AFS securities into interest income in our Statements of Income . HTM and AFS securities having a prepayment feature amortize/accrete premiums/discounts over their estimated lives based on anticipated prepayments. We recalculate their effective yield on an ongoing basis to reflect actual payments to date and anticipated future payments. HTM and AFS securities that do not have a prepayment feature amortize/accrete premiums/discounts over their contractual life. Gains and losses on sales of securities are included in noninterest income in our Statements of Income . |
Financing Receivable, Held-for-investment [Policy Text Block] | Advances An advance is carried at its amortized cost, except when we elect the fair value option. Amortized cost represents the original amount funded to our member adjusted for any accretion, amortization, collection of cash, and fair value hedge accounting adjustments, if any. Fair value hedge adjustments include ongoing (open) and/or discontinued (closed) fair value hedges. We utilize the interest method to amortize/accrete over contractual life any premiums/discounts and closed fair value and/or cash flow hedging adjustments. Pursuant to CECL, accrued interest receivable is presented separately on our Statements of Condition except for advances for which we elected the fair value option. The advances carried at amortized cost are evaluated quarterly for expected credit losses. If deemed necessary, an allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Refer to Note 6 - Advances and Note 8 - Allowance for Credit Losses for further details. In cases where the Bank funds a new advance concurrently with or within a short period of time before or after the prepayment of an existing advance, it evaluates whether it constitutes a new advance. If the Bank concludes the difference is more than minor based on using both quantitative and qualitative assessments of the modifications made to the original contractual terms, then the advance is accounted for as a new advance. The existing advance is considered terminated with any prepayment fees and related hedging adjustments are immediately recognized into interest income. Prepayment fees on advances treated as modifications are deferred and amortized as a yield adjustment to interest income. We issued advances with a zero coupon interest rate in 2021 and 2020 as part of our COVID-19 relief program. We imputed an interest rate based on prevailing market rates creating a discount on the advance with the offset immediately recognized to the COVID-19 program expense. We accreted the discount as a yield adjustment to interest income over the life of the advance. |
Mortgage Banking Activity [Policy Text Block] | MPF Loans MPF Loans Held in Portfolio MPF Loans for which we have the intent and ability to hold for the foreseeable future, or until maturity or payoff, are classified as MPF Loans held in portfolio. Such loans are carried on an amortized cost basis in our Statements of Condition . Amortized cost represents the initial fair value amount of the MPF delivery commitment as of the purchase or settlement date, agent fees (i.e., market risk premiums or discounts paid to or received from PFIs), if any, subsequently adjusted, if applicable, for accretion, amortization, collection of cash, charge-offs, and cumulative basis adjustments related to fair value hedges. We use the interest method to amortize yield adjustments into interest income in our Statements of Income over the contractual life of an MPF Loan held in portfolio. Accrued interest receivable is presented separately in our Statements of Condition . The Bank performs a quarterly assessment of its mortgage loans held in portfolio to estimate expected credit losses. An allowance for credit losses is recorded with a corresponding adjustment to the provision (reversal) for credit losses. Pursuant to CECL, the Bank measures expected credit losses on mortgage loans on a collective basis, pooling loans with similar risk characteristics. If a mortgage loan no longer shares risk characteristics with other loans, it is removed from the pool and evaluated for expected credit losses on an individual basis. Such loans are considered collateral dependent loans. Specifically, a loan is considered collateral dependent if repayment is expected to be provided substantially through the sale of the collateral when the borrower is experiencing financial difficulty based on the entity’s assessment as of the reporting date. A loan that is considered collateral dependent is measured for credit loss on an individual basis based on the fair value of the underlying property less estimated selling costs, with any shortfall recognized as an allowance for credit loss or charged-off. When developing the allowance for credit losses, the Bank measures the estimated loss over the remaining life of a mortgage loan, which also considers how the Bank’s credit enhancements mitigate credit losses. If a loan is purchased at a discount, the discount does not offset the allowance for credit losses. The allowance excludes uncollectible accrued interest receivable, as the Bank writes off accrued interest receivable by reversing interest income if a mortgage loan is placed on nonaccrual status. The Bank includes estimates of expected recoveries within the allowance for credit losses. See Note 8 – Allowance for Credit Losses for details on the allowance methodologies relating to mortgage loans. See Note 7 - MPF Loans Held in Portfolio for further details pertaining to the MPF Program and MPF Loans. MPF Loans Held for Sale/Sold MPF Loans acquired by the Bank under the MPF Government MBS product are classified as MPF Loans held for sale (HFS). We classify MPF Loans HFS in Other Assets rather than as a separate line item in our Statements of Condition on the basis of materiality. Other products such as MPF Xtra® loans are generally bought and resold on the same day. They qualify for sales accounting treatment and thus are not carried on our balance sheet at the end of a reporting period. MPF Loans under the MPF Government MBS product qualify, once sold, for sales accounting treatment and are reclassified from MPF Loans HFS to trading debt securities upon their securitization. Refer to Note 1 – Background and Basis of Presentation which further expands on our involvement with these securitizations. Cash flows from the MPF Government MBS product are classified as operating activities in our Statements of Cash Flows . We have elected the fair value option for these HFS MPF Loans on our balance sheet. We make customary representations and warranties regarding the underwriting and loan eligibility of MPF Loans that are sold to third party investors. If a loan underwriting requirement or other warranty is breached, these third parties could require us to repurchase the MPF Loan or provide an indemnity. We establish reserves for mortgage representation and warranty related matters when it is probable that a loss associated with a claim or proceeding has been incurred and the amount of the loss can be reasonably estimated. For the periods presented, the reserves associated with these representations and warranties were not material. The Bank does not own the servicing rights related to these sold loans because the servicing is either retained by the PFI or sold by the PFI to a third party. The Bank has ongoing operating expenses related to administering these loans that are expensed as incurred. Cash related to loan these programs is maintained in custodial accounts and is not included in the financial statements, but certain loan costs and other related administration fees are recognized into noninterest income - MPF fees in our Statements of Income as follows: • Third party transaction costs attributable to the sale and securitization of MPF Loans HFS/Sold are recognized as a component of the gain or loss on sale of the transferred financial assets. • Administration fees on loans serviced by the PFI are recognized on a straight-line basis over the life of the loan. For MPF Loans HFS/Sold where servicing is released, the fees are recognized immediately. |
Loans and Leases Receivable, Allowance for Loan Losses Policy [Policy Text Block] | Allowance for Credit Losses We determine an allowance for credit losses, if any, for each of our portfolio segments based on CECL beginning January 1, 2020. Previously, we recognized a credit loss when it was probable a credit loss has been incurred and when the credit loss amount was reasonably estimable. A portfolio segment represents the level of disaggregation we utilize to develop and document a systematic method for determining an allowance for credit losses attributable to our financing receivables. An allowance for credit losses is a contra valuation account attributable to an on-balance sheet portfolio segment. We recognize the change in our allowance for credit losses during the reporting period as a provision for (reversal of) credit losses in our Statements of Income . We establish a separate liability for credit losses, if any, attributable to off-balance sheet financial instruments, such as standby letters of credit (also referred to herein as letters of credit), using the same approach described above for on-balance sheet financial instruments. We recognize the change in credit losses attributable to off-balance sheet financial instruments during the reporting period, if any, as a provision for (reversal of) credit losses in our Statements of Income . Charge-off Policy We recognize a charge-off on an MPF Loan upon the occurrence of a confirming event, which include, but are not limited to, the events shown below. The charge-off amount equals the difference between the loan's amortized cost and its fair value, less costs to sell. We use an Automated Valuation Methodology (AVM) to determine the fair value of our impaired conventional MPF Loans held in portfolio, including troubled debt restructurings, and real estate owned (REO). The charge-off policy does not apply to Government Loans which are guaranteed. • At foreclosure following the acquisition of REO unless a gain is recognized in noninterest income because the REO’s fair value is supportable by objective evidence in the marketplace. • When a loan is 180 days or more past due and its fair value, less cost to sell, is less than the loan's amortized cost, except when there is a presumption that the loan's amortized cost will be collected. • When a borrower is in bankruptcy, loans are written down to the fair value of the collateral, less costs to sell, within 60 days of receipt of the notification of filing from the bankruptcy court or within the delinquency time frames specified in the adverse classification guidance, whichever is shorter. A loan is not written down if the loan is performing, the borrower continues making payments on the loan, and repayment in full is expected. • Fraudulent loans, not covered by any existing representations and warranties in the loan purchase agreement, are charged off within 90 days of discovery of the fraud, or within the delinquency time frames specified in the adverse classification guidance, whichever is shorter. Past Due Past due loans are those where the borrower has failed to make a payment of principal and interest within 30 days of its due date. In determining a single family mortgage loan’s delinquency status, the Bank may use one of two methods to recognize partial payments. A payment equivalent to 90 percent or more of the contractual payment may be considered a full payment in computing delinquency. Alternatively, the Bank may use the paid through date. In the latter case, credit is given for aggregate partial payments received. If the Bank can clearly document that the delinquent loan is well secured and in the process of collection, such that collection will occur regardless of delinquency status, then the loan need not be adversely classified. A well secured loan is collateralized by a perfected security interest in real property with an estimated fair value, less cost to sell, sufficient to recover the amortized cost in the loan. In the process of collection means that either a collection effort or legal action is proceeding and is reasonably expected to result in recovery of the loan balance or restoration of the loan to a current status, generally within the next 90 days. Other exceptions to this adverse classification policy might be for loans that are supported by valid insurance claims, like federal loan guarantee programs. Nonaccrual Conventional MPF Loans held in portfolio are placed on nonaccrual when they become 90 days past due and/or are "adversely classified" - that is, when a loan is classified as "Substandard", "Doubtful", or "Loss". An adverse classification means that such a loan is not considered well secured and is in the process of collection. All previously accrued but not collected interest is reversed from interest income. Subsequent accruals of interest income are discontinued. Ongoing recognition of any discounts, premiums, deferred loan origination fees or costs, and hedge basis adjustments also are discontinued. As a general rule, a nonaccrual asset may be restored to accrual status when (1) none of its principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual principal and interest, or (2) when it otherwise becomes well secured and in the process of collection. Troubled Debt Restructurings (TDRs) We consider a troubled debt restructuring of a financing receivable to have occurred when we grant a concession to a borrower that we would not otherwise consider for economic or legal reasons related to the borrower's financial difficulties. Insignificant delays in payment of 6 months or less are not considered troubled debt restructurings. Troubled debt restructurings include loans that resulted from borrowers that filed for Chapter 7 bankruptcy in which the bankruptcy court discharged the borrower's obligation to us and the borrower did not reaffirm the debt. We place conventional MPF Loans that are deemed to be troubled debt restructurings on nonaccrual status. MPF Loans that are modified as part of a troubled debt restructuring or are in bankruptcy may be returned to accrual status provided such loans have been performing for 6 consecutive months, none of its contractual principal and interest is due and unpaid, and we expect repayment of the remaining contractual interest and contractual principal. Off-Balance Sheet Credit Exposures The Bank evaluates its off-balance sheet credit exposures on a quarterly basis for expected credit losses. If deemed necessary, we establish a separate liability for credit losses, if any, attributable to off-balance sheet financial instruments, such as standby letters of credit (also referred to herein as letters of credit), using the same approach described above for on-balance sheet financial instruments. We recognize the change in credit losses attributable to off-balance sheet financial instruments during the reporting period, if any, as a provision for or (reversal of) credit losses in our Statements of Income . Refer to Note 8 - Allowance for Credit Losses for further details. |
Derivatives, Policy [Policy Text Block] | Derivatives We presented hedge ineffectiveness and net interest settlements as either interest income or interest expense in our Statements of Income . For cash flow hedges, we recognize changes in fair value on the hedged item in AOCI until they are required to be reclassified into our Statements of Income - that is, amounts recorded in AOCI are reclassified either to interest income or interest expense depending on the hedged item during the period in which the hedged transaction affects earnings. We carry all derivatives at fair value in our Statements of Condition . We designate derivatives either as fair value hedges, cash flow hedges, or economic hedges. We use fair value hedges to manage our exposure to changes in fair value of (1) a recognized asset or liability or (2) an unrecognized firm commitment attributable to changes in a benchmark interest rate. Our cash flow hedge strategy is to hedge the total net proceeds received from rolling forecasted zero-coupon discount note issuances attributable to changes in the benchmark interest rate by entering into interest rate swaps to mitigate such risk. We are not using the cash flow hedge strategy for new transactions at this time, as we use LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions. We use economic hedges in cases where hedge accounting treatment is not permitted or achievable. Accounting for Variation Margin Payments - We account for variation margin payments made to or received by the DCOs (Derivatives Clearing Organization) through our FCMs (Futures Commission Merchant) as settlements to our cleared derivative assets and derivative liabilities. Derivative Hedge Accounting - We apply hedge accounting to qualifying hedge relationships. A qualifying hedge relationship exists when a derivative hedging instrument is expected to be highly effective in offsetting changes in fair values, cash flows, or underlying risk of the hedged item during the term of the hedge relationship. We prepare formal contemporaneous documentation at inception of the hedge relationship to support that the hedge relationship qualifies for hedge accounting treatment and assess hedge effectiveness on an ongoing basis. We immediately recognize changes in fair values for both the derivative hedging instrument and the related hedged item beginning on the derivative hedging instrument's trade date. For fair value hedges, changes in fair value on the hedged item are recognized as a cumulative basis adjustment and are included in the amortized cost basis of the asset or liability being hedged. For cash flow hedges, the changes in fair value of the hedging instrument are recorded to AOCI first and reclassified into earnings (net interest income) as the hedged item affects earnings. Economic Hedges - Changes in fair value on economic hedges are immediately recognized as noninterest income on derivatives and hedging activities in our Statements of Income . Accrual of net interest settlements on economic hedges are recognized as noninterest income on derivatives and hedging activities in our Statements of Income . MPF Delivery Commitments - Commitments to purchase MPF Loans are carried at fair value as a derivative asset or derivative liability, with changes in fair value immediately recognized as noninterest income on derivatives and hedging activities in our Statements of Income . Advance Commitments - An unhedged advance commitment on an advance we intend to hold for investment purposes upon funding is accounted for as a firm commitment rather than a derivative. Firm commitments are accounted for off-balance sheet rather than carried at fair value. Changes in fair value related to an advance commitment in a fair value hedge relationship are immediately recognized in interest income. We discontinue hedge accounting treatment prospectively for an existing fair value or cash flow hedge if any one of the following occurs: • Any hedge criterion is no longer met. • The derivative expires or is sold, terminated, or exercised. • We voluntarily remove the designation as a hedge. Refer to Note 9 - Derivatives and Hedging Activities for additional details. |
Debt, Policy [Policy Text Block] | Consolidated Obligations Consolidated obligations consist of discount notes and consolidated obligation bonds. Consolidated obligations are the joint and several liability of the FHLBs. We carry consolidated obligations on an amortized cost basis, except when we elect the fair value option. Amortized cost basis represents the amount funded to us adjusted for any premiums and discounts, concession fees, and cumulative basis adjustments, if any, related to ongoing (open) and/or discontinued (closed) fair value hedges (fair value hedging adjustments). Cumulative basis adjustments represent the changes in fair value of the hedged items, therefore, they are only applicable to fair value hedges. For cash flow hedges, the changes in fair value of the hedging instrument are recorded to OCI first. We use the interest method to amortize/accrete premiums/discounts, concession fees, and hedging adjustments on consolidated obligations into interest expense in our Statements of Income . The amortization/accretion period for a callable consolidated obligation is over its estimated life. The amortization/accretion period for a consolidated obligation that is noncallable or that has a zero-coupon rate is over its contractual life. We immediately recognize any remaining premiums/discounts, concession fees, and any fair value and/or hedging adjustments attributable to a consolidated obligation that is called into interest expense in our Statements of Income . We consider our joint and several liability for consolidated obligations as a related party guarantee. GAAP guidance pertaining to the initial recognition and measurement of guarantees does not apply to related party guarantees. As a result, we did not recognize an initial liability for our joint and several liability at fair value. We would accrue a liability if subsequently we expect to pay any amounts on behalf of other FHLBs under the joint and several liability. See Note 10 - Consolidated Obligations to the financial statements for further details. |
Stockholders' Equity, Policy [Policy Text Block] | Capital and Mandatorily Redeemable Capital Stock (MRCS) Capital stock is issued and recorded at par. We also record the repurchase and redemption of our capital stock from our members at par because our capital stock can only be acquired and redeemed or repurchased at par value. It is not publicly traded and no market mechanism exists for the exchange of our capital stock outside our cooperative structure. The capital stock repurchased and redeemed is retired. We recognize dividends on our capital stock on the date they are declared by our Board of Directors. We reclassify capital stock from equity to mandatorily redeemable capital stock (MRCS), a liability on our Statements of Condition , once we become unconditionally obligated to redeem capital stock by transferring cash at a specified or determinable date (or dates) or upon an event certain to occur. Capital stock is reclassified to MRCS at fair value. The fair value of capital stock subject to mandatory redemption is its par value (as indicated by contemporaneous member purchases and sales at par value) plus any dividends related to the capital stock which are also reclassified as a liability, accrued at the expected dividend rate, and reported as a component of interest expense. Refer to Note 12 - Capital and Mandatorily Redeemable Capital Stock (MRCS) for further details. |
Lessee, Leases [Policy Text Block] | Lease Expenses attributable to our leases are included in noninterest expense - operating expenses in our Statements of Income . Payments related to our leases are classified within operating activities in our statements of cash flows. The lease agreement for our office space at 433 West Van Buren Street, Chicago, IL terminates in December 2035, subject to options to extend the lease or terminate early. At December 31, 2022 our lease net asset was $ 45 million 50 million 48 million 54 million |
Pension and Other Postretirement Plans, Policy [Policy Text Block] | Pentegra Defined Benefit (DB) Plan for Financial Institutions (the Pension Plan) We participate in the Pentegra Defined Benefit (DB) Plan for Financial Institutions (the Pension Plan), a tax-qualified defined-benefit pension plan. We account for the Pension Plan as a multiemployer plan since contributions made by us may be used to provide benefits to participants of other participating employers. Net pension cost recognized into our Statements of Income includes our minimum required contribution plus administrative fees. A prepaid pension asset is recognized when our contributions are in excess of 100% of our minimum required contribution while a liability is recognized for contributions due and unpaid at the end of the reporting period. Refer to Note 14 - Employee Retirement Plans for further details. |
Derivatives, Methods of Accounting, Hedge Documentation | The following amendments to GAAP became effective March 12, 2020: In March of 2020, the FASB issued Accounting Standards Update (ASU): Reference Rate Reform (Topic 848) Facilitation of the Effects of Reference Rate Reform on Financial Reporting (ASU 2020-04). The amendments provide optional expedients and exceptions for applying generally accepted accounting principles (GAAP) to contracts, hedging relationships, and other transactions affected by reference rate reform if certain criteria are met. The amendments apply for a limited period of time to ease the potential burden in accounting for (or recognizing the effects of) reference rate reform on financial reporting. In January of 2021, the FASB issued ASU 2021-01 Reference Rate Reform (Topic 848): Scope, that refined the scope of Topic 848 and clarified some of its provisions. The amendments permit us to elect certain optional expedients and exceptions when accounting for derivative contracts and certain hedging relationships affected by changes in the interest rates used for discounting cash flows, for computing variation margin settlements, and for calculating price alignment interest (PAI) in connection with reference rate reform activities underway in global financial markets (the “discounting transition”). In this regard, during the fourth quarter of 2020, we elected optional expedients specific to discounting transition on a retrospective basis, which did not have a material effect on our financial statements. Optional Expedients for Contract Modifications: • Includes replacement of reference rate and contract modifications to add or change fallback provisions. • Modifications of receivables or debt may be accounted for as yield adjustments. No gain or loss would be recognized. • Modifications do not require reassessment of whether an embedded derivative should be bifurcated. • Election must be applied consistently for all eligible contracts. Optional Expedients for Fair Value Hedges: • Change in benchmark rate is permitted. A change to the cumulative fair value basis adjustment may need to be recognized in current earnings. • Certain qualifying conditions for the shortcut method may be disregarded for the remainder of the fair value hedging relationship to continue the shortcut method. • The optional expedient may be elected on an individual hedging relationship basis. Optional Expedients for Cash Flow Hedges: • The designated hedged risk may change for a forecasted transaction and we may continue to apply hedge accounting if the hedge remains highly effective. Certain criteria need to be met, for example, if the designated hedged interest rate risk is a rate that is affected by reference rate reform. • For cash flow hedges for which either the hedging instrument or hedged forecasted transactions reference a rate that is expected to be affected by reference rate reform, an entity may adjust how it applies the method used to initially and subsequently assess hedge effectiveness. • For cash flow hedges of portfolios of forecasted transactions that reference a rate that is expected to be affected by reference rate reform, an entity may disregard the requirement that the group of individual transactions must share the same risk exposure for which they are designated as being hedged. • The optional expedients for cash flow hedging relationships may be elected on an individual hedging relationship basis. |
Impairment or Disposal of Long-Lived Assets, Policy | Optional One-Time Election to Sell or Transfer Debt Securities Classified as Held-to-Maturity (HTM) During the fourth quarter of 2020, we adopted a provision of the Accounting Standards Update entitled Facilitation of the Effects of Reference Rate Reform on Financial Reporting that provides a one-time election to sell HTM securities that reference a rate affected by reference rate reform and that were classified as HTM before January 1, 2020. In October 2020, we adopted the one-time election provision to sell HTM private label mortgage-backed securities (PLMBS) to reduce our exposure to LIBOR. We also sold certain LIBOR-affected AFS securities at that time. Specifically: • We sold HTM PLMBS that had an amortized cost of $296 million, and recognized a net realized gain of $101 million. • We sold AFS PLMBS with an amortized cost basis of $26 million, and recognized a net realized gain of $6 million. In October 2020, we also sold certain HTM PLMBS in which the sale of the securities occurred after the Bank had already collected at least 85% of the principal outstanding at acquisition. These HTM PLMBS had an amortized cost of $6 million, and we recognized a net realized gain of $2 million from the sale. Neither of the above HTM sales resulted in the tainting of our held-to-maturity portfolio. We expect to elect the optional expedients for all contract modifications related to LIBOR and certain optional expedients related to hedging relationships. At this time we do not expect these optional elections to have a material financial statement impact. |
Interest Income and Interest _2
Interest Income and Interest Expense (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Interest Income (Expense), Net [Abstract] | |
Interest Income and Interest Expense [Table Text Block] | The following table presents interest income and interest expense for the periods indicated. For the years ended December 31, 2022 2021 2020 Interest income - Trading $ 1 $ 47 $ 107 Available-for-sale interest income 521 197 313 Available-for-sale prepayment fees 47 11 2 Available-for-sale 568 208 315 Held-to-maturity 35 29 75 Investment debt securities 604 284 497 Advance interest income 1,311 253 535 Advance prepayment fees 11 29 51 Advances 1,322 282 586 MPF Loans held in portfolio 284 251 295 Federal funds sold 170 5 30 Securities purchased under agreements to resell 95 2 14 Interest-bearing deposits 58 2 8 Other 3 2 5 Interest income 2,536 828 1,435 Interest expense - Consolidated obligations - Discount notes 738 44 307 Bonds 1,090 229 516 Other 31 12 17 Interest expense 1,859 285 840 Net interest income $ 677 $ 543 $ 595 |
Investment Debt Securities (Tab
Investment Debt Securities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Investments, Debt and Equity Securities [Abstract] | |
Trading Securities by Major Security Type [Table Text Block] | Trading Debt Securities The following table presents the fair value of our trading debt securities. As of December 31, 2022 December 31, 2021 U.S. Government & other government related $ — $ 948 MBS GSE 3 6 Trading debt securities $ 3 $ 954 The following table presents our gains and losses on trading debt securities recorded in noninterest income - other, net. For the years ended December 31, 2022 2021 2020 Net unrealized gains (losses) on securities held at period end $ 1 $ (14) $ (2) Net realized gains (losses) on securities sold/matured during the period — (30) 17 Net gains (losses) on trading debt securities $ 1 $ (44) $ 15 |
Available-for-sale Securities by Major Security Type [Table Text Block] | Available-for-Sale Debt Securities (AFS) The following table presents the amortized cost and fair value of our AFS debt securities. Amortized Cost Basis a Gross Unrealized Gains in AOCI Gross Unrealized (Losses) in AOCI Net Carrying Amount and Fair Value As of December 31, 2022 U.S. Government & other government related $ 2,219 $ 1 $ (132) $ 2,088 State or local housing agency 8 — — 8 FFELP ABS 2,253 61 (10) 2,304 MBS GSE 16,285 45 (145) 16,185 Government guaranteed 114 1 — 115 Available-for-sale debt securities $ 20,879 $ 108 $ (287) $ 20,700 As of December 31, 2021 U.S. Government & other government related $ 4,659 $ 34 $ (12) $ 4,681 State or local housing agency 8 1 — 9 FFELP ABS 2,642 130 — 2,772 MBS GSE 14,849 234 (26) 15,057 Government guaranteed 182 5 — 187 Available-for-sale debt securities $ 22,340 $ 404 $ (38) $ 22,706 a Includes adjustments made to the cost basis of an investment for accretion, amortization, and fair value hedge accounting adjustments. This also includes accrued interest receivable of $54 million at December 31, 2021. We had no sales of AFS debt securities for the periods presented. Any gains or losses are determined on a specific identification basis. |
Held-to-maturity Securities by Major Security Type [Table Text Block] | Held-to-Maturity Debt Securities (HTM) The following table presents the amortized cost, carrying amount, and fair value of our HTM debt securities. Amortized Cost and Net Carrying Amount a Gross Unrecognized Holding Gains Gross Unrecognized Holding (Losses) Fair Value As of December 31, 2022 U.S. Government & other government related $ 1,210 $ — $ (14) $ 1,196 MBS GSE 164 3 — 167 Government guaranteed 49 — — 49 Other $ 8 $ — $ (1) $ 7 Held-to-maturity debt securities $ 1,431 $ 3 $ (15) $ 1,419 As of December 31, 2021 U.S. Government & other government related $ 1,506 $ 11 $ — $ 1,517 MBS GSE 214 19 — 233 Government guaranteed 71 1 — 72 Other $ 10 $ — $ — $ 10 Held-to-maturity debt securities $ 1,801 $ 31 $ — $ 1,832 a Includes adjustments made to the cost basis of an investment for accretion, and/or amortization. We had no sales of HTM debt securities for the periods presented. Any gains or losses are determined on a specific identification basis. |
Interest Rate Payment Terms [Table Text Block] | The following table presents the interest rate payment terms of AFS and HTM debt securities at amortized cost basis for the reporting periods indicated. Available-for-Sale Held-to-Maturity As of December 31, 2022 2021 2022 2021 Non-MBS Fixed-rate $ 2,228 $ 4,665 $ 1,210 $ 1,506 Variable-rate 2,252 2,644 — — MBS Fixed-rate 15,846 14,331 110 144 Variable-rate 553 700 111 151 Total $ 20,879 $ 22,340 $ 1,431 $ 1,801 |
Securities by Contractual Maturity [Table Text Block] | The maturity of our AFS and HTM debt securities is detailed in the following table. MBS and FFELP ABS are not presented by contractual maturity because their expected maturities will likely differ from contractual maturities as borrowers may have the right to call or prepay obligations with or without call or prepayment fees. Available-for-Sale Held-to-Maturity As of December 31, 2022 Amortized Cost Basis Net Carrying Amount and Fair Value Amortized Cost and Net Carrying Amount Fair Value Non MBS and FFELP ABS Year of Maturity - Due in one year or less $ — $ — $ 994 $ 994 Due after one year through five years 1,023 1,019 26 24 Due after five years through ten years 383 352 190 178 Due after ten years 821 725 — — MBS and FFELP ABS 18,652 18,604 221 223 Total debt securities $ 20,879 $ 20,700 $ 1,431 $ 1,419 |
Securities in a Continuous Unrealized Loss Position [Table Text Block] | AFS Securities in a Continuous Unrealized Loss Position The following table presents unrealized losses on our AFS portfolio for periods less than 12 months and for 12 months or more. These losses are considered temporary as we expect to recover the entire amortized cost basis and neither intend to sell these securities nor consider it more likely than not that we will be required to sell these securities before the anticipated recovery of each security’s remaining amortized cost basis. In the tables below, in cases where the gross unrealized losses for an investment category are less than $1 million, the losses are not reported. Less than 12 Months 12 Months or More Total Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Fair Value Gross Unrealized (Losses) Available-for-sale debt securities As of December 31, 2022 U.S. Government & other government related $ 1,130 $ (60) $ 386 $ (72) $ 1,516 $ (132) State or local housing agency 8 — — — 8 — FFELP ABS 347 (10) — — 347 (10) MBS GSE 8,922 (89) 992 (56) 9,914 (145) Government guaranteed 33 — — — 33 — Available-for-sale debt securities $ 10,440 $ (159) $ 1,378 $ (128) $ 11,818 $ (287) As of December 31, 2021 U.S. Government & other government related $ 3,764 $ (12) $ — $ — $ 3,764 $ (12) MBS GSE 1,549 (23) 54 (3) 1,603 (26) Available-for-sale debt securities $ 5,313 $ (35) $ 54 $ (3) $ 5,367 $ (38) |
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Table Text Block] | Increases in cash flows expected to be collected and recognized into interest income on prior years' credit related OTTI charges on our AFS or HTM PLMBS due to accretion were $18 million for the year ended 2020. We had no accretion in 2022 and 2021 as we sold the PLMBS during October 2020, as discussed in Note 2 – Summary of Significant Accounting Policies |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Federal Home Loan Banks [Abstract] | |
Federal Home Loan Bank, Advances [Table Text Block] | The following table presents our advances by terms of contractual maturity and the related weighted average contractual interest rate. For amortizing advances, contractual maturity is determined based on the advance’s amortization schedule. Actual maturities may differ from contractual maturities because some borrowers have the right to call or prepay advances with or without penalties. As of December 31, 2022 Par Value Amount Weighted Average Contractual Interest Rate Due in one year or less $ 36,796 a 4.13 % One to two years 9,990 a 3.70 % Two to three years 4,013 2.45 % Three to four years 4,705 3.14 % Four to five years 3,256 3.25 % Five to fifteen years 8,189 2.46 % More than fifteen years 508 5.14 % Total $ 67,457 3.66 % a Of the advances due in one year or less and one to two years, $7.0 billion and $4.0 billion, respectively, were issued to One Mortgage Partners Corp. (now JPMorgan Chase Bank NA), our former captive insurance company member, whose membership was terminated in 2021 in connection with an FHFA rule. The following table presents our advances by terms of contractual maturity and reconciles the par value of our advances to the carrying amount on our Statements of Condition as of the dates indicated. As of December 31, 2022 December 31, 2021 Fixed-rate due in one year or less $ 20,341 $ 9,285 Fixed-rate due after one year 19,057 18,679 Total fixed-rate 39,398 27,964 Variable-rate due in one year or less 16,455 4,324 Variable-rate due after one year 11,604 15,420 Total variable-rate 28,059 19,744 Par value 67,457 47,708 Fair value hedging adjustments (1,191) 227 Other adjustments 22 114 Advances $ 66,288 $ 48,049 |
Credit Concentration Risk [Member] | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | The following advance borrowers exceeded 10% of our advances outstanding. As of December 31, 2022 Par Value % of Total Outstanding JPMorgan Chase Bank NA $ 11,000 a 16.3 % The Northern Trust Company 7,500 11.1 % a Effective February 19, 2021, we terminated One Mortgage Partners Corp.'s (OMP) membership in connection with the FHFA rule that made captive insurance companies ineligible for FHLB membership. In December 2021, OMP merged with and into its parent company, JPMorgan Chase Bank NA (JPM). For details on the contractual maturity terms of JPM’s advances, see the table above presenting advances by terms of contractual maturity. |
MPF Loans Held in Portfolio (Ta
MPF Loans Held in Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Schedule of Participating Mortgage Loans [Table Text Block] | The following table presents information on MPF Loans held in portfolio by contractual maturity at the time of purchase. We have an allowance for credit losses on our MPF Loans and we have elected to exclude accrued interest receivable from the amortized cost in the following tables. See Note 8 - Allowance for Credit Losses for further details on these amounts. As of December 31, 2022 December 31, 2021 Medium term (15 years or less) $ 1,521 $ 1,653 Long term (greater than 15 years) 8,502 8,031 Unpaid principal balance 10,023 9,684 Net premiums, credit enhancement, and/or deferred loan fees 163 174 Fair value hedging and delivery commitment basis adjustments (21) (10) MPF Loans held in portfolio, before allowance for credit losses 10,165 9,848 Allowance for credit losses on MPF Loans (5) (5) MPF Loans held in portfolio, net $ 10,160 $ 9,843 Conventional mortgage loans $ 9,221 $ 8,845 Government Loans 802 839 Unpaid principal balance $ 10,023 $ 9,684 The above table excludes MPF Loans acquired under the MPF Xtra and MPF Government MBS products. See Note 2 - Summary of Significant Accounting Policies for information related to the accounting treatment of these off-balance sheet MPF Loan products. |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Receivables [Abstract] | |
Financing Receivable, Past Due [Table Text Block] | The following tables summarize our conventional MPF Loans by our key credit quality indicators. As of December 31, 2022 December 31, 2021 Conventional MPF Amortized Cost by Origination Year Conventional MPF Amortized Cost by Origination Year 2017 to 2021 Prior to 2017 Total 2016 to 2020 Prior to 2016 Total Past due 30-59 days $ 34 $ 21 $ 55 $ 23 $ 18 $ 41 Past due 60-89 days 7 6 13 8 6 14 Past due 90 days or more 17 18 35 43 30 73 Past due 58 45 103 74 54 128 Current 8,246 1,003 9,249 7,883 987 8,870 Total outstanding $ 8,304 $ 1,048 $ 9,352 $ 7,957 $ 1,041 $ 8,998 As of December 31, 2022 December 31, 2021 Amortized Cost Amortized Cost Conventional Government Total Conventional Government Total In process of foreclosure $ 19 $ 5 $ 24 $ 6 $ 3 $ 9 Serious delinquency rate 0.42 % 1.90 % 0.54 % 0.82 % 2.33 % 0.95 % Past due 90 days or more and still accruing interest $ 3 $ 15 $ 18 $ 30 $ 19 $ 49 Loans on nonaccrual status 39 — 39 47 — 47 Loans on nonaccrual status with no allowance for credit losses 15 — 15 11 — 11 |
Schedule of Accounts, Notes, Loans and Financing Receivable | We present accrued interest receivable separately for loans and AFS/HTM debt securities. We do not measure an allowance for credit losses on loan related accrued interest receivables as we reverse accrued interest on a monthly basis when the loan is placed on nonaccrual status. The following table summarizes our accrued interest receivable by portfolio segment. Financial instrument type December 31, 2022 December 31, 2021 MPF Loans held in portfolio $ 51 $ 45 HTM securities 9 4 AFS securities 81 — Interest-bearing deposits 7 — Federal funds sold 2 — Securities purchased under agreements to resell 4 — Advances 197 34 Accrued interest receivable $ 351 $ 83 The above table excludes accrued interest of $54 million on AFS securities at December 31, 2021 . Prior to 2022, we included accrued interest in the carrying value of our AFS securities. See Note 5 - Investment Debt Securities for 2021 AFS carrying values. |
MPF Loans held in portfolio | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |
Financing Receivable, Allowance for Credit Loss [Table Text Block] | The following table presents the activity in our allowance for credit losses for MPF Loans for the three years ended December 31, 2022. For the years ended December 31, 2022 2021 2020 Allowance for MPF credit losses beginning balance $ 5 $ 3 $ 1 MPF credit losses charged-off (3) (2) (4) Credit loss recovery 1 1 — Provision for (reversal of) MPF for credit losses 2 3 6 Allowance for MPF credit losses ending balance $ 5 $ 5 $ 3 |
Community First Fund | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |
Financing Receivable, Allowance for Credit Loss [Table Text Block] | The following table details our allowance for credit losses on Fund loans. As we had not incurred any credit losses under the pre-CECL accounting policy, we had no allowance prior to 2021. For the year ended December 31, 2022 2021 2020 Allowance for Fund loan credit losses beginning balance $ 7 $ 7 $ — Adjustment for cumulative effect of accounting change — — 7 Provision for (reversal of) Fund loan for credit losses — (1) — Other — 1 — Allowance for Fund loan credit losses ending balance $ 7 $ 7 $ 7 |
Derivatives and Hedging Activ_2
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block] | The following table presents details on the notional amounts, and cleared and bilateral derivative assets and liabilities on our Statements of Condition . The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. As of December 31, 2022 December 31, 2021 Notional Amount Derivative Assets Derivative Liabilities Notional Amount Derivative Assets Derivative Liabilities Derivatives in hedge accounting relationships- Interest rate contracts $ 90,805 $ 1,092 $ 2,825 $ 70,321 $ 58 $ 466 Derivatives not in hedge accounting relationships- Interest rate contracts 2,420 17 47 2,772 10 59 Mortgage delivery commitments 142 — — 625 2 2 Other 119 2 — 148 — — Derivatives not in hedge accounting relationships 2,681 19 47 3,545 12 61 Gross derivative amount before netting adjustments and cash collateral $ 93,486 1,111 2,872 $ 73,866 70 527 Netting adjustments and cash collateral (1,086) (2,862) (56) (495) Derivatives on Statements of Condition $ 25 $ 10 $ 14 $ 32 Cash Collateral Cash Collateral Cash collateral posted and related accrued interest $ 2,124 $ 447 Cash collateral received and related accrued interest $ 348 $ 8 |
Derivatives And Hedging Activities as Presented in the Statements of Income [Table Text Block] | The following table presents the noninterest income - derivatives and economic hedging activities as presented in the Statements of Income . For the years ending December 31, 2022 2021 2020 Economic hedges - Interest rate contracts $ 66 $ 26 $ (144) Other 4 (9) (9) Economic hedges 70 17 (153) Variation margin on daily settled cleared derivatives (22) — 5 Noninterest income - Derivatives and hedging activities $ 48 $ 17 $ (148) |
Offsetting Assets [Table Text Block] | The following tables present details regarding the offsetting of our cleared and bilateral derivatives on our Statements of Condition . The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. Derivative Assets As of December 31, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 1,004 $ 107 $ 1,111 $ 61 $ 7 $ 68 Netting adjustments and cash collateral (999) (87) (1,086) (49) (7) (56) Derivatives with legal right of offset - net 5 20 25 12 — 12 Derivatives without legal right of offset — — — 2 — 2 Derivatives on Statements of Condition 5 20 25 14 — 14 Net amount $ 5 $ 20 $ 25 $ 14 $ — $ 14 Derivative Liabilities As of December 31, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 2,785 $ 87 $ 2,872 $ 495 $ 30 $ 525 Netting adjustments and cash collateral (2,775) (87) (2,862) (487) (8) (495) Derivatives with legal right of offset - net 10 — 10 8 22 30 Derivatives without legal right of offset — — — 2 — 2 Derivatives on Statements of Condition 10 — 10 10 22 32 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 22 22 Net amount $ 10 $ — $ 10 $ 10 $ — $ 10 At December 31, 2022 and December 31, 2021 we had $692 million and $622 million of additional credit exposure due to pledging of noncash collateral to our counterparties, which exceeded our net derivative position for combined cleared and bilateral derivatives. |
Offsetting Liabilities [Table Text Block] | The following tables present details regarding the offsetting of our cleared and bilateral derivatives on our Statements of Condition . The netting adjustment amount includes cash collateral (either received or paid by us) and related accrued interest in cases where we have a legal right, by contract (e.g., master netting agreement) or otherwise, to offset cash flow obligations between us and our counterparty into a single net payable or receivable. Derivative Assets As of December 31, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 1,004 $ 107 $ 1,111 $ 61 $ 7 $ 68 Netting adjustments and cash collateral (999) (87) (1,086) (49) (7) (56) Derivatives with legal right of offset - net 5 20 25 12 — 12 Derivatives without legal right of offset — — — 2 — 2 Derivatives on Statements of Condition 5 20 25 14 — 14 Net amount $ 5 $ 20 $ 25 $ 14 $ — $ 14 Derivative Liabilities As of December 31, 2022 As of December 31, 2021 Bilateral Cleared Total Bilateral Cleared Total Derivatives with legal right of offset - Gross recognized amount $ 2,785 $ 87 $ 2,872 $ 495 $ 30 $ 525 Netting adjustments and cash collateral (2,775) (87) (2,862) (487) (8) (495) Derivatives with legal right of offset - net 10 — 10 8 22 30 Derivatives without legal right of offset — — — 2 — 2 Derivatives on Statements of Condition 10 — 10 10 22 32 Less: Noncash collateral received or pledged and cannot be sold or repledged — — — — 22 22 Net amount $ 10 $ — $ 10 $ 10 $ — $ 10 At December 31, 2022 and December 31, 2021 we had $692 million and $622 million of additional credit exposure due to pledging of noncash collateral to our counterparties, which exceeded our net derivative position for combined cleared and bilateral derivatives. |
Fair Value Hedges [Table Text Block] | Fair Value Hedges The following table presents our fair value hedging results by the type of hedged item. We had no net gain or loss on hedged firm commitments that no longer qualified as a fair value hedge. Changes in fair value of the derivative and the hedged item attributable to the hedged risk for designated fair value hedges are recorded in net interest income in the same line as the earnings effect of the hedged item. Gains (losses) on derivatives include unrealized changes in fair value, as well as net interest settlements. The line for Other relates to discontinued closed fair value hedges on MPF Loans held for portfolio that are being amortized over the remaining life of the loans. As of December 31, 2022 we did not have any active fair value hedges on our MPF Loans. For the years ending December 31, Gain (Loss) on Derivative Gain (Loss) on Hedged Item Amount Recorded in Net Interest Income 2022 Available-for-sale debt securities $ 2,368 $ (2,427) $ (59) Advances 1,535 (1,418) 117 Consolidated obligation bonds (3,112) 2,905 (207) Other — 1 1 Total $ 791 $ (939) $ (148) 2021 Available-for-sale debt securities $ 478 $ (757) $ (279) Advances 325 (533) (208) Consolidated obligation bonds (180) 409 229 Other — (1) (1) Total $ 623 $ (882) $ (259) 2020 Available-for-sale debt securities $ (1,046) $ 864 $ (182) Advances (632) 416 (216) Consolidated obligation bonds 271 (148) 123 Other — 1 1 Total $ (1,407) $ 1,133 $ (274) The following table presents the cumulative basis adjustments on hedged items designated as fair value hedges and the related amortized cost of the hedged items. Amortized cost of hedged asset/liability Basis adjustments active hedges included in amortized cost Basis adjustments discontinued hedges included in amortized cost Total amount of fair value hedging basis adjustments As of December 31, 2022 Available-for-sale securities $ 16,918 $ (2,016) $ 345 $ (1,671) Advances 19,790 (1,192) 2 (1,190) Consolidated obligation bonds 47,416 (3,102) (12) (3,114) Other 211 — 4 4 As of December 31, 2021 Available-for-sale securities $ 14,412 $ 335 $ 421 $ 756 Advances 19,720 225 2 227 Consolidated obligation bonds 36,335 (192) (16) (208) Other 265 — 6 6 |
Cash Flow Hedges [Table Text Block] | Cash Flow Hedges For cash flow hedges the entire change in the fair value of the hedging instrument is recorded in AOCI and reclassified into earnings (net interest income) as the hedged item affects earnings. Hedge effectiveness testing is performed to determine whether hedge accounting is qualified. We are exposed to the variability in the total net proceeds received from forecasted zero-coupon discount note issuances, which is attributable to changes in the benchmark interest rate. As a result, we enter into cash flow hedge relationships utilizing derivative agreements to hedge the total net proceeds received from our "rolling" forecasted zero-coupon discount note issuances attributable to changes in the benchmark interest rate. The maximum length of time over which we are hedging this exposure is 7 years. We reclassify amounts in AOCI into our Statements of Income in the same periods during which the hedged forecasted transaction affects our earnings. We had no discontinued cash flow hedges for the periods presented. The deferred net gains (losses) on derivative instruments in AOCI that are expected to be reclassified to earnings during the next twelve months were immaterial as of December 31, 2022. We are not using the cash flow hedge strategy for new transactions at this time, as we used LIBOR as the benchmark interest rate for cash flow hedges and we are not entering into new LIBOR-linked transactions. The following table presents our cash flow hedging results by type of hedged item. Additionally, the table indicates where cash flow hedging results are classified in our Statements of Income . In this regard, the Amount Reclassified from AOCI into Net Interest Income column below includes the following: • The amortization of closed cash flow hedging adjustments, which are reclassified from AOCI into the interest income/expense line item of the respective hedged item type. • The effect of net interest settlements attributable to open derivative hedging instruments, which are initially recorded in AOCI and are reclassified to the interest income/expense line item of the respective hedged item type. For the years ending December 31, Gross Amount Initially Recognized in AOCI Amount Reclassified from AOCI into Net Interest Income 2022 Discount notes $ 114 $ 2 Bonds — (1) Total $ 114 $ 1 2021 Discount notes $ 35 $ (18) Bonds — (1) Total $ 35 $ (19) 2020 Discount notes $ (48) $ (20) Bonds — (1) Total $ (48) $ (21) |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Debt Disclosure [Abstract] | |
Schedule of Short-term Debt [Table Text Block] | The following table presents our consolidated obligation discount notes for which we are the primary obligor. All are due in one year or less. As of December 31, 2022 December 31, 2021 Consolidated obligation discount notes - carrying amount $ 59,531 $ 24,563 Consolidated obligation discount notes - principal amount 59,814 24,565 Weighted Average Interest Rate 4.15 % 0.05 % |
Schedule of Maturities of Long-term Debt [Table Text Block] | The following table presents the remaining life of our consolidated obligation bonds by contractual maturity and the related weighted average interest rate, for which we are the primary obligor, including callable bonds that are redeemable in whole, or in part, at our discretion on predetermined call dates. As of December 31, 2022 Contractual Maturity Weighted Average Interest Rate By Maturity or Next Call Date Due in one year or less $ 11,292 1.99 % $ 50,355 One to two years 12,814 1.77 % 4,592 Two to three years 7,994 1.93 % 1,969 Three to four years 13,407 1.33 % 2,625 Four to five years 5,366 2.28 % 953 Thereafter 10,401 2.20 % 780 Total par value $ 61,274 1.85 % $ 61,274 |
Schedule of Long-term Debt Instruments [Table Text Block] | The following table presents consolidated obligation bonds outstanding by call feature. As of December 31, 2022 December 31, 2021 Noncallable $ 16,775 $ 24,516 Callable 44,499 39,087 Par value 61,274 63,603 Fair value hedging adjustments (3,114) (208) Other adjustments (44) (22) Consolidated obligation bonds $ 58,116 $ 63,373 Consolidated obligations are issued with either fixed or floating rate payment terms that may use a variety of indices for interest rate resets (e.g. SOFR). Additionally, both fixed-rate bonds and floating-rate bonds may contain an embedded derivative, such as a call feature or complex coupon payment terms, if requested by investors. When such consolidated obligations are issued, we may concurrently enter into an interest rate swap containing offsetting features that effectively convert the terms of the bond to a variable-rate bond tied to an index or a fixed-rate bond. Consolidated obligation bonds, beyond having fixed-rate or floating-rate payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms: Step-Up Bonds and Step-Down Bonds - Bonds that pay interest at increasing or decreasing fixed rates for specified intervals over their life. These bonds are callable at our option on the step-up or step-down dates. The following table presents interest rate payment terms for consolidated obligation bonds for which we are primary obligor at the dates indicated. As of December 31, 2022 December 31, 2021 Fixed-rate $ 50,872 $ 40,842 Variable-rate 1,120 18,320 Step-up 9,282 4,441 Par value $ 61,274 $ 63,603 |
Schedule of Guarantor Obligations [Table Text Block] | The following table summarizes the consolidated obligations of the FHLBs and those for which we are the primary obligor. We did not accrue a liability for our joint and several liability related to the other FHLBs’ share of the consolidated obligations as of December 31, 2022 and December 31, 2021. Refer to Note 16 - Commitments and Contingencies for further details. Par values as of December 31, 2022 December 31, 2021 Bonds Discount Notes Total Bonds Discount Notes Total FHLB System total consolidated obligations $ 712,178 $ 469,565 $ 1,181,743 $ 441,936 $ 210,926 $ 652,862 FHLB Chicago as primary obligor 61,274 59,814 121,088 63,603 24,565 88,168 As a percent of the FHLB System 9 % 13 % 10 % 14 % 12 % 14 % |
Affordable Housing Program (Tab
Affordable Housing Program (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Federal Home Loan Banks [Abstract] | |
Activity in Affordable Housing Program Obligation [Table Text Block] | The following table summarizes the changes in the AHP payable for the periods indicated. For the years ended December 31, 2022 2021 2020 AHP balance at beginning of year $ 85 $ 89 $ 84 AHP expense accrual 48 32 43 Cash disbursements for AHP (34) (36) (38) AHP balance at end of year $ 99 $ 85 $ 89 |
Capital and Mandatorily Redee_2
Capital and Mandatorily Redeemable Capital Stock (MRCS) (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Federal Home Loan Banks [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations [Table Text Block] | As of December 31, 2022 December 31, 2021 Requirement Actual Requirement Actual Total regulatory capital $ 5,074 $ 7,801 $ 3,878 $ 6,656 Total regulatory capital ratio 4.00 % 6.15 % 4.00 % 6.87 % Leverage capital $ 6,343 $ 11,701 $ 4,848 $ 9,984 Leverage capital ratio 5.00 % 9.22 % 5.00 % 10.30 % Risk-based capital $ 1,786 $ 7,801 $ 1,297 $ 6,656 |
Mandatorily Redeemable Capital Stock [Table Text Block] | The following table shows our MRCS redemption terms by year payable. As of December 31, 2022 Amount One to two years 1 Three to four years 245 a Four to five years 2 Mandatorily Redeemable Capital Stock 248 a Represents the redemption period of Class B stock held by former captive insurance company members which began immediately upon their terminations of membership on February 19, 2021, in accordance with the FHFA Rule on FHLB membership. However, based on our current excess stock repurchase practices, we expect to repurchase nearly all of their excess stock prior to the end of the redemption period. |
Stockholders' Equity, Total [Member] | |
Concentration Risk [Line Items] | |
Schedules of Concentration of Risk, by Risk Factor [Table Text Block] | None of our members (including any successor) had regulatory capital stock exceeding 10% of our total regulatory capital stock outstanding (which includes MRCS) as of December 31, 2022. |
Accumulated Other Comprehensi_2
Accumulated Other Comprehensive Income (Loss) (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Schedule of Accumulated Other Comprehensive Income (Loss) [Table Text Block] | The following table summarizes the gains (losses) in AOCI for the reporting periods indicated. Net Unrealized - Noncredit OTTI - Net Unrealized - Cash Flow Hedges For the years ended December 31, Available-for-sale Debt Securities Held-to-maturity Debt Securities Post-Retirement Plans AOCI 2022 Beginning balance $ 366 $ — $ (11) $ (13) $ 342 Other comprehensive income before reclassification - recorded to the Statements of Condition (545) — 114 — (431) Amounts reclassified in period to Statements of Income: Net interest income (1) (1) Noninterest expense 2 2 Ending balance $ (179) $ — $ 102 $ (11) $ (88) 2021 Beginning balance $ 292 $ — $ (65) $ (20) $ 207 Other comprehensive income before reclassification - recorded to the Statements of Condition 75 — 35 (1) 109 Amounts reclassified in period to Statements of Income: Net interest income 19 19 Noninterest income (1) — (1) Noninterest expense 8 8 Ending balance $ 366 $ — $ (11) $ (13) $ 342 2020 Beginning balance $ 104 $ (85) $ (38) $ (10) $ (29) Other comprehensive income before reclassification - recorded to the Statements of Condition 194 85 (48) (19) 212 Amounts reclassified in period to Statements of Income: Net interest income 21 21 Noninterest income (6) — (6) Noninterest expense 9 9 Ending balance $ 292 $ — $ (65) $ (20) $ 207 |
Employee retirement plans (Tabl
Employee retirement plans (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Retirement Benefits [Abstract] | |
Schedule of Multiemployer Plans [Table Text Block] | The following table provides details on our multiemployer Pension Plan. The funded status is calculated as the market value of plan assets divided by the funding target and reflects contributions received through the plan year ended June 30. Pension Plan 2022 2021 2020 Net pension cost (minimum required contribution) including administrative fees, charged to compensation and benefits expense for the years ended December 31, $ 2 $ 4 $ 18 Prepaid pension contributions, in other assets, as of December 31, 63 64 67 Plan funded status as of the plan years ended June 30, 119 % 130 % 108 % Our portion of plan funded status as of the plan years ended June 30, 159 % 180 % 145 % |
Fair Value (Tables)
Fair Value (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Fair Value Disclosures [Abstract] | |
Fair Value, by Balance Sheet Grouping [Table Text Block] | Fair Value Estimates The following table is a summary of the fair value estimates and related levels in the hierarchy. The carrying amounts are per the Statements of Condition . Fair value estimates represent the exit prices that we would receive to sell assets or pay to transfer liabilities in an orderly transaction with market participants at the measurement date. They do not represent an estimate of our overall market value as a going concern, as they do not take into account future business opportunities or profitability of assets and liabilities. We measure instrument-specific credit risk attributable to our consolidated obligations based on our nonperformance risk, which includes the credit risk associated with the joint and several liability of other FHLBs, see Note 16 – Commitments and Contingencies . As a result, we did not recognize any instrument-specific credit risk attributable to our consolidated obligations that are carried at fair value. See Note 2 - Summary of Significant Accounting Policies for our fair value policies and Note 9 - Derivatives and Hedging Activities for more information on the Netting and Cash Collateral amounts. The net carrying amount in the below table is net of any allowance for credit losses. Net Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral As of December 31, 2022 Carried at amortized cost Cash and due from banks and interest-bearing deposits $ 2,605 $ 2,605 $ 2,605 Federal funds sold and securities purchased under agreements to resell 24,943 24,943 $ 24,943 Held-to-maturity debt securities 1,431 1,419 1,412 $ 7 Advances 65,627 65,581 65,581 MPF Loans held in portfolio, net 10,154 8,973 8,962 11 Other assets 351 351 351 Carried at fair value on a recurring basis Trading debt securities 3 3 3 Available-for-sale debt securities 20,700 20,700 20,700 Advances 661 661 661 Derivative assets 25 25 1,111 $ (1,086) Other assets 109 109 109 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 6 6 6 Financial assets 126,615 $ 125,376 $ 2,605 $ 123,833 $ 24 $ (1,086) Other non financial assets 238 Assets $ 126,853 Carried at amortized cost Deposits $ (571) $ (571) $ (571) Consolidated obligation discount notes (59,278) (59,264) (59,264) Consolidated obligation bonds (57,398) (55,766) (55,766) Mandatorily redeemable capital stock (248) (248) $ (248) Other liabilities (240) (240) (240) Carried at fair value on a recurring basis Consolidated obligation discount notes (253) (253) (253) Consolidated obligation bonds (718) (718) (718) Derivative liabilities (10) (10) (2,872) $ 2,862 Financial liabilities (118,716) $ (117,070) $ (248) $ (119,684) $ — $ 2,862 Other non financial liabilities (672) Liabilities $ (119,388) Net Carrying Amount Fair Value Level 1 Level 2 Level 3 Netting & Cash Collateral As of December 31, 2021 Carried at amortized cost Cash and due from banks and interest-bearing deposits $ 900 $ 900 $ 900 Federal funds sold and securities purchased under agreements to resell 12,267 12,267 $ 12,267 Held-to-maturity debt securities 1,801 1,832 1,822 $ 10 Advances 46,876 47,108 47,108 MPF Loans held in portfolio, net 9,839 9,908 9,900 8 Other assets 83 83 83 Carried at fair value on a recurring basis Trading debt securities 954 954 954 Available-for-sale debt securities 22,706 22,706 22,706 Advances 1,173 1,173 1,173 Derivative assets 14 14 70 $ (56) Other assets 104 104 104 Carried at fair value on a nonrecurring basis MPF Loans held in portfolio, net 4 4 4 Financial assets 96,721 $ 97,053 $ 900 $ 96,187 $ 22 $ (56) Other non financial assets 233 Assets $ 96,954 Carried at amortized cost Deposits $ (1,034) $ (1,034) $ (1,034) Consolidated obligation discount notes (24,563) (24,563) (24,563) Consolidated obligation bonds (62,708) (62,585) (62,585) Mandatorily redeemable capital stock (247) (247) $ (247) Other liabilities (116) (116) (116) Carried at fair value on a recurring basis Consolidated obligation bonds (665) (665) (665) Derivative liabilities (32) (32) (527) $ 495 Financial liabilities (89,365) $ (89,242) $ (247) $ (89,490) $ — $ 495 Other non financial liabilities (837) Liabilities $ (90,202) |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block] | The following table presents a rollforward of assets and liabilities that are measured at fair value on a recurring basis on the Statements of Condition using significant unobservable inputs (Level 3). We sold our AFS PLMBS during October 2020, as discussed in Note 2 – Summary of Significant Accounting Policies . There was no material activity in the current period for recurring Level 3 assets. Available-For-Sale PLMBS For the years ended December 31, 2020 Balance at beginning of period $ 35 Gain (loss) included in earnings - Gain (loss) on sale 6 Interest income 2 Gain (loss) included in OCI - Net unrealized on AFS securities (6) Sales (32) Paydowns and settlements (5) Balance at end of period $ — Unrealized gains (losses) recorded in earnings and attributable to instruments still held at period end $ — |
Fair Value Option, Disclosures [Table Text Block] | The following table presents the gains (losses) in fair values of financial assets and liabilities carried at fair value under the fair value option, which are recognized in noninterest income - instruments held under the fair value option in our Statements of Income . For the years ended December 31, 2022 2021 2020 Advances $ (73) $ (46) $ 64 Discount notes 2 — — Bonds 23 4 (3) Other (8) (4) (1) Noninterest income - Instruments held under fair value option $ (56) $ (46) $ 60 The following table reflects the difference between the aggregate UPB outstanding and the aggregate fair value for our long term financial instruments for which the fair value option has been elected. None of the advances were 90 days or more past due and none were on nonaccrual status. December 31, 2022 December 31, 2021 As of Advances Consolidated Obligation Bonds Advances Consolidated Obligation Bonds Unpaid principal balance $ 680 $ 741 $ 1,117 $ 666 Fair value over (under) UPB (19) (23) 56 (1) Fair value $ 661 $ 718 $ 1,173 $ 665 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments [Table Text Block] | The following table shows our commitments outstanding, which represent off-balance sheet obligations. As of December 31, 2022 December 31, 2021 Expire within one year Expire after one year Total Expire within one year Expire after one year Total Member standby letters of credit $ 4,485 $ 6,265 a $ 10,750 $ 4,285 $ 7,032 a $ 11,317 MPF delivery commitments 93 — 93 366 — 366 Advance commitments 76 5 81 43 2 45 Housing authority standby bond purchase agreements 56 485 541 25 477 502 Unsettled consolidated obligation bonds 65 — 65 378 — 378 Other 2 — 2 3 — 3 Commitments $ 4,777 $ 6,755 $ 11,532 $ 5,100 $ 7,511 $ 12,611 a Contains $5.8 billion and $6.1 billion of member standby letters of credit at December 31, 2022 and December 31, 2021, which were renewable annually. |
Transactions with Related Par_2
Transactions with Related Parties and Other FHLBs (Tables) | 12 Months Ended |
Dec. 31, 2022 | |
Related Party Transactions [Abstract] | |
Related Party Transactions, by Balance Sheet Grouping [Table Text Block] | The following table summarizes material balances we had with our members who are related parties as defined above (including their affiliates) as of the dates presented. The related net income impacts to our Statements of Income were not material. As of December 31, 2022 December 31, 2021 Assets - Advances $ 386 $ 235 Liabilities - Deposits 3 15 Equity - Capital Stock 18 18 |
Cumulative impact effect of ado
Cumulative impact effect of adopting CECL measurement of credit losses ASU 2016-13 (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jan. 01, 2020 | Dec. 31, 2019 |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||
Stockholders' Equity Attributable to Parent | $ 7,465 | $ 6,752 | $ 6,289 | $ 5,454 | |
Retained Earnings, Unrestricted | |||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||
Stockholders' Equity Attributable to Parent | $ 3,778 | $ 3,558 | $ 3,424 | 3,197 | |
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | |||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||
Stockholders' Equity Attributable to Parent | (7) | ||||
Cumulative Effect, Period of Adoption, Adjustment [Member] | Accounting Standards Update 2016-13 [Member] | Retained Earnings, Unrestricted | |||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | |||||
Stockholders' Equity Attributable to Parent | $ (7) | $ (7) |
Operating Leases (Details)
Operating Leases (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Accounting Policies [Abstract] | |||
Operating Lease, Right-of-Use Asset | $ 45 | $ 48 | |
Operating Lease, Right-of-Use Asset, Statement of Financial Position [Extensible List] | Other assets | Other assets | |
Operating Lease, Liability, Statement of Financial Position [Extensible List] | Other liabilities | Other liabilities | |
Operating Lease, Liability | $ 50 | $ 54 | |
Operating Lease, Expense | $ 3 | $ 3 | $ 3 |
Old Post Office Building Lease Expiration Date | Dec. 31, 2035 |
Sale of debt securities classif
Sale of debt securities classified as AFS & HTM (Details) - USD ($) $ in Millions | 1 Months Ended | 12 Months Ended | ||
Oct. 31, 2020 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Proceeds from Sale of Debt Securities, Available-for-sale | $ 0 | $ 20 | $ 33 | |
PLMBS | MBS | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Debt Securities, Held-to-maturity, Sold, Amount | $ 6 | |||
Debt Securities, Held-to-maturity, Sold, Realized Gain (Loss) | 2 | |||
PLMBS | MBS | London Interbank Offered Rate (LIBOR) Swap Rate | ||||
New Accounting Pronouncements or Change in Accounting Principle [Line Items] | ||||
Debt Securities, Held-to-maturity, Sold, Amount | 296 | |||
Debt Securities, Held-to-maturity, Sold, Realized Gain (Loss) | 101 | |||
Proceeds from Sale of Debt Securities, Available-for-sale | 26 | |||
Debt Securities, Available-for-sale, Realized Gain | $ 6 |
Interest Income and Interest _3
Interest Income and Interest Expense Interest Income and Expense (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Interest income - | |||
Trading | $ 1 | $ 47 | $ 107 |
Available-for-sale interest income | 521 | 197 | 313 |
Available-for-sale prepayment fees | 47 | 11 | 2 |
Available-for-sale | 568 | 208 | 315 |
Held-to-maturity | 35 | 29 | 75 |
Investment debt securities | 604 | 284 | 497 |
Advance interest income | 1,311 | 253 | 535 |
Advance prepayment fees | 11 | 29 | 51 |
Advances | 1,322 | 282 | 586 |
MPF Loans held in portfolio | 284 | 251 | 295 |
Federal funds sold | 170 | 5 | 30 |
Securities purchased under agreements to resell | 95 | 2 | 14 |
Interest-bearing deposits | 58 | 2 | 8 |
Other | 3 | 2 | 5 |
Interest income | 2,536 | 828 | 1,435 |
Consolidated obligations - | |||
Discount notes | 738 | 44 | 307 |
Bonds | 1,090 | 229 | 516 |
Other | 31 | 12 | 17 |
Interest expense | 1,859 | 285 | 840 |
Net interest income | $ 677 | $ 543 | $ 595 |
Investment Debt Securities (Tra
Investment Debt Securities (Trading debt securities) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading debt securities | $ 3 | $ 954 | |
Net unrealized gains (losses) on securities held at period end | 1 | (14) | $ (2) |
Net realized gains (losses) on securities sold/matured during the period | 0 | (30) | 17 |
Net gains (losses) on trading debt securities | 1 | (44) | $ 15 |
U.S. Government & other government related | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading debt securities | 0 | 948 | |
GSE | |||
Debt and Equity Securities, FV-NI [Line Items] | |||
Trading debt securities | $ 3 | $ 6 |
Investment Debt Securities (Ava
Investment Debt Securities (Available-for-sale debt securities) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | $ 20,879 | $ 22,340 |
Gross Unrealized Gains in AOCI | 108 | 404 |
Gross Unrealized (Losses) in AOCI | (287) | (38) |
Net Carrying Amount and Fair Value | 20,700 | 22,706 |
Debt Securities, Available-for-Sale, Accrued Interest, after Allowance for Credit Loss | 54 | |
U.S. Government & other government related | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 2,219 | 4,659 |
Gross Unrealized Gains in AOCI | 1 | 34 |
Gross Unrealized (Losses) in AOCI | (132) | (12) |
Net Carrying Amount and Fair Value | 2,088 | 4,681 |
State or local housing agency | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 8 | 8 |
Gross Unrealized Gains in AOCI | 0 | 1 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Net Carrying Amount and Fair Value | 8 | 9 |
FFELP ABS | FFELP ABS | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 2,253 | 2,642 |
Gross Unrealized Gains in AOCI | 61 | 130 |
Gross Unrealized (Losses) in AOCI | (10) | 0 |
Net Carrying Amount and Fair Value | 2,304 | 2,772 |
GSE | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 16,285 | 14,849 |
Gross Unrealized Gains in AOCI | 45 | 234 |
Gross Unrealized (Losses) in AOCI | (145) | (26) |
Net Carrying Amount and Fair Value | 16,185 | 15,057 |
Government guaranteed | ||
Debt Securities, Available-for-sale [Line Items] | ||
Amortized Cost Basis | 114 | 182 |
Gross Unrealized Gains in AOCI | 1 | 5 |
Gross Unrealized (Losses) in AOCI | 0 | 0 |
Net Carrying Amount and Fair Value | $ 115 | $ 187 |
Investment Debt Securities (Hel
Investment Debt Securities (Held-to-maturities debt securities) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Held-to-Maturity | $ 1,431 | $ 1,801 |
Amortized Cost and Net Carrying Amount | 1,431 | 1,801 |
Gross Unrecognized Holding Gains | 3 | 31 |
Gross Unrecognized Holding (Losses) | (15) | 0 |
Held-to-maturity, fair value | 1,419 | 1,832 |
U.S. Government & other government related | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 1,210 | 1,506 |
Gross Unrecognized Holding Gains | 0 | 11 |
Gross Unrecognized Holding (Losses) | (14) | 0 |
Held-to-maturity, fair value | 1,196 | 1,517 |
GSE | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 164 | 214 |
Gross Unrecognized Holding Gains | 3 | 19 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity, fair value | 167 | 233 |
Government guaranteed | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 49 | 71 |
Gross Unrecognized Holding Gains | 0 | 1 |
Gross Unrecognized Holding (Losses) | 0 | 0 |
Held-to-maturity, fair value | 49 | 72 |
PLMBS | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost and Net Carrying Amount | 8 | 10 |
Gross Unrecognized Holding Gains | 0 | 0 |
Gross Unrecognized Holding (Losses) | (1) | 0 |
Held-to-maturity, fair value | $ 7 | $ 10 |
Investment Debt Securities Inte
Investment Debt Securities Interest rate payment terms (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Investment Securities [Line Items] | ||
Available-for-Sale | $ 20,879 | $ 22,340 |
Held-to-Maturity | 1,431 | 1,801 |
Fixed-rate | MBS | ||
Investment Securities [Line Items] | ||
Available-for-Sale | 15,846 | 14,331 |
Fixed-rate | Non-MBS | ||
Investment Securities [Line Items] | ||
Available-for-Sale | 2,228 | 4,665 |
Variable-rate | MBS | ||
Investment Securities [Line Items] | ||
Available-for-Sale | 553 | 700 |
Variable-rate | Non-MBS | ||
Investment Securities [Line Items] | ||
Available-for-Sale | 2,252 | 2,644 |
Non-MBS | Fixed-rate | ||
Investment Securities [Line Items] | ||
Held-to-Maturity | 1,210 | 1,506 |
Non-MBS | Variable-rate | ||
Investment Securities [Line Items] | ||
Held-to-Maturity | 0 | 0 |
MBS | Fixed-rate | ||
Investment Securities [Line Items] | ||
Held-to-Maturity | 110 | 144 |
MBS | Variable-rate | ||
Investment Securities [Line Items] | ||
Held-to-Maturity | $ 111 | $ 151 |
Investment Debt Securities Cont
Investment Debt Securities Contractual Maturity (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Securities, Available-for-sale, Maturity, Amortized Cost, Rolling Maturity [Abstract] | ||
Due in one year or less | $ 0 | |
Due after one year through five years | 1,023 | |
Due after five years through ten years | 383 | |
Due after ten years | 821 | |
MBS and FFELP ABS | 18,652 | |
Amortized Cost Basis | 20,879 | $ 22,340 |
Debt Securities, Available-for-sale, Maturity, Fair Value, Rolling Maturity [Abstract] | ||
Due in one year or less | 0 | |
Due after one year through five years | 1,019 | |
Due after five years through ten years | 352 | |
Due after ten years | 725 | |
MBS and FFELP ABS | 18,604 | |
Net Carrying Amount and Fair Value | 20,700 | 22,706 |
Debt Securities, Held-to-maturity, Maturity, Amortized Cost, Rolling Maturity [Abstract] | ||
Due in one year or less | 994 | |
Due after one year through five years | 26 | |
Due after five years through ten years | 190 | |
Due after ten years | 0 | |
MBS and FFELP ABS | 221 | |
Amortized Cost and Net Carrying Amount | 1,431 | 1,801 |
Debt Securities, Held-to-maturity, Maturity, Fair Value, Rolling Maturity [Abstract] | ||
Due in one year or less | 994 | |
Due after one year through five years | 24 | |
Due after five years through ten years | 178 | |
Due after ten years | 0 | |
MBS and FFELP ABS | 223 | |
Fair Value | $ 1,419 | $ 1,832 |
Investment Debt Securities Agin
Investment Debt Securities Aging of unrealized temporary losses (Details) - Available-for-sale debt securities - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | $ 10,440 | $ 5,313 |
Less than 12 Months, Gross Unrealized (Losses) | (159) | (35) |
12 Months or More, Fair Value | 1,378 | 54 |
12 Months or More, Gross Unrealized (Losses) | (128) | (3) |
Total, Fair Value | 11,818 | 5,367 |
Total, Gross Unrealized (Losses) | (287) | (38) |
U.S. Government & other government related | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 1,130 | 3,764 |
Less than 12 Months, Gross Unrealized (Losses) | (60) | (12) |
12 Months or More, Fair Value | 386 | 0 |
12 Months or More, Gross Unrealized (Losses) | (72) | 0 |
Total, Fair Value | 1,516 | 3,764 |
Total, Gross Unrealized (Losses) | (132) | (12) |
State or local housing agency | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 8 | |
Less than 12 Months, Gross Unrealized (Losses) | 0 | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Gross Unrealized (Losses) | 0 | |
Total, Fair Value | 8 | |
Total, Gross Unrealized (Losses) | 0 | |
GSE | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 8,922 | 1,549 |
Less than 12 Months, Gross Unrealized (Losses) | (89) | (23) |
12 Months or More, Fair Value | 992 | 54 |
12 Months or More, Gross Unrealized (Losses) | (56) | (3) |
Total, Fair Value | 9,914 | 1,603 |
Total, Gross Unrealized (Losses) | (145) | $ (26) |
Government guaranteed | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 33 | |
Less than 12 Months, Gross Unrealized (Losses) | 0 | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Gross Unrealized (Losses) | 0 | |
Total, Fair Value | 33 | |
Total, Gross Unrealized (Losses) | 0 | |
FFELP ABS | FFELP ABS | ||
Available-for-sale debt securities | ||
Less than 12 Months, Fair Value | 347 | |
Less than 12 Months, Gross Unrealized (Losses) | (10) | |
12 Months or More, Fair Value | 0 | |
12 Months or More, Gross Unrealized (Losses) | 0 | |
Total, Fair Value | 347 | |
Total, Gross Unrealized (Losses) | $ (10) |
Investment Debt Securities Inve
Investment Debt Securities Investment securities OTTI rollforward (Details) $ in Millions | 12 Months Ended |
Dec. 31, 2020 USD ($) | |
Reductions: [Abstract] | |
Other than Temporary Impairment, Credit Losses Recognized in Earnings, Reductions, Cash Flows | $ 18 |
Advances (By redemption terms)
Advances (By redemption terms) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | ||
Due in one year or less | $ 36,796 | |
One to two years | 9,990 | |
Two to three years | 4,013 | |
Three to four years | 4,705 | |
Four to five years | 3,256 | |
Five to fifteen years | 8,189 | |
More than fifteen years | 508 | |
Total | $ 67,457 | $ 47,708 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract] | ||
Due in one year or less | 4.13% | |
One to two years | 3.70% | |
Two to three years | 2.45% | |
Three to four years | 3.14% | |
Four to five years | 3.25% | |
Five to fifteen years | 2.46% | |
More than fifteen years | 5.14% | |
Weighted Average Contractual Interest Rate | 3.66% | |
Credit Concentration Risk [Member] | JPMorgan Chase Bank NA | ||
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract] | ||
Due in one year or less | $ 7,000 | |
One to two years | 4,000 | |
Total | $ 11,000 |
Advances (By payment terms) (De
Advances (By payment terms) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Federal Home Loan Bank, Advances, Par Value, by Interest Rate Type [Abstract] | ||
Fixed-rate due in one year or less | $ 20,341 | $ 9,285 |
Fixed-rate due after one year | 19,057 | 18,679 |
Total fixed-rate | 39,398 | 27,964 |
Variable-rate due in one year or less | 16,455 | 4,324 |
Variable-rate due after one year | 11,604 | 15,420 |
Total variable-rate | 28,059 | 19,744 |
Par Value | 67,457 | 47,708 |
Fair value hedging adjustments | (1,191) | 227 |
Other adjustments | 22 | 114 |
Assets - Advances | $ 66,288 | $ 48,049 |
Advances (By counterparty conce
Advances (By counterparty concentration) (Details) - USD ($) $ in Millions | 3 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Concentration Risk [Line Items] | ||
Par Value | $ 67,457 | $ 47,708 |
Credit Concentration Risk [Member] | JPMorgan Chase Bank NA | ||
Concentration Risk [Line Items] | ||
Par Value | $ 11,000 | |
Credit Concentration Risk [Member] | JPMorgan Chase Bank NA | FHLBank Chicago Advances | ||
Concentration Risk [Line Items] | ||
% of Total Outstanding | 16.30% | |
Credit Concentration Risk [Member] | The Northern Trust Company | ||
Concentration Risk [Line Items] | ||
Par Value | $ 7,500 | |
Credit Concentration Risk [Member] | The Northern Trust Company | FHLBank Chicago Advances | ||
Concentration Risk [Line Items] | ||
% of Total Outstanding | 11.10% |
MPF Loans Held in Portfolio (De
MPF Loans Held in Portfolio (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
MPF Loans held in portfolio, net | $ 10,160 | $ 9,843 |
MPF Loans held in portfolio | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 10,023 | 9,684 |
Net premiums, credit enhancement, and/or deferred loan fees | 163 | 174 |
Fair value hedging and delivery commitment basis adjustments | (21) | (10) |
MPF Loans held in portfolio, before allowance for credit losses | 10,165 | 9,848 |
Allowance for credit losses on MPF Loans | (5) | (5) |
MPF Loans held in portfolio, net | 10,160 | 9,843 |
MPF Loans held in portfolio | Medium term (15 years or less) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 1,521 | 1,653 |
MPF Loans held in portfolio | Long term (greater than 15 years) | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 8,502 | 8,031 |
MPF Loans held in portfolio | Conventional mortgage loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | 9,221 | 8,845 |
MPF Loans held in portfolio | Government Loans | ||
Accounts, Notes, Loans and Financing Receivable [Line Items] | ||
Unpaid principal balance | $ 802 | $ 839 |
Allowance for Credit Losses Rol
Allowance for Credit Losses Roll Forward (Details) - MPF Loans held in portfolio - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | |||
Allowance for MPF credit losses beginning balance | $ 5 | $ 3 | $ 1 |
MPF credit losses charged-off | (3) | (2) | (4) |
Credit loss recovery | 1 | 1 | 0 |
Provision for (reversal of) MPF for credit losses | 2 | 3 | 6 |
Allowance for MPF credit losses ending balance | $ 5 | $ 5 | $ 3 |
Allowance for Credit Losses Cre
Allowance for Credit Losses Credit Quality Indicators - MPF Loans (Details) - Mortgage Receivable - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Mortgage Receivable [Line Items] | ||
In process of foreclosure | $ 24 | $ 9 |
Serious delinquency rate | 0.54% | 0.95% |
Past due 90 days or more and still accruing interest | $ 18 | $ 49 |
Loans on nonaccrual status | 39 | 47 |
Loans on nonaccrual status with no allowance for credit losses | 15 | 11 |
Conventional | ||
Mortgage Receivable [Line Items] | ||
2017 to 2021 | 8,304 | 7,957 |
Prior to 2017 | 1,048 | 1,041 |
Total | 9,352 | 8,998 |
In process of foreclosure | $ 19 | $ 6 |
Serious delinquency rate | 0.42% | 0.82% |
Past due 90 days or more and still accruing interest | $ 3 | $ 30 |
Loans on nonaccrual status | 39 | 47 |
Loans on nonaccrual status with no allowance for credit losses | 15 | 11 |
Conventional | Current | ||
Mortgage Receivable [Line Items] | ||
2017 to 2021 | 8,246 | 7,883 |
Prior to 2017 | 1,003 | 987 |
Total | 9,249 | 8,870 |
Conventional | Past due | ||
Mortgage Receivable [Line Items] | ||
2017 to 2021 | 58 | 74 |
Prior to 2017 | 45 | 54 |
Total | 103 | 128 |
Conventional | Past due 30-59 days | ||
Mortgage Receivable [Line Items] | ||
2017 to 2021 | 34 | 23 |
Prior to 2017 | 21 | 18 |
Total | 55 | 41 |
Conventional | Past due 60-89 days | ||
Mortgage Receivable [Line Items] | ||
2017 to 2021 | 7 | 8 |
Prior to 2017 | 6 | 6 |
Total | 13 | 14 |
Conventional | Past due 90 days or more | ||
Mortgage Receivable [Line Items] | ||
2017 to 2021 | 17 | 43 |
Prior to 2017 | 18 | 30 |
Total | 35 | 73 |
Government | ||
Mortgage Receivable [Line Items] | ||
In process of foreclosure | $ 5 | $ 3 |
Serious delinquency rate | 1.90% | 2.33% |
Past due 90 days or more and still accruing interest | $ 15 | $ 19 |
Loans on nonaccrual status | 0 | 0 |
Loans on nonaccrual status with no allowance for credit losses | $ 0 | $ 0 |
Allowance for Credit Losses Com
Allowance for Credit Losses Community First Fund (Details) - Community First Fund - USD ($) $ in Millions | 12 Months Ended | |||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jan. 01, 2020 | |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Accounts and Financing Receivable, Allowance for Credit Loss - Community First Fund | $ 7 | |||
Allowance for Fund loan credit losses beginning balance | $ 7 | $ 7 | $ 0 | |
Adjustment for cumulative effect of accounting change | 0 | 0 | 7 | |
Provision for (reversal of) Fund loan for credit losses | 0 | (1) | 0 | |
Other | 0 | 1 | 0 | |
Allowance for Fund loan credit losses ending balance | 7 | 7 | $ 7 | |
Financial Institutions Borrower | Uncollateralized | ||||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||||
Loans and Leases Receivable, before Fees, Gross | $ 47 | $ 45 |
Allowance for Credit Losses Acc
Allowance for Credit Losses Accrued Interest Receivable (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | $ 351 | $ 83 |
MPF Loans held in portfolio | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | 51 | 45 |
HTM securities | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | 9 | 4 |
Available-for-sale debt securities | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | 81 | 0 |
Interest-bearing deposits | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | 7 | 0 |
Federal funds sold | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | 2 | 0 |
Securities purchased under agreements to resell | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | 4 | 0 |
Advances | ||
Financing Receivable, Allowance for Credit Loss [Line Items] | ||
Accrued interest receivable | $ 197 | $ 34 |
Derivatives and Hedging Activ_3
Derivatives and Hedging Activities (Narrative) (Details) - Asset Pledged as Collateral with Right $ in Millions | Dec. 31, 2022 USD ($) |
Bilateral | |
Derivative [Line Items] | |
Financial Instruments, Owned, at Fair Value | $ 0 |
Cleared | |
Derivative [Line Items] | |
Financial Instruments, Owned, at Fair Value | $ 692 |
Derivatives and Hedging Activ_4
Derivatives and Hedging Activities (Derivatives in statements of condition) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives, Fair Value [Line Items] | ||
Derivative assets netting adjustments and cash collateral | $ (1,086) | $ (56) |
Derivative assets | 25 | 14 |
Notional Amount | 93,486 | 73,866 |
Derivative liabilities netting adjustments and cash collateral | (2,862) | (495) |
Derivative liabilities | 10 | 32 |
Cash collateral posted and related accrued interest | 2,124 | 447 |
Cash collateral received and related accrued interest | 348 | 8 |
Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 90,805 | 70,321 |
Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 2,681 | 3,545 |
Derivatives not in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 2,420 | 2,772 |
Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 142 | 625 |
Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Notional Amount | 119 | 148 |
Derivative Assets | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 1,111 | 70 |
Derivative assets netting adjustments and cash collateral | (1,086) | (56) |
Derivative assets | 25 | 14 |
Derivative Assets | Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 1,092 | 58 |
Derivative Assets | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 19 | 12 |
Derivative Assets | Derivatives not in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 17 | 10 |
Derivative Assets | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 0 | 2 |
Derivative Assets | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 2 | 0 |
Derivative Liabilities | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 2,872 | 527 |
Derivative liabilities netting adjustments and cash collateral | (2,862) | (495) |
Derivative liabilities | 10 | 32 |
Derivative Liabilities | Derivatives in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 2,825 | 466 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 47 | 61 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Interest rate contracts | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 47 | 59 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Mortgage delivery commitments | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | 0 | 2 |
Derivative Liabilities | Derivatives not in hedge accounting relationships- | Other | ||
Derivatives, Fair Value [Line Items] | ||
Gross derivative amount before netting adjustments and cash collateral | $ 0 | $ 0 |
Derivatives and Hedging Activ_5
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Economic hedges | $ 70 | $ 17 | $ (153) |
Variation margin on daily settled cleared derivatives | (22) | 0 | 5 |
Noninterest income - Derivatives and hedging activities | 48 | 17 | (148) |
Interest rate contracts | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Economic hedges | 66 | 26 | (144) |
Other | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Economic hedges | $ 4 | $ (9) | $ (9) |
Derivatives and Hedging Activ_6
Derivatives and Hedging Activities Derivative assets with legal right of offset (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives with legal right of offset - | ||
Gross recognized amount | $ 1,111 | $ 68 |
Derivative assets netting adjustments and cash collateral | (1,086) | (56) |
Derivatives with legal right of offset - net | 25 | 12 |
Derivatives without legal right of offset | 0 | 2 |
Derivative assets | 25 | 14 |
Less: | ||
Net amount | 25 | 14 |
Bilateral | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 1,004 | 61 |
Derivative assets netting adjustments and cash collateral | (999) | (49) |
Derivatives with legal right of offset - net | 5 | 12 |
Derivatives without legal right of offset | 0 | 2 |
Derivative assets | 5 | 14 |
Less: | ||
Net amount | 5 | 14 |
Cleared | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 107 | 7 |
Derivative assets netting adjustments and cash collateral | (87) | (7) |
Derivatives with legal right of offset - net | 20 | 0 |
Derivatives without legal right of offset | 0 | 0 |
Derivative assets | 20 | 0 |
Less: | ||
Net amount | 20 | 0 |
Credit Exposure Due to Pledged Noncash Collateral Exceeding Net Derivative Position for Cleared and Bilateral Derivatives | $ 692 | $ 622 |
Derivatives and Hedging Activ_7
Derivatives and Hedging Activities Derivative liabilities with legal right of offset (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Derivatives with legal right of offset - | ||
Gross recognized amount | $ 2,872 | $ 525 |
Derivative liabilities netting adjustments and cash collateral | (2,862) | (495) |
Derivatives with legal right of offset - net | 10 | 30 |
Derivatives without legal right of offset | 0 | 2 |
Derivative liabilities | 10 | 32 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 22 |
Net amount | 10 | 10 |
Bilateral | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 2,785 | 495 |
Derivative liabilities netting adjustments and cash collateral | (2,775) | (487) |
Derivatives with legal right of offset - net | 10 | 8 |
Derivatives without legal right of offset | 0 | 2 |
Derivative liabilities | 10 | 10 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 0 |
Net amount | 10 | 10 |
Cleared | ||
Derivatives with legal right of offset - | ||
Gross recognized amount | 87 | 30 |
Derivative liabilities netting adjustments and cash collateral | (87) | (8) |
Derivatives with legal right of offset - net | 0 | 22 |
Derivatives without legal right of offset | 0 | 0 |
Derivative liabilities | 0 | 22 |
Less: | ||
Noncash collateral received or pledged and cannot be sold or repledged | 0 | 22 |
Net amount | 0 | 0 |
Credit Exposure Due to Pledged Noncash Collateral Exceeding Net Derivative Position for Cleared and Bilateral Derivatives | $ 692 | $ 622 |
Derivatives and Hedging Activ_8
Derivatives and Hedging Activities (Fair Value Hedges) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Amount Recorded in Net Interest Income | $ 677 | $ 543 | $ 595 |
Fair Value Hedges | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | 791 | 623 | (1,407) |
Gain (Loss) on Hedged Item | (939) | (882) | 1,133 |
Amount Recorded in Net Interest Income | (148) | (259) | (274) |
Fair Value Hedges | Available-for-sale debt securities | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | 2,368 | 478 | (1,046) |
Gain (Loss) on Hedged Item | (2,427) | (757) | 864 |
Amount Recorded in Net Interest Income | (59) | (279) | (182) |
Fair Value Hedges | Advances | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | 1,535 | 325 | (632) |
Gain (Loss) on Hedged Item | (1,418) | (533) | 416 |
Amount Recorded in Net Interest Income | 117 | (208) | (216) |
Fair Value Hedges | Consolidated obligation bonds | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | (3,112) | (180) | 271 |
Gain (Loss) on Hedged Item | 2,905 | 409 | (148) |
Amount Recorded in Net Interest Income | (207) | 229 | 123 |
Fair Value Hedges | Other | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gain (Loss) on Derivative | 0 | 0 | 0 |
Gain (Loss) on Hedged Item | 1 | (1) | 1 |
Amount Recorded in Net Interest Income | $ 1 | $ (1) | $ 1 |
Derivatives and Hedging Activ_9
Derivatives and Hedging Activities Cumulative Basis Adjustments for Fair Value Hedges (Details) - Fair Value Hedges - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Available-for-sale debt securities | ||
Derivative [Line Items] | ||
Amortized cost of hedged asset/liability | $ 16,918 | $ 14,412 |
Basis adjustments active hedges included in amortized cost | (2,016) | 335 |
Basis adjustments discontinued hedges included in amortized cost | 345 | 421 |
Total amount of fair value hedging basis adjustments | (1,671) | 756 |
Advances | ||
Derivative [Line Items] | ||
Amortized cost of hedged asset/liability | 19,790 | 19,720 |
Basis adjustments active hedges included in amortized cost | (1,192) | 225 |
Basis adjustments discontinued hedges included in amortized cost | 2 | 2 |
Total amount of fair value hedging basis adjustments | (1,190) | 227 |
Consolidated obligation bonds | ||
Derivative [Line Items] | ||
Amortized cost of hedged asset/liability | 47,416 | 36,335 |
Basis adjustments active hedges included in amortized cost | (3,102) | (192) |
Basis adjustments discontinued hedges included in amortized cost | (12) | (16) |
Total amount of fair value hedging basis adjustments | (3,114) | (208) |
Other | ||
Derivative [Line Items] | ||
Amortized cost of hedged asset/liability | 211 | 265 |
Basis adjustments active hedges included in amortized cost | 0 | 0 |
Basis adjustments discontinued hedges included in amortized cost | 4 | 6 |
Total amount of fair value hedging basis adjustments | $ 4 | $ 6 |
Derivatives and Hedging Acti_10
Derivatives and Hedging Activities (Cash Flow Hedges) (Details) - Cash Flow Hedges - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Derivative Instruments, Gain (Loss) [Line Items] | |||
Maximum Hedging Period For Forecasted Cash Flows | 7 years | ||
Gross Amount Initially Recognized in AOCI | $ 114 | $ 35 | $ (48) |
Amount Reclassified from AOCI into Net Interest Income | 1 | (19) | (21) |
Discount Notes | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gross Amount Initially Recognized in AOCI | 114 | 35 | (48) |
Amount Reclassified from AOCI into Net Interest Income | 2 | (18) | (20) |
Consolidated obligation bonds | |||
Derivative Instruments, Gain (Loss) [Line Items] | |||
Gross Amount Initially Recognized in AOCI | 0 | 0 | 0 |
Amount Reclassified from AOCI into Net Interest Income | $ (1) | $ (1) | $ (1) |
Consolidated Obligations (Short
Consolidated Obligations (Short term discount notes) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Short-term Debt [Line Items] | ||
Consolidated obligation discount notes - carrying amount | $ 59,531 | $ 24,563 |
Weighted Average Interest Rate | 4.15% | 0.05% |
Discount Notes | ||
Short-term Debt [Line Items] | ||
Consolidated obligation discount notes - principal amount | $ 59,814 | $ 24,565 |
Consolidated Obligations Bonds
Consolidated Obligations Bonds by maturity date) (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Contractual Maturity | ||
Due in one year or less | $ 11,292 | |
One to two years | 12,814 | |
Two to three years | 7,994 | |
Three to four years | 13,407 | |
Four to five years | 5,366 | |
Thereafter | 10,401 | |
Total par value | $ 61,274 | $ 63,603 |
Weighted Average Interest Rate | ||
Due in one year or less | 1.99% | |
One to two years | 1.77% | |
Two to three years | 1.93% | |
Three to four years | 1.33% | |
Four to five years | 2.28% | |
Thereafter | 2.20% | |
Total par value | 1.85% | |
By Maturity or Next Call Date | ||
Contractual Maturity | ||
Due in one year or less | $ 50,355 | |
One to two years | 4,592 | |
Two to three years | 1,969 | |
Three to four years | 2,625 | |
Four to five years | 953 | |
Thereafter | 780 | |
Total par value | $ 61,274 | |
Minimum [Member] | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 1 year | |
Maximum [Member] | ||
Extinguishment of Debt [Line Items] | ||
Debt Instrument, Term | 20 years |
Consolidated Obligations (Bonds
Consolidated Obligations (Bonds by callable feature) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Par value | $ 61,274 | $ 63,603 |
Fair value hedging adjustments | (3,114) | (208) |
Other adjustments | (44) | (22) |
Bonds | 58,116 | 63,373 |
Noncallable | ||
Debt Instrument [Line Items] | ||
Par value | 16,775 | 24,516 |
Callable | ||
Debt Instrument [Line Items] | ||
Par value | $ 44,499 | $ 39,087 |
Consolidated Obligations Intere
Consolidated Obligations Interest rate payment terms (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Debt Instrument [Line Items] | ||
Par value | $ 61,274 | $ 63,603 |
Fixed-rate | 50,872 | 40,842 |
Variable-rate | 1,120 | 18,320 |
Step-up | ||
Debt Instrument [Line Items] | ||
Variable-rate | $ 9,282 | $ 4,441 |
Consolidated Obligations System
Consolidated Obligations Systemwide joint and several liability (Details) - Guarantee of Indebtedness of Others [Member] - USD ($) $ in Millions | 3 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 1,181,743 | $ 652,862 |
FHLB Chicago as primary obligor | $ 121,088 | $ 88,168 |
Total FHLB System Consolidated Obligations | Geographic Concentration Risk | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
As a percent of the FHLB System | 10% | 14% |
Consolidated obligation bonds | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 712,178 | $ 441,936 |
FHLB Chicago as primary obligor | $ 61,274 | $ 63,603 |
Consolidated obligation bonds | Total FHLB System Consolidated Obligations | Geographic Concentration Risk | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
As a percent of the FHLB System | 9% | 14% |
Discount Notes | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
FHLB System total consolidated obligations | $ 469,565 | $ 210,926 |
FHLB Chicago as primary obligor | $ 59,814 | $ 24,565 |
Discount Notes | Total FHLB System Consolidated Obligations | Geographic Concentration Risk | ||
Obligation with Joint and Several Liability Arrangement [Line Items] | ||
As a percent of the FHLB System | 13% | 12% |
Affordable Housing Program Affo
Affordable Housing Program Affordable Housing Program AHP (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Assessments [Abstract] | |||
Affordable Housing Assessment Rate | 10% | ||
Interest Expense on MRCS, excluded from calculation of income for assessment | $ 16 | $ 12 | $ 15 |
Affordable Housing Program AHP
Affordable Housing Program AHP Rollforward (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Affordable housing program assessment [Roll Forward] | |||
AHP balance at beginning of year | $ 85 | $ 89 | $ 84 |
AHP expense accrual | 48 | 32 | 43 |
Cash disbursements for AHP | (34) | (36) | (38) |
AHP balance at end of year | $ 99 | $ 85 | $ 89 |
Capital and Mandatorily Redee_3
Capital and Mandatorily Redeemable Capital Stock (MRCS) Capital Rules (Details) - $ / shares | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Federal Home Loan Banks [Abstract] | ||
Capital stock par value | $ 100 | $ 100 |
Capital Stock, Redemption, Period of Written Notice | 5 years |
Minimum Capital Requirements (D
Minimum Capital Requirements (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Federal Home Loan Banks [Abstract] | ||
Regulatory Capital, Requirement | $ 5,074 | $ 3,878 |
Regulatory Capital, Actual | $ 7,801 | $ 6,656 |
Regulatory Capital Ratio, Requirement | 4% | 4% |
Regulatory Capital Ratio, Actual | 6.15% | 6.87% |
Leverage Capital, Requirement | $ 6,343 | $ 4,848 |
Leverage Capital, Actual | $ 11,701 | $ 9,984 |
Leverage Ratio, Requirement | 5% | 5% |
Leverage Ratio, Actual | 9.22% | 10.30% |
Risk Based Capital, Requirement | $ 1,786 | $ 1,297 |
Risk Based Capital, Actual | $ 7,801 | $ 6,656 |
Mandatorily Redeemable Capital
Mandatorily Redeemable Capital Stock (MRCS) (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Federal Home Loan Banks [Abstract] | ||
One to two years | $ 1 | |
Three to four years | 245 | |
Four to five years | 2 | |
Mandatorily Redeemable Capital Stock | $ 248 | $ 247 |
Dividends (Details)
Dividends (Details) - USD ($) $ in Millions | 12 Months Ended | ||||
Feb. 15, 2023 | Jan. 24, 2023 | Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Subsequent Event [Line Items] | |||||
Dividends Recorded as Interest Expense | $ 16 | $ 12 | $ 15 | ||
Subsequent Event [Member] | |||||
Subsequent Event [Line Items] | |||||
Dividends in Total | $ 52 | ||||
Dividends Recorded as Dividends | 48 | ||||
Dividends Recorded as Interest Expense | $ 4 | ||||
Subsequent Event [Member] | Capital Stock - Putable - B1 Activity | |||||
Subsequent Event [Line Items] | |||||
Common Stock Dividend - Annualized Rate | 7.125% | ||||
Subsequent Event [Member] | Capital Stock - Putable - B2 Membership | |||||
Subsequent Event [Line Items] | |||||
Common Stock Dividend - Annualized Rate | 3.0625% |
Joint Capital Enhancement Agree
Joint Capital Enhancement Agreement (Details) | 12 Months Ended |
Dec. 31, 2022 | |
Equity [Abstract] | |
Joint Capital Enhancement Agreement contribution rate to Restricted Retained Earnings | 20% |
Joint Capital Enhancement Agreement Restricted Retained Earnings limit as a percent of consolidated obligation debt | 1% |
FICO Dissolution (Details)
FICO Dissolution (Details) - USD ($) $ in Millions | 3 Months Ended | 36 Months Ended |
Jun. 30, 2020 | Dec. 31, 1989 | |
Equity [Abstract] | ||
Capital Distributions From FHLBanks To FICO | $ 680 | |
Excess FICO Funds Available For Distribution To FHLBanks | $ 200 | |
FHLB Chicago Portion Of Partial Recovery Of Prior Capital Distribution To Financing Corporation | $ 19 |
Accumulated Other Comprehensi_3
Accumulated Other Comprehensive Income (Loss) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning balance | $ 342 | ||
Amounts reclassified in period to Statements of Income: | |||
Ending balance | (88) | $ 342 | |
AOCI | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning balance | 342 | 207 | $ (29) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | (431) | 109 | 212 |
Amounts reclassified in period to Statements of Income: | |||
Net interest income | (1) | 19 | 21 |
Noninterest income | (1) | (6) | |
Noninterest expense | 2 | 8 | 9 |
Ending balance | (88) | 342 | 207 |
Net Unrealized - | Available-for-sale debt securities | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning balance | 366 | 292 | 104 |
Other comprehensive income before reclassification - recorded to the Statements of Condition | (545) | 75 | 194 |
Amounts reclassified in period to Statements of Income: | |||
Net interest income | |||
Noninterest income | (1) | (6) | |
Ending balance | (179) | 366 | 292 |
Net Unrealized - Cash Flow Hedges | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning balance | (11) | (65) | (38) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | 114 | 35 | (48) |
Amounts reclassified in period to Statements of Income: | |||
Net interest income | (1) | 19 | 21 |
Noninterest income | |||
Ending balance | 102 | (11) | (65) |
Post-Retirement Plans | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning balance | (13) | (20) | (10) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | 0 | (1) | (19) |
Amounts reclassified in period to Statements of Income: | |||
Noninterest income | |||
Noninterest expense | 2 | 8 | 9 |
Ending balance | (11) | (13) | (20) |
Noncredit Other-than-Temporary Impairment | Held-to-maturity Debt Securities | |||
AOCI Attributable to Parent, Net of Tax [Roll Forward] | |||
Beginning balance | 0 | 0 | (85) |
Other comprehensive income before reclassification - recorded to the Statements of Condition | 0 | 0 | 85 |
Amounts reclassified in period to Statements of Income: | |||
Net interest income | |||
Noninterest income | 0 | 0 | |
Ending balance | $ 0 | $ 0 | $ 0 |
Employee retirement plans Multi
Employee retirement plans Multiemployer pension plan (Details) - USD ($) $ in Millions | 12 Months Ended | |||||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | Jun. 30, 2022 | Jun. 30, 2021 | Jun. 30, 2020 | |
Multiemployer Plans [Line Items] | ||||||
Entity Tax Identification Number | 36-6001019 | |||||
Pentegra Defined Benefit Plan [Member] | ||||||
Multiemployer Plans [Line Items] | ||||||
Entity Tax Identification Number | 13-5645888 | |||||
Multiemployer Plan Number | 333 | |||||
Net pension cost (minimum required contribution) including administrative fees, charged to compensation and benefits expense for the years ended December 31, | $ 2 | $ 4 | $ 18 | |||
Prepaid pension contributions, in other assets, as of December 31, | $ 63 | $ 64 | $ 67 | |||
Defined Benefit Plan, Funded Percentage | 119% | 130% | 108% | |||
Federal Home Loan Bank of Chicago portion [Member] | ||||||
Multiemployer Plans [Line Items] | ||||||
Defined Benefit Plan, Funded Percentage | 159% | 180% | 145% |
Fair Value Fair Value Estimates
Fair Value Fair Value Estimates (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | $ 3 | $ 954 |
Available-for-sale | 20,700 | 22,706 |
Held-to-maturity debt securities | 1,419 | 1,832 |
Advances | 661 | 1,173 |
Derivative assets | 25 | 14 |
Other assets | 109 | 104 |
Derivative assets netting | (1,086) | (56) |
Assets | 126,853 | 96,954 |
Consolidated obligation discount notes | (253) | 0 |
Consolidated obligation bonds | (718) | (665) |
Derivative liabilities | (10) | (32) |
Derivative liabilities netting | 2,862 | 495 |
Liabilities | (119,388) | (90,202) |
Net Carrying Amount | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks and interest-bearing deposits | 2,605 | 900 |
Federal funds sold and securities purchased under agreements to resell | 24,943 | 12,267 |
Held-to-maturity debt securities | 1,431 | 1,801 |
Advances | 65,627 | 46,876 |
MPF Loans held in portfolio, net | 10,154 | 9,839 |
Other assets | 351 | 83 |
Financial assets | 126,615 | 96,721 |
Other non financial assets | 238 | 233 |
Assets | 126,853 | 96,954 |
Deposits | (571) | (1,034) |
Consolidated obligation discount notes | (59,278) | (24,563) |
Consolidated obligation bonds | (57,398) | (62,708) |
Mandatorily redeemable capital stock | (248) | (247) |
Other liabilities | (240) | (116) |
Financial liabilities | (118,716) | (89,365) |
Other non financial liabilities | (672) | (837) |
Liabilities | (119,388) | (90,202) |
Net Carrying Amount | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 3 | 954 |
Available-for-sale | 20,700 | 22,706 |
Advances | 661 | 1,173 |
Derivative assets | 25 | 14 |
Other assets | 109 | 104 |
Consolidated obligation discount notes | (253) | |
Consolidated obligation bonds | (718) | (665) |
Derivative liabilities | (10) | (32) |
Net Carrying Amount | Carried at fair value on a nonrecurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MPF Loans held in portfolio, net | 6 | 4 |
Fair Value | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks and interest-bearing deposits | 2,605 | 900 |
Federal funds sold and securities purchased under agreements to resell | 24,943 | 12,267 |
Held-to-maturity debt securities | 1,419 | 1,832 |
Advances | 65,581 | 47,108 |
MPF Loans held in portfolio, net | 8,973 | 9,908 |
Other assets | 351 | 83 |
Financial assets | 125,376 | 97,053 |
Deposits | (571) | (1,034) |
Consolidated obligation discount notes | (59,264) | (24,563) |
Consolidated obligation bonds | (55,766) | (62,585) |
Mandatorily redeemable capital stock | (248) | (247) |
Other liabilities | (240) | (116) |
Financial liabilities | (117,070) | (89,242) |
Fair Value | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 3 | 954 |
Available-for-sale | 20,700 | 22,706 |
Advances | 661 | 1,173 |
Derivative assets | 25 | 14 |
Other assets | 109 | 104 |
Consolidated obligation discount notes | (253) | |
Consolidated obligation bonds | (718) | (665) |
Derivative liabilities | (10) | (32) |
Fair Value | Carried at fair value on a nonrecurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MPF Loans held in portfolio, net | 6 | 4 |
Level 1 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Cash and due from banks and interest-bearing deposits | 2,605 | 900 |
Financial assets | 2,605 | 900 |
Mandatorily redeemable capital stock | (248) | (247) |
Financial liabilities | (248) | (247) |
Level 2 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Federal funds sold and securities purchased under agreements to resell | 24,943 | 12,267 |
Held-to-maturity debt securities | 1,412 | 1,822 |
Advances | 65,581 | 47,108 |
MPF Loans held in portfolio, net | 8,962 | 9,900 |
Other assets | 351 | 83 |
Financial assets | 123,833 | 96,187 |
Deposits | (571) | (1,034) |
Consolidated obligation discount notes | (59,264) | (24,563) |
Consolidated obligation bonds | (55,766) | (62,585) |
Other liabilities | (240) | (116) |
Financial liabilities | (119,684) | (89,490) |
Level 2 | Carried at fair value on a recurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Trading debt securities | 3 | 954 |
Available-for-sale | 20,700 | 22,706 |
Advances | 661 | 1,173 |
Derivative assets | 1,111 | 70 |
Other assets | 109 | 104 |
Consolidated obligation discount notes | (253) | |
Consolidated obligation bonds | (718) | (665) |
Derivative liabilities | (2,872) | (527) |
Level 3 | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
Held-to-maturity debt securities | 7 | 10 |
MPF Loans held in portfolio, net | 11 | 8 |
Financial assets | 24 | 22 |
Financial liabilities | 0 | 0 |
Level 3 | Carried at fair value on a nonrecurring basis | ||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | ||
MPF Loans held in portfolio, net | $ 6 | $ 4 |
Fair Value Level 3 Reconciliati
Fair Value Level 3 Reconciliation Assets (Details) - PLMBS $ in Millions | 12 Months Ended |
Dec. 31, 2020 USD ($) | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Balance at beginning of period | $ 35 |
Sales | (32) |
Paydowns and settlements | (5) |
Balance at end of period | 0 |
Unrealized gains (losses) recorded in earnings and attributable to instruments still held at period end | 0 |
Interest income | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Gain (loss) included in earnings - | 2 |
Gain (loss) on sale | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Gain (loss) included in earnings - | 6 |
Net unrealized on AFS securities | |
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Line Items] | |
Gain (loss) included in OCI - | $ (6) |
Fair Value Gains (losses) on fa
Fair Value Gains (losses) on fair value option (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2022 | Dec. 31, 2021 | Dec. 31, 2020 | |
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Noninterest income - Instruments held under fair value option | $ (56) | $ (46) | $ 60 |
Advances | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Noninterest income - Instruments held under fair value option | (73) | (46) | 64 |
Discount Notes | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Noninterest income - Instruments held under fair value option | 2 | 0 | 0 |
Consolidated obligation bonds | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Noninterest income - Instruments held under fair value option | 23 | 4 | (3) |
Other | |||
Fair Value, Option, Quantitative Disclosures [Line Items] | |||
Noninterest income - Instruments held under fair value option | $ (8) | $ (4) | $ (1) |
Fair Value Difference between f
Fair Value Difference between fair value and unpaid principal balance - fair value option (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | $ 67,457 | $ 47,708 |
Advances, fair value | 661 | 1,173 |
Unpaid principal balance, bonds | 61,274 | 63,603 |
Bonds, fair value | 718 | 665 |
Advances | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, advances | 680 | 1,117 |
Fair value over (under) UPB | (19) | 56 |
Advances, fair value | 661 | 1,173 |
Consolidated obligation bonds | ||
Fair Value, Option, Quantitative Disclosures [Line Items] | ||
Unpaid principal balance, bonds | 741 | 666 |
Fair value over (under) UPB | (23) | (1) |
Bonds, fair value | $ 718 | $ 665 |
Commitments and Contingencies_2
Commitments and Contingencies (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2022 | Dec. 31, 2021 | |
Commitments | ||
Expire within one year | $ 4,777 | $ 5,100 |
Expire after one year | 6,755 | 7,511 |
Total | 11,532 | 12,611 |
Member standby letters of credit | ||
Commitments | ||
Expire within one year | 4,485 | 4,285 |
Expire after one year | 6,265 | 7,032 |
Total | 10,750 | 11,317 |
Portion renewable annually | 5,800 | 6,100 |
MPF delivery commitments | ||
Commitments | ||
Expire within one year | 93 | 366 |
Expire after one year | 0 | 0 |
Total | 93 | 366 |
Advance commitments | ||
Commitments | ||
Expire within one year | 76 | 43 |
Expire after one year | 5 | 2 |
Total | 81 | 45 |
Housing authority standby bond purchase agreements | ||
Commitments | ||
Expire within one year | 56 | 25 |
Expire after one year | 485 | 477 |
Total | $ 541 | 502 |
Original expiration period | 5 years | |
Expiration date | Dec. 31, 2027 | |
Unsettled consolidated obligation bonds | ||
Commitments | ||
Expire within one year | $ 65 | 378 |
Expire after one year | 0 | 0 |
Total | 65 | 378 |
Other | ||
Commitments | ||
Expire within one year | 2 | 3 |
Expire after one year | 0 | 0 |
Total | $ 2 | $ 3 |
Transactions with Related Par_3
Transactions with Related Parties and Other FHLBs (Details) - USD ($) $ in Millions | Dec. 31, 2022 | Dec. 31, 2021 |
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | $ 66,288 | $ 48,049 |
Accrued interest receivable | 351 | 83 |
Equity - Capital Stock | 2,989 | 2,149 |
Transactions with members | ||
Accounts With Related Party Transactions [Line Items] | ||
Assets - Advances | 386 | 235 |
Liabilities - Deposits | 3 | 15 |
Equity - Capital Stock | $ 18 | $ 18 |