Financial Assets and Liabilities Measured at Fair Value on Recurring Basis | Estimated Fair Value Measurements on a Recurring Basis. The following tables present, for each fair value hierarchy level, the Bank’s financial assets and liabilities that are measured at fair value on a recurring basis on its Statements of Condition.
| | | | | | | | | | | | | | | | | | | | | | As of December 31, 2016 | | Fair Value Measurements Using | | Netting Adjustment (1) | | | | Level 1 | | Level 2 | | Level 3 | | Total | Assets | | | | | | | | | | Trading securities: | | | | | | | | | | Government-sponsored enterprises debt obligations | $ | — |
| | $ | 261 |
| | $ | — |
| | $ | — |
| | $ | 261 |
| State or local housing agency debt obligations | — |
| | 1 |
| | — |
| | — |
| | 1 |
| Total trading securities | — |
| | 262 |
| | — |
| | — |
| | 262 |
| Available-for-sale securities: | | | | | | | | | | Private-label residential MBS | — |
| | — |
| | 1,345 |
| | — |
| | 1,345 |
| Derivative assets: | | | | | | | | | | Interest-rate related | — |
| | 282 |
| | — |
| | 73 |
| | 355 |
| Grantor trust (included in Other assets) | 37 |
| | — |
| | — |
| | — |
| | 37 |
| Total assets at fair value | $ | 37 |
| | $ | 544 |
| | $ | 1,345 |
| | $ | 73 |
| | $ | 1,999 |
| Liabilities | | | | | | | | | | Derivative liabilities: | | | | | | | | | | Interest-rate related | $ | — |
| | $ | 1,073 |
| | $ | — |
| | $ | (966 | ) | | $ | 107 |
| Total liabilities at fair value | $ | — |
| | $ | 1,073 |
| | $ | — |
| | $ | (966 | ) | | $ | 107 |
|
____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties.
| | | | | | | | | | | | | | | | | | | | | | As of December 31, 2015 | | Fair Value Measurements Using | | Netting Adjustment (1) | | | | Level 1 | | Level 2 | | Level 3 | | Total | Assets | | | | | | | | | | Trading securities: | | | | | | | | | | Government-sponsored enterprises debt obligations | $ | — |
| | $ | 1,212 |
| | $ | — |
| | $ | — |
| | $ | 1,212 |
| Another FHLBank’s bond | — |
| | 52 |
| | — |
| | — |
| | 52 |
| State or local housing agency debt obligations | — |
| | 1 |
| | — |
| | — |
| | 1 |
| Total trading securities | — |
| | 1,265 |
| | — |
| | — |
| | 1,265 |
| Available-for-sale securities: | | | | | | | | | | Private-label residential MBS | — |
| | — |
| | 1,662 |
| | — |
| | 1,662 |
| Derivative assets: | | | | | | | | | | Interest-rate related | — |
| | 337 |
| | — |
| | (161 | ) | | 176 |
| Grantor trust (included in Other assets) | 31 |
| | — |
| | — |
| | — |
| | 31 |
| Total assets at fair value | $ | 31 |
| | $ | 1,602 |
| | $ | 1,662 |
| | $ | (161 | ) | | $ | 3,134 |
| Liabilities | | | | | | | | | | Derivative liabilities: | | | | | | | | | | Interest-rate related | $ | — |
| | $ | 1,551 |
| | $ | — |
| | $ | (1,427 | ) | | $ | 124 |
| Total liabilities at fair value | $ | — |
| | $ | 1,551 |
| | $ | — |
| | $ | (1,427 | ) | | $ | 124 |
|
____________ (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
Reconciliation of Available-For-Sale Securities Measured at Fair Value | The following table presents a reconciliation of available-for-sale securities that are measured at fair value on a recurring basis using significant unobservable inputs (Level 3). | | | | | | | | | | | | | | For the Years Ended December 31, | | 2016 | | 2015 | | 2014 | Balance, beginning of year | $ | 1,662 |
| | $ | 1,981 |
| | $ | 2,299 |
| Total (losses) gains realized and unrealized: (1) | | | | | | Included in net impairment losses recognized in earnings | (3 | ) | | (5 | ) | | (3 | ) | Included in other comprehensive income | 29 |
| | (23 | ) | | (7 | ) | Accretion of credit losses in net interest income | 53 |
| | 42 |
| | 34 |
| Settlements | (396 | ) | | (333 | ) | | (342 | ) | Balance, end of year | $ | 1,345 |
| | $ | 1,662 |
| | $ | 1,981 |
|
____________ | | (1) | Related to available-for-sale securities held at year end. |
|
Carrying Values and Estimated Fair Values | The following tables present the carrying values and estimated fair values of the Bank’s financial instruments. | | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2016 | | | | Estimated Fair Value | | Carrying Value | | Total | | Level 1 | | Level 2 | | Level 3 | | Netting Adjustment (1) | Assets: | | | | | | | | | | | | Cash and due from banks | $ | 1,815 |
| | $ | 1,815 |
| | $ | 1,815 |
| | $ | — |
| | $ | — |
| | $ | — |
| Interest bearing-deposits | 1,106 |
| | 1,106 |
| | — |
| | 1,106 |
| | — |
| | — |
| Securities purchased under agreements to resell | 1,386 |
| | 1,386 |
| | — |
| | 1,386 |
| | — |
| | — |
| Federal funds sold | 7,770 |
| | 7,770 |
| | — |
| | 7,770 |
| | — |
| | — |
| Trading securities | 262 |
| | 262 |
| | — |
| | 262 |
| | — |
| | — |
| Available-for-sale securities | 1,345 |
| | 1,345 |
| | — |
| | — |
| | 1,345 |
| | — |
| Held-to-maturity securities | 24,641 |
| | 24,633 |
| | — |
| | 23,843 |
| | 790 |
| | — |
| Advances | 99,077 |
| | 99,062 |
| | — |
| | 99,062 |
| | — |
| | — |
| Mortgage loans held for portfolio, net | 523 |
| | 569 |
| | — |
| | 569 |
| | — |
| | — |
| Accrued interest receivable | 171 |
| | 171 |
| | — |
| | 171 |
| | — |
| | — |
| Derivative assets | 355 |
| | 355 |
| | — |
| | 282 |
| | — |
| | 73 |
| Grantor trust assets (included in Other assets) | 37 |
| | 37 |
| | 37 |
| | — |
| | — |
| | — |
| Liabilities: | | | | | | | | | | | | Interest-bearing deposits | 1,118 |
| | 1,118 |
| | — |
| | 1,118 |
| | — |
| | — |
| Consolidated obligations, net: | | | | | | | | | | | | Discount notes | 41,292 |
| | 41,293 |
| | — |
| | 41,293 |
| | — |
| | — |
| Bonds | 88,647 |
| | 88,768 |
| | — |
| | 88,768 |
| | — |
| | — |
| Mandatorily redeemable capital stock | 1 |
| | 1 |
| | 1 |
| | — |
| | — |
| | — |
| Accrued interest payable | 128 |
| | 128 |
| | — |
| | 128 |
| | — |
| | — |
| Derivative liabilities | 107 |
| | 107 |
| | — |
| | 1,073 |
| | — |
| | (966 | ) |
____________ | | (1) | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
| | | | | | | | | | | | | | | | | | | | | | | | | | As of December 31, 2015 | | | | Estimated Fair Value | | Carrying Value | | Total | | Level 1 | | Level 2 | | Level 3 | | Netting Adjustment (1) | Assets: | | | | | | | | | | | | Cash and due from banks | $ | 1,751 |
| | $ | 1,751 |
| | $ | 1,751 |
| | $ | — |
| | $ | — |
| | $ | — |
| Interest bearing-deposits | 1,088 |
| | 1,088 |
| | — |
| | 1,088 |
| | — |
| | — |
| Securities purchased under agreements to resell | 2,500 |
| | 2,500 |
| | — |
| | 2,500 |
| | — |
| | — |
| Federal funds sold | 5,421 |
| | 5,421 |
| | — |
| | 5,421 |
| | — |
| | — |
| Trading securities | 1,265 |
| | 1,265 |
| | — |
| | 1,265 |
| | — |
| | — |
| Available-for-sale securities | 1,662 |
| | 1,662 |
| | — |
| | — |
| | 1,662 |
| | — |
| Held-to-maturity securities | 23,239 |
| | 23,263 |
| | — |
| | 22,179 |
| | 1,084 |
| | — |
| Advances | 104,168 |
| | 104,021 |
| | — |
| | 104,021 |
| | — |
| | — |
| Mortgage loans held for portfolio, net | 584 |
| | 647 |
| | — |
| | 646 |
| | 1 |
| | — |
| Accrued interest receivable | 171 |
| | 171 |
| | — |
| | 171 |
| | — |
| | — |
| Derivative assets | 176 |
| | 176 |
| | — |
| | 337 |
| | — |
| | (161 | ) | Grantor trust assets (included in Other assets) | 31 |
| | 31 |
| | 31 |
| | — |
| | — |
| | — |
| Liabilities: | | | | | | | | | | | | Interest-bearing deposits | 1,084 |
| | 1,084 |
| | — |
| | 1,084 |
| | — |
| | — |
| Consolidated obligations, net: | | | | | | | | | | | | Discount notes | 69,434 |
| | 69,432 |
| | — |
| | 69,432 |
| | — |
| | — |
| Bonds | 63,953 |
| | 63,940 |
| | — |
| | 63,940 |
| | — |
| | — |
| Mandatorily redeemable capital stock | 14 |
| | 14 |
| | 14 |
| | — |
| | — |
| | — |
| Accrued interest payable | 127 |
| | 127 |
| | — |
| | 127 |
| | — |
| | — |
| Derivative liabilities | 124 |
| | 124 |
| | — |
| | 1,551 |
| | — |
| | (1,427 | ) |
____________ | | (1) | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same clearing agents and/or counterparties. |
|