Fair Value Disclosures Fair Value (Tables)

6 Months Ended

Jun. 30, 2017

Fair Value, by Balance Sheet Grouping [Table Text Block]

Fair Value Summary (in thousands)



	June 30, 2017
			Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2		Level 3		Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts⁽¹⁾
Assets:
Cash and due from banks	$	370,216	$	370,216	$	370,216	$	—	$	—	$	—
Interest-bearing deposits	190		190		—		190		—		—
Securities purchased under agreements to resell	5,865,699		5,865,703		—		5,865,703		—		—
Federal funds sold	7,030,000		7,030,000		—		7,030,000		—		—
Trading securities	882		882		—		882		—		—
Available-for-sale securities	350,004		350,004		—		350,004		—		—
Held-to-maturity securities	14,687,378		14,634,113		—		14,634,113		—		—
Advances ⁽²⁾	71,088,071		71,146,618		—		71,146,618		—		—
Mortgage loans held for portfolio, net	9,447,220		9,487,449		—		9,468,253		19,196		—
Accrued interest receivable	118,472		118,472		—		118,472		—		—
Derivative assets	78,149		78,149		—		39,666		—		38,483
Liabilities:
Deposits	713,124		712,986		—		712,986		—		—
Consolidated Obligations:
Discount Notes	49,359,582		49,359,067		—		49,359,067		—		—
Bonds ⁽³⁾	53,359,309		53,513,451		—		53,513,451		—		—
Mandatorily redeemable capital stock	35,969		35,969		35,969		—		—		—
Accrued interest payable	127,328		127,328		—		127,328		—		—
Derivative liabilities	5,942		5,942		—		75,804		—		(69,862		)
Other:
Standby bond purchase agreements	—		725		—		725		—		—

(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 counterparty, and effective January 3, 2017, includes fair value adjustments on derivatives for which variation margin is characterized as a daily settled contract. Variation margin for daily settled contracts was (in thousands) $54,630 at June 30, 2017.


(2)	Includes (in thousands) $15,063 of Advances recorded under the fair value option at June 30, 2017.


(3)	Includes (in thousands) $5,605,291 of Consolidated Obligation Bonds recorded under the fair value option at June 30, 2017.



	December 31, 2016
			Fair Value
Financial Instruments	Carrying Value		Total		Level 1		Level 2		Level 3		Netting Adjustments and Cash Collateral⁽¹⁾
Assets:
Cash and due from banks	$	8,737	$	8,737	$	8,737	$	—	$	—	$	—
Interest-bearing deposits	129		129		—		129		—		—
Securities purchased under agreements to resell	5,229,487		5,229,487		—		5,229,487		—		—
Federal funds sold	4,257,000		4,257,000		—		4,257,000		—		—
Trading securities	970		970		—		970		—		—
Available-for-sale securities	1,300,023		1,300,023		—		1,300,023		—		—
Held-to-maturity securities	14,546,979		14,413,231		—		14,413,231		—		—
Advances⁽²⁾	69,882,074		69,842,730		—		69,842,730		—		—
Mortgage loans held for portfolio, net	9,148,718		9,174,790		—		9,152,186		22,604		—
Accrued interest receivable	109,886		109,886		—		109,886		—		—
Derivative assets	104,753		104,753		—		53,849		—		50,904
Liabilities:
Deposits	765,879		765,628		—		765,628		—		—
Consolidated Obligations:
Discount Notes	44,689,662		44,689,594		—		44,689,594		—		—
Bonds ⁽³⁾	53,190,866		53,278,571		—		53,278,571		—		—
Mandatorily redeemable capital stock	34,782		34,782		34,782		—		—		—
Accrued interest payable	119,322		119,322		—		119,322		—		—
Derivative liabilities	17,874		17,874		—		102,065		—		(84,191		)
Other:
Standby bond purchase agreements	—		708		—		708		—		—


(1)	Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.


(2)	Includes (in thousands) $15,093 of Advances recorded under the fair value option at December 31, 2016.


(3)	Includes (in thousands) $7,895,510 of Consolidated Obligation Bonds recorded under the fair value option at December 31, 2016.

Fair Value Measurements, Recurring and Nonrecurring [Table Text Block]

Fair Value Measurements (in thousands)



	Fair Value Measurements at June 30, 2017
	Total		Level 1		Level 2		Level 3		Netting Adjustments, Cash Collateral, and Variation Margin for Daily Settled Contracts⁽¹⁾
Recurring fair value measurements - Assets
Trading securities:
Other U.S. obligation single-family mortgage-backed securities	$	882	$	—	$	882	$	—	$	—
Available-for-sale securities:
Certificates of deposit	350,004		—		350,004		—		—
Advances	15,063		—		15,063		—		—
Derivative assets:
Interest rate related	77,538		—		39,055		—		38,483
Forward rate agreements	237		—		237		—		—
Mortgage delivery commitments	374		—		374		—		—
Total derivative assets	78,149		—		39,666		—		38,483
Total assets at fair value	$	444,098	$	—	$	405,615	$	—	$	38,483

Recurring fair value measurements - Liabilities
Consolidated Obligation Bonds	$	5,605,291	$	—	$	5,605,291	$	—	$	—
Derivative liabilities:
Interest rate related	4,804		—		74,666		—		(69,862		)
Forward rate agreement	566		—		566		—		—
Mortgage delivery commitments	572		—		572		—		—
Total derivative liabilities	5,942		—		75,804		—		(69,862		)
Total liabilities at fair value	$	5,611,233	$	—	$	5,681,095	$	—	$	(69,862	)

Nonrecurring fair value measurements - Assets ⁽²⁾
Mortgage loans held for portfolio	$	409	$	—	$	—	$	409

(1)


(2)	The fair value information presented is as of the date the fair value adjustment was recorded during the six months ended June 30, 2017.



	Fair Value Measurements at December 31, 2016
	Total		Level 1		Level 2		Level 3		Netting Adjustment and Cash Collateral ⁽¹⁾
Recurring fair value measurements - Assets
Trading securities:
Other U.S. obligation single-family mortgage-backed securities	$	970	$	—	$	970	$	—	$	—
Available-for-sale securities:
Certificates of deposit	1,300,023		—		1,300,023		—		—
Advances	15,093		—		15,093		—		—
Derivative assets:
Interest rate related	103,753		—		52,849		—		50,904
Forward rate agreements	681		—		681		—		—
Mortgage delivery commitments	319		—		319		—		—
Total derivative assets	104,753		—		53,849		—		50,904
Total assets at fair value	$	1,420,839	$	—	$	1,369,935	$	—	$	50,904

Recurring fair value measurements - Liabilities
Consolidated Obligation Bonds	$	7,895,510	$	—	$	7,895,510	$	—	$	—
Derivative liabilities:
Interest rate related	7,080		—		91,271		—		(84,191		)
Forward rate agreements	166		—		166		—		—
Mortgage delivery commitments	10,628		—		10,628		—		—
Total derivative liabilities	17,874		—		102,065		—		(84,191		)
Total liabilities at fair value	$	7,913,384	$	—	$	7,997,575	$	—	$	(84,191	)

Nonrecurring fair value measurements - Assets ⁽²⁾
Mortgage loans held for portfolio	$	1,388	$	—	$	—	$	1,388


(1)	Amounts represent the application of the netting requirements that allow the FHLB to settle positive and negative positions and also cash collateral and related accrued interest held or placed by the FHLB with the same counterparty.


(2)	The fair value information presented is as of the date the fair value adjustment was recorded during the year ended December 31, 2016.

Fair Value, Option, Quantitative Disclosures [Table Text Block]

Aggregate Unpaid Balance and Aggregate Fair Value (in thousands)



	June 30, 2017							December 31, 2016
	Aggregate Unpaid Principal Balance		Aggregate Fair Value		Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance			Aggregate Unpaid Principal Balance		Aggregate Fair Value		Aggregate Fair Value Over/(Under) Aggregate Unpaid Principal Balance
Advances ⁽¹⁾	$	15,000	$	15,063	$	63		$	15,000	$	15,093	$	93
Consolidated Bonds	5,629,265		5,605,291		(23,974		)	7,926,000		7,895,510		(30,490		)


(1)	At June 30, 2017 and December 31, 2016, none of the Advances were 90 days or more past due or had been placed on non-accrual status.

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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- Definition

Tabular disclosure of the application of the fair value option for measurement and reporting of eligible financial assets and liabilities (as defined), as well as certain other eligible items (as defined) included in the statement of financial position, whether such option is elected for a single eligible item or a group of similar eligible items and is in addition to other disclosures concerning fair value which the company may be required to provide. Such disclosure might be expected to include: (1) for items included in the statement of financial position: (a) for each line item in the statement of financial position that includes an item or items for which the fair value option has been elected, provide the aggregate carrying amount of ineligible items included in each line item in the balance sheet, if any; (b) the difference between the aggregate fair value and the aggregate unpaid principal balance (assuming contractual principal amounts and fair value option elected) of: (i) loans and long-term receivables (other than securities otherwise reported at fair value) and (ii) long-term debt instruments; (c) for loans held as assets for which the fair value option has been elected: (i) the aggregate fair value of loans that are 90 days or more past due, (ii) if the policy is to recognize interest income separately from other changes in fair value, the aggregate fair value of loans in nonaccrual status, and (iii) the difference between the aggregate fair value and the aggregate unpaid principal balance for loans that are 90 days or more past due, in nonaccrual status, or both; (2) for items included in the income statement: (a) the amounts of gains and losses from fair value changes included in earnings and in which line in the income statement those gains and losses are reported whether or not combined with gains and losses from items required to be accounted for at fair value; (b) for loans and other receivables held as assets, the estimated amount of gains or losses included in earnings attributable to changes in instrument-specific credit risk; (c) for liabilities with fair values that have been significantly affected during the reporting period by changes in the instrument-specific credit risk, the estimated amount of gains and losses from fair value changes included in earnings that are attributable to changes in the instrument-specific credit risk; and (3) certain other disclosures as required or determined to be provided.

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