Derivatives and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2017

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]

Fair Value of Derivative Instruments (in thousands)



	June 30, 2017
	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as fair value hedging instruments:
Interest rate swaps	$	5,537,149	$	31,133	$	19,832
Derivatives not designated as hedging instruments:
Interest rate swaps	5,902,265		1,148		54,834
Interest rate swaptions	2,255,000		6,774		—
Forward rate agreements	280,000		237		566
Mortgage delivery commitments	264,427		374		572
Total derivatives not designated as hedging instruments	8,701,692		8,533		55,972
Total derivatives before adjustments	$	14,238,841	39,666		75,804
Netting adjustments, cash collateral and variation margin for daily settled contracts ⁽¹⁾			38,483		(69,862		)
Total derivative assets and total derivative liabilities			$	78,149	$	5,942

	December 31, 2016
	Notional Amount of Derivatives		Derivative Assets		Derivative Liabilities
Derivatives designated as fair value hedging instruments:
Interest rate swaps	$	5,660,420	$	37,379	$	26,610
Derivatives not designated as hedging instruments:
Interest rate swaps	8,199,000		2,135		64,661
Interest rate swaptions	2,346,000		13,335		—
Forward rate agreements	511,000		681		166
Mortgage delivery commitments	440,849		319		10,628
Total derivatives not designated as hedging instruments	11,496,849		16,470		75,455
Total derivatives before adjustments	$	17,157,269	53,849		102,065
Netting adjustments and cash collateral ⁽¹⁾			50,904		(84,191		)
Total derivative assets and total derivative liabilities			$	104,753	$	17,874

(1)

Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions, cash collateral and related accrued interest held or placed by the FHLB with the same clearing agent and/or counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Cash collateral posted and related accrued interest was (in thousands) $79,634 and $180,169 at June 30, 2017 and December 31, 2016. Cash collateral received and related accrued interest was (in thousands) $25,919 and $45,074 at June 30, 2017 and December 31, 2016. Variation margin for daily settled contracts was (in thousands) $54,630 at June 30, 2017 and $0 at December 31, 2016.

Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]

Net Gains on Derivatives and Hedging Activities (in thousands)



	Three Months Ended June 30,
	2017			2016
Derivatives and hedged items in fair value hedging relationships:
Interest rate swaps	$	(205	)	$	(1,142	)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	16,380			19,370
Interest rate swaptions	(2,053		)	(469		)
Forward rate agreements	(3,136		)	(9,761		)
Net interest settlements	(1,451		)	4,026
Mortgage delivery commitments	3,582			10,361
Total net gains related to derivatives not designated as hedging instruments	13,322			23,527
Other ⁽¹⁾	143			—
Net gains on derivatives and hedging activities	$	13,260		$	22,385

	Six Months Ended June 30,
	2017			2016
Derivatives and hedged items in fair value hedging relationships:
Interest rate swaps	$	140		$	(2,870	)
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	12,833			24,473
Interest rate swaptions	(10,369		)	(1,283		)
Forward rate agreements	(3,513		)	(19,032		)
Net interest settlements	(1,083		)	5,815
Mortgage delivery commitments	6,877			20,927
Total net gains related to derivatives not designated as hedging instruments	4,745			30,900
Other ⁽¹⁾	259			—
Net gains on derivatives and hedging activities	$	5,144		$	28,030


(1)	Consists of price alignment amount on derivatives for which variation margin is characterized as a daily settled contract.

Schedule of Derivative Instruments By Type, Gain (Loss) in Statement of Financial Performance [Table Text Block]

Effect of Fair Value Hedge-Related Derivative Instruments (in thousands)



	Three Months Ended June 30,
2017	Gain/(Loss) on Derivative			Gain/(Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income⁽¹⁾
Hedged Item Type:
Advances	$	(9,666	)	$	9,279		$	(387	)	$	(4,744	)
Consolidated Bonds	806			(624		)	182			(157		)
Total	$	(8,860	)	$	8,655		$	(205	)	$	(4,901	)
2016
Hedged Item Type:
Advances	$	(10,587	)	$	9,346		$	(1,241	)	$	(16,109	)
Consolidated Bonds	(551		)	650			99			2,127
Total	$	(11,138	)	$	9,996		$	(1,142	)	$	(13,982	)

	Six Months Ended June 30,
2017	Gain/(Loss) on Derivative			Gain/(Loss) on Hedged Item			Net Fair Value Hedge Ineffectiveness			Effect of Derivatives on Net Interest Income⁽¹⁾
Hedged Item Type:
Advances	$	(299	)	$	110		$	(189	)	$	(11,445	)
Consolidated Bonds	(264		)	593			329			266
Total	$	(563	)	$	703		$	140		$	(11,179	)
2016
Hedged Item Type:
Advances	$	(54,225	)	$	51,471		$	(2,754	)	$	(33,396	)
Consolidated Bonds	2,254			(2,370		)	(116		)	5,438
Total	$	(51,971	)	$	49,101		$	(2,870	)	$	(27,958	)

(1)

For fair value hedge relationships, the net effect of derivatives on net interest income is included in the interest income or interest expense line item of the respective hedged item type. These amounts include the effect of net interest settlements attributable to designated fair value hedges but do not include (in thousands) $(683) and $(804) of (amortization)/accretion related to fair value hedging activities for the three months ended June 30, 2017 and 2016 and (in thousands) $(1,287) and $(1,682) for the six months ended June 30, 2017 and 2016.

Offsetting Assets and Liabilities [Table Text Block]

Offsetting of Derivative Assets and Derivative Liabilities (in thousands)



	June 30, 2017						December 31, 2016
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	7,525		$	13,871		$	15,506		$	21,378
Cleared derivatives	31,530			60,795			37,343			69,893
Total gross recognized amount	39,055			74,666			52,849			91,271
Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts ⁽¹⁾:
Uncleared derivatives	(7,324		)	(9,067		)	(14,737		)	(14,298		)
Cleared derivatives	45,807			(60,795		)	65,641			(69,893		)
Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts ⁽¹⁾	38,483			(69,862		)	50,904			(84,191		)
Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts:
Uncleared derivatives	201			4,804			769			7,080
Cleared derivatives	77,337			—			102,984			—
Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts	77,538			4,804			103,753			7,080
Derivative instruments not meeting netting requirements ⁽²⁾:
Uncleared derivatives	611			1,138			1,000			10,794
Total derivative instruments not meeting netting requirements ⁽²⁾	611			1,138			1,000			10,794
Total derivative assets and total derivative liabilities:
Uncleared derivatives	812			5,942			1,769			17,874
Cleared derivatives	77,337			—			102,984			—
Total derivative assets and total derivative liabilities	$	78,149		$	5,942		$	104,753		$	17,874


(1)	Variation margin for daily settled contracts was (in thousands) $54,630 at June 30, 2017.


(2)	Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement.

Offsetting Liabilities [Table Text Block]

Offsetting of Derivative Assets and Derivative Liabilities (in thousands)



	June 30, 2017						December 31, 2016
	Derivative Assets			Derivative Liabilities			Derivative Assets			Derivative Liabilities
Derivative instruments meeting netting requirements:
Gross recognized amount:
Uncleared derivatives	$	7,525		$	13,871		$	15,506		$	21,378
Cleared derivatives	31,530			60,795			37,343			69,893
Total gross recognized amount	39,055			74,666			52,849			91,271
Gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts ⁽¹⁾:
Uncleared derivatives	(7,324		)	(9,067		)	(14,737		)	(14,298		)
Cleared derivatives	45,807			(60,795		)	65,641			(69,893		)
Total gross amounts of netting adjustments, cash collateral and variation margin for daily settled contracts ⁽¹⁾	38,483			(69,862		)	50,904			(84,191		)
Net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts:
Uncleared derivatives	201			4,804			769			7,080
Cleared derivatives	77,337			—			102,984			—
Total net amounts after netting adjustments, cash collateral and variation margin for daily settled contracts	77,538			4,804			103,753			7,080
Derivative instruments not meeting netting requirements ⁽²⁾:
Uncleared derivatives	611			1,138			1,000			10,794
Total derivative instruments not meeting netting requirements ⁽²⁾	611			1,138			1,000			10,794
Total derivative assets and total derivative liabilities:
Uncleared derivatives	812			5,942			1,769			17,874
Cleared derivatives	77,337			—			102,984			—
Total derivative assets and total derivative liabilities	$	78,149		$	5,942		$	104,753		$	17,874


(1)	Variation margin for daily settled contracts was (in thousands) $54,630 at June 30, 2017.


(2)	Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement.