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Derivatives and Hedging Activities (Tables)
 9 Months Ended
Sep. 30, 2012
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Schedule of Derivative Instruments in Statement of Financial Position, Fair Value [Table Text Block]
The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for the third quarter and nine months ended September 30, 2012 and 2011.
(in thousands)
Gains/(Losses) on Derivative
 
Gains/(Losses) on Hedged Item
 
Net Fair Value Hedge Ineffectiveness
 
Effect of Derivatives on Net Interest Income(1)
Three months ended September 30, 2012
 

 
 

 
 

 
 

Hedged item type:
 

 
 

 
 

 
 

Advances
$
84,204

 
$
(83,765
)
 
$
439

 
$
(93,120
)
Consolidated obligations – bonds
(5,359
)
 
6,249

 
890

 
44,154

Total
$
78,845

 
$
(77,516
)
 
$
1,329

 
$
(48,966
)
Nine months ended September 30, 2012
 
 
 
 
 
Hedged item type:
 
 
 
 
 
 
 
Advances
$
166,564

 
$
(165,389
)
 
$
1,175

 
$
(289,346
)
Consolidated obligations – bonds
(20,450
)
 
22,566

 
2,116

 
130,501

Total
$
146,114

 
$
(142,823
)
 
$
3,291

 
$
(158,845
)


(in thousands)
Gains/(Losses) on Derivative
 
Gains/(Losses) on Hedged Item
 
Net Fair Value Hedge Ineffectiveness
 
Effect of Derivatives on Net Interest Income(1)
Three months ended September 30, 2011
 

 
 

 
 

 
 

Hedged item type:
 

 
 

 
 

 
 

Advances
$
(201,954
)
 
$
197,583

 
$
(4,371
)
 
$
(121,460
)
Consolidated obligations – bonds
90,356

 
(89,870
)
 
486

 
52,634

Total
$
(111,598
)
 
$
107,713

 
$
(3,885
)
 
$
(68,826
)
Nine months ended September 30, 2011
 
 
 
 
 
 
 
Hedged item type:
 
 
 
 
 
 
 
Advances
$
(157,356
)
 
$
153,389

 
$
(3,967
)
 
$
(374,229
)
Consolidated obligations – bonds
106,167

 
(105,333
)
 
834

 
169,540

Total
$
(51,189
)
 
$
48,056

 
$
(3,133
)
 
$
(204,689
)
Note:
(1)Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item.

The B
The following tables summarize the notional and fair value of derivative instruments as of September 30, 2012 and December 31, 2011.
 
September 30, 2012
(in thousands)
Notional Amount of Derivatives
 
Derivative Assets
 
Derivative Liabilities
Derivatives in hedge accounting relationships:
 

 
 

 
 

Interest rate swaps
$
30,871,645

 
$
349,277

 
$
1,137,686

Derivatives not in hedge accounting relationships:
 
 
 
 
 
Interest rate swaps
$
3,232,597

 
$
15,135

 
$
8,812

Interest rate caps
1,466,750

 
1,858

 
—

Mortgage delivery commitments
28,813

 
677

 
4

Total derivatives not in hedge accounting relationships
$
4,728,160

 
$
17,670

 
$
8,816

Total derivatives before netting and collateral adjustments
$
35,599,805

 
$
366,947

 
$
1,146,502

Netting adjustments
 
 
(313,495
)
 
(313,495
)
Cash collateral and related accrued interest
 
 
(28,058
)
 
(430,652
)
Total collateral and netting adjustments(1)
 
 
(341,553
)
 
(744,147
)
Derivative assets and derivative liabilities as reported on the Statement of
  Condition
 
 
$
25,394

 
$
402,355

 
December 31, 2011
(in thousands)
Notional Amount of Derivatives
 
Derivative Assets
 
Derivative Liabilities
Derivatives in hedge accounting relationships:
 

 
 

 
 

Interest rate swaps
$
27,389,135

 
$
368,159

 
$
1,306,235

Derivatives not in hedge accounting relationships:
 
 
 
 
 
Interest rate swaps
$
2,241,681

 
$
1,378

 
$
7,029

Interest rate caps
1,466,750

 
4,146

 
15

Mortgage delivery commitments
13,984

 
158

 
8

Total derivatives not in hedge accounting relationships
$
3,722,415

 
$
5,682

 
$
7,052

Total derivatives before netting and collateral adjustments
$
31,111,550

 
$
373,841

 
$
1,313,287

Netting adjustments
 
 
(329,297
)
 
(329,297
)
Cash collateral and related accrued interest
 
 
(8,288
)
 
(542,015
)
Total collateral and netting adjustments(1)
 
 
(337,585
)
 
(871,312
)
Derivative assets and derivative liabilities as reported on the Statement of
  Condition
 
 
$
36,256

 
$
441,975

Note:
(1)Amounts represent the effect of legally enforceable master netting agreements that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.
Schedule of Derivative Instruments, Gain (Loss) in Statement of Financial Performance [Table Text Block]
The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statement of Income.
 
Three months ended September 30,
 
Nine months ended September 30,
(in thousands)
2012
 
2011
 
2012
 
2011
Derivatives and hedged items in fair value hedging
  relationships:
 

 
 

 
 

 
 
Interest rate swaps - fair value hedge ineffectiveness
$
1,329

 
$
(3,885
)
 
$
3,291

 
$
(3,133
)
Derivatives not designated as hedging instruments:
 

 
 

 
 

 
 
Economic hedges:
 

 
 

 
 

 
 
Interest rate swaps
$
(575
)
 
$
300

 
$
(2,000
)
 
$
473

Interest rate caps or floors
(231
)
 
(2,813
)
 
(2,272
)
 
(4,972
)
Net interest settlements
268

 
(337
)
 
(1,122
)
 
(10
)
Mortgage delivery commitments
2,687

 
1,445

 
4,732

 
2,236

Other
4

 
5

 
12

 
228

Total net gains (losses) related to derivatives not designated
  as hedging instruments
$
2,153

 
$
(1,400
)
 
$
(650
)
 
$
(2,045
)
Net gains (losses) on derivatives and hedging activities
$
3,482

 
$
(5,285
)
 
$
2,641

 
$
(5,178
)
Schedule of Credit Risk Exposure on Derivative Instruments [Table Text Block]
The following table presents credit risk exposure on derivative instruments, excluding circumstances where a counterparty's pledged collateral to the Bank exceeds the Bank's net position.
(in thousands)
September 30, 2012
December 31, 2011
Credit risk exposure(1)
$
53,452

$
44,544

Cash collateral held
28,058

8,288

  Net exposure after cash collateral
25,394

36,256

Other collateral held
1,341

—

  Net exposure after collateral
$
24,053

$
36,256

Note:
(1) Includes net accrued interest receivable of $9.5 million and $3.1 million at September 30, 2012 and December 31, 2011, respectively.