Investments (Tables)
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6 Months Ended |
Jun. 30, 2024 |
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| Debt and Equity Securities, FV-NI [Line Items] |
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| Gain (Loss) on Securities |
The following table presents net gains (losses) on trading securities, excluding any offsetting effect of gains (losses) on the associated derivatives. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | Three Months Ended June 30, | | Six Months Ended June 30, | | | 2024 | | 2023 | | 2024 | | 2023 | | Net gains (losses) on trading securities held at period end | | $ | 3,203 | | | $ | 615 | | | $ | (1,837) | | | $ | 2,396 | | | Net gains on trading securities that matured/sold during the period | | — | | | 143 | | | 469 | | | 6,676 | | | Net gains (losses) on trading securities | | $ | 3,203 | | | $ | 758 | | | $ | (1,368) | | | $ | 9,072 | |
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| Available-for-Sale (AFS) Securities by Major Security Type |
The following table presents our AFS securities by type of security. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2024 | | | | | | Gross | | Gross | | | | | Amortized | | Unrealized | | Unrealized | | Estimated | | Security Type | | Cost1 | | Gains | | Losses | | Fair Value | | U.S. Treasury obligations | | $ | 5,610,415 | | | $ | 10,298 | | | $ | (883) | | | $ | 5,619,830 | | | GSE and TVA debentures | | 1,851,485 | | | 15,398 | | | (181) | | | 1,866,702 | | | GSE multifamily MBS | | 6,767,221 | | | 30,509 | | | (22,516) | | | 6,775,214 | | | Total AFS securities | | $ | 14,229,121 | | | $ | 56,205 | | | $ | (23,580) | | | $ | 14,261,746 | | | | | | | | | | | | | December 31, 2023 | | | | | Gross | | Gross | | | | | Amortized | | Unrealized | | Unrealized | | Estimated | | Security Type | | Cost1 | | Gains | | Losses | | Fair Value | | U.S. Treasury obligations | | $ | 5,708,713 | | | $ | 738 | | | $ | (12,595) | | | $ | 5,696,856 | | | GSE and TVA debentures | | 1,792,310 | | | 14,628 | | | — | | | 1,806,938 | | | GSE multifamily MBS | | 6,753,080 | | | 7,571 | | | (70,119) | | | 6,690,532 | | | Total AFS securities | | $ | 14,254,103 | | | $ | 22,937 | | | $ | (82,714) | | | $ | 14,194,326 | |
1 Includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization, and, if applicable, fair-value hedging basis adjustments. At June 30, 2024 and December 31, 2023, net unamortized discounts totaled $(256,288) and $(278,669), respectively, and the applicable fair-value hedging basis adjustments totaled net losses of $(1,019,037) and $(778,882), respectively. Excludes accrued interest receivable at June 30, 2024 and December 31, 2023 of $73,172 and $72,005, respectively.
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| Available-for-sale (AFS) Securities in an Unrealized Loss Position |
The following table presents our impaired AFS securities (i.e., in an unrealized loss position), aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2024 | | | | Less than 12 months | | 12 months or More | | Total | | | | Estimated | | Unrealized | | Estimated | | Unrealized | | Estimated | | Unrealized | | Security Type | | Fair Value | | Losses | | Fair Value | | Losses | | Fair Value | | Losses | | U.S. Treasury obligations | | $ | 1,216,699 | | | $ | (883) | | | $ | — | | | $ | — | | | $ | 1,216,699 | | | $ | (883) | | | GSE and TVA debentures | | 61,556 | | | (181) | | | — | | | — | | | 61,556 | | | (181) | | | GSE multifamily MBS | | 367,520 | | | (300) | | | 2,552,568 | | | (22,216) | | | 2,920,088 | | | (22,516) | | | Total impaired AFS securities | | $ | 1,645,775 | | | $ | (1,364) | | | $ | 2,552,568 | | | $ | (22,216) | | | $ | 4,198,343 | | | $ | (23,580) | | | | | | | | | | | | | | | | | December 31, 2023 | | | Less than 12 months | | 12 months or More | | Total | | | Estimated | | Unrealized | | Estimated | | Unrealized | | Estimated | | Unrealized | | Security Type | | Fair Value | | Losses | | Fair Value | | Losses | | Fair Value | | Losses | | U.S. Treasury obligations | | $ | 4,785,547 | | | $ | (11,716) | | | $ | 239,902 | | | $ | (879) | | | $ | 5,025,449 | | | $ | (12,595) | | | | | | | | | | | | | | | | GSE multifamily MBS | | 2,163,506 | | | (14,970) | | | 2,982,742 | | | (55,149) | | | 5,146,248 | | | (70,119) | | | Total impaired AFS securities | | $ | 6,949,053 | | | $ | (26,686) | | | $ | 3,222,644 | | | $ | (56,028) | | | $ | 10,171,697 | | | $ | (82,714) | |
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| HTM Securities by Major Security Type |
The following table presents our HTM securities by type of security. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | June 30, 2024 | | | | | | Gross | | Gross | | | | | | | | Unrecognized | | Unrecognized | | | | | | Amortized | | Holding | | Holding | | Estimated | | Security Type | | Cost1 | | Gains | | Losses | | Fair Value | | | | | | | | | | | MBS: | | | | | | | | | | Other U.S. obligations - guaranteed single-family | | $ | 3,813,827 | | | $ | 5,954 | | | $ | (24,706) | | | $ | 3,795,075 | | | GSE single-family | | 1,024,990 | | | 1,994 | | | (35,611) | | | 991,373 | | | GSE multifamily | | 554,806 | | | — | | | (4,919) | | | 549,887 | | | Total HTM securities | | $ | 5,393,623 | | | $ | 7,948 | | | $ | (65,236) | | | $ | 5,336,335 | | | | | | | | | | | | | December 31, 2023 | | | | | Gross | | Gross | | | | | | | Unrecognized | | Unrecognized | | | | | Amortized | | Holding | | Holding | | Estimated | | Security Type | | Cost1 | | Gains | | Losses | | Fair Value | | | | | | | | | | | MBS: | | | | | | | | | | Other U.S. obligations - guaranteed single-family | | $ | 4,009,493 | | | $ | 1,836 | | | $ | (39,223) | | | $ | 3,972,106 | | | GSE single-family | | 683,944 | | | 1,454 | | | (36,334) | | | 649,064 | | | GSE multifamily | | 563,366 | | | — | | | (5,137) | | | 558,229 | | | Total HTM securities | | $ | 5,256,803 | | | $ | 3,290 | | | $ | (80,694) | | | $ | 5,179,399 | |
1 Carrying value equals amortized cost, which includes adjustments made to the cost basis for purchase discount or premium and related accretion or amortization. Net unamortized premium at June 30, 2024 and December 31, 2023 totaled $19,975 and $21,942, respectively.
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| Debt Securities, Trading, and Equity Securities, FV-NI |
The following table presents our trading securities by type of security. | | | | | | | | | | | | | | | | Security Type | | June 30, 2024 | | December 31, 2023 | | | | | | | U.S. Treasury obligations | | $ | 1,076,622 | | | $ | 600,063 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | Total trading securities at estimated fair value | | $ | 1,076,622 | | | $ | 600,063 | |
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| AFS Securities |
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| Debt and Equity Securities, FV-NI [Line Items] |
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| AFS Securities by Contractual Maturity |
The amortized cost and estimated fair value of our non-MBS AFS securities are presented below by contractual maturity. MBS are not presented by contractual maturity because their actual maturities will likely differ from their contractual maturities as borrowers have the right to prepay their obligations with or without prepayment fees. | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | June 30, 2024 | | December 31, 2023 | | | | Amortized | | Estimated | | Amortized | | Estimated | | Year of Contractual Maturity | | Cost | | Fair Value | | Cost | | Fair Value | | Non-MBS: | | | | | | | | | | Due in 1 year or less | | $ | 403,215 | | | $ | 403,918 | | | $ | 305,208 | | | $ | 306,380 | | | Due after 1 through 5 years | | 5,665,963 | | | 5,688,833 | | | 4,628,067 | | | 4,636,683 | | | Due after 5 through 10 years | | 1,392,722 | | | 1,393,781 | | | 2,567,748 | | | 2,560,731 | | | | | | | | | | | | Total non-MBS | | 7,461,900 | | | 7,486,532 | | | 7,501,023 | | | 7,503,794 | | | Total MBS | | 6,767,221 | | | 6,775,214 | | | 6,753,080 | | | 6,690,532 | | | Total AFS securities | | $ | 14,229,121 | | | $ | 14,261,746 | | | $ | 14,254,103 | | | $ | 14,194,326 | |
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