XML 85 R75.htm IDEA: XBRL DOCUMENT v3.7.0.1
Derivatives and Hedging Activities Offsetting of Derivative Assets and Derivative Liabilities (Details) - USD ($)
$ in Thousands
Jun. 30, 2017
Dec. 31, 2016
Offsetting Assets [Line Items]    
Derivative Asset, Total Gross Amount $ 39,055 $ 52,849
Derivative Liability, Total Gross Amount 74,666 91,271
Derivative Asset, Netting Adjustments And Cash Collateral [1],[3] 38,483 [2] 50,904 [4]
Derivative Liability, Netting Adjustments And Cash Collateral [1],[3] (69,862) [2] (84,191) [4]
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment 77,538 103,753
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment 4,804 7,080
Derivative Asset, Not Subject to Master Netting Arrangement [5] 611 1,000
Derivative Liability, Not Subject to Master Netting Arrangement [5] 1,138 10,794
Derivative assets 78,149 104,753
Derivative liabilities 5,942 17,874
Variation Margin for Daily Settled Contracts, Net 54,630 0
Uncleared derivatives    
Offsetting Assets [Line Items]    
Derivative Asset, Total Gross Amount 7,525 15,506
Derivative Liability, Total Gross Amount 13,871 21,378
Derivative Asset, Netting Adjustments And Cash Collateral [3] (7,324) (14,737)
Derivative Liability, Netting Adjustments And Cash Collateral [3] (9,067) (14,298)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment 201 769
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment 4,804 7,080
Derivative Asset, Not Subject to Master Netting Arrangement [5] 611 1,000
Derivative Liability, Not Subject to Master Netting Arrangement [5] 1,138 10,794
Derivative assets 812 1,769
Derivative liabilities 5,942 17,874
Cleared derivatives    
Offsetting Assets [Line Items]    
Derivative Asset, Total Gross Amount 31,530 37,343
Derivative Liability, Total Gross Amount 60,795 69,893
Derivative Asset, Netting Adjustments And Cash Collateral [3] 45,807 65,641
Derivative Liability, Netting Adjustments And Cash Collateral [3] (60,795) (69,893)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment 77,337 102,984
Derivative Liability, Net Fair Value Amount, After Offsetting Adjustment 0 0
Derivative assets 77,337 102,984
Derivative liabilities $ 0 $ 0
[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.
[2] 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.
[3] Variation margin for daily settled contracts was (in thousands) $54,630 at June 30, 2017.
[4] 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.
[5] Represents mortgage delivery commitments and forward rate agreements that are not subject to an enforceable netting agreement.