Investments (Tables)

6 Months Ended

Jun. 30, 2024

Debt and Equity Securities, FV-NI [Line Items]

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

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.

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)

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.

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

AFS Securities

Debt and Equity Securities, FV-NI [Line Items]

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