Estimated Fair Values (Tables)

9 Months Ended

Sep. 30, 2012

Fair Value Disclosures [Abstract]

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

The carrying value and estimated fair value of the Bank’s financial instruments at September 30, 2012 and December 31, 2011 are presented in the table below. This table does not represent an estimate of the overall market value of the Bank as a going-concern, which would take into account future business opportunities and the net profitability of assets and liabilities.

Fair Value Summary Table
	September 30, 2012													December 31, 2011
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust.			Estimated Fair Value		Carrying Value		Estimated Fair Value
Assets:
Cash and due from    banks	$	246,723	$	246,723	$	—	$	—	$	—		$	246,723	$	634,278	$	634,278
Interest-bearing    deposits	11,164		—		11,164		—		—			11,164		16,180		16,180
Securities purchased    under agreement to    resell	2,250,000		—		2,250,000		—		—			2,250,000		—		—
Federal funds sold	2,335,000		—		2,334,993		—		—			2,334,993		2,450,000		2,449,936
Trading securities	1,114,015		4,137		1,109,878		—		—			1,114,015		984,285		984,285
AFS securities	6,326,162		1,998		4,842,925		1,481,239		—			6,326,162		4,356,147		4,356,147
HTM securities	6,335,836		—		5,137,554		1,278,516		—			6,416,070		8,832,845		8,782,348
Advances	37,738,621		—		37,935,212		—		—			37,935,212		30,604,801		30,853,987
Mortgage loans held    for portfolio, net	3,579,079		—		3,880,263		—		—			3,880,263		3,883,127		4,168,409
BOB loans, net	13,176		—		—		13,176		—			13,176		14,016		14,016
Accrued interest    receivable	120,715		—		120,715		—		—			120,715		132,152		132,152
Derivative assets	25,394		—		366,947		—		(341,553		)	25,394		36,256		36,256
Liabilities:
Deposits	$	1,054,956	$	—	$	1,054,957	$	—	$	—		$	1,054,957	$	1,099,694	$	1,099,715
Discount notes	20,888,257		—		20,889,443		—		—			20,889,443		10,921,498		10,921,703
Bonds	33,665,452		—		34,381,802		—		—			34,381,802		35,613,036		36,474,950
Mandatorily    redeemable capital    stock	188,128		188,333		—		—		—			188,333		45,673		45,673
Accrued interest    payable	145,672		—		145,672		—		—			145,672		125,564		125,564
Derivative liabilities	402,355		—		1,146,502		—		(744,147		)	402,355		441,975		441,975

Schedule of Fair Value, Assets and Liabilities Measured on Recurring Basis [Table Text Block]

Fair Value on a Recurring Basis. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring basis on its Statement of Condition at September 30, 2012 and December 31, 2011.

	September 30, 2012
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	1,109,878	$	—	$	—		$	1,109,878
Mutual funds offsetting deferred compensation	4,137		—		—		—			4,137
Total trading securities	$	4,137	$	1,109,878	$	—	$	—		$	1,114,015
AFS securities:
Other U.S. obligations	$	—	$	21,020	$	—	$	—		$	21,020
GSE securities	—		1,374,584		—		—			1,374,584
State and local Agency	—		12,972		—		—			12,972
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		—			1,998
Other U.S. obligations MBS	—		326,041		—		—			326,041
GSE residential MBS	—		3,108,308		—		—			3,108,308
Private label MBS:
Private label residential	—		—		1,466,664		—			1,466,664
HELOCs	—		—		14,575		—			14,575
Total AFS securities	$	1,998	$	4,842,925	$	1,481,239	$	—		$	6,326,162
Derivative assets:
Interest rate related	$	—	$	366,270	$	—	$	(341,553	)	$	24,717
Mortgage delivery commitments	—		677		—		—			677
Total derivative assets	$	—	$	366,947	$	—	$	(341,553	)	$	25,394
Total assets at fair value	$	6,135	$	6,319,750	$	1,481,239	$	(341,553	)	$	7,465,571
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	1,146,498	$	—	$	(744,147	)	$	402,351
Mortgage delivery commitments	—		4		—		—			4
Total derivative liabilities (2)	$	—	$	1,146,502	$	—	$	(744,147	)	$	402,355

	December 31, 2011
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
U.S. Treasury bills	$	—	$	729,994	$	—	$	—		$	729,994
TLGP investments	—		250,080		—		—			250,080
Mutual funds offsetting deferred compensation	4,211		—		—		—			4,211
Total trading securities	$	4,211	$	980,074	$	—	$	—		$	984,285
AFS securities:
GSE securities	$	—	$	900,574	$	—	$	—		$	900,574
Mutual funds partially securing employee benefit plan obligations	1,998		—		—		$	—		$	1,998
GSE residential MBS	—		1,807,141		—		—			1,807,141
Private label MBS:
Private label residential	—		—		1,631,361		—			1,631,361
HELOCs	—		—		15,073		—			15,073
Total AFS securities	$	1,998	$	2,707,715	$	1,646,434	$	—		$	4,356,147
Derivative assets:
Interest rate related	$	—	$	373,683	$	—	$	(337,585	)	$	36,098
Mortgage delivery commitments	—		158		—		—			158
Total derivative assets	$	—	$	373,841	$	—	$	(337,585	)	$	36,256
Total assets at fair value	$	6,209	$	4,061,630	$	1,646,434	$	(337,585	)	$	5,376,688
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	1,313,279	$	—	$	(871,312	)	$	441,967
Mortgage delivery commitments	—		8		—		—			8
Total derivative liabilities (2)	$	—	$	1,313,287	$	—	$	(871,312	)	$	441,975

 Note:

⁽¹⁾Amounts represent the effect of legally enforceable master netting agreements on derivatives that allow the Bank to settle positive and negative positions and also cash collateral held or placed with the same counterparties.

⁽²⁾ Derivative liabilities represent the total liabilities at fair value.

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation [Table Text Block]

The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statement of Condition using significant unobservable inputs (Level 3) for the first nine months of 2012 and 2011. For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur. Transfers are reported as of the beginning of the period.

(in thousands)	AFS Private Label MBS-Residential Nine Months Ended September 30, 2012			AFS Private Label MBS- HELOCs Nine Months Ended September 30, 2012
Balance at January 1	$	1,631,361		$	15,073
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	(4,380		)	692
Net OTTI losses, credit portion	(9,866		)	(1,084		)
Net unrealized gains on AFS in OCI	213			—
Reclassification of non-credit portion included in net income	8,411			1,084
Net change in fair value on OTTI AFS in OCI	116,632			1,119
Unrealized gains on OTTI AFS and included in OCI	34,190			171
Purchases, issuances, sales, and settlements:
Settlements	(321,165		)	(2,480		)
Transfer of OTTI securities from HTM to AFS	11,268			—
Balance at September 30	$	1,466,664		$	14,575
Total amount of losses for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at September 30, 2012	$	(14,247	)	$	(392	)