10-Q

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM 10-Q

[x] QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the quarterly period ended March 31, 2015

or

[  ] TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the transition period from                                    to                                   

Commission File Number: 000-51395

FEDERAL HOME LOAN BANK OF PITTSBURGH

(Exact name of registrant as specified in its charter)

Federally Chartered Corporation	25-6001324
(State or other jurisdiction of incorporation or organization)	(IRS Employer Identification No.)
601 Grant Street Pittsburgh, PA 15219  (Address of principal executive offices)	15219  (Zip Code)

(412) 288-3400

(Registrant’s telephone number, including area code)

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days.  [x]Yes []No

Indicate by check mark whether the registrant has submitted electronically and posted on its corporate Web site, if any, every Interactive Data File required to be submitted and posted pursuant to Rule 405 of Regulation S-T during the preceding 12 months (or for such shorter period that the registrant was required to submit and post such files).  [x] Yes [] No

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, or a smaller reporting company. See the definitions of “large accelerated filer,” “accelerated filer” and “smaller reporting company” in Rule 12b-2 of the Exchange Act. (Check one):

o Large accelerated filer	o Accelerated filer
x Non-accelerated filer	o Smaller reporting company

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).  [] Yes [x] No

There were 32,506,813 shares of common stock with a par value of $100 per share outstanding at April 30, 2015.

FEDERAL HOME LOAN BANK OF PITTSBURGH

TABLE OF CONTENTS

Part I - FINANCIAL INFORMATION	1
Item 1: Financial Statements (unaudited)	37
Notes to Financial Statements (unaudited)	44
Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations	1
Risk Management	17
Item 3: Quantitative and Qualitative Disclosures about Market Risk	82
Item 4: Controls and Procedures	82
Part II - OTHER INFORMATION	82
Item 1: Legal Proceedings	82
Item 1A: Risk Factors	82
Item 2: Unregistered Sales of Equity Securities and Use of Proceeds	82
Item 3: Defaults upon Senior Securities	82
Item 4: Mine Safety Disclosures	82
Item 5: Other Information	82
Item 6: Exhibits	83
Signature	83

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PART I - FINANCIAL INFORMATION

Item 2: Management's Discussion and Analysis of Financial Condition and Results of Operations

Forward-Looking Information

Statements contained in this Form 10-Q, including statements describing the objectives, projections, estimates, or predictions of the future of the Federal Home Loan Bank of Pittsburgh (the Bank), may be “forward-looking statements.” These statements may use forward-looking terms, such as “anticipates,” “believes,” “could,” “estimates,” “may,” “should,” “will,” or their negatives or other variations on these terms. The Bank cautions that, by their nature, forward-looking statements involve risk or uncertainty and that actual results could differ materially from those expressed or implied in these forward-looking statements or could affect the extent to which a particular objective, projection, estimate, or prediction is realized. These forward-looking statements involve risks and uncertainties including, but not limited to, the following: economic and market conditions, including, but not limited to real estate, credit and mortgage markets; volatility of market prices, rates, and indices related to financial instruments; political, legislative, regulatory, litigation, or judicial events or actions; changes in assumptions used in the quarterly other-than-temporary impairment (OTTI) process; risks related to mortgage-backed securities; changes in the assumptions used in the allowance for credit losses; changes in the Bank’s capital structure; changes in the Bank’s capital requirements; membership changes; changes in the demand by Bank members for Bank advances; an increase in advances’ prepayments; competitive forces, including the availability of other sources of funding for Bank members; changes in investor demand for consolidated obligations and/or the terms of interest rate exchange agreements and similar agreements; changes in the Federal Home Loan Bank (FHLBank) System’s debt rating or the Bank’s rating; the ability of the Bank to introduce new products and services to meet market demand and to manage successfully the risks associated with new products and services; the ability of each of the other FHLBanks to repay the principal and interest on consolidated obligations for which it is the primary obligor and with respect to which the Bank has joint and several liability; applicable Bank policy requirements for retained earnings and the ratio of the market value of equity to par value of capital stock; the Bank’s ability to maintain adequate capital levels (including meeting applicable regulatory capital requirements); business and capital plan adjustments and amendments; technology risks; and timing and volume of market activity. This Management's Discussion and Analysis (MD&A) should be read in conjunction with the Bank's unaudited interim financial statements and notes and Risk Factors included in Part II, Item 1A of this Form 10-Q, as well as the Bank's 2014 Form 10-K (2014 Form 10-K), including Risk Factors included in Item 1A of that report.

Executive Summary

Overview. The Bank's financial condition and results of operations are influenced by the interest rate environment, global and national economies, local economies within its three-state district, and the conditions in the financial, housing and credit markets. During the first quarter of 2015, funding spreads (i.e., the cost of FHLBank debt relative to LIBOR) generally improved due to more favorable market conditions.

The interest rate environment significantly impacts the Bank's profitability. Net interest income is affected by several external factors, including market interest rate levels and volatility, credit spreads and the general state of the economy. To manage interest rate risk, a portion of the Bank's advances and debt have been hedged with interest-rate exchange agreements in which 1-month or 3-month LIBOR is received (advances) or paid (debt). Short-term interest rates also directly affect the Bank's earnings on invested capital. The Bank expects its near-term ability to generate significant earnings on capital and short-term investments will be limited in light of the Federal Reserve’s policy of maintaining the Federal funds rate at zero to 25 basis points. Finally, the Bank's mortgage-related assets make it sensitive to changes in mortgage rates. The Bank earns relatively narrow spreads between yields on assets (particularly advances, its largest asset) and the rates paid on corresponding liabilities.

The Bank's earnings are affected not only by rising or falling interest rates but also by the particular path and volatility of changes in market interest rates and the prevailing shape of the yield curve. The flattening of the yield curve tends to compress the Bank's net interest margin, while steepening of the curve offers better opportunities to purchase assets with wider net interest spreads. The performance of the Bank's mortgage asset portfolios is particularly affected by shifts in the 10-year maturity range of the yield curve, which is the point that heavily influences mortgage rates and potential refinancings. Yield curve shape can also influence the pace at which borrowers refinance or prepay their existing loans, as borrowers may select shorter-duration mortgage products. The Bank continues to adjust as necessary its prepayment estimates in its models to ensure they reflect actual borrower activity. In addition, the Bank's higher yielding private label mortgage-backed securities (MBS) portfolio continues its expected runoff. As higher coupon mortgage loans prepay and mature along with higher yielding private

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label MBS, the return of principal cannot be invested in assets with a comparable yield, resulting in a decline in the aggregate yield on the remaining loan portfolio and investments and a possible decrease in the net interest margin.

Results of Operations. During the first quarter of 2015, the Bank recorded net income of $71.1 million, a decrease of $8.8 million from $79.9 million in the first quarter of 2014. The decrease relates in large part to the settlements of claims against certain defendants arising from investments the Bank made in private label MBS, net of legal fees and expenses, which were $15.3 million in the first quarter of 2015 compared to $36.6 million in the first quarter of 2014. This decrease of $21.3 million was partially offset by higher net interest income. Net interest income for the first quarter of 2015 was $75.5 million, compared to $62.3 million in the first quarter of 2014. The increase was primarily due to interest income on increased average advance balances in the first quarter of 2015 as compared to same prior year period. The net interest margin was 37 basis points in both the first quarter of 2015 and 2014.

Financial Condition. Advances. Advances totaled $62.3 billion at March 31, 2015 compared to $63.4 billion at December 31, 2014. Demand for advances has declined primarily due to the decreased short-term liquidity needs of a few large members. While the size of the advance portfolio decreased during the first quarter of 2015, the term of an advance increased. At March 31, 2015, approximately 57% of the par value of advances in the portfolio had a remaining maturity of more than one year, compared to 53% at December 31, 2014.

The ability to grow and/or maintain the advance portfolio is affected by, among other things, the following: (1) the liquidity demands of the Bank's borrowers; (2) the composition of the Bank's membership; (3) advance pricing; (4) current and future credit market conditions; (5) housing market trends; and (6) the shape of the yield curve.

Investments.At March 31, 2015, the Bank held $16.7 billion of total investment securities, including trading, available-for-sale (AFS) and held-to-maturity (HTM) investment securities, as well as interest-bearing deposits and Federal funds sold. By comparison, at December 31, 2014, these investments totaled $16.5 billion. The increase of $0.2 billion was primarily driven by an increase in Federal funds sold due to market-driven demand.

Consolidated Obligations. The Bank's consolidated obligations totaled $82.3 billion at March 31, 2015, an increase of $1.5 billion from December 31, 2014. This growth in consolidated obligations was due to increases in bonds, primarily to support the Bank's liquidity position. At March 31, 2015, bonds represented 55% of the Bank's consolidated obligations, compared with 54% at December 31, 2014. Discount notes represented 45% of the Bank's consolidated obligations at March 31, 2015 compared with 46% at year-end 2014.

Capital Position and Regulatory Requirements. Total retained earnings at March 31, 2015 were $808.9 million, down from $837.5 million at year-end 2014 reflecting the Bank's net income for the first quarter of 2015 which was more than offset by dividends paid. As noted below, the Bank paid both a regular and special dividend in February 2015 totaling $99.7 million. Total accumulated other comprehensive income (AOCI) was $149.1 million at March 31, 2015, an increase of $24.6 million from December 31, 2014. This improvement was due to the increase in fair values of securities within the AFS portfolio.

In February 2015, the Bank paid a quarterly dividend equal to an annual yield of 4.0%. This dividend was based on average member capital for the fourth quarter 2014. In addition, the Bank paid a special dividend of 2.5%. The special dividend was based on average member capital stock for the full year of 2014. On April 30, 2015, the Bank paid quarterly dividends equal to an annual yield of 5.0% and 3.0% on activity stock and membership stock, respectively. These dividends were based on stockholders' average balances for the first quarter.

The Bank met all of its capital requirements as of March 31, 2015, and in the Federal Housing Finance Agency's (Finance Agency) most recent determination, as of December 31, 2014, the Bank was deemed "adequately capitalized."

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Financial Highlights

The following financial highlights for the Condensed Statements of Condition as of December 31, 2014 have been derived from the Bank's audited financial statements. Financial highlights for the other quarter-end periods have been derived from the Bank's unaudited financial statements except for the three months ended December 31, 2014 which have been derived from the Bank's 2014 Form 10-K.

Condensed Statements of Income

	Three months ended
	March 31,		December 31,		September 30,			June 30,		March 31,
(in millions, except per share data)	2015		2014		2014			2014		2014
Net interest income	$	75.5	$	82.7	$	72.3		$	65.8	$	62.3
Provision (benefit) for credit losses	(0.5)		(0.2)		(0.4)			0.4		(3.9)
Other noninterest income:
Net gains (losses) on trading securities	6.8		5.9		(0.1		)	6.8		9.8
Net gains (losses) on derivatives and     hedging activities	(7.6)		(19.0)		0.2			(9.5)		(9.2)
Gains on litigation settlements, net	15.3		20.2		14.1			—		36.6
Other, net	6.5		5.2		5.0			5.1		4.5
Total other noninterest income	21.0		12.3		19.2			2.4		41.7
Other expense	18.0		23.8		17.5			18.2		19.1
Income before assessments	79.0		71.4		74.4			49.6		88.8
Affordable Housing Program (AHP) assessment(1)	7.9		7.1		7.4			5.0		8.9
Net income	$	71.1	$	64.3	$	67.0		$	44.6	$	79.9
Earnings per share (2)	$	2.42	$	2.32	$	2.22		$	1.59	$	2.75

Dividends	$	99.7		$	30.4		$	28.0		$	28.7		$	16.8
Dividend payout ratio (3)	140.27		%	47.45		%	41.78		%	64.30		%	21.02		%
Return on average equity	7.38		%	6.88		%	6.79		%	4.90		%	8.76		%
Return on average assets	0.34		%	0.33		%	0.36		%	0.26		%	0.48		%
Net interest margin (4)	0.37		%	0.44		%	0.39		%	0.39		%	0.37		%
Regulatory capital ratio (5)	4.43		%	4.53		%	5.08		%	5.21		%	5.32		%
GAAP capital ratio (6)	4.60		%	4.67		%	5.22		%	5.37		%	5.42		%
Total average equity to average assets	4.67		%	4.86		%	5.32		%	5.30		%	5.43		%

Notes:

⁽¹⁾ Although the Bank is not subject to federal or state income taxes, by regulation, the Bank is required to allocate 10% of its income before assessments to fund the AHP.

⁽²⁾ Calculated based on net income and weighted average shares outstanding.

⁽³⁾ Represents dividends paid as a percentage of net income for the respective periods presented.

⁽⁴⁾ Net interest margin is net interest income before provision for credit losses as a percentage of average interest-earning assets.

⁽⁵⁾ Regulatory capital ratio is the sum of period-end capital stock, mandatorily redeemable capital stock, and retained earnings as a percentage of total assets at period-end.

⁽⁶⁾ GAAP capital ratio is the sum of capital stock, retained earnings and AOCI as a percentage of total assets at period-end.

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Condensed Statements of Condition

	March 31,		December 31,		September 30,		June 30,		March 31,
(in millions)	2015		2014		2014		2014		2014
Cash and due from banks	$	5,124.2	$	2,451.1	$	5,508.4	$	1,267.9	$	1,141.3
Investments (1)	16,729.6		16,528.4		14,536.9		14,400.4		13,978.5
Advances	62,346.0		63,408.4		53,054.3		54,624.4		46,063.9
Mortgage loans held for portfolio, net (2)	3,074.3		3,123.3		3,116.3		3,140.6		3,174.3
Total assets	87,463.1		85,677.1		76,399.7		73,628.8		64,555.7
Consolidated obligations, net:
Discount notes	37,077.8		37,058.1		31,536.6		31,218.5		21,942.2
Bonds	45,241.4		43,714.5		39,889.1		37,500.6		37,901.4
Total consolidated obligations, net (3)	82,319.2		80,772.6		71,425.7		68,719.1		59,843.6
Deposits	750.9		641.2		665.9		700.0		780.4
Mandatorily redeemable capital stock	0.6		0.6		0.8		2.9		1.9
AHP payable	62.0		56.0		52.0		46.7		43.9
Total liabilities	83,441.4		81,674.1		72,408.5		69,674.3		61,055.2
Capital stock - putable	3,063.7		3,041.0		3,079.3		3,071.1		2,681.4
Unrestricted retained earnings	683.4		726.3		705.4		679.8		672.7
Restricted retained earnings	125.5		111.2		98.4		85.0		76.1
AOCI	149.1		124.5		108.1		118.6		70.3
Total capital	4,021.7		4,003.0		3,991.2		3,954.5		3,500.5

Notes:

⁽¹⁾ Includes trading, AFS and HTM investment securities, Federal funds sold and interest-bearing deposits.

⁽²⁾ Includes allowance for credit losses of $6.6 million at March 31, 2015, $7.3 million at December 31, 2014, $7.7 million at September 30, 2014, $7.5 million at June 30, 2014 and $7.3 million at March 31, 2014.

⁽³⁾ Aggregate FHLBank System-wide consolidated obligations (at par) were $812.2 billion at March 31, 2015, $847.2 billion at December 31, 2014, $816.9 billion at September 30, 2014, $800.0 billion at June 30, 2014 and $753.9 billion at March 31, 2014.

Earnings Performance

The following is Management's Discussion and Analysis of the Bank's earnings performance for the three months ended March 31, 2015 and 2014, which should be read in conjunction with the Bank's unaudited interim financial statements included in this Form 10-Q as well as the audited financial statements included in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2014 Form 10-K.

Summary of Financial Results

Net Income and Return on Average Equity. The Bank recorded net income of $71.1 million for the first quarter of 2015, a decrease of $8.8 million compared to $79.9 million for the first quarter of 2014. This decrease relates in large part to the settlements of claims against certain defendants arising from investments the Bank made in private label MBS, net of legal fees and expenses, which was $15.3 million in the first quarter of 2015 compared to $36.6 million in the first quarter of 2014. This decrease of $21.3 million was partially offset by higher net interest income. Net interest income was $75.5 million for the first quarter of 2015 compared to $62.3 million for the first quarter of 2014, an increase of $13.2 million. This increase was primarily due to higher interest income on advances. Interest income on advances for the first quarter of 2015 was $73.7 million, an increase of $13.7 million compared to $60.0 million in the first quarter of 2014. The Bank's return on average equity for the first quarter of 2015 was 7.38%, compared to 8.76% for the first quarter of 2014.

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Net Interest Income

The following table summarizes the yields and rates paid on interest-earning assets and interest-bearing liabilities, respectively, the average balance for each of the primary balance sheet classifications, and the net interest margin for the three months ended March 31, 2015 and 2014.

Average Balances and Interest Yields/Rates Paid

	Three months ended March 31,
	2015						2014
(dollars in millions)	Average Balance			Interest Income/ Expense		Avg. Yield/ Rate (%)	Average Balance			Interest Income/ Expense		Avg. Yield/ Rate (%)
Assets:
Federal funds sold and securities purchased under agreements to resell (1)	$	7,088.1		$	1.6	0.09	$	5,664.9		$	0.6	0.05
Interest-bearing deposits (2)	323.6			0.1		0.10	504.6			0.1		0.07
Investment securities (3)	11,651.7			55.9		1.95	10,769.0			54.7		2.06
Advances (4)	59,884.1			74.8		0.51	47,319.7			63.1		0.54
Mortgage loans held for portfolio (5)	3,100.7			30.7		4.02	3,206.5			33.4		4.22
Total interest-earning assets	82,048.2			163.1		0.81	67,464.7			151.9		0.91
Allowance for credit losses	(8.9		)				(13.4		)
Other assets (6)	1,750.9						633.8
Total assets	$	83,790.2					$	68,085.1
Liabilities and capital:
Deposits (2)	$	704.6		$	0.1	0.03	$	729.7		$	0.1	0.03
Consolidated obligation discount notes	34,062.6			9.1		0.11	25,534.7			6.0		0.10
Consolidated obligation bonds (7)	44,344.4			78.4		0.72	37,207.3			83.5		0.91
Other borrowings	2.2			—		1.00	6.1			—		1.08
Total interest-bearing liabilities	79,113.8			87.6		0.45	63,477.8			89.6		0.57
Other liabilities	766.0						907.2
Total capital	3,910.4						3,700.1
Total liabilities and capital	$	83,790.2					$	68,085.1
Net interest spread						0.36						0.34
Impact of noninterest-bearing funds						0.01						0.03
Net interest income/net interest margin				$	75.5	0.37				$	62.3	0.37

Notes:

⁽¹⁾ The average balance of Federal funds sold and securities purchased under agreements to resell and the related interest income and average yield calculations may include loans to other FHLBanks.

⁽²⁾ Average balances of deposits (assets and liabilities) include cash collateral received from/paid to counterparties which is reflected in the Statements of Condition as derivative assets/liabilities.

⁽³⁾ Investment securities include trading, AFS and HTM securities. The average balances of AFS and HTM are reflected at amortized cost; therefore, the resulting yields do not give effect to changes in fair value or the noncredit component of a previously recognized OTTI reflected in AOCI.

⁽⁴⁾ Average balances reflect noninterest-earning hedge accounting adjustments of $0.3 billion and $0.5 billion in 2015 and 2014, respectively.

⁽⁵⁾ Nonaccrual mortgage loans are included in average balances in determining the average rate.

⁽⁶⁾ The non-credit portion of OTTI losses on investment securities is reflected in other assets for purposes of the average balance sheet presentation.

⁽⁷⁾ Average balances reflect noninterest-bearing hedge accounting adjustments of less than one million and $(44.2) million in 2015 and 2014, respectively.

Net interest income for the first quarter of 2015 increased $13.2 million from the first quarter of 2014 primarily due to an increase in interest income. Interest earning assets increased 21.6% with higher demand for advances and increased purchases of Federal funds sold and securities purchased under agreement to resell being partially offset by a lower amount of mortgage loans held for portfolio as the run-off exceeded new purchases. Higher interest income on advances was partially offset by lower interest income on mortgage loans held for portfolio. Interest income on advances increased as advance volume more

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than offset a decline in yield. Interest income on mortgage loans declined due to lower volume. The rate paid on interest-bearing liabilities declined 12 basis points due to lower funding costs on bonds and an increase in the level of discount notes relative to the total debt portfolio.

Rate/Volume Analysis. Changes in both volume and interest rates influence changes in net interest income and net interest margin. The following table summarizes changes in interest income and interest expense between the three months ended March 31, 2015 and 2014.

	Increase (Decrease) in Interest Income/Expense Due to Changes in Rate/Volume
	2015 compared to 2014
	Three months ended March 31
(in millions)	Volume			Rate			Total
Federal funds sold	$	0.3		$	0.7		$	1.0
Investment securities	4.3			(3.1		)	1.2
Advances	15.9			(4.2		)	11.7
Mortgage loans held for portfolio	(1.2		)	(1.5		)	(2.7		)
Total interest-earning assets	$	19.3		$	(8.1	)	$	11.2
Consolidated obligation discount notes	2.2			0.9			3.1
Consolidated obligation bonds	14.4			(19.5		)	(5.1		)
Total interest-bearing liabilities	$	16.6		$	(18.6	)	$	(2.0	)
Total increase in net interest income	$	2.7		$	10.5		$	13.2

Interest income increased in the first quarter of 2015 compared to the first quarter of 2014 due to volume increases partially offset by rate decreases. At the same time interest expense decreased due to rate declines that were partially offset by volume increases. Higher average advances drove the interest income increase. A decrease in rates paid on consolidated obligation bonds more than offset a volume increase resulting in the interest expense decrease.

Average investment balances increased in the first quarter of 2015 compared to the first quarter of 2014. The increase was driven by higher volumes of Agency notes that were partially offset by lower MBS balances. The rate decrease for investment securities was primarily due to the increased amount of lower-yielding Agency notes in the portfolio.

The following table presents the average par balances of the Bank's advance portfolio for the three months ended March 31, 2015 and 2014. These balances do not reflect any hedge accounting adjustments.

(in millions)	Three months ended March 31,
Product	2015		2014
Repo/Mid-Term Repo	$	21,540.9	$	16,506.3
Core (Term)	36,155.0		28,127.3
Convertible Select	1,893.0		2,150.0
Total par value	$	59,588.9	$	46,783.6

The increase in advance volume from first quarter 2014 to first quarter 2015 led to an increase in interest income, partially offset by a decrease in the yield. Competitively priced advance rates and members' liquidity needs contributed to the increase in advance balances. The yield on advances declined as the first quarter 2015 portfolio was comprised of more short-term and variable rate advances with relatively lower yields.

The average mortgage loans held for portfolio balance declined from first quarter 2014 to first quarter 2015 due to the continued run-off of the Mortgage Partnership Finance (MPF) Plus portfolio. The Bank has not purchased loans into this portion of the portfolio since July 2006, and the run-off more than offset purchases of new loans into the MPF Original portion of the portfolio. Interest income decreased as the newer loans have generally lower yields than the loans that are paying down.

The average consolidated obligations portfolio balance increased in first quarter 2015 from first quarter 2014 as average discount note and bond balances both increased. However, interest expense on the portfolio declined due to a decrease in rates paid on bonds, which more than offset the volume increase. The rate decrease on bonds was primarily due to longer term debt

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that was called or matured and then replaced with lower cost debt. A portion of the bond portfolio is currently swapped to 3-month LIBOR; therefore, as the LIBOR rate (decreases) increases, interest expense on swapped bonds, including the impact of swaps, (decreases) increases. See details regarding the impact of swaps on the rates paid in the “Interest Income Derivatives Effects” discussion below.

Interest Income Derivative Effects. The following tables quantify the effects of the Bank's derivative activities on interest income and interest expense for the three months ended March 31, 2015 and 2014. Derivative and hedging activities are discussed below.

Three Months Ended March 31, 2015 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives(1)			Incr./ (Decr.) (%)
Assets:
Advances	$	59,884.1	$	74.8	0.51	$	123.3	0.83	$	(48.5	)	(0.32	)
Mortgage loans held for  portfolio	3,100.7		30.7		4.02	31.6		4.14	(0.9		)	(0.12	)
All other interest-earning  assets	19,063.4		57.6		1.22	61.0		1.30	(3.4		)	(0.08	)
Total interest-earning  assets	$	82,048.2	$	163.1	0.81	$	215.9	1.07	$	(52.8	)	(0.26	)
Liabilities:
Consolidated obligation  bonds	$	44,344.4	$	78.4	0.72	$	144.4	1.32	$	(66.0	)	(0.60	)
All other interest-bearing  liabilities	34,769.4		9.2		0.11	9.2		0.11	—			—
Total interest-bearing  liabilities	$	79,113.8	$	87.6	0.45	$	153.6	0.79	$	(66.0	)	(0.34	)
Net interest income/net  interest spread			$	75.5	0.36	$	62.3	0.28	$	13.2		0.08

Three Months Ended March 31, 2014 (dollars in millions)	Average Balance		Interest Inc./  Exp. with Derivatives		Avg. Yield/ Rate (%)	Interest Inc./ Exp. without Derivatives		Avg. Yield/ Rate (%)	Impact of Derivatives(1)			Incr./ (Decr.) (%)
Assets:
Advances	$	47,319.7	$	63.1	0.54	$	127.1	1.09	$	(64.0	)	(0.55	)
Mortgage loans held for  portfolio	3,206.5		33.4		4.22	34.1		4.30	(0.7		)	(0.08	)
All other interest-earning  assets	16,938.5		55.4		1.33	58.0		1.39	(2.6		)	(0.06	)
Total interest-earning  assets	$	67,464.7	$	151.9	0.91	$	219.2	1.32	$	(67.3	)	(0.41	)
Liabilities:
Consolidated obligation  bonds	$	37,207.3	$	83.5	0.91	$	145.7	1.59	$	(62.2	)	(0.68	)
All other interest-bearing  liabilities	26,270.5		6.1		0.09	6.1		0.09	—			—
Total interest-bearing  liabilities	$	63,477.8	$	89.6	0.57	$	151.8	0.97	$	(62.2	)	(0.40	)
Net interest income/net  interest spread			$	62.3	0.34	$	67.4	0.35	$	(5.1	)	(0.01	)

Note:

⁽¹⁾ Impact of Derivatives includes net interest settlements, amortization of basis adjustments resulting from previously terminated hedging relationships and the amortization of the market value of mortgage purchase commitments classified as derivatives at the time the commitment settled.

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The use of derivatives increased net interest income and net interest spread for the three months ended March 31, 2015. The use of derivatives decreased net interest income for the three months ended March 31, 2014 and had little impact on net interest spread for the three months ended March 31, 2014. The variances in the advances and consolidated obligation derivative impacts from period to period are driven by the change in the average LIBOR-based variable rate, the timing of interest rate resets and the average hedged portfolio balances outstanding during any given period.

The Bank uses derivatives to hedge the fair market value changes attributable to the change in the LIBOR benchmark interest rate. The Bank generally uses interest rate swaps to hedge a portion of advances and consolidated obligations which convert the interest rates on those instruments from a fixed rate to a LIBOR-based variable rate. The purpose of this strategy is to protect the interest rate spread. Using derivatives to convert interest rates from fixed to variable can increase or decrease net interest income.

The Bank uses many different funding and hedging strategies. One strategy involves closely match-funding bullet advances with bullet debt. This is designed in part to avoid the use of derivatives where prudent and reduce the Bank's reliance on short-term funding.

Provision (Benefit) for Credit Losses. The provision (benefit) for credit losses on mortgage loans held for portfolio and Banking on Business (BOB) loans for the first quarter of 2015 was $(0.5) million compared to $(3.9) million for the same period in 2014. The benefit was primarily due to a decrease in delinquencies, overall improvement in the housing market and a change in the allowance estimate as a result of the adoption of certain provisions of AB 2012-02 which is discussed in more detail in the Financial Condition section of this Item 2.

Other Noninterest Income

	Three months ended March 31,
(in millions)	2015			2014
Net gains on trading securities	$	6.8		$	9.8
Net (losses) on derivatives and hedging activities	(7.6		)	(9.2		)
Gains on litigation settlements, net	15.3			36.6
Standby letters of credit fees	5.9			4.0
Other, net	0.6			0.5
Total other noninterest income	$	21.0		$	41.7

The Bank's lower total other noninterest income for the first quarter of 2015 compared to the same prior year period was due to a decrease in settlements of litigation claims, net of legal fees and expenses, arising from investments the Bank made in private label MBS, partially offset by higher standby letter of credit fees. The increase in standby letter of credit fees was due to higher volume and an increase in the rate on letters of credit.

Derivatives and Hedging Activities. The Bank enters into interest rate swaps, caps, floors and swaption agreements, referred to collectively as interest rate exchange agreements and more broadly as derivatives transactions. The Bank enters into derivatives transactions to offset all or portions of the financial risk exposures inherent in its member lending, investment and funding activities. All derivatives are recorded on the balance sheet at fair value. Changes in derivatives' fair values are either recorded in the Statement of Income or AOCI within the Capital section of the Statement of Condition, depending on the hedging strategy.

The Bank's hedging strategies consist of fair value and cash flow accounting hedges as well as economic hedges. Fair value hedges are discussed in more detail below. Economic hedges address specific risks inherent in the Bank's balance sheet, but they do not qualify for hedge accounting or the Bank does not elect to apply hedge accounting. As a result, income recognition on the derivatives in economic hedges may vary considerably compared to the timing of income recognition on the underlying asset or liability. The Bank does not enter into derivatives for speculative purposes nor does it have any cash flow hedges.

Regardless of the hedge strategy employed, the Bank's predominant hedging instrument is an interest rate swap. At the time of inception, the fair market value of an interest rate swap generally equals or is close to zero. Notwithstanding the exchange of interest payments made during the life of the swap, which are recorded as either interest income/expense or as a gain (loss) on derivatives, depending upon the accounting classification of the hedging instrument, the fair value of an interest

8

rate swap returns to zero at the end of its contractual term. Therefore, although the fair value of an interest rate swap is likely to change over the course of its full term, upon maturity any unrealized gains and losses generally net to zero.

The following tables detail the net effect of derivatives and hedging activities for the three months ended March 31, 2015 and 2014.

	Three months ended March 31, 2015
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes		Total
Net interest income:
Amortization/accretion of hedging activities in net interest income (1)	$	(1.5	)	$	—		$	(0.9	)	$	4.4	$	—	$	2.0
Net interest settlements included in net interest income (2)	(47.0		)	(3.4		)	—			61.6		—		11.2
Total effect on net interest income	$	(48.5	)	$	(3.4	)	$	(0.9	)	$	66.0	$	—	$	13.2
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	0.2		$	(0.3	)	$	—		$	0.7	$	—	$	0.6
Gains (losses) on derivatives not receiving hedge accounting	(4.6		)	(24.2		)	(3.2		)	23.7		0.1		(8.2		)
Total net gains (losses) on derivatives and hedging activities	$	(4.4	)	$	(24.5	)	$	(3.2	)	$	24.4	$	0.1	$	(7.6	)
Total net effect of derivatives and hedging activities	$	(52.9	)	$	(27.9	)	$	(4.1	)	$	90.4	$	0.1	$	5.6

	Three months ended March 31, 2014
(in millions)	Advances			Investments			Mortgage Loans			Bonds		Discount Notes		Total
Net interest income:
Amortization/accretion of hedging activities in net interest income (1)	$	(3.6	)	$	—		$	(0.7	)	$	7.7	$	—	$	3.4
Net interest settlements included in net interest income (2)	(60.4		)	(2.6		)	—			54.5		—		(8.5		)
Total effect on net interest income	$	(64.0	)	$	(2.6	)	$	(0.7	)	$	62.2	$	—	$	(5.1	)
Net gains (losses) on derivatives and hedging activities:
Gains (losses) on fair value hedges	$	0.8		$	(0.4	)	$	—		$	0.1	$	—	$	0.5
Gains (losses) on derivatives not receiving hedge accounting	(1.9		)	(22.8		)	(4.4		)	19.1		0.3		(9.7		)
Total net gains (losses) on derivatives and hedging activities	$	(1.1	)	$	(23.2	)	$	(4.4	)	$	19.2	$	0.3	$	(9.2	)
Total net effect of derivatives and hedging activities	$	(65.1	)	$	(25.8	)	$	(5.1	)	$	81.4	$	0.3	$	(14.3	)

Notes:

⁽¹⁾ Represents the amortization/accretion of hedging fair value adjustments.

⁽²⁾ Represents interest income/expense on derivatives included in net interest income.

Fair Value Hedges. The Bank uses fair value hedge accounting treatment for most of its fixed-rate advances and consolidated obligations using interest rate swaps. The interest rate swaps convert these fixed-rate instruments to a variable-rate (i.e., LIBOR). During the first quarter of 2015, total ineffectiveness related to these fair value hedges resulted in net gains of $0.6 million compared to net gains of $0.5 million during the first quarter of 2014. The total notional amount increased to $35.8 billion at March 31, 2015 from $32.2 billion at December 31, 2014. Fair value hedge ineffectiveness represents the difference between the change in the fair value of the derivative compared to the change in the fair value of the underlying asset/liability hedged. Fair value hedge ineffectiveness is generated by movement in the benchmark interest rate being hedged and by other structural characteristics of the transaction involved. For example, the presence of an upfront fee associated with a structured debt hedge will introduce valuation differences between the hedge and hedged item that will fluctuate over time.

Derivatives not receiving hedge accounting. For derivatives not receiving hedge accounting, also referred to as “economic hedges,” the Bank includes the net interest income and the changes in the fair value of the hedges in the "Net gains (losses) on derivatives and hedging activities" financial statement line item. For economic hedges, the Bank recorded net losses of $(8.2)

9

million in the first quarter of 2015 compared to net losses of $(9.7) million for the first quarter of 2014. The total notional amount of economic hedges, which includes mortgage delivery commitments, was $9.4 billion at March 31, 2015 and $12.7 billion at December 31, 2014.

Financial Condition

The following should be read in conjunction with the Bank's unaudited interim financial statements in this Form 10-Q and the audited financial statements in the Bank's 2014 Form 10-K.

Assets

Total assets were $87.5 billion at March 31, 2015, compared to $85.7 billion at December 31, 2014. The increase of $1.8 billion was primarily due to increased short-term liquidity balances, partially offset by a decline in advances. Short-term liquidity balances, which include cash and Federal funds sold, were $10.0 billion at March 31, 2015, an increase of $3.0 billion from $7.0 billion at December 31, 2014. Advances totaled $62.3 billion at March 31, 2015, down slightly from $63.4 billion at December 31, 2014.

The Finance Agency has communicated its interest in keeping all of the FHLBanks focused on activities related to their missions, such as making advances. Advances are central to the Bank’s mission and, along with MPF loans, are critical to the Bank’s continuing ability to meet the needs of its membership and their communities. At March 31, 2015, advances and MPF loans totaled $65.4 billion. The Bank's plan is to keep this mission activity above 70% of consolidated obligation balances. At March 31, 2015, this percentage was 79.5%.

Advances. Advances (par) totaled $62.1 billion at March 31, 2015 compared to $63.1 billion at December 31, 2014. At March 31, 2015, the Bank had advances outstanding to 180 borrowing members, compared to 189 borrowing members at December 31, 2014. A significant amount of the advances continued to be generated from the Bank’s five largest borrowers, reflecting the asset concentration mix of the Bank’s membership base. Total advances outstanding to the Bank’s five largest borrowers represented 73.1% of total advances as of March 31, 2015 compared to 73.8% at December 31, 2014.

The following table provides information on advances at par by product type at March 31, 2015 and December 31, 2014.

	March 31,		December 31,
in millions	2015		2014
Adjustable/variable-rate indexed:
Repo/Mid-Term Repo	$	7,975.3	$	7,975.3
Core (Term)	22,492.2		21,242.2
Total adjustable/variable-rate indexed	$	30,467.5	$	29,217.5
Fixed rate:
Repo/Mid-Term Repo	$	22,254.3	$	25,011.7
Core (Term)	7,191.8		6,723.8
Total fixed rate	$	29,446.1	$	31,735.5
Convertible	$	1,893.0	$	1,923.0
Amortizing/mortgage-matched:
Core (Term)	$	247.2	$	250.0
Total par balance	$	62,053.8	$	63,126.0

The Bank had no outstanding putable or returnable advances at March 31, 2015 or December 31, 2014. In the second quarter of 2015, the Bank introduced a new adjustable, returnable advance product which has a floating rate and can be returned at a predetermined time.

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The following table provides a distribution of the number of members, categorized by individual member asset size that had an outstanding average advance balance during the three months ended March 31, 2015 and the year ended December 31, 2014.

	March 31,		December 31,
Member Asset Size	2015		2014
Less than $100 million	19		25
Between $100 million and $500 million	101		130
Between $500 million and $1 billion	36		45
Between $1 billion and $5 billion	29		33
Greater than $5 billion	18		19
Total borrowing members during the period	203		252
Total membership	302		304
Percentage of members borrowing during the period	67.2	%	82.9	%
Total borrowing members with outstanding loan balances at period-end	180		189
Percentage of members borrowing at period-end	59.6	%	62.2	%

During the first three months of 2015, the Bank has experienced a net decrease of two members. The Bank added two new members and lost four members. These four members merged with other institutions within the Bank's district.

The following table provides information at par on advances by member classification at March 31, 2015 and December 31, 2014. Commercial Bank, Thrift, and Credit Union members are classified by asset size as follows: Large (over $25 billion), Regional ($4 to $25 billion), Mid-size ($1.1 to $4 billion) and Community Financial Institutions (CFI) (under $1.1 billion).

(in thousands)	March 31, 2015		December 31, 2014		Increase/(Decrease)
Member Classification
Large	$	46,590.1	$	47,825.2	(2.6	)%
Regional	8,057.4		8,041.9		0.2
Mid-size	2,320.9		2,657.6		(12.7	)
CFI (1)	3,748.0		3,963.9		(5.4	)
Insurance	1,333.4		633.4		110.5
Non-member	4.0		4.0		—
Total	$	62,053.8	$	63,126.0	(1.7	)%

Notes:

⁽¹⁾ For purposes of this member classification reporting, the Bank groups smaller credit unions with CFIs. CFIs are FDIC-insured depository institutions whose assets do not exceed the applicable regulatory limit.

As of March 31, 2015, total advances decreased 1.7% compared with balances at December 31, 2014, as advances decreased in three of the five member classifications. The overall decrease was primarily driven by lower demand for short-term funding from the Large members. The decrease in Mid-size was primarily due to one member who was reclassified from Mid-size to Regional due to an increase in its asset size.

See the “Credit and Counterparty Risk - TCE and Collateral” discussion in the Risk Management section of this Item 2 for further information on collateral policies and practices and details regarding eligible collateral, including amounts and percentages of eligible collateral securing member advances as of March 31, 2015.

Mortgage Loans Held for Portfolio.Mortgage loans held for portfolio, net of allowance for credit losses, decreased $49.0 million, to $3.1 billion at March 31, 2015. This decline was primarily driven by the continued runoff of the existing MPF Plus portfolio. The Bank’s focus is on purchasing MPF loans originated by community and regional member banks in its district rather than large national originators. In the second quarter of 2015, the Bank introduced a new MPF product called MPF 35. It is similar to the Original MPF product but has a credit enhancement (CE) structure that is based partly on performance, a first loss account (FLA) equal to 35 basis points, and an option for the participating financial institution's (PFI) CE obligation to be covered by a third party.

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The Bank places conventional mortgage loans that are 90 days or more delinquent on nonaccrual status. In addition, the Bank records cash payments received as a reduction of principaluntil the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by the recording interest income. However, government mortgage loans that are 90 days or more delinquent remain in accrual status due to government guarantees or insurance.The Bank has a loan modification program for PFIs under the MPF Program. The Bank considers loan modifications or Chapter 7 bankruptcies where the obligation is discharged under the MPF Program to be troubled debt restructurings (TDRs), since some form of concession has been made by the Bank.

	March 31,		December 31,
(in millions)	2015		2014
Advances(1)	$	62,346.0	$	63,408.4
Mortgage loans held for portfolio, net(2)	3,074.3		3,123.3
Nonaccrual mortgage loans(3)	42.4		44.6
Mortgage loans 90 days or more delinquent and still accruing interest(4)	6.0		6.8
BOB loans, net	11.3		11.6

Notes:

⁽¹⁾ There are no advances which are past due or on nonaccrual status.

⁽²⁾ All mortgage loans are fixed-rate. Balances are reflected net of the allowance for credit losses.

⁽³⁾ Nonaccrual mortgage loans are reported net of interest applied to principal and do not include performing TDRs of $11.7 million at March 31, 2015 and $12.8 million at December 31, 2014.

⁽⁴⁾ Only government-insured or -guaranteed loans continue to accrue interest after becoming 90 days or more delinquent.

The performance of the mortgage loans in the Bank’s MPF Program has remained stable since year-end 2014 and theOriginal MPF portfolio continues to out-perform the market based on national delinquency statistics. As of both March 31, 2015 and December 31, 2014, the Bank’s seriously delinquent mortgage loans (90 days or more delinquent or in the process of foreclosure) represented 0.6% of the Original MPF portfolio and 3.8% of the MPF Plus portfolio.

Allowance for Credit Losses (ACL). The Bank has not incurred any losses on advances since its inception. Due to the collateral held as security and the repayment history for advances, management believes that an ACL for advances is unnecessary. This assessment also includes letters of credit, which have the same collateral requirements as advances. For additional information, see discussion regarding collateral policies and standards on the advances portfolio in the Advance Products discussion in Item 1. Business in the Bank's 2014 Form10-K.

The ACL on mortgage loans is based on the losses inherent in the Bank's mortgage loan portfolio after taking into consideration the CE structure of the MPF Program. The losses inherent in the portfolio are based on either an individual or collective assessment of the mortgage loans. The Bank purchases government-guaranteed and/or -insured and conventional fixed-rate residential mortgage loans. Because the credit risk on the government-guaranteed/insured loans is predominantly assumed by other entities, only conventional mortgage loans are evaluated for an ACL.

The Bank’s conventional mortgage loan portfolio is comprised of large groups of smaller-balance homogeneous loans made to borrowers by PFIs that are secured by residential real estate. A mortgage loan is considered impaired when it is probable that all contractual principal and interest payments will not be collected as scheduled based on current information and events. The Bank evaluates certain conventional mortgage loans for impairment individually. Beginning January 1, 2015, the Bank adopted the charge-off provisions of AB 2012-02. As a result, the estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established, if required.

The remainder of the portfolio's incurred loss is estimated using a collective assessment, which is based on probability and loss given default. Probability of default and loss given default are based on the prior 12 month historical performance of the Bank's mortgage loans. Probability of default is based on a migration analysis, and loss given default is based on realized losses incurred on the sale of mortgage loan collateral including a factor that reduces estimated proceeds from primary mortgage insurance (PMI) given the credit deterioration experienced by those companies.

The CE structure of the MPF Program is designed such that initial losses on mortgage loans are incurred by the Bank up to an agreed upon amount, referred to as the FLA. Additional eligible credit losses are covered by CEs provided by PFIs (available CE) until exhausted. Certain losses incurred by the Bank on MPF Plus can be recaptured by withholding fees paid to

12

the PFI for its retention of credit risk. All additional losses are incurred by the Bank. The following table presents the impact of the CE structure on the ACL and the balance of the FLA and available CE at March 31, 2015 and December 31, 2014.

	MPF CE structure March 31, 2015				ACL March 31, 2015
(in millions)	FLA		Available CE		Estimate of Credit loss		Reduction to the ACL due to CE			ACL
Original MPF	$	3.3	$	163.2	$	4.8	$	(4.4	)	$	0.4
MPF Plus	19.6		35.0		14.9		(8.7		)	6.2
Total	$	22.9	$	198.2	$	19.7	$	(13.1	)	$	6.6

	MPF CE structure December 31, 2014				ACL December 31, 2014
(in millions)	FLA		Available CE		Estimate of Credit loss		Reduction to the ACL due to CE			ACL
Original MPF	$	3.2	$	157.2	$	3.5	$	(2.9	)	$	0.6
MPF Plus	20.0		35.8		15.7		(9.0		)	6.7
Total	$	23.2	$	193.0	$	19.2	$	(11.9	)	$	7.3

13

Investments. At March 31, 2015, the sum of the Bank's interest-bearing deposits and Federal funds sold increased approximately $330.0 million from December 31, 2014 to $4.9 billion. The Bank's strategy is to maintain its short-term liquidity position in part to be able to meet members' loan demand and regulatory liquidity requirements. Investment securities including trading, AFS, and HTM securities, totaled $11.8 billion at March 31, 2015 compared to $11.9 billion at December 31, 2014. Details of the investment securities portfolio follow.

	Carrying Value
(in millions)	March 31, 2015			December 31, 2014
Trading securities:
Mutual funds	$	5.1		$	4.7
Government-sponsored enterprises (GSE) and Tennessee Valley Authority (TVA) obligations	290.7			276.3
Total trading securities	$	295.8		$	281.0
Yield on trading securities	2.85		%	2.86		%
AFS securities:
Mutual funds	$	2.0		$	2.0
GSE and TVA obligations	3,388.6			3,233.7
State or local agency obligations	127.0			99.0
MBS:
Other U.S. obligations single family MBS	316.1			329.4
GSE single-family MBS	2,753.2			2,882.1
GSE multifamily MBS	886.4			879.8
Private label residential MBS	946.9			971.1
Private label home equity line of credit (HELOCs)	11.2			11.7
Total AFS securities	$	8,431.4		$	8,408.8
Yield on AFS securities	1.84		%	1.73		%
HTM securities:
GSE securities	$	12.2		$	13.0
State or local agency obligations	183.4			184.4
MBS:
Other U.S. obligations single family MBS	1,052.7			1,122.5
GSE single-family MBS	385.3			417.2
GSE multifamily MBS	796.0			818.1
Private label residential MBS	649.7			691.6
Total HTM securities	$	3,079.3		$	3,246.8
Yield on HTM securities	2.05		%	2.04		%
Total investment securities	$	11,806.5		$	11,936.6
Yield on total investment securities	1.92		%	1.84		%

The increase in yield on AFS securities from 1.73% at December 31, 2014 to 1.84% at March 31, 2015 was due primarily to the increase in yield on four securities that have previously incurred OTTI. Recoveries of OTTI occur through interest income, which happen if there is a significant increase in estimated cash flows whereby the Bank increases the yield on the Bank’s investment and recognizes recovery as interest income over the life of the investment.

14

As of March 31, 2015, the Bank held securities from the following issuers with a book value greater than 10% of Bank total capital.

(in millions)	Total Book Value		Total Fair Value
Freddie Mac	$	4,758.0	$	4,792.7
Fannie Mae	2,379.5		2,398.8
Federal Farm Credit Banks	1,293.6		1,293.6
Ginnie Mae	1,109.1		1,115.1
Total	$	9,540.2	$	9,600.2

For additional information on the credit risk of the investment portfolio, see “Credit and Counterparty Risk - Investments” discussion in the Risk Management section of this Item 2.

Liabilities and Capital

Commitments and Off-Balance Sheet Items. As of March 31, 2015, the Bank was obligated to fund approximately $29.3 million in additional advances and BOB loans, $21.7 million of mortgage loans and $20.4 billion in outstanding standby letters of credit, and to issue $960.9 million in consolidated obligations. The Bank does not consolidate any off-balance sheet special purpose entities or other off-balance sheet conduits.

Capital and Retained Earnings. The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of its retained earnings.

Management monitors capital adequacy, including the level of retained earnings, through the evaluation of market value of equity to par value of capital stock (MV/CS) as well as other risk metrics. Details regarding these metrics are discussed in the Risk Management portion of this Item 2.

Management has developed and adopted a framework for evaluating retained earnings adequacy, consistent with regulatory guidance and requirements. Retained earnings are intended to cover unexpected losses and protect members' par value of capital stock. The framework includes four risk elements that comprise the Bank's total retained earnings target: (1) market risk (which includes private label MBS risk); (2) credit risk; (3) operating risk; and (4) accounting risk. The retained earnings target generated from this framework is sensitive to changes in the Bank's risk profile, whether favorable or unfavorable. For example, a further sharp deterioration in expected performance of loans underlying private label MBS would likely cause the Bank to adopt a higher target, whereas stabilization or improvement of the performance of these loans may lead to a reduction in the retained earnings target. The framework also assists management in its overall analysis of the level of future dividends. The framework generated a retained earnings target of $462 million as of March 31, 2015.

Retained earnings decreased $28.6 million to $808.9 million at March 31, 2015, compared to $837.5 million at December 31, 2014. The decrease in retained earnings during the first three months of 2015 reflected net income that was more than offset by $99.7 million of dividends paid. Total retained earnings at March 31, 2015 included unrestricted retained earnings of $683.4 million and restricted retained earnings (RRE) of $125.5 million.

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Capital Resources

The following should be read in conjunction with the unaudited interim financial statements included in this Form 10-Q, the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data and the Capital Resources section of Item 1. Business in the Bank's 2014 Form 10-K.

Risk-Based Capital (RBC)

The Finance Agency’s RBC regulatory framework requires the Bank to maintain sufficient permanent capital, defined as retained earnings plus capital stock, to meet its combined credit risk, market risk and operations risk. Each of these components is computed as specified in regulations and directives issued by the Finance Agency.

	March 31,		December 31,
(in millions)	2015		2014
Permanent capital:
Capital stock (1)	$	3,064.3	$	3,041.6
Retained earnings	808.9		837.5
Total permanent capital	$	3,873.2	$	3,879.1
RBC requirement:
Credit risk capital	$	541.8	$	544.8
Market risk capital	93.2		107.0
Operations risk capital	190.5		195.6
Total RBC requirement	$	825.5	$	847.4
Excess permanent capital over RBC requirement	$	3,047.7	$	3,031.7
Note:
(1) Capital stock includes mandatorily redeemable capital stock.

On March 23, 2015, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended December 31, 2014. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2015.

Regulatory Capital and Leverage Ratios

In addition to the RBC requirements, the Finance Agency has mandated maintenance of total regulatory capital and leverage ratios of at least 4.0% and 5.0% of total assets, respectively. Management has an ongoing program to measure and monitor compliance with the ratio requirements. The Bank exceeded all regulatory capital requirements at March 31, 2015.

	March 31,			December 31,
(dollars in millions)	2015			2014
Regulatory Capital Ratio
Minimum regulatory capital (4.0% of total assets)	$	3,498.5		$	3,427.1
Regulatory capital	3,873.2			3,879.1
Total assets	87,463.1			85,677.1
Regulatory capital ratio (regulatory capital as a percentage of total assets)	4.4		%	4.5		%
Leverage Ratio
Minimum leverage capital (5.0% of total assets)	$	4,373.2		$	4,283.9
Leverage capital (regulatory capital multiplied by a 1.5 weighting factor)	5,809.8			5,818.7
Leverage ratio (leverage capital as a percentage of total assets)	6.6		%	6.8		%

The decline in ratios from December 31, 2014 to March 31, 2015 is primarily due to the increase in total assets.

16

The Bank's capital stock is owned by its members. The concentration of the Bank's capital stock by institution type is presented below.

(dollars in millions)	March 31, 2015			December 31, 2014
Commercial banks	177	$	2,664.6	179	$	2,687.5
Thrifts	70	249.1		72	254.9
Insurance companies	11	109.9		10	57.1
Credit unions	43	40.0		42	41.4
Community Development Financial Institution (CDFI)	1	0.1		1	0.1
Total member institutions / total GAAP capital stock	302	$	3,063.7	304	$	3,041.0
Mandatorily redeemable capital stock		0.6			0.6
Total capital stock		$	3,064.3		$	3,041.6

Critical Accounting Policies and Estimates

The Bank's financial statements are prepared by applying certain accounting policies. Note 1 - Summary of Significant Accounting Policies in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2014 Form 10-K describes the most significant accounting policies used by the Bank. In addition, the Bank's critical accounting policies and estimates are presented in Item 7. Management's Discussion and Analysis in the Bank's 2014 Form 10-K. Certain of these policies require management to make estimates or economic assumptions that may prove inaccurate or be subject to variations that may significantly affect the Bank's reported results and financial position for the period or in future periods. Management views these policies as critical accounting policies.

During the three months ended March 31, 2015, the Bank updated its Critical Accounting Policy and Estimates for its Allowance for Credit Losses on Mortgage Loans Held for Portfolio as a result of adoption of the charge-off provisions of the Finance Agency Advisory Bulletin 2012-02, as clarified by Advisory Bulletin 2013-02 (AB 2012-02). AB 2012-02 requires the Bank to charge off the portion of a loan deemed to be a loss. Beginning January 1, 2015, the Bank reduced its loan balance and the related allowance for loan losses by the amount of the charge-off, or established a CE Receivable for losses expected to be recovered through the CE of the MPF Program. This adoption had an immaterial impact on the Bank's financial statements.

The Bank made no other changes to its critical accounting policies during the three months ended March 31, 2015.

In addition to evaluating the Bank's private label MBS portfolio under a base case (or best estimate) scenario, a cash flow analysis was also performed for each of the Bank's private label MBS under a more stressful housing price scenario. This additional scenario was used to determine the amount of credit losses, if any, that would have been recorded in earnings during the quarter ended March 31, 2015 if the more stressful housing price scenario had been used in the Bank's OTTI assessment as of March 31, 2015. The more stressful scenario results were immaterial. A more detailed discussion of this analysis is in the OTTI section of Credit and Counterparty Risk - Investments of this Item 2.

Proposed and Recently Issued Accounting Guidance. See Note 1 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations to the unaudited financial statements in this Form 10-Q for information on new accounting pronouncements impacting the financial statements or becoming effective for the Bank in future periods.

Legislative and Regulatory Developments

None.

Risk Management

The Bank employs a corporate governance and internal control framework designed to support the effective management of the Bank’s business activities and the related inherent risks. As part of this framework, the Board has a Risk Governance Policy and a Member Products Policy, both of which are reviewed regularly and re-approved at least annually. The Risk Governance Policy establishes risk guidelines, limits (if applicable), and standards for credit risk, market risk, liquidity risk, operating risk, and business risk in accordance with Finance Agency regulations and consistent with the Bank’s risk appetite.

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The Member Products Policy establishes the eligibility and authorization requirements, policy limits and restrictions, and the terms applicable to each type of Bank product or service, as well as collateral requirements. The risk appetite is established by the Board, as are other applicable guidelines in connection with the Bank’s Capital Plan and overall risk management.

Risk Governance

The Bank’s lending, investment and funding activities and use of derivative instruments expose the Bank to a number of risks that include market and interest rate risk, credit and counterparty risk, liquidity and funding risk, and operating and business risk, among others. In addition, the Bank’s risks are affected by current and projected financial and residential market trends including those described in Item 1A. Risk Factors in the Bank's 2014 Form 10-K. Details regarding the Bank's Risk Governance framework and processes are included in the "Risk Governance" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2014 Form 10-K.

Capital Adequacy Measures. MV/CS provides a current assessment of the liquidation value of the balance sheet and measures the Bank's current ability to honor the par put redemption feature of its capital stock. This is one of the risk metrics used to evaluate the adequacy of retained earnings which is used to develop dividend payment recommendations and support the repurchase of excess capital stock.

The current Board-approved floor for MV/CS is 90.0%. MV/CS is measured against the floor monthly. When MV/CS is below the established floor, excess capital stock repurchases and dividend payouts are restricted. See the “Capital and Retained Earnings” discussion in Financial Condition in this Item 2 for details regarding the Bank’s retained earnings policy.

The MV/CS ratio was 134.2% at March 31, 2015 and 135.3% at December 31, 2014. The decline was primarily due to the decrease in retained earnings as first quarter net income was more than offset by dividends paid.

Subprime and Nontraditional Loan Exposure.The Bank policy definitions of subprime and nontraditional residential mortgage loans and securities are consistent with Federal Financial Institutions Examination Council (FFIEC) and Finance Agency guidance. According to policy, the Bank does not accept subprime residential mortgage loans (defined as FICO score of 660 or below) as qualifying collateral unless there are certain mitigating factors including an LTV ratio of 65% or less (100% if loan level data is provided by the member for valuation) and one of the following: (1) a debt-to-income ratio of 35% (50 % if loan level data is provided by member) or less or (2) a satisfactory payment history over the past 12 months (no 30-day delinquencies). The Bank requires members to identify the amount of subprime and nontraditional mortgage collateral in their Qualifying Collateral Report (QCR) each quarterand provide periodic certification that they comply with the FFIEC guidance.Loans identified as subprime which do not have the mitigating factors described above are not included when determining a member’s MBC.

Limits have been established for exposure to low FICO and nontraditional residential mortgages. A limit of 25% has been established for the percentage of member collateral that is categorized as low FICO (with acceptable mitigating factors), missing (unknown) FICO score loans and nontraditional loans and securities. A limit of 25% has also been established for total exposure related to nontraditional, subprime and low FICO whole mortgage loans acquired through the Bank’s MPF program.

Qualitative and Quantitative Disclosures Regarding Market Risk

Managing Market Risk. The Bank's market risk management objective is to protect member/shareholder and bondholder value consistent with the Bank's housing mission and safe and sound operations across a wide range of interest rate environments. Management believes that a disciplined approach to market risk management is essential to maintaining a strong capital base and uninterrupted access to the capital markets.

The Bank's Market Risk Models. Significant resources are devoted to ensuring that the level of market risk in the balance sheet is accurately measured, thus allowing management to monitor the risk against policy and regulatory limits. The Bank uses externally developed models to evaluate its financial position and market risk. One of the most critical market-based models relates to the prepayment of principal on mortgage-related instruments. Management regularly reviews the major assumptions and methodologies used in its models, as well as the performance of the models relative to empirical results.

The Bank regularly validates the models used to measure market risk. Such model validations are performed by third-party specialists or the Bank's model validation department, both of which are considered to be independent. The model validations are supplemented by additional validation processes performed by the Bank, most notably, benchmarking model-derived fair values to those provided by third-party services or alternative internal valuation models. This analysis is performed by a group

18

that is independent of the business unit measuring risk and conducting the transactions. Results of the validation process, as well as any changes in valuation methodologies, are reported to the Bank's Asset Liability Committee (ALCO), which is responsible for reviewing and approving the approaches used in the evaluation of such risks to ensure that they are well controlled and effective, and result in reasonable fair values.

Duration of Equity. One key risk metric used by the Bank, which is commonly used throughout the financial services industry, is duration. Duration is a measure of the sensitivity of a financial instrument's value, or the value of a portfolio of instruments, to a 100 basis point parallel shift in interest rates. Duration (typically expressed in years) is commonly used by investors throughout the fixed income securities market as a measure of financial instrument price sensitivity.

The Bank's asset/liability management policy approved by the Board calls for actual duration of equity to be maintained within a + 4.5 year range in the base case. In addition, the duration of equity exposure limit in an instantaneous parallel interest rate shock of + 200 basis points is + 7 years. Management analyzes the duration of equity exposure against this policy limit on a daily basis and continually evaluates its market risk management strategies.

The following table presents the Bank's duration of equity exposure at March 31, 2015 and December 31, 2014. Given the low level of interest rates, an instantaneous parallel interest rate shock of "down 200 basis points" and "down 100 basis points" cannot be meaningfully measured for these periods and is therefore not presented.

(in years)	Base Case	Up 100  basis points	Up 200  basis points
Actual duration of equity:
March 31, 2015	(0.7)	0.4	1.2
December 31, 2014	(0.4)	0.7	1.5

Duration of equity changes from prior year-end primarily reflect the effect of lower long-term interest rates and additional fixed rate debt. The Bank continues to monitor the mortgage and related fixed-income markets, including the impact that changes in the market or anticipated modeling changes may have on duration of equity and other market risk measures, and may take actions to reduce market risk exposures as needed. Management believes that the Bank's current market risk profile is reasonable given these market conditions.

Return on Equity (ROE) Spread Volatility. Interest rate risk is also measured based on the volatility in the Bank’s projected return on capital in excess of the return of an established benchmark market index. Beginning December 31, 2014, the Bank began using ROE spread as the basis for this measure. ROE spread is defined as the Bank's return on average equity, including capital stock and retained earnings, in excess of the average of 3-month LIBOR. ROE spread volatility is a measure of the variability of the Bank’s projected ROE spread in response to shifts in interest rates and represents the change in ROE spread compared to the current base forecasted ROE spread. ROE spread volatility is measured over a rolling forward 12 month period for selected interest rate scenarios and excludes the income sensitivity resulting from mark to market changes which are separately measured by the Earnings-at-Risk measure described below.

The ROE spread volatility presented in the table below reflects spreads relative to 3-month LIBOR. Management uses both parallel and non-parallel rate scenarios to assess interest rate risk. The steeper and flatter yield curve shift scenarios are represented by appropriate increases and decreases in short-term and long-term interest rates using the three-year point on the yield curve as the pivot point. Given the current low rate environment, management replaced a down 200 basis points parallel rate scenario with a down 100 basis point longer term rate shock as an additional non-parallel rate scenario that reflects a decline in longer term rates.

ROE Spread Volatility Increase/(Decline)
(in basis points)	Down 100 bps Longer Term Rate Shock	100 bps Steeper	100 bps Flatter	Up 200 bps Parallel Shock
March 31, 2015	44	2	121	160
December 31, 2014	19	(25)	92	125

The changes in ROE spread volatility from December 31, 2014 were mainly the result of lower long-term interest rates and additional fixed rate debt. The Board's limit on the decline in ROE spread is set at no greater than 100 basis points. The Bank was in compliance with the ROE spread volatility limit across all selected interest rate shock scenarios at March 31, 2015 and December 31, 2014.

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Earnings-at-Risk (EaR). The Bank employs an EaR framework for certain mark-to-market positions, including economic hedges. This framework establishes a forward-looking, scenario-based exposure limit based on interest rate and volatility shocks that would apply to any existing or proposed transaction that is marked to market through the income statement without an offsetting mark arising from a qualifying hedge relationship. The Bank's Capital Markets and Corporate Risk Management also monitor the actual profit/loss change on a daily, monthly cumulative, and quarterly cumulative basis.

During the first quarter of 2015, the daily exposure limit of EaR as approved by the Board was $3.5 million, and the Bank's ALCO operating guideline was $2.8 million. The daily forward-looking exposure was below the applicable Board limit and operating guidelines during the first three months of 2015. At March 31, 2015, EaR measured $1.9 million.

Credit and Counterparty Risk - Total Credit Exposure (TCE) and Collateral

TCE.The Bank manages the credit risk of each member on the basis of the member’s total credit exposure to the Bank or TCE, which includes advances and related accrued interest, fees, basis adjustments and estimated prepayment fees; letters of credit; forward-dated advance commitments; member derivatives; and MPF credit enhancement and related obligations. This credit risk is managed by monitoring the financial condition of borrowers and by requiring all borrowers (and, where applicable in connection with member affiliate pledge arrangements approved by the Bank, their affiliates) to pledge sufficient eligible collateral for all member obligations to the Bank to ensure that all potential forms of credit-related exposures are covered by sufficient eligible collateral. This may include collateral pledged by a member’s affiliate. At March 31, 2015, aggregate TCE was $82.9 billion, comprised of approximately $62.1 billion in advance principal outstanding, $20.5 billion in letters of credit (including $122.3 million in forward commitments), and $0.3 billion in accrued interest, prepayment fees, MPF credit enhancement obligations and other fees. In addition, at March 31, 2015, the Bank had $28.5 million in advance commitments.

The Bank establishes a maximum borrowing capacity (MBC) for each member based on collateral weightings applied to eligible collateral as described in the Bank’s Member Products Policy. Details regarding this policy are available in the Advance Products discussion in Item 1. Business in the Bank's 2014 Form 10-K. According to the Policy, eligible collateral is weighted to help ensure that the collateral value will exceed the amount that may be owed to the Bank in the event of a default. The Bank also has the ability to call for additional or substitute collateral while any indebtedness is outstanding to protect the Bank’s fully secured position.

The financial condition of all members and housing associates is closely monitored for compliance with financial criteria as set forth in the Bank’s credit policies. The Bank has developed an internal credit rating (ICR) that calculates financial scores and rates member institutions on a quarterly basis using a numerical rating scale from one to ten, with one being the best rating. Generally, scores are objectively calculated based on financial ratios computed from publicly available data. The scoring system gives the highest weighting to the member’s asset quality and capitalization. Other key factors include earnings and balance sheet composition. Operating results for the previous four quarters are used, with the most recent quarter’s results given a higher weighting. Additionally, a member’s credit score can be adjusted for various qualitative factors, such as the financial condition of the member’s holding company. While financial scores and resulting ratings are calculations based only upon point-in-time financial data and the resulting ratios, a rating in one of the higher (i.e., worse) categories indicates that a member exhibits defined financial weaknesses. Members in these categories are reviewed for potential collateral delivery status. Other uses of the ICR include the scheduling of on-site collateral reviews. A separate financial analysis method is used to analyze insurance company exposure. While depository institution member analysis is based on standardized regulatory Call Report data and risk modeling, insurance company credit risk analysis is based on various forms of financial data, including, but not limited to, statutory reporting filed by insurance companies with state insurance regulators, which requires specialized methodologies and dedicated underwriting resources.

During the first three months of 2015, there were four failures of FDIC-insured institutions nationwide. None of those institutions were a member of the Bank.

Management believes that it has adequate policies and procedures in place to effectively manage credit risk exposure related to member TCE. These credit and collateral policies balance the Bank’s dual goals of meeting members’ needs as a reliable source of liquidity and limiting credit loss by adjusting the credit and collateral terms in response to deterioration in creditworthiness. The Bank has never experienced a loss on its member advance exposure, other than those losses reserved through the MPF program.

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The following table presents the Bank’s top ten financial institutions with respect to their TCE at March 31, 2015.

	March 31, 2015
(dollars in millions)	TCE		% of Total
PNC Bank, National Association, DE (1)	$	27,128.3	32.7	%
Santander Bank, N.A, DE (2)	12,551.2		15.1
TD Bank, National Association, DE	9,370.8		11.3
Chase Bank USA, N.A., DE	8,751.1		10.5
Ally Bank, UT (3)	3,803.3		4.6
Citizens Bank of Pennsylvania, PA (4)	2,957.6		3.6
Customers Bank, PA	2,449.8		3.0
First Commonwealth Bank, PA	1,074.0		1.3
Fulton Bank, N.A., PA	1,039.6		1.3
Susquehanna Bank, PA	918.6		1.1
	$	70,044.3	84.5	%
Other financial institutions	12,833.6		15.5
Total TCE outstanding	$	82,877.9	100.0	%

Notes:

⁽¹⁾ For Bank membership purposes, principal place of business is Pittsburgh, PA.

⁽²⁾ Santander Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

⁽³⁾ For Bank membership purposes, principal place of business is Horsham, PA.

⁽⁴⁾ Citizens Bank of Pennsylvania is a subsidiary of the Royal Bank of Scotland, which is located in the United Kingdom.

Member Advance Concentration Risk. The following table lists the Bank’s top ten borrowers based on advance balances at par as of March 31, 2015.

	March 31, 2015
(dollars in millions)	Advance Balance		% of Total
PNC Bank, National Association, DE (1)	$	20,870.1	33.6	%
Santander Bank, N.A, DE (2)	9,670.0		15.6
Chase Bank USA, N.A., DE	8,750.0		14.1
Ally Bank, UT (3)	3,800.0		6.1
TD Bank, National Association, DE	2,250.0		3.6
Customers Bank, PA	1,545.0		2.5
Citizens Bank of Pennsylvania, PA (4)	1,250.0		2.0
First Commonwealth Bank, PA	1,044.3		1.7
Susquehanna Bank, PA	908.9		1.5
First National Bank of Pennsylvania, PA	900.0		1.5
	$	50,988.3	82.2	%
Other borrowers	11,065.5		17.8
Total advances	$	62,053.8	100.0	%

Notes:

⁽¹⁾ For Bank membership purposes, principal place of business is Pittsburgh, PA.

⁽²⁾ Santander Bank, N.A. is a subsidiary of Banco Santander, which is located in Spain.

⁽³⁾ For Bank membership purposes, principal place of business is Horsham, PA.

⁽⁴⁾ Citizens Bank of Pennsylvania is a subsidiary of the Royal Bank of Scotland, which is located in the United Kingdom.

The average year-to-date March 31, 2015 balances for the ten largest borrowers totaled $48.9 billion, or 82% of total average advances outstanding. During the three months ended March 31, 2015, the maximum outstanding balance to any one borrower was $20.9 billion. The advances made by the Bank to each of these borrowers are secured by collateral with an estimated value, after collateral weightings, in excess of the book value of the advances. The Bank does not expect to incur any losses on these advances. The Bank has implemented specific credit and collateral review monitoring for these members.

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Letters of Credit. The following table presents the Bank’s total outstanding letters of credit as of March 31, 2015 and December 31, 2014. The letter of credit product is collateralized under the same procedures and guidelines that apply to advances.

(dollars in millions)	March 31, 2015		December 31, 2014
Letters of credit:
Public unit deposit	$	20,356.2	$	19,918.8
Other	22.9		23.3
Total (1)	$	20,379.1	$	19,942.1

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $122.3 million and $146.8 million, respectively.

At March 31, 2015, the Bank had a concentration of letters of credit with two members totaling $13.3 billion or 65.7% of the total outstanding amount. At December 31, 2014, $13.4 billion or 67.0% were concentrated with two members.

Collateral Policies and Practices. All members are required to maintain eligible collateral to secure their TCE. Refer to the Risk Management section of the Bank's 2014 Form 10-K for additional information related to the Bank’s Collateral Policy.

Collateral Agreements and Valuation. The Bank provides members with two options regarding collateral agreements: a blanket lien collateral pledge agreement and a specific collateral pledge agreement. Under a blanket lien agreement, the Bank obtains a lien against all of the member’s unencumbered eligible collateral assets and most ineligible assets to secure the member’s obligations with the Bank. Under a specific agreement, the Bank obtains a lien against specified eligible collateral assets of the member or its affiliate (as applicable) to secure the member’s obligations with the Bank. The member provides a detailed listing, as an addendum to the specific collateral agreement, identifying those assets pledged as collateral. Details regarding average lending values provided under both blanket liens and specific liens and delivery arrangements are available in the "Credit and Counterparty Risk - TCE and Collateral" discussion in Risk Management in Item 7. Management's Discussion and Analysis in the Bank's 2014 Form 10-K.

For all of the Bank's members, the following table summarizes total eligible collateral values, after collateral weighting, by type under both blanket lien and specific collateral pledge agreements as of March 31, 2015 and December 31, 2014. The amount of excess collateral by individual borrowers varies significantly.

(dollars in millions)	March 31, 2015					December 31, 2014
All members	Amount			Percentage		Amount			Percentage
One-to-four single family residential mortgage loans	$	84,741.3		43.6	%	$	78,615.9		43.0	%
High quality investment securities(1)	8,413.9			4.3		6,070.2			3.3
ORERC/CFIeligible collateral	86,617.2			44.5		83,472.1			45.6
Multi-family residential mortgage loans	14,684.6			7.6		14,758.0			8.1
Total eligible collateral value	$	194,457.0		100.0	%	$	182,916.2		100.0	%
Total TCE	$	82,877.9				$	83,539.1
Collateralization ratio (eligible collateral value to TCE outstanding)	234.6		%			219.0		%

Note:

⁽¹⁾ High quality investment securities are defined as U.S. Treasury and U.S. Agency securities, TLGP investments, GSE MBS commercial and residential private label MBS with a minimum credit rating of single A, which the Bank considers as part of its valuation of the collateral. In addition, municipal securities with a real estate connection (e.g. include a lien on real estate) and REFCORP bonds have been added to the Bank's definition of high quality investment securities.

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For only member borrowers, the following tables present information on a combined basis regarding the type of collateral securing the outstanding credit exposure and the collateral status as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family residential   mortgage loans	$	64,101.9	38.3	%	$	15,670.4	87.3	%	$	265.5	26.2	%	$	80,037.8	42.9	%
High quality investment securities(1)	5,868.6		3.5		2,285.7		12.7		63.7		6.3		8,218.0		4.4
ORERC/CFI eligible collateral	83,067.7		49.6		—		—		655.4		64.8		83,723.1		44.9
Multi-family residential mortgage   loans	14,454.1		8.6		—		—		27.7		2.7		14,481.8		7.8
Total eligible collateral value	$	167,492.3	100.0	%	$	17,956.1	100.0	%	$	1,012.3	100.0	%	$	186,460.7	100.0	%
Total TCE	$	72,699.3	87.7	%	$	10,094.4	12.2	%	$	84.2	0.1	%	$	82,877.9	100.0	%
Number of members	196		92.0	%	8		3.8	%	9		4.2	%	213		100.0	%

	December 31, 2014
(dollars in millions)	Blanket Lien				Listing				Delivery				Total
	Amount		%		Amount		%		Amount		%		Amount		%
One-to-four single family residential   mortgage loans	$	62,977.8	38.8	%	$	11,047.9	86.6	%	$	234.4	27.4	%	$	74,260.1	42.2	%
High quality investment securities(1)	4,254.0		2.6		1,710.4		13.4		75.1		8.8		6,039.5		3.4
ORERC/CFI eligible collateral	80,563.3		49.6		—		—		521.6		61.0		81,084.9		46.1
Multi-family residential mortgage   loans	14,570.9		9.0		—		—		24.0		2.8		14,594.9		8.3
Total eligible collateral value	$	162,366.0	100.0	%	$	12,758.3	100.0	%	$	855.1	100.0	%	$	175,979.4	100.0	%
Total TCE	$	74,056.7	88.7	%	$	9,393.2	11.2	%	$	89.2	0.1	%	$	83,539.1	100.0	%
Number of members	208		92.8	%	8		3.6	%	8		3.6	%	224		100.0	%

Note:

⁽¹⁾ High quality investment securities are defined as U.S. Treasury and U.S. Agency securities, TLGP investments, GSE MBS, commercial and residential private label MBS with a minimum credit rating of single A.A, which the Bank considers as part of its valuation of the collateral. In addition, municipal securities with a real estate connection (e.g. include a lien on real estate) and REFCORP bonds have been added to the Bank's definition of high quality investment securities. Members under blanket lien delivered status have the option to deliver such high quality investment securities to the Bank to increase their maximum borrowing capacity. Upon delivery, these securities are valued daily, and private label residential MBS are subject to weekly ratings reviews.

Credit and Counterparty Risk - Investments

Investment Quality and External Credit Ratings. The Bank is also subject to credit risk on investments consisting of money market investments and investment securities. The Bank considers a variety of credit quality factors when analyzing potential investments, including collateral performance, marketability, asset class or sector considerations, local and regional economic conditions, credit ratings based on NRSROs, and/or the financial health of the underlying issuer. As of March 31, 2015 and December 31, 2014, the Bank’s carrying value of investment securities issued by entities other than the U.S. government, Federal agencies or GSEs was $1.9 billion and $2.0 billion, respectively.

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The following tables present the Bank’s investment carrying values as of March 31, 2015 and December 31, 2014 based on the lowest long-term credit rating from the NRSROs (Moody’s, S&P and Fitch).

	March 31, 2015 (1) (2) (3)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below BBB		Total
Money market investments:
Federal funds sold	$	—	$	900.0	$	3,935.0	$	80.0	$	—	$	4,915.0
Total money market investments	—		900.0		3,935.0		80.0		—		4,915.0
Investment securities:
GSE and TVA obligations	—		3,691.5		—		—		—		3,691.5
State or local agency obligations	12.7		297.7		—		—		—		310.4
Total non-MBS	12.7		3,989.2		—		—		—		4,001.9
Other U.S. obligations single family MBS	—		1,368.8		—		—		—		1,368.8
GSE single-family MBS	—		3,138.5		—		—		—		3,138.5
GSE multifamily MBS	—		1,682.4		—		—		—		1,682.4
Private label residential MBS	—		4.3		18.2		268.9		1,301.6		1,593.0
HELOCs	—		—		—		—		11.2		11.2
Total MBS	—		6,194.0		18.2		268.9		1,312.8		7,793.9
Total investments	$	12.7	$	11,083.2	$	3,953.2	$	348.9	$	1,312.8	$	16,710.8

	December 31, 2014 (1) (2) (3)
	Long-Term Rating
(in millions)	AAA		AA		A		BBB		Below BBB		Total
Money market investments:
Federal funds sold	$	—	$	800.0	$	3,555.0	$	230.0	$	—	$	4,585.0
Total money market investments	—		800.0		3,555.0		230.0		—		4,585.0
Investment securities:
GSE and TVA obligations	—		3,523.0		—		—		—		3,523.0
State or local agency obligations	12.9		270.5		—		—		—		283.4
Total non-MBS	12.9		3,793.5		—		—		—		3,806.4
Other U.S. obligations single family MBS	—		1,451.9		—		—		—		1,451.9
GSE single-family MBS	—		3,299.3		—		—		—		3,299.3
GSE multifamily MBS	—		1,697.9		—		—		—		1,697.9
Private label residential MBS	—		4.7		26.5		277.1		1,350.8		1,659.1
HELOCs	—		—		—		—		11.7		11.7
Total MBS	—		6,453.8		26.5		277.1		1,362.5		8,119.9
Total investments	$	12.9	$	11,047.3	$	3,581.5	$	507.1	$	1,362.5	$	16,511.3

Notes:

⁽¹⁾ Various deposits not held as investments as well as mutual fund equity investments held by the Bank through Rabbi trusts which are not generally assigned a credit rating are excluded from the tables above. The mutual fund equity investment balances totaled $7.1 million and $6.7 million at March 31, 2015 and December 31, 2014, respectively.

⁽²⁾ Balances exclude a $3.6 million private label MBS security which was not rated at both March 31, 2015 and December 31, 2014.

⁽³⁾ Balances exclude total accrued interest of $20.3 million and $21.8 million at March 31, 2015 and December 31, 2014, respectively.

The Bank also manages credit risk based on an internal credit rating system. For purposes of determining the internal credit rating, the Bank measures credit exposure through a process which includes internal credit review and various external factors, including placement of the counterparty on negative watch by one or more NRSROs. For internal reporting purposes, the incorporation of negative credit watch into the credit rating analysis of an investment may translate into a downgrade of one credit rating level from the external rating. The Bank does not rely solely on any NRSRO rating in deriving its final internal credit rating.

Short-term Investments. The Bank maintains a short-term investment portfolio to provide funds to meet the credit needs of its members and to maintain liquidity. The FHLBank Act and Finance Agency regulations set liquidity requirements for the

24

FHLBanks. In addition, the Bank maintains a contingency liquidity plan in the event of operational disruptions at the Bank and the Office of Finance (OF). See the Liquidity and Funding Risk section of this Item 2 for a discussion of the Bank’s liquidity management.

Within the portfolio of short-term investments, the Bank faces credit risk from unsecured exposures. The Bank's unsecured credit investments have maturities generally ranging between overnight and six months and may include the following types:

• Interest-bearing deposits. Primarily consists of unsecured deposits that earn interest;

• Federal funds sold. Unsecured loans of reserve balances at the Federal Reserve Banks between financial institutions that are made on an overnight and term basis;

• Certificates of deposit. Unsecured negotiable promissory notes issued by banks and payable to the bearer on demand.

Under the Bank’s Risk Governance Policy, the Bank can place money market investments, which include those investment types listed above, on an unsecured basis with large financial institutions with long-term credit ratings no lower than BBB. Management actively monitors the credit quality of these counterparties.

As of March 31, 2015, the Bank had unsecured exposure to 11 counterparties totaling $4.9 billion with eight counterparties each exceeding 10% of the total exposure. The following table presents the Banks' unsecured credit exposure with private counterparties by investment type at March 31, 2015 and December 31, 2014. The unsecured investment credit exposure presented may not reflect the average or maximum exposure during the period.

(in millions) Carrying Value (1)
	March 31, 2015		December 31, 2014
Federal funds sold	$	4,915.0	$	4,585.0
Total	$	4,915.0	$	4,585.0

Note:

⁽¹⁾ Excludes unsecured investment credit exposure to U.S. government, U.S. government agencies and instrumentalities, GSEs, and supranational entities.

As of March 31, 2015, 94% of the Bank’s unsecured investment credit exposure in Federal funds sold were to U.S. branches and agency offices of foreign commercial banks. The Bank actively monitors its credit exposures and the credit quality of its counterparties, including an assessment of each counterparty’s financial performance, capital adequacy, sovereign support, and the current market perceptions of the counterparties. General macro-economic, political and market conditions may also be considered when deciding on unsecured exposure. As a result, the Bank may limit or suspend existing exposures.

Finance Agency regulations include limits on the amount of unsecured credit the Bank may extend to a counterparty or to a group of affiliated counterparties. This limit is based on a percentage of eligible regulatory capital and the counterparty's overall credit rating. Under these regulations, the level of eligible regulatory capital is determined as the lesser of the Bank's total regulatory capital or the eligible amount of regulatory capital of the counterparty. The eligible amount of regulatory capital is then multiplied by a stated percentage. The percentage that the Bank may offer for term extensions of unsecured credit ranges from 1% to 15% based on the counterparty's credit rating. The calculation of term extensions of unsecured credit includes on-balance sheet transactions, off-balance sheet commitments, and derivative transactions.

Finance Agency regulation also permits the Bank to extend additional unsecured credit for overnight transactions and for sales of Federal funds subject to continuing contracts that renew automatically. For overnight exposures only, the Bank's total unsecured exposure to a counterparty may not exceed twice the applicable regulatory limit, or a total of 2% to 30% of the eligible amount of regulatory capital, based on the counterparty's credit rating. As of March 31, 2015, the Bank was in compliance with the regulatory limits established for unsecured credit.

The Bank's unsecured credit exposures to U.S. branches and agency offices of foreign commercial banks include the risk that, as a result of political or economic conditions in a country, the counterparty may be unable to meet its contractual repayment obligations. The Bank's unsecured credit exposures to domestic counterparties and U.S. subsidiaries of foreign commercial banks include the risk that these counterparties have extended credit to foreign counterparties. Bank management has limited its unsecured investment activity with all European private counterparties to overnight maturities only.

25

The following table presents the long-term credit ratings of the unsecured investment credit exposures by the domicile of the counterparty or the domicile of the counterparty's parent for U.S. branches and agency offices of foreign commercial banks based on the NRSROs used. This table does not reflect the foreign sovereign government's credit rating.

(in millions)
March 31, 2015 (1) (2)
Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	—	$	210.0	$	80.0	$	290.0
U.S. branches and agency offices of foreign commercial banks
Australia	900.0		—		—		900.0
Canada	—		1,650.0		—		1,650.0
Finland	—		500.0		—		500.0
Netherlands	—		500.0		—		500.0
Norway	—		575.0		—		575.0
Sweden	—		500.0		—		500.0
Total U.S. branches and agency offices of foreign commercial banks	900.0		3,725.0		—		4,625.0
Total unsecured investment credit exposure	$	900.0	$	3,935.0	$	80.0	$	4,915.0

(in millions)
December 31, 2014 (1) (2)
Carrying Value
Domicile of Counterparty	Investment Grade (3)(4)
	AA		A		BBB		Total
Domestic	$	—	$	680.0	$	80.0	$	760.0
U.S. subsidiaries of foreign commercial banks	—		—		150.0		150.0
Total domestic and U.S. subsidiaries of foreign commercial banks	—		680.0		230.0		910.0
U.S. branches and agency offices of foreign commercial banks:
Australia	800.0		—		—		800.0
Canada	—		1,375.0		—		1,375.0
Finland	—		500.0		—		500.0
Netherlands	—		500.0		—		500.0
Norway	—		500.0		—		500.0
Total U.S. branches and agency offices of foreign commercial banks	800.0		2,875.0		—		3,675.0
Total unsecured investment credit exposure	$	800.0	$	3,555.0	$	230.0	$	4,585.0

Notes:

⁽¹⁾ Does not reflect any changes in ratings, outlook or watch status occurring after March 31, 2015.

⁽²⁾ These ratings represent the lowest rating available for each security owned by the Bank based on the NRSROs used by the Bank. The Bank’s internal ratings may differ from those obtained from the NRSROs.

⁽³⁾ Excludes unsecured investment credit exposure to U.S. government, U.S. government agencies and instrumentalities, GSEs, and supranational entities.

⁽⁴⁾ Represents the NRSRO rating of the counterparty not the country. There were no AAA rated investments at either March 31, 2015 or December 31, 2014.

At March 31, 2015 and December 31, 2014, all the unsecured investments held by the Bank had overnight maturities.

U.S. Treasury Bills, Agency, GSE Securities and State and Local Agency Obligations. In addition to U.S. Treasury bills and securities issued or guaranteed by U.S. agencies or U.S government corporations, the Bank invests in and is subject to credit risk related to GSE securities and state and local agency obligations. The Bank maintains a portfolio of U.S. Treasury, U.S. agency and GSE/TVA securities as a secondary liquidity portfolio. Further, the Bank maintains a portfolio of state and local agency obligations to invest in mission-related assets and enhance net interest income. These portfolios totaled $4.0 billion and $3.8 billion at March 31, 2015 and December 31, 2014, respectively.

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Agency and GSE MBS. The Bank invests in and is subject to credit risk related to MBS issued or guaranteed by Federal agencies and GSEs that are directly supported by underlying mortgage loans. The Bank’s total agency and GSE MBS portfolio decreased $259.4 million from December 31, 2014 to $6.2 billion at March 31, 2015. This decrease was due to paydowns, partially offset by an increase in fair value of the agency and MBS portfolio held as AFS securities.

Private Label MBS. The Bank also holds investments in private label MBS, which are also supported by underlying mortgage loans.The Bank made investments in private label MBS that were rated AAA at the time of purchase with the exception of one, which was rated AA at the time of purchase. The carrying value of the Bank’s private label MBS portfolio decreased $66.6 million from December 31, 2014 to $1.6 billion at March 31, 2015. This decline was primarily due to repayments, partially offset by an increase in the fair value of private label MBS held as AFS.

The slight increase in fair values on OTTI securities during the first three months of 2015 increased the unrealized gains in AOCI from $94.5 million at December 31, 2014 to $96.5 million as of March 31, 2015. The weighted average price on these OTTI securities increased slightly from 88 at December 31, 2014 to 89 at March 31, 2015. These fair values are determined using unobservable inputs (i.e., Level 3) derived from four third-party pricing services. The Bank uses the unadjusted prices received from the third-party pricing services in its process relating to fair value calculations and methodologies as described further in the Critical Accounting Policies section in Item 7. Management’s Discussion and Analysis in the Bank's 2014 Form 10-K.

Approximately 21% of the Bank’s MBS portfolio at March 31, 2015 was issued by private label issuers. In late 2007, the Bank discontinued the purchase of private label MBS.

Participants in the mortgage market often characterize single family loans based upon their overall credit quality at the time of origination, generally considering them to be Prime, Alt-A or subprime. There is no universally accepted definition of these segments or classifications. The subprime segment of the mortgage market primarily serves borrowers with poorer credit payment histories, and such loans typically have a mix of credit characteristics that indicate a higher likelihood of default and higher loss severities than Prime loans. Further, many mortgage participants classify single family loans with credit characteristics that range between Prime and subprime categories as Alt-A because these loans have a combination of characteristics of each category or may be underwritten with low or no documentation compared to a full documentation mortgage loan. Industry participants often use this classification principally to describe loans for which the underwriting process is less rigorous and to reduce the documentation requirements of the borrower.

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Private Label MBS Collateral Statistics. The following tables provide collateral performance and credit enhancement information for the Bank’s private label MBS portfolio by par, collateral type, and the security's credit rating as of March 31, 2015. The Bank has not purchased any private label MBS since 2007.

	Private Label MBS by Vintage - Prime
(dollars in millions)	2007			2006			2005			2004 and earlier			Total
Par by lowest external long-  term rating:
AA	$	—		$	—		$	—		$	4.3		$	4.3
A	—			—			—			7.6			7.6
BBB	—			—			20.5			166.4			186.9
Below investment grade:
BB	—			7.7			37.8			114.0			159.5
B	—			—			14.9			82.0			96.9
CCC	—			7.4			5.6			25.8			38.8
CC				20.3			5.2			—			25.5
C	17.2			60.2			—			—			77.4
D	207.3			116.3			37.2			—			360.8
Unrated	—			—			—			3.6			3.6
Total	$	224.5		$	211.9		$	121.2		$	403.7		$	961.3
Amortized cost	$	171.8		$	180.9		$	113.2		$	400.9		$	866.8
Gross unrealized losses (1)	—			—			(2.7		)	(3.6		)	(6.3		)
Fair value	200.9			197.1			116.3			399.7			914.0
OTTI (2):
Total OTTI losses	$	—		$	—		$	—		$	—		$	—
OTTI losses reclassified (from) AOCI	—			—			—			—			—
Net OTTI losses, credit portion	$	—		$	—		$	—		$	—		$	—
Weighted average fair value/par	89.5		%	93.0		%	96.0		%	99.0		%	95.1		%
Original weighted average credit support	7.2			8.3			4.5			5.5			6.4
Weighted-average credit support - current	0.1			1.4			8.2			12.9			6.8
Weighted avg. collateral delinquency(3)	12.6			12.6			10.8			9.6			11.1

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	Private Label MBS by Vintage - Alt-A (3) (4)
(dollars in millions)	2007			2006			2005			2004 and earlier			Total
Par by lowest external long-  term rating:
A	$	—		$	—		$	—		$	10.4		$	10.4
BBB	—			—			3.6			75.9			79.5
Below investment grade:
BB	—			—			—			4.4			4.4
B	—			—			24.1			6.8			30.9
CCC	—			74.4			44.2			34.1			152.7
CC	—			—			7.3			1.7			9.0
D	167.7			268.0			43.9			—			479.6
Total	$	167.7		$	342.4		$	123.1		$	133.3		$	766.5
Amortized cost	$	128.4		$	267.2		$	115.8		$	128.5		$	639.9
Gross unrealized losses (1)	—			—			(1.5		)	(0.5		)	(2.0		)
Fair value	138.0			298.6			115.9			132.0			684.5
OTTI (2):
Total OTTI losses	$	—		$	—		$	—		$	—		$	—
OTTI losses reclassified (from) AOCI	—			—			—			—			—
Net OTTI losses, credit portion	$	—		$	—		$	—		$	—		$	—
Weighted average fair value/par	82.3		%	87.2		%	94.2		%	99.0		%	89.3		%
Original weighted average credit support	13.3			10.2			6.0			5.3			9.3
Weighted-average credit support - current	—			—			8.0			22.6			5.2
Weighted avg. collateral delinquency(3)	21.5			18.2			10.4			12.4			16.6

Notes:

⁽¹⁾ Represents total gross unrealized losses including non-credit-related other-than-temporary impairment recognized in AOCI. The unpaid principal balance and amortized cost of private label MBS in a gross unrealized loss position was $410.3 million and $408.3 million, respectively at March 31, 2015.

⁽²⁾ For the three months ended March 31, 2015.

⁽³⁾ Delinquency information is presented at the cross-collateralization level.

⁽⁴⁾ Includes HELOCs.

The Bank’s subprime and HELOC private label MBS balances are immaterial to the overall portfolio. Accordingly, the related collateral statistics for these private label MBS are not presented.

OTTI. The Bank did not recognize any credit-related OTTI charges in earnings during the three months ended March 31, 2015 and 2014. Because the Bank does not intend to sell and it is not more likely than not that the Bank will be required to sell any OTTI securities before anticipated recovery of their amortized cost basis, the Bank does not have an additional OTTI charge for the difference between amortized cost and fair value. The Bank has not recorded OTTI on any other type of security (i.e., U.S. Agency MBS or non-MBS securities).

The Bank’s estimate of cash flows has a significant impact on the determination of credit losses. Cash flows expected to be collected are based on the performance and type of private label MBS and the Bank’s expectations of the economic environment. To ensure consistency in determination of the OTTI for private label MBS among all FHLBanks, each quarter the Bank works with the OTTI Governance Committee to update its OTTI analysis based on actual loan performance and current housing market assumptions in the collateral loss projection models, which generate the estimated cash flows from the Bank’s private label MBS. This process is described in Note 5 - OTTI to the unaudited financial statements included in this Form 10-Q.

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The Bank’s quarterly OTTI analysis is based on current and forecasted economic trends. Significant assumptions used on the Bank’s private label MBS as part of its first quarter 2015 analysis are presented below.

	Significant Inputs for Private Label Residential MBS
	Prepayment Rates	Default Rates	Loss Severities	Current Credit Enhancement
	Weighted Avg %	Weighted Avg %	Weighted Avg %	Weighted Avg %
Prime	16.4	7.6	27.2	5.9
Alt-A	16.2	16.5	38.0	5.3
Subprime	8.5	19.5	68.4	36.3
Total Private Label Residential MBS	16.3	11.7	32.2	5.8

The Bank’s life-to-date credit losses are concentrated in its 2006 and 2007 vintage bonds. These vintages represent 92% of life-to-date credit losses, of which 48% relates to Prime and 44% relates to Alt-A, with the remainder in subprime and HELOC. The Bank has recognized life to date OTTI (in millions) as follows:

(dollars in millions)	March 31, 2015			March 31, 2014
Number of private label MBS with an OTTI charge:
Life-to-date	57			57
Still outstanding	45			48
Total OTTI credit loss recorded life-to-date	$	454.0		$	454.0
Principal write-downs on private label MBS	(125.1		)	(106.4		)
Credit losses on private label MBS no longer owned:
Private label MBS sold	(106.0		)	(106.0		)
Private label MBS matured (less principal write-downs realized)	(4.4		)	(1.1		)
Remaining amount of previously recognized OTTI credit losses	$	218.5		$	240.5

The table above excludes recoveries of OTTI through interest income, which occur if there is a significant increase in estimated cash flows whereby the Bank increases the yield on the Bank’s investment and recognizes recovery as interest income over the life of the investment. Interest income was $7.0 million and $5.9 million for the first quarter of 2015 and 2014, respectively; and $66.5 million life-to-date. The interest income was recognized on 36 and 37 private label MBS securities during the first quarter of 2015 and 2014, respectively. The same private label MBS can have multiple increases in cash flows that are deemed to be significant.

The Bank transfers private label MBS from HTM to AFS when an OTTI credit loss is recorded on a security. The Bank believes that a credit loss constitutes evidence of deterioration in the credit quality of the security. The Bank believes that the transfer increases its flexibility to potentially sell other-than-temporarily-impaired securities if it makes economic sense. There were no transfers during the first three months of 2015 and 2014.

Management will continue to evaluate all impaired securities, including those on which OTTI has been recorded. Material credit losses have occurred on private label MBS and may occur in the future. The specific amount of credit losses will depend on the actual performance of the underlying loan collateral as well as the Bank’s future modeling assumptions. The Bank cannot estimate the future amount of any additional credit losses.

As discussed above, the projection of cash flows expected to be collected on private label MBS involves significant judgment with respect to key modeling assumptions. Therefore, on all private label MBS, the Bank performed a cash flow analysis under one additional scenario which was agreed to by the OTTI Governance Committee that represented meaningful, plausible and more adverse external assumptions. This more adverse scenario decreases the short-term forecast by five percentage points, and slows housing price recovery rates 33%.The adverse scenario estimated cash flows were generated using the same model (Prime, Alt-A or subprime) as the base scenario. Using a model with more severe assumptions could increase the estimated credit loss recorded by the Bank. The securities included in this stress scenario were only those that were in an unrealized loss position at March 31, 2015. Additionally, the maximum credit loss under the adverse case was limited to the amount of the security's unrealized loss. The adverse case housing price forecast is not management’s current best estimate of cash flows and is therefore not used as a basis for determining OTTI. The results of the analysis were immaterial.

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Credit and Counterparty Risk - Mortgage Loans, BOB Loans and Derivatives

Mortgage Loans.The Finance Agency has authorized the Bank to hold mortgage loans under the MPF Program whereby the Bank acquires mortgage loans from participating members in a shared credit risk structure. These assets carry CEs, which give them the approximate equivalent of a AA credit rating at the time of purchase by the Bank, although the CE is not actually rated. The Bank had net mortgage loans held for portfolio of $3.1 billion at both March 31, 2015 and December 31, 2014 after an allowance for credit losses of $6.6 million and $7.3 million, respectively.

Mortgage Insurers. The Bank’s MPF Program currently has credit exposure to ten mortgage insurance companies which provide PMI and/or Supplemental Mortgage Insurance (SMI) for the Bank’s various products. The Bank closely monitors the financial condition of these mortgage insurers. PMI for MPF Program loans must be issued by a mortgage insurance company on the Bank's approved mortgage insurance company list whenever PMI coverage is required.

None of the Bank’s mortgage insurers currently maintain a rating by at least one NRSRO of A+ or better. Given the credit deterioration of PMI providers, the estimate of the allowance for credit losses includes projected reduced claim payments. As required by the MPF Program, for ongoing PMI, the ratings model currently requires additional CE from the PFI to compensate for the mortgage insurer rating when it is below A+. All PFIs have met this requirement.

The MPF Plus product required SMI under the MPF Program when each pool was established. At March 31, 2015, eight of the 14 MPF Plus pools still have SMI policies in place. The Bank does not currently offer the MPF Plus product and has not purchased loans under MPF Plus Commitments since July 2006. Per MPF Program guidelines, the existing MPF Plus product exposure is required to be secured by the PFI once the SMI company is rated below AA-. The Finance Agency guidelines require mortgage insurers that underwrite SMI to be rated AA- or better. This requirement has been temporarily waived by the Finance Agency provided that the Bank otherwise mitigates the risk by requiring the PFI to secure the exposure. As of March 31, 2015, $52.8 million of SMI exposure had been secured by two PFIs.

The unpaid principal balance and maximum coverage outstanding for seriously delinquent loans with PMI as of March 31, 2015 was $12.8 million and $5.2 million, respectively. As of December 31, 2014, these amounts were $13.9 million and $5.5 million, respectively.

BOB Loans. The Bank's BOB loan program is targeted to small businesses in the Bank's district to assist in the growth and development of small businesses, including both start-up and expansion. The Bank makes funds available to members to extend credit to an approved small business borrower, thereby enabling small businesses to qualify for credit that otherwise may not be available. See Item 1. Business in the Bank's 2014 Form 10-K for additional information about the BOB loan program. The allowance for credit losses on BOB loans was $1.7 million and $1.8 million at March 31, 2015 and December 31, 2014, respectively.

Derivative Counterparties. Derivative transactions may be either executed with a counterparty (referred to as bilateral derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). For bilateral derivatives, the Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit.

The Bank is subject to credit risk due to the risk of non-performance by counterparties to its derivative transactions. The amount of credit risk on derivatives depends on the extent to which netting procedures, collateral requirements and other credit enhancements are used and are effective in mitigating the risk. The Bank manages credit risk through credit analysis, collateral management, and other credit enhancements.

Bilateral Derivatives. The Bank is subject to non-performance by counterparties to its bilateral derivative transactions. The Bank requires collateral on bilateral derivative transactions. The amount of net unsecured credit exposure that is permissible with respect to each counterparty depends on the credit rating of that counterparty. A counterparty must deliver collateral to the Bank if the total market value of the Bank's exposure to that counterparty rises above a specific trigger point. As a result of these risk mitigation initiatives, the Bank does not anticipate any credit losses on its bilateral derivative transactions with counterparties as of March 31, 2015.

Cleared Derivatives. The Bank is subject to credit risk due to non-performance by the Clearing Houses and clearing agent. The requirement that the Bank post initial and variation margin, through the clearing agent, to the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their obligations. Initial

31

margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of its clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The Bank's use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives through a clearing agent. The Bank does not anticipate any credit losses on its cleared derivatives as of March 31, 2015.

The contractual or notional amount of derivative transactions reflects the involvement of the Bank in the various classes of financial instruments. The maximum credit risk of the Bank with respect to derivative transactions is the estimated cost of replacing the derivative transactions if there is a default, minus the value of any related collateral, including initial and variation margin. In determining maximum credit risk, the Bank considers accrued interest receivables and payables as well as the netting requirements to net assets and liabilities. The following table presents the derivative positions with non-member counterparties and member institutions to which the Bank has credit exposure at March 31, 2015 and December 31, 2014.

(in millions)	March 31, 2015
Credit Rating (1)	Notional Amount		Net Derivatives Fair Value Before Collateral			Cash Collateral Pledged To (From) Counterparties			Net Credit Exposure to Counterparties
Non-member counterparties
Asset positions with credit    exposure:
Bilateral derivatives
AA	$	213.0	$	0.4		$	—		$	0.4
A	1,356.7		1.9			(0.8		)	1.1
Liability positions with credit    exposure:
Cleared derivatives (2)	23,862.7		(181.4		)	230.9			49.5
Total derivative positions with credit exposure to non-member counterparties	25,432.4		(179.1		)	230.1			51.0
Member institutions (3)	21.7		0.6			—			0.6
Total	$	25,454.1	$	(178.5	)	$	230.1		$	51.6
Derivative positions without credit exposure	19,746.6
Total notional	$	45,200.7

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(in millions)	December 31, 2014
Credit Rating (1)	Notional Amount		Net Derivatives Fair Value Before Collateral			Cash Collateral Pledged To (From) Counterparties		Net Credit Exposure to Counterparties
Non-member counterparties
Asset positions with credit    exposure:
Bilateral derivatives
AA	$	200.0	$	2.6		$	—	$	2.6
A	385.0		1.6			—		1.6
Liability positions with credit exposure:
Bilateral derivatives
A	1,325.0		(16.6		)	18.0		1.4
Cleared derivatives (2)	23,373.5		(174.9		)	204.4		29.5
Total derivative positions with credit exposure to non-member counterparties	25,283.5		(187.3		)	222.4		35.1
Member institutions (3)	18.3		0.4			—		0.4
Total	$	25,301.8	$	(186.9	)	$	222.4	$	35.5
Derivative positions without credit exposure	19,551.2
Total notional	$	44,853.0

Notes:

⁽¹⁾ This table does not reflect any changes in rating, outlook or watch status occurring after March 31, 2015. The ratings presented in this table represent the lowest long-term counterparty credit rating available for each counterparty based on the NRSROs used by the Bank.

⁽²⁾ Represents derivative transactions cleared through Clearing Houses.

⁽³⁾ Member institutions include mortgage delivery commitments.

The following tables summarize the Bank’s bilateral derivative counterparties which represent more than 10% of the Bank’s total notional amount outstanding and net credit exposure as of March 31, 2015 and December 31, 2014.

Notional Greater Than 10%	March 31, 2015				December 31, 2014
(dollars in millions) Derivative Counterparty	Credit Rating	Notional		% of Notional	Credit Rating	Notional		% of Notional
Deutsche Bank AG	A	$	4,621.1	21.7	A	$	4,567.4	21.3
Morgan Stanley Capital	BBB	3,910.1		18.3	BBB	3,328.6		15.5
JP Morgan Chase Bank, NA	A	2,665.4		12.5	A	2,885.6		13.4
All others	n/a	10,141.3		47.5	n/a	10,697.9		49.8
Total		$	21,337.9	100.0		$	21,479.5	100.0

33

Net Credit Exposure   Greater Than 10%	March 31, 2015				December 31, 2014
(dollars in millions) Derivative Counterparty	Credit Rating	Net Credit Exposure		% of Net Credit Exposure	Credit Rating	Net Credit Exposure		% of Net Credit Exposure
BNP Paribas	A	$	0.7	34.5	(2)	(2)		(2)
BNY Mellon	AA	0.4		17.2	(2)	(2)		(2)
Royal Bank of Canada	(1)	(1)		(1)	AA	$	2.6	43.0
HSBC Bank USA, NA	(1)	(1)		(1)	A	1.2		19.7
Goldman Sachs Group, Inc.	(1)	(1)		(1)	A	0.7		11.3
All others	n/a	1.0		48.3	n/a	1.5		26.0
Total		$	2.1	100.0		$	6.0	100.0

Notes:

⁽¹⁾ The percentage of net credit exposure was not greater than 10%.

⁽²⁾ The counterparty had no credit exposure as of December 31, 2014.

To manage market risk, the Bank enters into derivative contracts. Some of these derivatives are with U.S. branches of financial institutions located in Europe. In terms of counterparty credit risk exposure, European financial institutions are exposed to the Bank as shown below.

(in millions)	March 31, 2015						December 31, 2014
Country of Counterparty	Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged by the Bank		Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged by the Bank
Switzerland	$	37.6	$	37.6	$	37.6	$	37.5	$	37.5	$	37.8
United Kingdom	22.0		17.0		16.7		25.7		20.7		20.6
Germany	15.4		0.4		0.4		41.6		26.6		27.6
Total	$	75.0	$	55.0	$	54.7	$	104.8	$	84.8	$	86.0

Note: The average maturity of these derivative contracts is November 2018 and October 2018 at March 31, 2015 and December 31, 2014, respectively. Collateral Obligation (Net Exposure) is defined as Market Value of Total Exposure minus delivery threshold and minimum collateral transfer requirements.

In addition, the Bank is exposed to counterparty credit risk with U.S. branches of European financial institutions, as presented in the tables below.

(in millions)	March 31, 2015						December 31, 2014
Country of Counterparty	Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged to the Bank		Market Value of Total Exposure		Collateral Obligation (Net Exposure)		Collateral Pledged to the Bank
France	$	1.8	$	0.7	$	0.8	$	0.6	$	0.6	$	3.1
United Kingdom	2.1		2.0		2.1		3.8		2.6		3.9
Switzerland	—		—		—		0.4		—		—
Total	$	3.9	$	2.7	$	2.9	$	4.8	$	3.2	$	7.0

Note: The average maturity of these derivative contracts is March 2019 at both March 31, 2015 and December 31. 2014. Collateral Obligation (Net Exposure) is defined as Market Value of Total Exposure minus delivery threshold and minimum collateral transfer requirements.

To appropriately assess potential credit risk to its European holdings, the Bank annually underwrites each counterparty and country and regularly monitors NRSRO rating actions and other publications for changes to credit quality. The Bank also actively monitors its counterparties' approximate indirect exposure to European sovereign debt and considers this exposure as a component of its credit risk review process.

34

Liquidity and Funding Risk

As a wholesale bank, the Bank employs financial strategies that are designed to enable it to expand and contract its assets, liabilities and capital in response to changes in member credit demand, membership composition and other market factors. The Bank's liquidity resources are designed to support these strategies and are described further in the Bank's 2014 Form 10-K.

Consolidated obligations bonds and discount notes are rated Aaa with stable outlook/P-1 by Moody’s and AA+ with stable outlook/A-1+ by S&P, as of March 31, 2015. These ratings measure the likelihood of timely payment of principal and interest. At March 31, 2015, the Bank’s consolidated obligation bonds outstanding increased to $45.2 billion compared to $43.7 billion at December 31, 2014. The Bank also issues discount notes, which are shorter-term consolidated obligations, to support its short-term member loan portfolio and other short-term asset funding needs. Total discount notes outstanding were $37.1 billion at both March 31, 2015 and December 31, 2014.

During the first three months of 2015, short-term funding spreads relative to LIBOR remained relatively stable. The Bank primarily uses noncallable bonds as a source of funding but also utilizes structured notes such as callable bonds. Unswapped callable bonds primarily fund the Bank’s mortgage portfolio while swapped callable bonds fund other floating-rate assets. At March 31, 2015, callable bonds issued by the Bank were up approximately $724.0 million from December 31, 2014. Note 10 - Consolidated Obligations to the unaudited financial statements in this Form 10-Q provides additional information regarding the Bank’s consolidated obligations.

The Bank is required to maintain a level of liquidity in accordance with certain Finance Agency guidance and policies established by management and the Board. Under these policies and guidelines, the Bank is required to maintain sufficient liquidity in an amount at least equal to its anticipated net cash outflows under two different scenarios. One scenario assumes that the Bank cannot access the capital markets for a period of 15 days and that, during that time, members do not renew any maturing, prepaid and called advances. The second scenario assumes that the Bank cannot access the capital markets for five days and that, during that period, it will automatically renew maturing and called advances for all members except very large, highly rated members. These requirements are designed to enhance the Bank’s protection against temporary disruptions in access to the debt markets. Refer to the Liquidity and Funding Risk section in Item 7. of the Bank's 2014 Form 10-K for additional information. The Bank was in compliance with these requirements at March 31, 2015.

Contingency Liquidity. In their asset/liability management planning, members may look to the Bank to provide standby liquidity. The Bank seeks to be in a position to meet its customers’ credit and liquidity needs without maintaining excessive holdings of low-yielding liquid investments or being forced to incur unnecessarily high borrowing costs. To satisfy these requirements and objectives, the Bank’s primary sources of liquidity are the issuance of new consolidated obligation bonds and discount notes and short-term investments, such as Federal funds sold and overnight securities purchased under agreements to resell. At March 31, 2015 and December 31, 2014, excess contingency liquidity was approximately $20.8 billion and $19.7 billion, respectively.

Refer to the Liquidity and Funding Risk section in Item 7. of the Bank's 2014 Form 10-K for additional information.

Joint and Several Liability. Although the Bank is primarily liable for its portion of consolidated obligations, (i.e., those issued on its behalf), the Bank is also jointly and severally liable with the other 11 FHLBanks for the payment of principal and interest on consolidated obligations of all the FHLBanks. The Finance Agency, in its discretion and notwithstanding any other provisions, may at any time order any FHLBank to make principal or interest payments due on any consolidated obligation, even in the absence of default by the primary obligor. To the extent that an FHLBank makes any payment on a consolidated obligation on behalf of another FHLBank, the paying FHLBank shall be entitled to reimbursement from the non-paying FHLBank, which has a corresponding obligation to reimburse the FHLBank to the extent of such assistance and other associated costs. However, if the Finance Agency determines that the non-paying FHLBank is unable to satisfy its obligations, then the Finance Agency may allocate the outstanding liability among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding, or on any other basis the Finance Agency may determine. Finance Agency regulations govern the issuance of debt on behalf of the FHLBanks and authorize the FHLBanks to issue consolidated obligations, through the OF as its agent. The Bank is not permitted to issue individual debt without Finance Agency approval. See Note 14 - Consolidated Obligations of the audited financial statements in Item 8. Financial Statements and Supplementary Financial Data in the Bank's 2014 Form 10-K for additional information.

35

Operating and Business Risks

Operating Risk. Operating risk is defined as the risk of unexpected loss resulting from human error, system malfunctions, man-made or natural disasters, fraud, legal risk, compliance risk, or circumvention or failure of internal controls. The Bank has established operating policies and procedures to manage each of the specific operating risks which are categorized as financial reporting, compliance, fraud, legal, information and personnel.

Business Risk. Business risk is the risk of an adverse impact on the Bank’s profitability or financial or business strategies resulting from external factors that may occur in the short-term and/or long-term. This risk includes the potential for strategic business constraints to be imposed through regulatory, legislative or political changes. The Bank’s Risk Management Committee monitors economic indicators and the external environment in which the Bank operates and attempts to mitigate this risk through long-term strategic planning. For additional information, on operating and business risks, see the "Operating and Business Risks" discussion in the Risk Management section of Item 7. in the Bank's 2014 Form 10-K.

36

Item 1: Financial Statements (unaudited)

Federal Home Loan Bank of Pittsburgh

Statements of Income (unaudited)

	Three months ended March 31,
(in thousands, except per share amounts)	2015			2014
Interest income:
Advances	$	73,741		$	59,973
Prepayment fees on advances, net	1,068			3,091
Interest-bearing deposits	79			83
Securities purchased under agreements to resell	161			13
Federal funds sold	1,379			705
Trading securities	1,997			1,838
Available-for-sale (AFS) securities	37,233			32,884
Held-to-maturity (HTM) securities	16,703			19,970
Mortgage loans held for portfolio	30,756			33,364
Total interest income	163,117			151,921
Interest expense:
Consolidated obligations - discount notes	9,102			6,036
Consolidated obligations - bonds	78,423			83,525
Mandatorily redeemable capital stock	1			14
Deposits	55			55
Other borrowings	4			3
Total interest expense	87,585			89,633
Net interest income	75,532			62,288
Provision (benefit) for credit losses	(461		)	(3,873		)
Net interest income after provision (benefit) for credit losses	75,993			66,161
Other noninterest income (loss):
Net gains on trading securities (Note 2)	6,777			9,792
Net gains (losses) on derivatives and hedging activities (Note 9)	(7,572		)	(9,199		)
Gains on litigation settlements, net	15,263			36,610
Standby letters of credit fees	5,949			4,022
Other, net	566			449
Total other noninterest income	20,983			41,674
Other expense:
Compensation and benefits	10,321			10,822
Other operating	5,266			6,104
Finance Agency	1,380			1,249
Office of Finance	987			893
Total other expense	17,954			19,068
Income before assessments	79,022			88,767
AHP assessment	7,902			8,878
Net income	$	71,120		$	79,889
Earnings per share:
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock)	29,367			29,072
Basic and diluted earnings per share	$	2.42		$	2.75
Dividends per share	$	3.40		$	0.58

The accompanying notes are an integral part of these financial statements.

37

Federal Home Loan Bank of Pittsburgh

Statements of Comprehensive Income (unaudited)

	Three months ended March 31,
(in thousands)	2015			2014
Net income	$	71,120		$	79,889
Other comprehensive income (loss):
Net unrealized gains on AFS	22,488			24,528
Net change in fair value of OTTI securities	2,061			1,443
Reclassification of net losses (gains) included in net income relating to hedging activities	(8		)	—
Pension and post-retirement benefits	82			39
Total other comprehensive income	24,623			26,010
Total comprehensive income	$	95,743		$	105,899

The accompanying notes are an integral part of these financial statements.

38

Federal Home Loan Bank of Pittsburgh

Statements of Condition (unaudited)

(in thousands)	March 31, 2015		December 31, 2014
ASSETS
Cash and due from banks	$	5,124,196	$	2,451,131
Interest-bearing deposits	8,089		6,782
Federal funds sold	4,915,000		4,585,000
Investment securities:
Trading securities (Note 2)	295,855		281,016
AFS securities at fair value (Note 3)	8,431,371		8,408,835
HTM securities; fair value of $3,123,040 and $3,286,547 respectively (Note 4)	3,079,267		3,246,788
Total investment securities	11,806,493		11,936,639
Advances, net (Note 6)	62,346,031		63,408,355
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of     $6,566 and $7,260 respectively (Note 8)	3,074,289		3,123,334
Banking on Business (BOB) loans, net of allowance for credit losses of     $1,660 and $1,840, respectively (Note 8)	11,347		11,567
Accrued interest receivable	87,196		86,109
Premises, software and equipment, net	10,175		10,446
Derivative assets (Note 9)	52,054		36,217
Other assets	28,189		21,496
Total assets	$	87,463,059	$	85,677,076

39

Federal Home Loan Bank of Pittsburgh

Statements of Condition (unaudited)

(continued)

(in thousands, except par value)	March 31, 2015		December 31, 2014
LIABILITIES AND CAPITAL
Liabilities
Deposits:
Interest-bearing	$	716,982	$	601,454
Noninterest-bearing	33,945		39,726
Total deposits	750,927		641,180
Consolidated obligations, net: (Note 10)
Discount notes	37,077,804		37,058,118
Bonds	45,241,342		43,714,510
Total consolidated obligations, net	82,319,146		80,772,628
Mandatorily redeemable capital stock (Note 11)	569		586
Accrued interest payable	149,563		103,151
AHP payable	61,999		55,997
Derivative liabilities (Note 9)	62,311		58,964
Other liabilities	96,833		41,614
Total liabilities	83,441,348		81,674,120
Commitments and contingencies (Note 14)
Capital (Note 11)
Capital stock - putable ($100 par value) issued and outstanding      30,638 and 30,410 shares	3,063,747		3,040,976
Retained earnings:
Unrestricted	683,446		726,309
Restricted	125,462		111,238
Total retained earnings	808,908		837,547
Accumulated other comprehensive income (AOCI)	149,056		124,433
Total capital	4,021,711		4,002,956
Total liabilities and capital	$	87,463,059	$	85,677,076

The accompanying notes are an integral part of these financial statements.

40

Federal Home Loan Bank of Pittsburgh

Statements of Cash Flows (unaudited)

	Three months ended March 31,
(in thousands)	2015			2014
OPERATING ACTIVITIES
Net income	$	71,120		$	79,889
Adjustments to reconcile net income to net cash provided by   (used in) operating activities:
Depreciation and amortization	(20,148		)	(13,480		)
Net change in derivative and hedging activities	(12,477		)	(15,998		)
Other adjustments	(461		)	(3,874		)
Net change in:
Trading securities	(14,839		)	(30,147		)
Accrued interest receivable	(1,081		)	12,731
Other assets	1,063			949
Accrued interest payable	46,410			46,185
Other liabilities	1,180			2,516
Net cash provided by operating activities	$	70,767		$	78,771
INVESTING ACTIVITIES
Net change in:
Interest-bearing deposits (including $(1,307) and $2,336    to/from other FHLBanks for mortgage loan program)	$	36,895		$	(4,398	)
Federal funds sold	(330,000		)	45,000
AFS securities:
Proceeds	578,529			565,159
Purchases	(499,868		)	(701,512		)
HTM securities:
Proceeds from long-term maturities	167,323			173,892
Advances:
Proceeds	128,836,510			140,789,202
Made	(127,764,258		)	(136,655,622		)
Mortgage loans held for portfolio:
Proceeds	109,399			104,145
Purchases	(71,230		)	(54,609		)
Proceeds from sales of foreclosed assets	3,155			4,132
Premises, software and equipment:
Purchases	(704		)	(83		)
Net cash provided by investing activities	$	1,065,751		$	4,265,306

41

Federal Home Loan Bank of Pittsburgh Statements of Cash Flows (unaudited)
(continued)
	Three months ended March 31,
(in thousands)	2015			2014
FINANCING ACTIVITIES
Net change in:
Deposits and pass-through reserves	$	109,889		$	100,584
Net payments for derivative contracts with financing element	(7,857		)	(7,989		)
Net proceeds from issuance of consolidated obligations:
Discount notes	38,654,859			20,904,544
Bonds	5,919,557			3,291,720
Payments for maturing and retiring consolidated obligations:
Discount notes	(38,637,702		)	(27,199,729		)
Bonds	(4,425,194		)	(3,117,510		)
Proceeds from issuance of capital stock	609,893			349,394
Payments for repurchase/redemption of mandatorily redeemable   capital stock	(17		)	(157		)
Payments for repurchase/redemption of capital stock	(587,122		)	(628,203		)
Cash dividends paid	(99,759		)	(16,789		)
Net cash provided by (used in) financing activities	$	1,536,547		$	(6,324,135	)
Net increase (decrease) in cash and due from banks	$	2,673,065		$	(1,980,058	)
Cash and due from banks at beginning of the period	2,451,131			3,121,345
Cash and due from banks at end of the period	$	5,124,196		$	1,141,287
Supplemental disclosures:
Interest paid	$	53,255		$	54,438
AHP payments	1,900			1,348
Transfers of mortgage loans to real estate owned	1,491			3,508

The accompanying notes are an integral part of these financial statements.

42

Federal Home Loan Bank of Pittsburgh

Statements of Changes in Capital (unaudited)

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI		Total Capital
December 31, 2013	29,622		$	2,962,143		$	625,636		$	60,083	$	685,719		$	44,340	$	3,692,202
Issuance of capital stock	3,494		349,394			—			—		—			—		349,394
Repurchase/redemption of capital stock	(6,282	)	(628,203		)	—			—		—			—		(628,203		)
Net shares reclassified to mandatorily    redeemable capital stock	(20	)	(1,978		)	—			—		—			—		(1,978		)
Comprehensive income	—		—			63,911			15,978		79,889			26,010		105,899
Cash dividends	—		—			(16,789		)	—		(16,789		)	—		(16,789		)
March 31, 2014	26,814		$	2,681,356		$	672,758		$	76,061	$	748,819		$	70,350	$	3,500,525

	Capital Stock - Putable					Retained Earnings
(in thousands)	Shares		Par Value			Unrestricted			Restricted		Total			AOCI		Total Capital
December 31, 2014	30,410		$	3,040,976		$	726,309		$	111,238	$	837,547		$	124,433	$	4,002,956
Issuance of capital stock	6,099		609,893			—			—		—			—		609,893
Repurchase/redemption of capital stock	(5,871	)	(587,122		)	—			—		—			—		(587,122		)
Comprehensive income	—		—			56,896			14,224		71,120			24,623		95,743
Cash dividends	—		—			(99,759		)	—		(99,759		)	—		(99,759		)
March 31, 2015	30,638		$	3,063,747		$	683,446		$	125,462	$	808,908		$	149,056	$	4,021,711

The accompanying notes are an integral part of these financial statements.

43

Federal Home Loan Bank of Pittsburgh

Notes to Financial Statements (unaudited)

Background Information

The Bank, a federally chartered corporation, is one of 12 district Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock.

All members must purchase stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 12 - Transactions with Related Parties for additional information.

The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to provide effective supervision, regulation and housing mission oversight of the FHLBanks to promote their safety and soundness, support housing finance and affordable housing, and support a stable and liquid mortgage market. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits.

As provided by the Federal Home Loan Bank Act (FHLBank Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare and issue the combined quarterly and annual financial reports of all 12 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement.

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. To the extent that any reclassifications were made, the reclassifications did not have a material impact on the Bank's financial statements. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2014 included in the Bank's 2014 Form 10-K.

44

Notes to Financial Statements (continued)

Note 1 – Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. In April 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02 or Advisory Bulletin), which is applicable to Fannie Mae, Freddie Mac and the FHLBanks. The Advisory Bulletin establishes guidelines for adverse classification of various assets, primarily MPF loans at the Bank. Among other requirements, this Advisory Bulletin requires that the Bank classify the portion of an outstanding single-family loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any credit enhancements, as a “loss” no later than when the loan becomes 180 days delinquent, except in certain specified circumstances (such as those involving properly secured loans with an LTV ratio equal to or less than 60%). The Bank implemented these classification provisions effective January 1, 2014. During the first quarter 2014, the Bank incorporated estimates of fair values on loans as applicable under the Advisory Bulletin in its calculation of the required “loss” on MPF loans. This change in the Bank's accounting estimate resulted in an immaterial benefit to the Bank's Allowance for Loan Losses at March 31, 2014. See Note 8 - Allowance for Credit Losses for more information.

The Advisory Bulletin also requires the Bank to charge-off the portion of the loan classified as a “loss.” The Advisory Bulletin specifies that, if the Bank subsequently receives full or partial payment of a previously charged-off loan, it may report a recovery of the amount charged-off either through loss reserves or as a reduction in foreclosed property expenses. As required, the Bank adopted the charge-off provisions of the Advisory Bulletin on January 1, 2015. Upon adoption of the charge-off provisions, the Bank’s allowance for loan losses on the impacted loans was eliminated and the corresponding recorded investment in the loans was reduced by the amount charged-off, unless it is expected to be recovered through credit enhancement (CE), for which the Bank recognizes a CE fee receivable. Under the Bank’s past accounting practices and upon adoption of the Advisory Bulletin, the ultimate amount of losses realized on the Bank’s loan portfolio will be the same over time; however, the timing of when the Bank recognizes the losses in its financial statements will differ. The adoption of the charge-off provisions of the Advisory Bulletin did not have a material impact on the Bank’s financial condition or results of operations.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. In January 2014, the FASB issued guidance clarifying when a loan should be de-recognized and the related real estate property recognized. This guidance allows the Bank to recognize properties as real estate owned once the borrower has voluntarily conveyed its interest in the property to the Bank through a deed in lieu of foreclosure or similar agreement. This guidance was effective for the Bank beginning January 1, 2015 and did not impact the Bank's financial condition or results of operations.

Revenue from Contracts with Customers. In May 2014, the FASB issued revised guidance for revenue recognition. This guidance will increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. The guidance will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition. This guidance, which will be effective for the Bank beginning January 1, 2017, is not expected to materially impact the Bank's financial condition or results of operations.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.In June 2014, the FASB issued guidance amending the accounting for certain repurchase agreements, including repurchase-to-maturity transactions and repurchase financing transactions. This guidance was effective for the Bank beginning January 1, 2015 and did not have a material impact on the Bank's financial condition or results of operations. The guidance will also require expanded disclosures for transactions accounted for as secured borrowings and sales that will be effective beginning with the Bank's second quarter 2015 financial statements.

Classification of Certain Government Insured Residential Mortgage Loans upon Foreclosure. In August 2014, the FASB issued guidance to limit diversity in practice for classification of certain mortgage loans backed by a government guarantee upon foreclosure. Upon foreclosure, the mortgage loan should be de-recognized and a separate other receivable recognized for the amount of the loan balance expected to be recovered from the guarantor. This guidance was effective for the Bank beginning January 1, 2015 and did not impact the Bank's financial condition or results of operations.

Going Concern. In August 2014, the FASB issued guidance which requires all entities to perform an interim and annual assessment of their ability to continue as a going concern for one year from the date of issuance of their respective financial statements. The guidance also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern. The Bank's initial quarterly assessment will be required to be completed on its December 31, 2016 financial statements.

45

Notes to Financial Statements (continued)

Extraordinary Items. In January 2015, the FASB issued guidance which eliminates the concept of extraordinary items. As a result, preparers and auditors no longer need to determine whether an event is extraordinary. However, the guidance continues to require separate presentation on the Statement of Income for items that are both unusual and infrequent. This guidance is effective for the Bank beginning January 1, 2016 and will not impact the Bank’s results of operations.

Consolidation. In February 2015, the FASB issued amendments to its existing consolidation guidance which may impact the Bank’s evaluation of which entities are considered to be VIEs and if the Bank is required to consolidate a VIE. The Bank is currently evaluating the impact of this updated guidance, which is effective for the Bank beginning January 1, 2016.

Simplifying the Presentation of Debt Issuance Costs. In April 2015, the FASB issued guidance which requires the Bank to present debt issuance costs as a direct deduction from the related debt on the statement of condition, consistent with debt discounts. This guidance is effective for the Bank beginning January 1, 2016 and will be applied retrospectively. This guidance will result in a reclassification of debt issuance costs from Other Assets to Consolidated Obligations in the Bank's Statement of Condition, which is not expected to be material.

Cloud Computing Arrangements. In April 2015, the FASB issued guidance which clarifies circumstances under which a cloud computing arrangement should be accounted for as a license of internal-use software as opposed to a service contract. The Bank is currently evaluating the impact of this guidance, which is effective for the Bank beginning January 1, 2016 and may be applied prospectively.

Note 2 – Trading Securities

The following table presents trading securities as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Non-MBS:
Mutual funds	$	5,122	$	4,721
GSE and Tennessee Valley Authority (TVA) obligations	290,733		276,295
Total	$	295,855	$	281,016

The mutual funds are held in a Rabbi trust to generate returns that seek to offset changes in liabilities related to market risk of certain deferred compensation agreements. These deferred compensation liabilities were $5.2 million and $4.9 million at March 31, 2015 and December 31, 2014, respectively, and are included in Other liabilities in the Statement of Condition.

The following table presents net gains on trading securities for the first quarter of 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015		2014
Net unrealized gains on trading securities held at period-end	$	6,777	$	9,706
Net realized gains on securities sold/matured during the period	—		86
Net gains on trading securities	$	6,777	$	9,792

46

Notes to Financial Statements (continued)

Note 3 – Available-for-Sale (AFS) Securities

The following tables present AFS securities as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	3,365,599		—			24,383		(1,343		)	3,388,639
State or local agency obligations	126,279		—			1,879		(1,156		)	127,002
Total non-MBS	$	3,493,871	$	—		$	26,267	$	(2,499	)	$	3,517,639
MBS:
Other U.S. obligations single family MBS	$	315,614	$	—		$	479	$	(22	)	$	316,071
GSE single-family MBS	2,739,973		—			15,784		(2,565		)	2,753,192
GSE multifamily MBS	868,616		—			17,810		—			886,426
Private label MBS:
Private label residential MBS	852,904		(154		)	94,468		(306		)	946,912
HELOCs	8,933		(3		)	2,201		—			11,131
Total private label MBS	861,837		(157		)	96,669		(306		)	958,043
Total MBS	$	4,786,040	$	(157	)	$	130,742	$	(2,893	)	$	4,913,732
Total AFS securities	$	8,279,911	$	(157	)	$	157,009	$	(5,392	)	$	8,431,371

	December 31, 2014
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	3,221,543		—			17,661		(5,501		)	3,233,703
State or local agency obligations	98,616		—			752		(384		)	98,984
Total non-MBS	$	3,322,152	$	—		$	18,418	$	(5,885	)	$	3,334,685
MBS:
Other U.S. obligations single family MBS	$	328,787	$	—		$	592	$	—		$	329,379
GSE single-family MBS	2,869,855		—			16,433		(4,126		)	2,882,162
GSE multifamily MBS	872,509		—			9,511		(2,193		)	879,827
Private label MBS:
Private label residential MBS	879,376		(863		)	92,860		(290		)	971,083
HELOCs	9,245		—			2,454		—			11,699
Total private label MBS	888,621		(863		)	95,314		(290		)	982,782
Total MBS	$	4,959,772	$	(863	)	$	121,850	$	(6,609	)	$	5,074,150
Total AFS securities	$	8,281,924	$	(863	)	$	140,268	$	(12,494	)	$	8,408,835

Notes:

⁽¹⁾ Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments.

⁽²⁾ Represents the non-credit portion of an OTTI recognized during the life of the security.

The Bank has established a Rabbi trust to secure a portion of the benefits under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds as disclosed above. These obligations were $7.1 million and $7.0 million at March 31, 2015 and December 31, 2014, respectively, and are included in Other liabilities in the Statement of Condition.

47

Notes to Financial Statements (continued)

As of March 31, 2015, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.9 million, credit losses of $218.5 million and OTTI-related accretion adjustments of $16.7 million. As of December 31, 2014, these amounts were $9.5 million, $222.5 million and $11.7 million, respectively.

The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015			December 31, 2014
Non-credit portion of OTTI losses	$	(157	)	$	(863	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	96,669			95,314
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	96,512		$	94,451

The following tables summarize the AFS securities with unrealized losses as of March 31, 2015 and December 31, 2014. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2015
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	880,445	$	(1,034	)	$	323,516	$	(309	)	$	1,203,961	$	(1,343	)
State or local agency obligations	62,091		(1,051		)	3,895		(105		)	65,986		(1,156		)
Total non-MBS	$	942,536	$	(2,085	)	$	327,411	$	(414	)	$	1,269,947	$	(2,499	)
MBS:
Other U.S. obligations single family MBS	$	59,138	$	(22	)	$	—	$	—		$	59,138	$	(22	)
GSE single-family MBS	155,603		(136		)	207,108		(2,429		)	362,711		(2,565		)
Private label:
Private label residential MBS	—		—			17,962		(460		)	17,962		(460		)
HELOCs	1,451		(3		)	—		—			1,451		(3		)
Total private label MBS	1,451		(3		)	17,962		(460		)	19,413		(463		)
Total MBS	$	216,192	$	(161	)	$	225,070	$	(2,889	)	$	441,262	$	(3,050	)
Total	$	1,158,728	$	(2,246	)	$	552,481	$	(3,303	)	$	1,711,209	$	(5,549	)

	December 31, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	1,783,202	$	(4,380	)	$	322,691	$	(1,121	)	$	2,105,893	$	(5,501	)
State or local agency obligations	1,576		(14		)	11,385		(370		)	12,961		(384		)
Total non-MBS	$	1,784,778	$	(4,394	)	$	334,076	$	(1,491	)	$	2,118,854	$	(5,885	)
MBS:
GSE single-family MBS	$	19,405	$	(3	)	$	228,257	$	(4,123	)	$	247,662	$	(4,126	)
GSE multifamily MBS	15,322		(104		)	185,153		(2,089		)	200,475		(2,193		)
Private label residential MBS	58,553		(191		)	49,383		(962		)	107,936		(1,153		)
Total MBS	$	93,280	$	(298	)	$	462,793	$	(7,174	)	$	556,073	$	(7,472	)
Total	$	1,878,058	$	(4,692	)	$	796,869	$	(8,665	)	$	2,674,927	$	(13,357	)

Note:

⁽¹⁾ Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 3.

48

Notes to Financial Statements (continued)

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2015				December 31, 2014
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	201,990	$	202,044	$	301,985	$	302,087
Due after one year through five years	2,213,742		2,213,999		2,058,695		2,054,517
Due after five years through ten years	708,646		730,343		662,805		676,064
Due in more than ten years	369,493		371,253		298,667		302,017
AFS securities excluding MBS	3,493,871		3,517,639		3,322,152		3,334,685
MBS	4,786,040		4,913,732		4,959,772		5,074,150
Total AFS securities	$	8,279,911	$	8,431,371	$	8,281,924	$	8,408,835

Interest Rate Payment Terms.  The following table details interest payment terms at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	3,174,124	$	2,902,430
Variable-rate	319,747		419,722
Total non-MBS	$	3,493,871	$	3,322,152
Amortized cost of AFS MBS:
Fixed-rate	$	1,698,292	$	2,002,208
Variable-rate	3,087,748		2,957,564
Total MBS	$	4,786,040	$	4,959,772
Total amortized cost of AFS securities	$	8,279,911	$	8,281,924

Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate.

49

Notes to Financial Statements (continued)

Note 4 – Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	12,174	$	281	$	—		$	12,455
State or local agency obligations	183,379		1,645		(14,128		)	170,896
Total non-MBS	$	195,553	$	1,926	$	(14,128	)	$	183,351
MBS:
Other U.S. obligations single-family MBS	$	1,052,741	$	6,710	$	(2	)	$	1,059,449
GSE single-family MBS	385,320		7,152		(81		)	392,391
GSE multifamily MBS	795,954		46,785		—			842,739
Private label residential MBS	649,699		3,565		(8,154		)	645,110
Total MBS	$	2,883,714	$	64,212	$	(8,237	)	$	2,939,689
Total HTM securities	$	3,079,267	$	66,138	$	(22,365	)	$	3,123,040

	December 31, 2014
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	13,041	$	382	$	—		$	13,423
State or local agency obligations	184,412		1,314		(15,445		)	170,281
Total non-MBS	$	197,453	$	1,696	$	(15,445	)	$	183,704
MBS:
Other U.S. obligations single-family MBS	$	1,122,537	$	8,604	$	—		$	1,131,141
GSE single-family MBS	417,217		7,226		(118		)	424,325
GSE multifamily MBS	818,037		43,431		—			861,468
Private label residential MBS	691,544		3,506		(9,141		)	685,909
Total MBS	$	3,049,335	$	62,767	$	(9,259	)	$	3,102,843
Total HTM securities	$	3,246,788	$	64,463	$	(24,704	)	$	3,286,547

50

Notes to Financial Statements (continued)

The following tables summarize the HTM securities with unrealized losses as of March 31, 2015 and December 31, 2014. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2015
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	3,375	$	(40	)	$	117,792	$	(14,088	)	$	121,167	$	(14,128	)
MBS:
Other U.S. obligations single family MBS	$	20,635	$	(2	)	$	—	$	—		$	20,635	$	(2	)
GSE single-family MBS	—		—			10,681		(81		)	10,681		(81		)
Private label residential MBS	159,134		(1,088		)	221,168		(7,066		)	380,302		(8,154		)
Total MBS	$	179,769	$	(1,090	)	$	231,849	$	(7,147	)	$	411,618	$	(8,237	)
Total	$	183,144	$	(1,130	)	$	349,641	$	(21,235	)	$	532,785	$	(22,365	)

	December 31, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	3,361	$	(54	)	$	116,488	$	(15,391	)	$	119,849	$	(15,445	)
MBS:
GSE single-family MBS	$	—	$	—		$	11,058	$	(118	)	$	11,058	$	(118	)
Private label residential MBS	185,673		(1,291		)	233,287		(7,850		)	418,960		(9,141		)
Total MBS	$	185,673	$	(1,291	)	$	244,345	$	(7,968	)	$	430,018	$	(9,259	)
Total	$	189,034	$	(1,345	)	$	360,833	$	(23,359	)	$	549,867	$	(24,704	)

51

Notes to Financial Statements (continued)

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2015				December 31, 2014
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	12,174	$	12,455	$	13,042	$	13,423
Due after one year through five years	3,415		3,375		3,415		3,361
Due after five years through ten years	21,807		22,301		21,807		22,263
Due after ten years	158,157		145,220		159,189		144,657
HTM securities excluding MBS	195,553		183,351		197,453		183,704
MBS	2,883,714		2,939,689		3,049,335		3,102,843
Total HTM securities	$	3,079,267	$	3,123,040	$	3,246,788	$	3,286,547

Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	42,553	$	44,453
Variable-rate	153,000		153,000
Total non-MBS	$	195,553	$	197,453
Amortized cost of HTM MBS:
Fixed-rate	$	1,063,616	$	1,114,059
Variable-rate	1,820,098		1,935,276
Total MBS	$	2,883,714	$	3,049,335
Total HTM securities	$	3,079,267	$	3,246,788

Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate.

Note 5 – Other-Than-Temporary Impairment (OTTI)

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, which could be up to the difference between the security's amortized cost basis and its fair value, and records any difference in its Statement of Income. For information on the Bank’s accounting for OTTI, see Note 1 - Summary of Significant Accounting Policies to the audited financial statements in the Bank's 2014 Form 10-K. For information about how the Bank projects cash flows expected to be collected, see Note 7 - Other-than-Temporary ImpairmentAnalysis to the audited financial statements in the Bank’s 2014 Form 10-K.

A significant input to the projection of cash flows expected to be collected is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. During the first quarter of 2015, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 8.0% over the 12 month period beginning January 1, 2015. For the vast majority of markets the short-term forecast has changes from 1.0% to 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

All of the Bank's other-than-temporarily impaired securities were classified as AFS at March 31, 2015. The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2015 for which an OTTI has been recognized

52

Notes to Financial Statements (continued)

during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost (1)		Fair Value
Private label residential MBS:
Prime	$	486,233	$	394,492	$	445,194
Alt-A	576,153		453,620		497,048
Subprime	2,092		1,253		1,437
HELOCs	12,430		8,933		11,131
Total OTTI securities	1,076,908		858,298		954,810
Private label MBS with no OTTI	3,539		3,539		3,233
Total AFS private label MBS	$	1,080,447	$	861,837	$	958,043

Notes:

⁽¹⁾ Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings.

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three months ended March 31, 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015			2014
Beginning balance	$	290,935		$	314,224
Reductions:
Securities sold and matured during the period (1)	—			(76		)
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(7,019		)	(5,948		)
Ending balance	$	283,916		$	308,200

Notes:

⁽¹⁾ Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period.

All Other AFS and HTM Investments. At March 31, 2015, the Bank held certain securities in an unrealized loss position. These unrealized losses were considered to be temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions based on the creditworthiness of the underlying creditor, guarantor, or implicit government support, and the Bank neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell any such security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at March 31, 2015.

Note 6 – Advances

General Terms. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from one day to 30 years. Variable-rate advances generally have maturities ranging from less than 30 days to 10 years, where the interest rates reset periodically at a fixed spread to LIBOR or other specified indices.

At March 31, 2015 and December 31, 2014, the Bank had advances outstanding, including AHP advances, with interest rates ranging from zero to 7.40%. AHP subsidized loans have interest rates ranging from zero to 5.50%.

53

Notes to Financial Statements (continued)

The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015					December 31, 2014
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	26,931,449		0.44	%	$	29,380,685		0.42	%
Due after 1 year through 2 years	9,218,391			1.26		7,754,473			1.22
Due after 2 years through 3 years	14,652,926			1.03		12,764,348			1.14
Due after 3 years through 4 years	6,854,258			0.90		9,361,638			0.82
Due after 4 years through 5 years	3,314,508			0.80		3,373,989			0.84
Thereafter	1,082,287			2.65		490,823			2.77
Total par value	62,053,819			0.81	%	63,125,956			0.76	%
Discount on AHP advances	(52		)			(66		)
Deferred prepayment fees	(7,507		)			(8,600		)
Hedging adjustments	299,771					291,065
Total book value	$	62,346,031				$	63,408,355

The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. Variable to fixed-rate convertible advances have a defined lockout period during which the interest rates adjust based on a spread to LIBOR. At the end of the lockout period, these advances may convert to fixed-rate advances. The fixed rates on the converted advances are determined at origination. Both at March 31, 2015 and December 31, 2014, the Bank had convertible advances outstanding of $1.9 billion.

The Bank offers certain advances to members that provide a member the right, based upon predetermined option exercise dates, to call the advance prior to maturity without incurring prepayment or termination fees (returnable advances). If the call option is exercised, replacement funding may be available. At March 31, 2015 and December 31, 2014, the Bank did not have any outstanding returnable advances. At March 31, 2015 and December 31, 2014, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative.

The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of March 31, 2015 and December 31, 2014.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	March 31, 2015		December 31, 2014		March 31, 2015		December 31, 2014
Due in 1 year or less	$	26,931,449	$	29,380,685	$	28,700,449	$	31,164,685
Due after 1 year through 2 years	9,218,391		7,754,473		8,075,891		6,846,973
Due after 2 years through 3 years	14,652,926		12,764,348		14,164,926		12,179,348
Due after 3 years through 4 years	6,854,258		9,361,638		6,741,258		9,095,638
Due after 4 years through 5 years	3,314,508		3,373,989		3,309,008		3,368,489
Thereafter	1,082,287		490,823		1,062,287		470,823
Total par value	$	62,053,819	$	63,125,956	$	62,053,819	$	63,125,956

54

Notes to Financial Statements (continued)

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Fixed-rate – overnight	$	1,774,797	$	2,012,230
Fixed-rate – term:
Due in 1 year or less	17,799,975		20,740,508
Thereafter	10,233,443		9,116,344
Total fixed-rate	29,808,215		31,869,082
Variable-rate:
Due in 1 year or less	7,356,677		6,627,947
Thereafter	24,888,927		24,628,927
Total variable-rate	32,245,604		31,256,874
Total par value	$	62,053,819	$	63,125,956

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of March 31, 2015, the Bank had advances of $45.3 billion outstanding to its five largest borrowers, which represented 73.1% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at March 31, 2015.

As of December 31, 2014, the Bank had advances of $46.6 billion outstanding to its five largest borrowers, which represented 73.8% of total advances outstanding. Of these five, three had outstanding advance balances in excess of 10% of the total portfolio at December 31, 2014.

See Note 8 for information related to the Bank's allowance for credit losses.

55

Notes to Financial Statements (continued)

Note 7 – Mortgage Loans Held for Portfolio

Under the MPF Program, the Bank invests in mortgage loans, which it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 12 for further information regarding transactions with related parties.

The following table presents balances as of March 31, 2015 and December 31, 2014 for mortgage loans held for portfolio.

(in thousands)	March 31, 2015			December 31, 2014
Fixed-rate long-term single-family mortgages (1)	$	2,607,236		$	2,640,633
Fixed-rate medium-term single-family mortgages (1)	400,714			417,830
Total par value	3,007,950			3,058,463
Premiums	50,680			51,214
Discounts	(4,599		)	(4,872		)
Hedging adjustments	26,824			25,789
Total mortgage loans held for portfolio	$	3,080,855		$	3,130,594

Note:

⁽¹⁾ Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Conventional loans	$	2,736,342	$	2,779,962
Government-guaranteed/insured loans	271,608		278,501
Total par value	$	3,007,950	$	3,058,463

See Note 8 - Allowance for Credit Losses for information related to the Bank's credit risk on mortgage loans and allowance for credit losses.

Note 8 – Allowance for Credit Losses

The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans.

Credit Products. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral and lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with theFHLBankAct and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank’s respective credit risk from credit products.

Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member

56

Notes to Financial Statements (continued)

(or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2015, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit.

The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At March 31, 2015, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2015 and December 31, 2014, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products.

MortgageLoans- Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans.

Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans.

The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses.

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE, if any, are incurred by the Bank. At March 31, 2015 and December 31, 2014, the MPF exposure under the FLA was $22.9 million and $23.1 million, respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $0.8 million during each of the first quarters of 2015 and 2014.

Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. Given the credit deterioration experienced by PMI companies, estimated future claim payments from these companies have been reduced and factored into estimated loan losses. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank.

57

Notes to Financial Statements (continued)

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions required by AB 2012-02 as described in Note 1 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which are comprised primarily of MPF loans that are 180 days or more delinquent and other loans where the borrower has filed for bankruptcy.

The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs and recovery through PMI. The estimated fair value is determined based on a value provided by a third party's retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. During 2014, the resulting loss was reduced by available CE. Beginning January 1, 2015, the Bank adopted the charge-off provisions of AB 2012-02. As a result, the estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established, if required.

Rollforward of Allowance for Credit Losses.Mortgage Loans - Conventional MPF.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, beginning of period	$	7,260		$	11,359
(Charge-offs) Recoveries, net (1)	(102		)	—
Provision (benefit) for credit losses	(592		)	(4,041		)
Balance, March 31	$	6,566		$	7,318

Notes:

⁽¹⁾ Net charge-offs that the Bank does not expect to recover through CE receivable.

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. Mortgage Loans - Conventional MPF.

(in thousands)	March 31, 2015		December 31, 2014
Ending balance, individually evaluated for impairment	$	5,362	$	6,034
Ending balance, collectively evaluated for impairment	1,204		1,226
Total allowance for credit losses	$	6,566	$	7,260
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	63,161	$	68,144
Collectively evaluated for impairment	2,751,924		2,789,826
Total recorded investment	$	2,815,085	$	2,857,970

BOB Loans. Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancement requirements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets.

58

Notes to Financial Statements (continued)

Rollforward of Allowance for Credit Losses.BOB Loans.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, Beginning of period	$	1,840		$	2,231
(Charge-offs) Recoveries, net	(284		)	(200		)
Provision for credit losses	104			111
Balance, March 31	$	1,660		$	2,142

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans.

(in thousands)	March 31, 2015		December 31, 2014
Ending balance, individually evaluated for impairment	$	—	$	—
Ending balance, collectively evaluated for impairment	1,660		1,840
Total allowance for credit losses	$	1,660	$	1,840
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	—	$	—
Collectively evaluated for impairment	13,124		13,518
Total recorded investment	$	13,124	$	13,518

Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans.

(in thousands)	March 31, 2015
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured			BOB Loans			Total
Past due 30-59 days	$	42,201		$	14,370		$	—		$	56,571
Past due 60-89 days	10,255			3,382			—			13,637
Past due 90 days or more	34,088			6,176			147			40,411
Total past due loans	$	86,544		$	23,928		$	147		$	110,619
Total current loans	2,728,541			257,853			12,977			2,999,371
Total loans	$	2,815,085		$	281,781		$	13,124		$	3,109,990
Other delinquency statistics:
In process of foreclosures, included above (2)	$	22,827		$	2,902		$	—		$	25,729
Serious delinquency rate (3)	1.2		%	2.2		%	1.1		%	1.3		%
Past due 90 days or more still accruing interest	$	—		$	6,176		$	—		$	6,176
Loans on nonaccrual status (4)	$	38,075		$	—		$	147		$	38,222

59

Notes to Financial Statements (continued)

(in thousands)	December 31, 2014
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured			BOB Loans			Total
Past due 30-59 days	$	50,680		$	19,238		$	124		$	70,042
Past due 60-89 days	11,841			6,034			73			17,948
Past due 90 days or more	41,983			7,024			8			49,015
Total past due loans	$	104,504		$	32,296		$	205		$	137,005
Total current loans	2,753,466			256,606			13,313			3,023,385
Total loans	$	2,857,970		$	288,902		$	13,518		$	3,160,390
Other delinquency statistics:
In process of foreclosures, included above (2)	$	26,981		$	2,389		$	—		$	29,370
Serious delinquency rate (3)	1.5		%	2.4		%	0.1		%	1.6		%
Past due 90 days or more still accruing interest	$	—		$	7,024		$	—		$	7,024
Loans on nonaccrual status (4)	$	45,900		$	—		$	205		$	46,105

Notes:

⁽¹⁾ The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance.

⁽²⁾ Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

⁽³⁾ Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class.

⁽⁴⁾ Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest.

Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below.

	March 31, 2015
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	34,445	$	34,116	$	—
With a related allowance:
Conventional MPF loans	28,716		28,485		5,362
Total:
Conventional MPF loans	$	63,161	$	62,601	$	5,362

	December 31, 2014
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	31,749	$	31,448	$	—
With a related allowance:
Conventional MPF loans	36,395		36,175		6,034
Total:
Conventional MPF loans	$	68,144	$	67,623	$	6,034

60

Notes to Financial Statements (continued)

The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became impaired.

	Three months ended March 31, 2015				Three months ended March 31, 2014
(in thousands)	Average Recorded Investment(1)		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	63,923	$	423	$	79,993	$	322

Notes:

⁽¹⁾ Includes gross charge-offs.

Beginning January 1, 2014, with the adoption of AB 2012-02, the Bank now considers all loans that are 180 days or more delinquent or where the borrower has filed for bankruptcy to be individually impaired loans.

TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that would not have been considered had it not been for economic or legal reasons related to the debtor's financial difficulties. 

Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharges the borrower’s obligation, and the borrower does not reaffirm the debt.As of March 31, 2015 and December 31, 2014, the recorded investment in mortgage loans classified as TDRs was $16.0 million and $16.8 million, respectively. The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows.

BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for up to a one-year period. The credit loss is measured by factoring expected shortfalls incurred as of the reporting date. BOB loan TDRs are not material to the Bank’s financial condition, results of operations, or cash flows.

Real Estate Owned (REO). The Bank had $6.3 million and $6.9 million of REO reported in Other assets on the Statement of Condition at March 31, 2015 and December 31, 2014, respectively.

Purchases, Sales and Reclassifications. During the three months ended March 31, 2015 and 2014, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

Note 9 – Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and funding sources that finance these assets. The goal of the Bank's interest rate risk management strategy is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and funding sources. For additional information on the Bank's derivative transactions, see Note 11 to the audited financial statements in the Bank's 2014 Form 10-K.

Derivative transactions may be executed either with a counterparty (referred to as bilateral derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the derivative transaction is novated and the executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. For bilateral derivatives, the Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of March 31, 2015 and December 31, 2014.

61

Notes to Financial Statements (continued)

	March 31, 2015
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	35,828,625	$	104,126		$	375,909
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	8,650,294	$	26,281		$	64,427
Interest rate swaptions	25,000		83			—
Interest rate caps	675,000		4,137			—
Mortgage delivery commitments	21,726		633			—
Total derivatives not in hedge accounting relationships	$	9,372,020	$	31,134		$	64,427
Total derivatives before netting and collateral adjustments	$	45,200,645	$	135,260		$	440,336
Netting adjustments and cash collateral(1)			(83,206		)	(378,025		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	52,054		$	62,311

	December 31, 2014
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	32,196,669	$	84,205		$	414,760
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	11,937,989	$	21,396		$	52,925
Interest rate swaptions	25,000		1,312			—
Interest rate caps	675,000		4,425			—
Mortgage delivery commitments	18,308		434			—
Total derivatives not in hedge accounting relationships	$	12,656,297	$	27,567		$	52,925
Total derivatives before netting and collateral adjustments	$	44,852,966	$	111,772		$	467,685
Netting adjustments and cash collateral(1)			(75,555		)	(408,721		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	36,217		$	58,964

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

62

Notes to Financial Statements (continued)

The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statements of Income.

	Three months ended March 31,
(in thousands)	2015			2014
Derivatives designated as hedging instruments:
Interest rate swaps	$	585		$	512
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(15,850	)	$	(15,773	)
Interest rate swaptions	139			(48		)
Interest rate caps	(288		)	(1,554		)
Net interest settlements	5,692			6,411
Mortgage delivery commitments	2,143			1,246
Other	7			7
Total net (losses) related to derivatives not designated as hedging instruments	$	(8,157	)	$	(9,711	)
Net (losses) on derivatives and hedging activities	$	(7,572	)	$	(9,199	)

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 three months ended March 31, 2015 and 2014.

(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 March 31, 2015
Hedged item type:
Advances	$	(10,013	)	$	10,175		$	162		$	(46,994	)
Consolidated obligations – bonds	54,590			(53,895		)	695			61,615
AFS securities	(11,735		)	11,463			(272		)	(3,432		)
Total	$	32,842		$	(32,257	)	$	585		$	11,189

Three months ended March 31, 2014
Hedged item type:
Advances	$	48,010		$	(47,263	)	$	747		$	(60,390	)
Consolidated obligations – bonds	45,796			(45,655		)	141			54,437
AFS securities	(9,137		)	8,761			(376		)	(2,544		)
Total	$	84,669		$	(84,157	)	$	512		$	(8,497	)

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. These amounts do not include $2.0 million and $3.5 million for the three months ended March 31, 2015 and 2014, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

The Bank had no active cash flow hedging relationships during the first three months of 2015 or 2014.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For bilateral derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives.

63

Notes to Financial Statements (continued)

For cleared derivatives, the Clearing Houses are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin and the clearing agent notifies the FHLBank of the required initial and variationmargin. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House.

Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 13 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate fair value of all bilateral derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at March 31, 2015 was $133.7 million, for which the Bank has posted cash collateral with a fair value of approximately $75.9 million. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $33.4 million of collateral to its derivative counterparties at March 31, 2015.

For cleared derivatives, the Clearing House determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. The Bank was not required to post additional initial margin by its clearing agents at March 31, 2015.

64

Notes to Financial Statements (continued)

Offsetting of Derivative Assets and Derivative Liabilities. The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)		March 31, 2015			December 31, 2014
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	101,392		$	102,570
Cleared derivatives		33,235			8,768
Total gross recognized amount		134,627			111,338
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(99,445		)	(96,286		)
Cleared derivatives		16,239			20,731
Total gross amounts of netting adjustments and cash collateral		(83,206		)	(75,555		)
Net amounts after netting adjustments:
Bilateral derivatives		1,947			6,284
Cleared derivatives		49,474			29,499
Total net amounts after netting adjustments		51,421			35,783
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		633			434
Cleared derivatives		—			—
Derivative instruments not meeting netting requirements		633			434
Total derivative assets
Bilateral derivatives		2,580			6,718
Cleared derivatives		49,474			29,499
Total derivative assets as reported in the Statement of Condition		52,054			36,217
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		(471		)	(636		)
Cleared derivatives		—			—
Non-cash Collateral received or pledged - Can be sold or repledged		(471		)	(636		)
Net unsecured amount:
Bilateral derivatives		2,109			6,082
Cleared derivatives		49,474			29,499
Total net unsecured amount		$	51,583		$	35,581

65

Notes to Financial Statements (continued)

	Derivative Liabilities
(in thousands)		March 31, 2015			December 31, 2014
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	225,678		$	283,979
Cleared derivatives		214,658			183,706
Total gross recognized amount		440,336			467,685
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(163,367		)	(225,015		)
Cleared derivatives		(214,658		)	(183,706		)
Total gross amounts of netting adjustments and cash collateral		(378,025		)	(408,721		)
Net amounts after netting adjustments:
Bilateral derivatives		62,311			58,964
Cleared derivatives		—			—
Total net amounts after offsetting adjustments		62,311			58,964
Total derivative liabilities
Bilateral derivatives		62,311			58,964
Cleared derivatives		—			—
Total derivative liabilities as reported in the Statement of Condition		62,311			58,964
Net unsecured amount:
Bilateral derivatives		62,311			58,964
Net unsecured amount		$	62,311		$	58,964

Notes:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

66

Notes to Financial Statements (continued)

Note 10 – Consolidated Obligations

Consolidated obligations consist of consolidated bonds and discount notes. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other eleven FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank.

Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required to make such payments on behalf of another FHLBank, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. However, if the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amount of the 12 FHLBanks’ outstanding consolidated obligations were$812.2 billionand$847.2 billion atMarch 31, 2015andDecember 31, 2014, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2014 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015			December 31, 2014
Par value of consolidated bonds:
Fixed-rate	$	37,868,671		$	36,296,100
Step-up	3,040,000			3,116,000
Floating-rate	4,175,000			4,190,000
Total par value	45,083,671			43,602,100
Bond premiums	142,176			147,824
Bond discounts	(10,754		)	(12,111		)
Hedging adjustments	26,249			(23,303		)
Total book value	$	45,241,342		$	43,714,510

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2015 and December 31, 2014.

	March 31, 2015				December 31, 2014
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	15,415,510	0.82	%	$	15,033,450	1.00	%
Due after 1 year through 2 years	10,035,015		1.42		9,316,860		1.42
Due after 2 years through 3 years	5,996,640		1.66		5,346,515		1.64
Due after 3 years through 4 years	4,701,005		1.47		4,709,300		1.50
Due after 4 years through 5 years	3,336,885		1.77		2,911,350		1.72
Thereafter	5,303,650		2.44		5,959,265		2.35
Index amortizing notes	294,966		4.11		325,360		4.14
Total par value	$	45,083,671	1.42	%	$	43,602,100	1.48	%

67

Notes to Financial Statements (continued)

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Noncallable	$	31,145,671	$	30,388,100
Callable	13,938,000		13,214,000
Total par value	$	45,083,671	$	43,602,100

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2015 and December 31, 2014.

(in thousands) Year of Contractual Maturity or Next Call Date	March 31, 2015		December 31, 2014
Due in 1 year or less	$	29,238,510	$	28,232,450
Due after 1 year through 2 years	8,303,015		8,114,860
Due after 2 years through 3 years	3,576,640		3,551,515
Due after 3 years through 4 years	1,687,005		1,390,300
Due after 4 years through 5 years	984,885		1,028,350
Thereafter	998,650		959,265
Index amortizing notes	294,966		325,360
Total par value	$	45,083,671	$	43,602,100

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015			December 31, 2014
Book value	$	37,077,804		$	37,058,118
Par value	37,086,558			37,065,745
Weighted average interest rate (1)	0.11		%	0.10		%

Note:

⁽¹⁾ Represents an implied rate.

Note 11 – Capital

The Bank is subject to three capital requirements under its current Capital Plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 16 to the audited financial statements in the Bank’s 2014 Form 10-K. At March 31, 2015, the Bank was in compliance with all regulatory capital requirements.

The Bank has two subclasses of capital stock: B1 membership stock and B2 activity. Subclass B1 membership stock totaled $319.2 million and $290.4 million at March 31, 2015 and December 31, 2014, respectively. Subclass B2 activity stock was $2.744 billion and $2.751 billion at March 31, 2015 and December 31, 2014, respectively.

68

Notes to Financial Statements (continued)

The following table demonstrates the Bank’s compliance with its regulatory capital requirements at March 31, 2015 and December 31, 2014.

	March 31, 2015						December 31, 2014
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	825,495		$	3,873,224		$	847,424		$	3,879,108
Total capital-to-asset ratio	4.0		%	4.4		%	4.0		%	4.5		%
Total regulatory capital	3,498,522			3,873,224			3,427,083			3,879,108
Leverage ratio	5.0		%	6.6		%	5.0		%	6.8		%
Leverage capital	4,373,153			5,809,836			4,283,854			5,818,663

The decline in ratios from December 31, 2014 to March 31, 2015 is primarily due to the increase in total assets. When the Finance Agency implemented the prompt corrective action provisions of the Housing and Economic Recovery Act of 2008 (Housing Act), it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On March 23, 2015, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended December 31, 2014. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2015.

Capital Concentrations. The following tables present member holdings of 10% or more of the Bank’s total capital stock, including mandatorily redeemable capital stock, outstanding as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	926,305	30.2	%
Santander Bank, N.A., Wilmington, DE	433,306		14.1
Chase Bank USA, N.A.,Wilmington, DE	366,117		11.9

(dollars in thousands)	December 31, 2014
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	876,305	28.8	%
Santander Bank, N.A., Wilmington, DE	424,955		14.0
Chase Bank USA, N.A.,Wilmington, DE	362,050		11.9

Note:

⁽¹⁾ For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA.

Mandatorily Redeemable Capital Stock. Each FHLBank is a cooperative whose member financial institutions and former members own all of the relevant FHLBank's issued and outstanding capital stock. Shares cannot be purchased or sold except between an FHLBank and its members at the shares' $100 per share par value, as mandated by each FHLBank's capital plan.

At March 31, 2015 and December 31, 2014, the Bank had $569 thousand and $586 thousand, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. Estimated dividends on mandatorily redeemable capital stock which were recorded as interest expense were immaterial during March 31, 2015 and March 31, 2014.

69

Notes to Financial Statements (continued)

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, beginning of the period	$	586		$	40
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	—			1,978
Net redemption/repurchase of mandatorily redeemable capital stock	(17		)	(157		)
Balance, end of period	$	569		$	1,861

As of March 31, 2015, the total mandatorily redeemable capital stock reflected the balance for two institutions, one of which was merged out of district and is considered to be a nonmember. The other institution has notified the Bank of its intention to voluntary redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	70		—
Due after 4 years through 5 years	499		586
Total	$	569	$	586

The year of redemption in the table above is the end of the five-year redemption period for the mandatorily redeemable capital stock. Under the Finance Agency regulations and the terms of the Bank's Capital Plan, capital stock supporting advances and other activity with the Bank (e.g., letters of credit, mortgage loans, etc.) is not redeemable prior to the payoff or maturity of the associated advance or other activity, which may extend beyond five years.

Dividends and Retained Earnings. Each FHLBank is required to contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At March 31, 2015, retained earnings were $808.9 million, including $683.4 million of unrestricted retained earnings and $125.5 million of RRE.

The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with

consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of the Bank’s retained earnings. The Bank’s retained earnings policy and capital adequacy metric utilize this guidance.

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. In February 2015, the Bank paid a quarterly dividend equal to an annual yield of 4.0%. This dividend was based on average member capital for the fourth quarter 2014. In addition, the Bank paid a special dividend of 2.5%. The special dividend was based on average member capital stock for the full year of 2014. In April 2015, the Bank paid quarterly dividends equal to an annual yield of 5.0% and 3.0% on activity stock and membership stock, respectively. These dividends were based on stockholders' average balances for the previous quarter.

70

Notes to Financial Statements (continued)

The following table summarizes the changes in AOCI for March 31, 2015 and 2014 respectively.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2013	$	(32,481	)	$	77,642		$	—	$	287		$	(1,108	)	$	44,340
Other comprehensive income (loss) before   reclassification:
Net unrealized gains (losses)	24,528			(575		)	—		—			—			23,953
Net change in fair value of OTTI securities	—			2,018			—		—			—			2,018
Reclassifications from OCI to net income:
Pension and post-retirement	—			—			—		—			39			39
March 31, 2014	$	(7,953	)	$	79,085		$	—	$	287		$	(1,069	)	$	70,350
December 31, 2014	$	32,460		$	94,451		$	—	$	272		$	(2,750	)	$	124,433
Other comprehensive income (loss) before   reclassification:
Net unrealized gains	22,488			1,355			—		—			—			23,843
Net change in fair value of OTTI securities	—			706			—		—			—			706
Reclassifications from OCI to net income:
Amortization on hedging activities	—			—			—		(8		)	—			(8		)
Pension and post-retirement	—			—			—		—			82			82
March 31, 2015	$	54,948		$	96,512		$	—	$	264		$	(2,668	)	$	149,056

71

Notes to Financial Statements (continued)

Note 12 – Transactions with Related Parties

The following table includes significant outstanding related party member balances.

(in thousands)	March 31, 2015		December 31, 2014
Investments	$	155,995	$	157,025
Advances	40,468,917		38,765,267
Letters of credit (1)	9,520,383		9,608,983
MPF loans	1,261,559		1,326,807
Deposits	6,887		13,678
Capital stock	1,793,565		1,714,432

Note:

⁽¹⁾ Letters of credit are off-balance sheet commitments.

The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to Federal funds sold, interest income on investments, and interest expense on deposits were immaterial for the periods presented.

	Three months ended March 31,
(in thousands)	2015		2014
Interest income on advances (1)	$	39,053	$	32,803
Interest income on MPF loans	17,623		21,306
Letter of credit fees	3,028		1,882
Prepayment fees on advances	—		3,090

Note:

⁽¹⁾ For the three months ended March 31, 2015, balances include contractual interest income of $72.8 million, net interest settlements on derivatives in fair value hedge relationships of $(33.4) million and total amortization of basis adjustments of $(0.4) million. For the three months ended March 31, 2014, balances include contractual interest income of $83.6 million, net interest settlements on derivatives in fair value hedge relationships of $(48.7) million and total amortization of basis adjustments of $(2.1) million.

The following table includes the MPF activity of the related party members.

	Three months ended March 31,
(in thousands)	2015		2014
Total MPF loan volume purchased	$	1,407	$	889

The following table summarizes the effect of the MPF activities with FHLBank of Chicago.

	Three months ended March 31,
(in thousands)	2015		2014
Servicing fee expense	$	268	$	237

(in thousands)	March 31, 2015		December 31, 2014
Interest-bearing deposits maintained with FHLBank of Chicago	$	8,089	$	6,782

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three months ended March 31, 2015 and 2014, there was no borrowing or lending activity between the Bank and other FHLBanks.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During the three months ended March 31, 2015 and 2014, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of

72

Notes to Financial Statements (continued)

the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the three months ended March 31, 2015 and 2014.

Additional discussions regarding related party transactions can be found in Note 19 to the audited financial statements in the Bank's 2014 Form 10-K.

Note 13 – Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. These estimates are based on recent market data and other pertinent information available to the Bank at March 31, 2015 and December 31, 2014. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2015 and December 31, 2014 are presented in the table below.

Fair Value Summary Table
	March 31, 2015
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	5,124,196	$	5,124,196	$	—	$	—	$	—		$	5,124,196
Interest-bearing deposits	8,089		—		8,089		—		—			8,089
Federal funds sold	4,915,000		—		4,914,986		—		—			4,914,986
Trading securities	295,855		5,122		290,733		—		—			295,855
AFS securities	8,431,371		1,998		7,471,330		958,043		—			8,431,371
HTM securities	3,079,267		—		2,477,930		645,110		—			3,123,040
Advances	62,346,031		—		62,425,319		—		—			62,425,319
Mortgage loans held for portfolio, net	3,074,289		—		3,279,503		—		—			3,279,503
BOB loans, net	11,347		—		—		11,347		—			11,347
Accrued interest receivable	87,196		—		87,196		—		—			87,196
Derivative assets	52,054		—		135,260		—		(83,206		)	52,054
Liabilities:
Deposits	$	750,927	$	—	$	750,931	$	—	$	—		$	750,931
Discount notes	37,077,804		—		37,079,968		—		—			37,079,968
Bonds	45,241,342		—		45,470,892		—		—			45,470,892
Mandatorily redeemable capital stock (1)	569		576		—		—		—			576
Accrued interest payable (1)	149,563		—		149,556		—		—			149,556
Derivative liabilities	62,311		—		440,336		—		(378,025		)	62,311

73

Notes to Financial Statements (continued)

	December 31, 2014
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	2,451,131	$	2,451,131	$	—	$	—	$	—		$	2,451,131
Interest-bearing deposits	6,782		—		6,782		—		—			6,782
Federal funds sold	4,585,000		—		4,584,981		—		—			4,584,981
Trading securities	281,016		4,721		276,295		—		—			281,016
AFS securities	8,408,835		1,998		7,424,055		982,782		—			8,408,835
HTM securities	3,246,788		—		2,600,638		685,909		—			3,286,547
Advances	63,408,355		—		63,471,078		—		—			63,471,078
Mortgage loans held for portfolio, net	3,123,334		—		3,312,186		—		—			3,312,186
BOB loans, net	11,567		—		—		11,567		—			11,567
Accrued interest receivable	86,109		—		86,109		—		—			86,109
Derivative assets	36,217		—		111,772		—		(75,555		)	36,217
Liabilities:
Deposits	$	641,180	$	—	$	641,183	$	—	$	—		$	641,183
Discount notes	37,058,118		—		37,059,347		—		—			37,059,347
Bonds	43,714,510		—		43,881,951		—		—			43,881,951
Mandatorily redeemable capital stock (1)	586		705		—		—		—			705
Accrued interest payable (1)	103,151		—		103,032		—		—			103,032
Derivative liabilities	58,964		—		467,685		—		(408,721		)	58,964

Notes:

⁽¹⁾ The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

⁽²⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

Fair Value Hierarchy.The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value on the Statement of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

Level 3 Inputs - Unobservable inputs for the asset or liability.

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during the three months ended March 31, 2015 and 2014.

74

Notes to Financial Statements (continued)

Summary of Valuation Methodologies and Primary Inputs

Cash and Due from Banks. The fair values equal the carrying values.

Interest Bearing Deposits. The fair value is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for interest-bearing deposits with similar terms.

Federal Funds Sold. The fair value of Federal funds sold is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for Federal funds with similar terms.

Investment Securities – non-MBS. The Bank uses the income approach to determine the estimated fair value of non-MBS investment securities. The significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves used by the Bank and the related instrument types they measure are as follows:

• Treasury curve: U.S. Treasury obligations

• LIBOR Swap curve: certificates of deposit

• CO curve: Government-sponsored enterprises, state and local agency, and other U.S. obligations

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

During the year, the Bank conducts reviews of the four pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures for agency and private label MBS. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes.

The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.

The Bank also reviewed the final fair value estimates of its private label MBS holdings as of March 31, 2015 for reasonableness using an implied yield test. On certain securities, the Bank calculated an implied yield using the estimated fair value derived from the process described above and the security's projected cash flows from the Bank's OTTI process and compared such yield to the market yield to dealer sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary.

As of March 31, 2015, four vendor prices were received for a majority of the Bank's MBS holdings, and the final prices for a majority of those securities were computed by averaging the four prices. Based on the Bank's reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices), and further that the fair value measurements are classified appropriately in the fair value hierarchy. Based on the current lack of significant market activity for private label residential MBS, the Bank believes that as of March 31, 2015, private label residential MBS inputs should be classified as Level 3.

75

Notes to Financial Statements (continued)

Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices.

Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment.

Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market.

Accrued Interest Receivable and Payable. The fair values approximate the carrying values.

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks.

The Bank is subject to credit risk on bilateral derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its bilateral derivative transactions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset; if negative, a liability.

The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows:

Interest-rate related:

• Discount rate assumption. Overnight Index Swap (OIS) curve.

• Forward interest rate assumption. LIBOR Swap Curve.

• Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.

Mortgage delivery commitments:

• To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement.

BOB Loans. The fair value approximates the carrying value.

Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms.

Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. The OF constructs an internal curve, referred to as the CO

76

Notes to Financial Statements (continued)

curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity.

Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally its par value plus estimated dividends at the time of reclassification and any subsequently estimated dividend. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure.

Commitments. For fixed-rate loan commitments, fair value considers the difference between current levels of interest rates and the committed rates. The Bank issues standby letters of credit for a fee. The unamortized fee is the letter of credit's carrying value and represents its fair value. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2015 and December 31, 2014.

Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time.

77

Notes to Financial Statements (continued)

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 Statements of Condition at March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA obligations	$	—	$	290,733	$	—	$	—		$	290,733
Mutual funds	5,122		—		—		—			5,122
Total trading securities	$	5,122	$	290,733	$	—	$	—		$	295,855
AFS securities:
GSE and TVA obligations	$	—	$	3,388,639	$	—	$	—		$	3,388,639
State or local agency obligations	—		127,002		—		—			127,002
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations single family MBS	—		316,071		—		—			316,071
GSE single-family MBS	—		2,753,192		—		—			2,753,192
GSE multifamily MBS	—		886,426		—		—			886,426
Private label MBS:
Private label residential MBS	—		—		946,912		—			946,912
HELOCs	—		—		11,131		—			11,131
Total AFS securities	$	1,998	$	7,471,330	$	958,043	$	—		$	8,431,371
Derivative assets:
Interest rate related	$	—	$	134,627	$	—	$	(83,206	)	$	51,421
Mortgage delivery commitments	—		633		—		—			633
Total derivative assets	$	—	$	135,260	$	—	$	(83,206	)	$	52,054
Total assets at fair value	$	7,120	$	7,897,323	$	958,043	$	(83,206	)	$	8,779,280
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	440,336	$	—	$	(378,025	)	$	62,311
Total derivative liabilities (2)	$	—	$	440,336	$	—	$	(378,025	)	$	62,311

78

Notes to Financial Statements (continued)

	December 31, 2014
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA obligations	$	—	$	276,295	$	—	$	—		$	276,295
Mutual funds	4,721		—		—		—			4,721
Total trading securities	$	4,721	$	276,295	$	—	$	—		$	281,016
AFS securities:
GSE and TVA obligations	$	—	$	3,233,703	$	—	$	—		3,233,703
State or local agency obligations	—		98,984		—		—			98,984
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations single family MBS	—		329,379		—		—			329,379
GSE single-family MBS	—		2,882,162		—		—			2,882,162
GSE multifamily MBS	—		879,827		—		—			879,827
Private label MBS:
Private label residential MBS	—		—		971,083		—			971,083
HELOCs	—		—		11,699		—			11,699
Total AFS securities	$	1,998	$	7,424,055	$	982,782	$	—		$	8,408,835
Derivative assets:
Interest rate related	$	—	$	111,338	$	—	$	(75,555	)	$	35,783
Mortgage delivery commitments	—		434		—		—			434
Total derivative assets	$	—	$	111,772	$	—	$	(75,555	)	$	36,217
Total assets at fair value	$	6,719	$	7,812,122	$	982,782	$	(75,555	)	$	8,726,068
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	467,685	$	—	$	(408,721	)	$	58,964
Total derivative liabilities (2)	$	—	$	467,685	$	—	$	(408,721	)	$	58,964

Notes:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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

There were no transfers between Levels 1 or 2 during the first three months of 2015 or 2014.

79

Notes to Financial Statements (continued)

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. 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 three months ended March 31, 2015 and 2014. 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. There were no Level 3 transfers during the first three months of 2015 or 2014.

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2015			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2015
Balance at January 1	$	971,083		$	11,699
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	4,659			378
Net unrealized (losses) on AFS in OCI	(15		)	—
Net change in fair value on OTTI AFS in OCI	709			(3		)
Unrealized gains (losses) on OTTI AFS in OCI	1,608			(253		)
Purchases, issuances, sales, and settlements:
Settlements	(31,132		)	(690		)
Balance at March 31	$	946,912		$	11,131
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2015	$	4,659		$	378

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2014			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2014
Balance at January 1	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	2,936			330
Net unrealized (losses) on AFS in OCI	(30		)	—
Net change in fair value on OTTI AFS in OCI	1,998			20
Unrealized gains (losses) on OTTI AFS in OCI	(684		)	109
Purchases, issuances, sales, and settlements:
Settlements	(50,823		)	(864		)
Balance at March 31	$	1,077,021		$	14,023
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2014	$	2,936		$	330

80

Notes to Financial Statements (continued)

Note 14 – Commitments and Contingencies

The following table presents the Bank's various off-balance sheet commitments which are described in detail below.

(in thousands)	March 31, 2015						December 31, 2014
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (3)	$	20,379,054	$	—	$	20,379,054	$	19,942,125
Commitments to fund additional advances and BOB loans	29,290		—		29,290		21,124
Commitments to fund or purchase mortgage loans	21,726		—		21,726		18,308
Unsettled consolidated obligation bonds, at par (2)	460,865		—		460,865		95,530
Unsettled consolidated obligation discount notes, at par	500,000		—		500,000		500,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $122.3 million and $146.8 million at March 31, 2015 and December 31, 2014, respectively.

⁽²⁾ Includes $415.9 million and $83.1 million of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2015 and December 31, 2014, respectively.

⁽³⁾ $5.2 billion of these letters of credit have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of 5 years.

Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized advance. The original terms of these standby letters of credit, including related commitments, range from less than one month to 5 years.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $4.3 million and $4.8 million as of March 31, 2015 and December 31, 2014, respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit.

Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in other liabilities on the Statements of Condition.

The Bank does not have any legally binding or unconditional unused lines of credit for advances at March 31, 2015 and December 31, 2014. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding at March 31, 2015 and December 31, 2014 of $7.7 billion and $7.4 billion, respectively.

Commitments to Fund or Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program. These delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 9 - Derivatives and Hedging Activities for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank's financial condition, results of operations or cash flows.

Notes 6, 9, 10, 11, and 12 also discuss other commitments and contingencies.

81

Item 3: Quantitative and Qualitative Disclosures about Market Risk

See the Risk Management section in Part I, Item 2. Management’s Discussion and Analysis in this Form 10-Q.

Item 4: Controls and Procedures

Under the supervision and with the participation of the Bank’s management, including the chief executive officer, chief financial officer, and chief accounting officer, the Bank conducted an evaluation of its disclosure controls and procedures, as such term is defined under Rule 13a-15(e) promulgated under the Securities Exchange Act of 1934, as amended (the 1934 Act). Based on this evaluation, the Bank’s chief executive officer, chief financial officer, and chief accounting officer concluded that the Bank’s disclosure controls and procedures were effective as of March 31, 2015.

Internal Control Over Financial Reporting

There have been no changes in internal control over financial reporting that occurred during the first quarter of 2015 that have materially affected, or are reasonably likely to materially affect, the Bank’s internal control over financial reporting.

PART II – OTHER INFORMATION

Item 1: Legal Proceedings

The Bank may be subject to various legal proceedings arising in the normal course of business. After consultation with legal counsel, management is not aware of any such proceedings that might result in the Bank’s ultimate liability in an amount that will have a material effect on the Bank’s financial condition or results of operations.

Item 1A: Risk Factors

For a complete discussion of Risk Factors, see Item 1A. Risk Factors in the Bank’s 2014 Form 10-K.

Item 2: Unregistered Sales of Equity Securities and Use of Proceeds

Not applicable.

Item 3: Defaults upon Senior Securities

None.

Item 4: Mine Safety Disclosures

Not applicable.

Item 5: Other Information

None.

82

Item 6: Exhibits

Exhibit 10.5.2	Supplemental Executive Retirement Plan as amended March 26, 2015
Exhibit 10.6.2	Supplement Thrift Plan as amended March 26, 2015
Exhibit 31.1	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer
Exhibit 31.2	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer
Exhibit 31.3	Certification Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer
Exhibit 32.1	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer
Exhibit 32.2	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer
Exhibit 32.3	Certification Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer
Exhibit 101	Interactive Data File (XBRL)

SIGNATURE

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned thereunto duly authorized.

Federal Home Loan Bank of Pittsburgh

(Registrant)

Date: May 7, 2015

By: /s/ David G. Paulson

David G. Paulson

Chief Financial Officer

By: /s/ Edward V. Weller

Edward V. Weller

Chief Accounting Officer

83

EX-10.5.2

Federal Home Loan Bank of Pittsburgh

Supplemental Executive Retirement Plan

Amended and Restated Effective June 26, 2007

Revised December 19, 2008, December 18, 2009, October 26, 2012 and March 26, 2015

Table of Contents

Article    Page

Preamble    1

I.    Definitions    2

II.    Participation and Vesting    4

III.    Amount and Payment of Supplemental Benefits    5

IV.    Administration of the Plan    9

V.    General Provisions    11

Preamble

The Federal Home Loan Bank of Pittsburgh (the "Bank") participates in the Financial Institutions Retirement Fund ("Retirement Fund"), a defined benefit retirement plan qualified under the Internal Revenue Code (the "Code") for employees of the Federal Home Loan Bank of Pittsburgh. The Retirement Fund provides benefits to employees based upon age at retirement, years of service and preceding years’ salary based on the Participant’s hire date with the Bank.

However, as a result of the limitations imposed upon the aggregate amount of benefits that a Participant may receive from the Retirement Fund under Section 415 and other sections of the Code, such limitations causing a reduction in the benefits otherwise provided to certain of the Bank's executives, the Bank has adopted this nonqualified, unfunded Supplemental Executive Retirement Plan ("Plan"). The purpose of this Plan is to allow certain executives whose benefits under the Retirement Fund would otherwise be significantly restricted by the terms of the Retirement Fund itself or the Code to receive benefits under the Plan in order to make up the benefits lost under the Retirement Fund.

Article I

Definitions

1.1 "Board" or "Board of Directors" means the Board of Directors of the Federal Home Loan Bank of Pittsburgh.

1.2 "FIRF Beneficiary" means the person or persons designated by a Retiree under the provisions of the Retirement Fund to receive his/her benefits in the event of his/her death prior to receipt of all benefits thereunder.

1.3 "SERP Beneficiary" means the person or persons designated by a Participant under the provisions of this SERP to receive his/her benefits in the event of his/her death prior to receipt of all benefits hereunder. If no person is designated by a Participant or the designated person or persons do not survive the Participant, the Participant’s SERP Beneficiary shall be his/her estate.

1.4 "Compensation" means the annual base salary plus incentive compensation, excluding any Deferred Incentive Award as defined in Section 1.5

1.5 “Deferred Incentive Award” means that portion of a Participant’s award under a Bank incentive plan, if any, that is performance based, contingent and subject to payment deferral under the terms of such incentive plan.

1.6 "Original Effective Date" means January 1, 1991.

1.7 "Human Resources Committee" means the Human Resources Committee of the Board of Directors including any successor Board Committee as shall be designated by the Board from time to time as having responsibility for Bank compensation and benefits programs.

1.8 "Participant" means an executive or other key employee who has been recommended by the Bank President, and confirmed by the Board, as eligible to participate in the Plan.

1.9 "Plan Administrator" means such officer(s) or manager of the Bank who has been appointed by the Human Resources Committee to administer the Plan as set forth in Section 4.2 of the Plan. The Human Resources Director (and any successor) shall serve as the Plan Administrator unless the Board shall appoint another Bank officer(s) or manager.

1.10 "Retiree" means a Participant who has retired under the terms of the Retirement Fund on a normal retirement benefit, an early retirement benefit, or a total and permanent incapacity benefit.

1.11 "Supplemental Thrift Plan" means the Federal Home Loan Bank of Pittsburgh Supplemental Thrift Plan.

1.12    "Supplemental Benefits" means the benefits under this Plan.

1.13 “Separation from Service” means the Participant’s death, retirement, the time at which the Participant’s services performed for the Bank are permanently reduced to no more than 20 percent of the average level of services performed by the Participant over the preceding 36-month period, or other termination of employment all as set forth in applicable definitions under 26 C.F.R. 1.409A-1(h) and related and successor regulations as may be in effect from time to time.

Article II

Participation and Vesting

2.1 Participation. An executive or other key employee shall become eligible for Plan participation on the later of the first day of the calendar month coincident with or next following the date his/her participation is approved by the Board or the Effective Date. Once selected as a Participant, a Participant shall continue as a Participant until the Board determines otherwise. No Participant shall have the right to continue as a Participant in the Plan. Upon designation as a Participant, the Participant will be given a copy of the Plan.

2.2 Termination of Participation. A Participant's eligibility for Supplemental Benefits under the Plan, if any, shall terminate if his/her employment with the Bank terminates, unless, at that time the Participant is entitled to a vested benefit from the Retirement Fund. A Participant's Supplemental Benefits under this Plan may be subject to Forfeiture for Cause, at any time, as defined in Section 5.6.

2.3 Vesting of Supplemental Benefits. Supplemental Benefits in this Plan shall vest when benefits vest under the Retirement Fund subject to the Forfeiture for Cause as defined in Section 5.6.

Article III

Amount and Payment of Supplemental Benefits

3.1 Obligation to Pay the Supplemental Benefits – Events Which Trigger Payment. The Supplemental Benefits under this Plan shall be payable by the Bank only with respect to Participants who die or terminate employment with the Bank with vested benefits from the Retirement Fund. Consistent with Section 5.2, such Supplemental Benefits shall be payable only from the general assets of the Bank.

3.2 Amount of Supplemental Benefits. Except in the case of Participant’s death while in active service, the value, if any, of the Supplemental Benefits shall be equal to the excess of (a) over (b), where:

(a)    is the value of the benefit that would be payable (in a lump sum) as calculated by the Retirement Fund (for services to the Bank) to, or on account of the Participant in the Retirement Fund, if the provisions of the Retirement Fund were administered:

(i)    without regard to the limitations imposed by Section 401(a)(17) and Section 415 of the Internal Revenue Code;

(ii)    with benefit service calculated from date of hire with the Bank;

(iii)    with restoration of Compensation reduced as a result of the Participant's deferral of such Compensation under the terms of the Supplemental Thrift Plan; and

(iv)    using the Compensation definition in this Plan.

(b)    is the value of the benefit as calculated by the Retirement Fund in a lump sum (for services to the Bank), payable to or on account of the Participant in the Retirement Fund.

3.3 Amounts Vested as of 12/31/04 – Form of Payment of Supplemental Benefits. A Participant must file a written payment election with the Plan Administrator indicating the form of payment of Supplemental Benefits under this Plan; provided, however, that any election made within one year of the first day (January 1) of the calendar year in which the Participant would become eligible to receive payment of Supplemental Benefits under this Plan shall not be effective, and the election in effect immediately prior to the election(s) made within such one-year period shall be deemed to be the election of the Participant. It is expressly agreed that, except in the case of a Participant’s death in active service or as otherwise provided in this Plan, initial payment of Supplemental Benefits due to a Participant under this Plan shall begin within 90 days following the date of the Participant’s Separation from Service, as defined above. The manner in which such Supplemental Benefits are paid to a Participant shall be in accordance with the Participant’s payment election then in effect. If the Participant has elected a single lump sum payment, such payment shall be made within 90 days of Participant’s Separation from Service. If the Participant has elected a form of payment other than a single lump sum payment, the initial installment shall be paid within 90 days of Participant’s Separation from Service and each remaining annual payment shall be made no later than March 31 of each succeeding year. The available forms of payment of the Supplemental Benefits payable hereunder shall be as follows:

(a) a life annuity over the life of the Participant;

(b) a 100 percent joint and survivor annuity over the life of the Participant and Participant’s spouse;

(c) a 50 percent joint and survivor annuity over the life of the Participant and the Participant’s spouse;

(d) a revised retirement allowance during life with some other benefit payable upon the Participant’s death, where either a dollar amount or percentage of the retirement allowance and death benefit respectively are specified in the payment election;

(e) a single lump sum payment; or

(f) a partial lump sum payment equal to 25 percent, 50 percent or 75 percent of the total benefit and an annual allowance for the remainder of the benefit which must commence at the time of the partial lump sum payment.

If a Participant fails for any reason to have a valid and effective written payment election hereunder, Supplemental Benefits under this Plan shall be paid within 90 days of the later of the first day of the month in which the Participant has a Separation from Service or attains age 65 and shall be paid in the form of a single lump sum payment.

At any time when a Participant who is a party to a split dollar life insurance agreement with the Bank (an “SDA”) has an advance cash surrender value election in force under the SDA, such Participant shall, regardless of any other payment election made under this Plan, be deemed to have elected a single lump sum payment under this Plan. A Participant who is a party to an SDA and wishes to make a payment election under this Plan other than a lump sum payment may do so only if he/she revokes any advance cash surrender value election in force under the SDA.

3.4 Amounts Not Vested as of 12/31/04 – Form and Timing of Payment of Supplemental Benefits. A Participant must file a written payment election with the Plan Administrator indicating the form of payment of Supplemental Benefits under this Plan; provided, however, that any election made within one year of the first day (January 1) of the calendar year in which the Participant would become eligible to receive payment of Supplemental Benefits under this Plan shall not be effective, and the election in effect immediately prior to the election(s) made within such one-year period shall be deemed to be the election of the Participant. Notwithstanding the foregoing, no change in a payment election may be made which impermissibly accelerates any payment, including any revocation of a prior election. Any change in the form of annuity or other installment payment election, from a partial or full lump sum election to an installment or annuity payment election or from an installment or annuity election to a form of lump sum election (“Revised Election”) will become effective on the first January 1 which is twelve months after the date of the election.

In addition, with respect to any such Revised Election (excluding a change in the form of an annuity payment election from one form of annuity payment to another annuity form that is “actuarially equivalent” to the prior elected annuity form as determined by the Bank in accordance with applicable law and regulations) the payment of the Participant’s Supplemental Benefits to be paid to the Participant must be deferred by at least five years after the date on which such payment would have been made. For this purpose, a series of installment or annuity

payments shall be treated as the entitlement to a single payment on the date of the first payment. Initial payment of Supplemental Benefits due to a Participant under this Plan shall begin within 90 days following the date of Participant’s Separation from Service with the Bank. The manner in which such Supplemental Benefits are paid to a Participant shall be in accordance with Participant’s payment election then in effect. If the Participant has elected a single lump sum payment, such payment shall be made within 90 days of Participant’s Separation from Service. If the Participant has elected another form of payment, the initial installment shall be paid within 90 days of Participant’s Separation from Service and each remaining annual payment shall be made no later than March 31 of each succeeding year.

The available forms of payment of the Supplemental Benefits payable hereunder shall be as follows:

(a) a life annuity over the life of the Participant;

(b) a 100 percent joint and survivor annuity over the life of the Participant and Participant’s spouse;

(c) a 50 percent joint and survivor annuity over the life of the Participant and the Participant’s spouse;

(d) a revised retirement allowance during life with some other benefit payable upon the Participant’s death, where either a dollar amount or percentage of the retirement allowance and death benefit, respectively, are specified in the payment election;

(e) a single lump sum payment; or

(f) a partial lump sum payment equal to 25 percent, 50 percent or 75 percent of the total benefit and an annual allowance for the remainder of the benefit which must commence at the time of the partial lump sum payment.

If a Participant fails for any reason to have a valid and effective written payment election hereunder, Supplemental Benefits under this Plan shall be paid within 90 days of the later of the first of the month in which the Participant has a Separation from Service or attains age 65 and shall be paid in the form of a single lump sum payment.

Effective as of January 1, 2005, at any time when a Participant who is a party to an SDA has an advance cash surrender value election in force under the SDA, such Participant shall, regardless of any other payment election made under this Plan, be deemed to have elected a single lump sum payment under this Plan. A Participant who is a party to an SDA and wishes to make a payment election under this Plan other than a lump sum payment may do so only if he/she revokes any advance cash surrender value election in force under the SDA and, whether or not such an election has been made under the SDA, irrevocably waives the right to make such an election in the future. In addition, any such election under this Plan which is a Revised Election, shall be subject to the restrictions on Revised Elections set forth above in this Section 3.4.

3.5 Amounts Not Vested as of 12/31/04 – Revision of Existing Payment Election Prior to 12/31/07. The Plan is hereby amended to permit each Participant, on or before December 31, 2007, to amend his/her current payment election as in effect on June 25, 2007, covering amounts

not vested as of December 31, 2004. Such a revised payment election shall be referred to as a “Transition Election.” Provided that such Transition Election does not result in a payment in 2007, such Transition Election shall become effective upon receipt by the Plan Administrator and shall not be subject to the terms of Section 3.4. Any Transition Election shall be subject to the requirements of I.R.S. Notice 2006-79.

Additional Transition Election Prior to 12/31/08: Effective January 1, 2008, the Plan is hereby amended to permit each Participant, on or before December 31, 2008, to amend his/her current payment election with respect to amounts not vested as of December 31, 2004. Such a revised payment election shall be referred to as the 2008 Transition Election. Provided that such Transition Election does not result in a payment in 2008, such 2008 Transition Election shall become effective upon receipt by the Plan Administrator and shall not be subject to the terms of Section 3.4. Any Transition Election shall be subject to the requirements of I.R.S. Notice 2006-79, as modified by IRS Notice 2007-86.

3.6 Death Benefit. In the event of the death of a Participant while in active service, but prior to becoming a Retiree, the death benefit will equal the excess of (a) over (b) where:

(a)    is the death benefit (as calculated by the Retirement Fund) that would otherwise be payable to the FIRFBeneficiary under the Retirement Fund, if the provisions of the Retirement Fund were (i) administered without regard to the limitations imposed by Sections 401(a)(17) and 415 of the I.R.C. and (ii) calculated from the date of hire. For purposes of determining the benefit under this subsection (a), (i) any deferrals made by or on account of the Participant to the Supplemental Thrift Plan are to be included as Compensation and (ii) Compensation shall be defined as under this Plan.

(b)    is the death benefit, as calculated by the Retirement Fund.

3.7 Restoration of Employment. If a Participant is restored to employment with the Bank, ongoing payments under the Plan shall be discontinued. Upon death or other Separation from Service with the Bank, the Participant's Supplemental Benefits under the Plan shall be recomputed in the manner of the applicable provisions of this Plan and the Retirement Fund, and shall again become payable to such Participant in accordance with the provisions of the Plan, but be reduced by the amounts already paid to the Participant under the Plan.    

Article IV

Administration of the Plan

4.1 Human Resources Committee. The Board has delegated to the Human Resources Committee authority over, and responsibility for, the interpretation and administration of the Plan; except that, the power to determine eligibility for participation in the Plan pursuant to Section 2.1 is reserved to the Board. The Human Resources Committee shall interpret and construe the Plan and have the responsibility to ensure that its provisions are carried out. The Human Resources Committee shall exercise such power and responsibilities in its sole and absolute discretion. The Human Resources Committee shall designate an officer(s) or manager of the Bank to act as administrator of the Plan, to perform those duties set forth below in Section 4.2.

4.2 Plan Administrator. The Plan Administrator shall:

(a) act as the point of contact for submission of claims for Supplemental Benefits under the Plan;

(b) calculate the Supplemental Benefits due under the Plan or arrange for the calculation of Supplemental Benefits;

(c) inform Participants of the terms of the Plan and respond to their questions regarding the Plan;

(d) review and process claims for the payment of Supplemental Benefits under the Plan;

(e) provide necessary reporting to Bank management, Participants, the Human Resources Committee, the Board and others, as necessary; and

(f) take such other action as required to perform the tasks listed hereunder or otherwise administer the terms of the Plan. In fulfilling the responsibilities in this section, the Plan Administrator may use other Bank staff, other agents or engage contractors.

4.3 Claims Procedure. All claims for Supplemental Benefits shall be in writing and shall be filed with the Plan Administrator. If the Plan Administrator wholly or partially denies a Participant's or SERP Beneficiary's claim for Supplemental Benefits hereunder, the Plan Administrator shall, within 90 days after the Plan's receipt of the claim, give the claimant written notice setting forth in understandable language:

(a)    the specific reason(s) for the denial;

(b)    specific reference to pertinent Plan provisions on which the denial is based;

(c)    a description of any additional material or information which must be submitted to perfect the claim, as well as an explanation of why such material or information is necessary; and

(d)    an explanation of the Plan's review procedure.

The claimant shall have 60 days after the day on which such written notice of denial is handed or mailed to him/her, in which to apply (in person or by authorized representative), to the Human Resources Committee, in writing, for a full and fair review of the denial of his/her claim. In connection with such review, the claimant (or his/her representative) shall be afforded reasonable opportunity to review pertinent documents, and may submit issues and comments in writing.

The Human Resources Committee shall issue its decision on review promptly and within 60 days after the Plan's receipt of the request for review, unless special circumstances require an extension to not later than 120 days after receipt of the request for review. (Written notice of any such extension shall be furnished to the claimant before the commencement of such extension.) The decision shall be in writing and shall be in understandable language setting forth specific reasons for the decision and specific references to pertinent Plan provisions on which the decision is based.

Article V

General Provisions

5.1 Rights to Employment. The establishment of the Plan, and selection of an executive for inclusion as a Participant in the Plan, shall not be construed as conferring any legal rights upon any Participant or other person for the continuation of employment; nor shall it interfere with the rights of the Bank to discharge any Participant and to treat him/her without regard to the effect such treatment might have upon him/her as a Participant in the Plan.

5.2 Source of Funding – Participant as General Creditor. The Bank shall not be required to establish any form of trust or funded account for the purpose of providing the Supplemental Benefits under this Plan. The Bank, in its sole discretion, may choose to establish funding arrangements with respect to the Plan on such terms and conditions as the Bank deems appropriate; provided, however, that the assets of the Bank held pursuant to any such arrangement shall remain subject to the claims of the Bank's general creditors. Any Participant who may have or claim any interest in or right to any Supplemental Benefits payable hereunder, shall rely solely upon the unsecured promise of the Bank as set forth herein, for the payment of the claim. Nothing herein contained should be construed to give to or vest in any Participant, now or at any time in the future, any right, title, interest or claim in or to any specific asset, fund, reserve, account or property of any kind whatever owned by the Bank, or in which the Bank may have any right, title or interest, now or at any time in the future. The Plan is not intended to be a qualified plan within the meaning of Section 401(a) of the Internal Revenue Code and the Bank shall not be required to qualify the Plan under the Internal Revenue Code.

5.3 Incapacity. In the event that the Human Resources Committee shall find that a Participant is unable to care for his/her affairs because of illness or accident, the Human Resources Committee may direct that any Supplemental Benefits payment due him/her, unless claim shall have been made therefor by a duly appointed legal representative, be paid to his/her spouse, a child, a parent or other blood relative, or to a person with whom he/she resides, and any such payment so made shall be a complete discharge of the liabilities of the Plan therefor.

5.4 Reporting and Withholding of Taxes. The Bank shall file Form W-2 and other applicable tax documents as required under applicable federal and state law, including, without limitation, any required annual federal tax filings of a Participant’s accrued benefits under or payments from the Plan. The Bank shall have the right to deduct from each Supplemental Benefits payment to be made under the Plan any required withholding taxes and shall withhold or cause to be withheld from all payments or accruals of Supplemental Benefits under the Plan (if applicable), all federal, state or local taxes required to be withheld by law. The Participant shall be liable for the payment of all taxes on the Supplemental Benefits under the Plan that are the Participant's responsibility under the laws establishing such taxes.

5.5 Alienation of Supplemental Benefits Under the Plan. Supplemental Benefits payable under this Plan shall not be subject in any manner to anticipation, alienation, sale, transfer, assignment, pledge, encumbrance or charge, whether voluntary or involuntary, including any such liability which is for alimony or other payments for the support of a spouse or former spouse, or for any other relative of the Participant, prior to actually being received by the person entitled to the Supplemental Benefits under the terms of the Plan, and any attempt to anticipate, alienate, sell, transfer, assign, pledge, encumber or charge the same shall be void; nor shall any such distribution or payment be in any way liable for or subject to the debts, contracts, liabilities,

engagements or torts of any person entitled to such distribution or payment. If any Participant or SERP Beneficiary is adjudicated bankrupt or purports to anticipate, alienate, sell, transfer, assign, pledge, encumber or charge any such distribution or payment voluntarily or involuntarily, the Bank, in its discretion, may hold or cause to be held or applied such distribution or payment or any part thereof to or for the benefit of such Participant or SERPBeneficiary in such manner as the Bank shall direct.

5.6 Forfeiture for Cause. The Supplemental Benefits otherwise payable under the Plan to a Participant may be subject to forfeiture for cause at any time. "Cause" shall mean:

(a)    the perpetration by a Participant of a defalcation involving the Bank or any affiliate;

(b)    willful, reckless or grossly negligent conduct of a Participant entailing a substantial violation of any material provision of the laws, rules, regulations or orders of any governmental agency applicable to the Bank or an affiliate;

(c)    the repeated and deliberate failure by a Participant to comply with reasonable policies or directives of the Board; or

(d)    the breach by a Participant of a noncompetitive covenant or agreement with the Bank or affiliate.

Whether the facts in any case amount to "Cause" shall be determined by the Board of Directors.

5.7 Compliance with Laws. The provisions of the Plan shall be construed, administered and governed under the laws of the United States including, without limitation, Internal Revenue Code Section 409A and implementing regulations and, to the extent they defer to state law, the laws of the Commonwealth of Pennsylvania.

5.8 Construction. Whenever any words are used herein in the masculine gender, they shall be construed as though they were also used in the feminine gender in all cases where they would so apply, and whenever any words are used herein in the singular form, they shall be construed as though they were also used in the plural form in all cases where they would so apply. Titles of Articles and Sections hereof are for convenience of reference only and are not to be taken into account in construing the provisions of this Plan. In case any provision of the Plan shall be held illegal or invalid for any reason, said illegality or invalidity shall not affect the remaining parts of the Plan, but the Plan shall be construed and enforced as if said illegal and invalid provision had never been inserted herein.

5.9 Amendment and Termination. The Bank specifically reserves the right, in the sole and unfettered discretion of its Board, at any time, to amend, in whole or in part, any or all of the provisions of the Plan and to terminate the Plan in whole or in part; provided, however, that no such amendment or termination shall reduce or eliminate the rights of a Participant accrued hereunder to the date of such amendment or termination. Provided further, that no such termination shall result in an impermissible acceleration of any amount deferred under this Plan that would violate the provisions of Internal Revenue Code Section 409A(a)(3) or Treasury Regulation Section 1.409A-3(j) or any successor regulations.

5.10 Binding on Successors. The Plan shall be binding upon and inure to the benefit of the Bank and its successors and assigns. The Plan shall also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank. Nothing in the Plan shall preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its assets to, another organization, which assumes the Plan and all obligations of the Bank hereunder. The Bank agrees that it will make appropriate provision for the preservation of Participants' rights under the Plan in any agreement or plan which it may enter into to effect any merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization, or transfer of assets and assumption of Plan obligations of the Bank, the term "Bank" shall refer to such other organization and the Plan shall continue in full force and effect.

5.11 Permissible Payment Acceleration. In the event of an Internal Revenue Code Section 409A Plan failure that results in income inclusion to a Participant, payment of Participant’s benefits under this Plan shall be accelerated; provided that, the amount of the accelerated payment shall not exceed the amount required to be included in Participant’s income due to the Plan failure.

EX-10.6.2

Federal Home Loan Bank of Pittsburgh

Supplemental Thrift Plan

Amended and Restated Effective June 26, 2007

Revised September 26, 2007, December 19, 2008, December 18, 2009, October 26, 2012 and

March 26, 2015

Table of Contents

Article    Page

Preamble        1

I.    Definitions        2

II.    Participation and Vesting    4

III.    Deferral Elections; Employee Deferrals; Bank Deferrals    5

IV.    Accounts and Investment Vehicles    7

V.    Distribution of Benefits    8

VI.    Administration of the Plan    11

VII. General Provisions    13

VIII. Amendment Effective March 26, 2015 Governing Deferrals of Deferred Incentive Award Installments    16

Preamble

The Federal Home Loan Bank of Pittsburgh (the "Bank") participates in the Financial Institutions Thrift Plan (the "Thrift Plan"), a retirement savings plan qualified under the Internal Revenue Code (the "Code") for employees of the Federal Home Loan Bank of Pittsburgh. The Thrift Plan permits eligible employees to elect to reduce and defer a percentage of their compensation, contributing the same to the Thrift Plan. The Bank matches employee contributions based on length of service and the amount of employee contributions.

However, as a result of the limitations imposed upon the aggregate amount of contributions which can be made to the Thrift Plan under Section 415 and other sections of the Code, such limitations causing a reduction in the benefits otherwise provided to certain of the Bank's executives, the Bank has adopted this nonqualified, unfunded Supplemental Thrift Plan (the "Plan"). The purpose of this Plan is to allow those employees whose benefits under the Thrift Plan would otherwise be significantly restricted by the terms of the Thrift Plan itself or the Code to make elective pretax deferrals and to receive the Bank match relating to such deferrals. Additionally, under the Plan, the Bank will match 200 percent of such employee's contributions; provided, however, that the Bank’s matching contribution will not exceed the excess of 3 percent of the employee's compensation (as defined in the Plan) over the Bank's contribution to the Thrift Plan.

Article I

Definitions

1.1 "Account" means the book reserve account established and maintained hereunder to record the contributions deemed to be made by the Participant and the Bank, as well as the increase in value attributable to the earnings thereon, all as described hereafter.

1.2 “Bank" means the Federal Home Loan Bank of Pittsburgh.

1.3 “Bank Deferral" means an amount allocated by the Bank to a Participant’s Account pursuant to Section 3.3.

1.4 "Beneficiary" means the person or persons designated by a Participant under the provisions of this Supplemental Thrift Plan to receive his/her benefits in the event of his/her death prior to receipt of all benefits hereunder. If no person is designated by a Participant or the designated person or persons do not survive the Participant, the Participant’s Beneficiary shall be his/her estate. If a Beneficiary who is receiving payments from a Participant’s Account dies before the entire Account has been distributed, the remaining payments shall be made to the Beneficiary’s estate.

1.5 "Board" or "Board of Directors" means the Board of Directors of the Federal Home Loan Bank of Pittsburgh.

1.6 “Code” means the Internal Revenue Code of 1986, as amended from time to time.

1.7 "Compensation" means annual base salary plus incentive compensation, excluding any Deferred Incentive Award as defined in Section 1.11.

1.8 "Compensation Deferral Election" means a Participant's irrevocable election to defer a portion of his/her Compensation.

1.9 "Deferral Period" means the period commencing with the date a Deferred Amount is first credited to a Participant's Account and continuing until payment of the final installment payment from a Participant's Account.

1.10 "Deferred Amount" means the sum of all amounts deferred pursuant to a Participant's Deferral Elections pursuant to Articles III and VIII, plus the Bank match (if applicable), plus investment earnings thereon, plus any increments thereof credited to the Participant's Account, less any benefit payments made from the Participant's Account.

1.11 “Deferred Incentive Award” means that portion of a Participant’s award under a Bank incentive plan, if any, that is performance-based, contingent and subject to payment deferral under the terms of such incentive plan.

1.12 "Disability" means with respect to eligibility for payment of a Participant’s vested benefit under the Plan through December 31, 2004, a Participant's total or partial disability as determined by the Thrift Plan in accordance with the Thrift Plan in effect at October 3, 2004. With respect to eligibility for payment of a Participant’s vested benefit amounts under the Plan after December 31, 2004, “Disability” means that the Participant is: a) unable to engage in any substantial gainful activity by reason of any medically determinable physical or mental impairment which can be expected to result in death or can be expected to last for a continuous period of not less than 12 months; b) by reason of any medically determinable physical or mental impairment, which can be expected to result in death or can be expected to last for a continuous period of not less than 12

months, receiving income replacement benefits for a period of not less than three months under an accident and health plan covering employees of the Bank; or c) determined to be totally disabled by the Social Security Administration.

1.13 "Employee Deferral" means an amount of Compensation deferred by a Participant under the Plan.

1.14 "Human Resources Committee" means the Human Resources Committee of the Board including any successor Board Committee as shall be designated by the Board from time to time as having responsibility for Bank compensation and benefits programs.

1.15 "Original Effective Date" means January 1, 1991.

1.16 "Participant" means an executive or other key employee who has been recommended by the President, and confirmed by the Board, as eligible to participate in the Plan.

1.17 "Plan Administrator" means such officer(s) or manager of the Bank who has been appointed by the Human Resources Committee to administer the Plan as set forth in Section 6.1 of the Plan. The Human Resources Director (and any successor) shall serve as the Plan Administrator unless the Board shall appoint another Bank officer(s) or manager.

1.18 “Separation from Service” means the Participant’s death, retirement, the time at which the Participant’s services performed for the Bank are permanently reduced to no more than 20 percent of the average level of services performed by the Participant over the preceding 36-month period, or other termination of employment all as set forth in applicable definitions under 26 C.F.R. 1.409A-1(h) and related and successor regulations as may be in effect from time to time.

1.19 “Unforeseeable Emergency” means: a) a severe financial hardship to a Participant resulting from an illness or accident of: (i) the Participant; (ii) the Participant’s spouse; (iii) the Participant’s dependent as defined in Code Section 152(a); or (iv) if the Participant is already receiving payments under the Supplemental Thrift Plan, a severe financial hardship resulting from illness or accident of the Beneficiary; b) loss of the Participant’s property due to casualty; or c) other similar extraordinary and unforeseeable circumstances arising as a result of events beyond the control of the Participant.

Article II

Participation and Vesting

2.1 Eligibility to Participate. A Participant shall become eligible for Plan participation on the later of the first day of the calendar month coincident with or next following the date his/her participation is approved by the Board or the Effective Date. Once selected as a Participant, the Participant shall continue as a Participant until the Board determines otherwise. No Participant shall have the right to continue as a Participant in the Plan.

Upon designation as a Participant, each Participant will be given a copy of the Plan. Upon becoming eligible to participate in the Plan, a Participant shall have the option to make a Compensation Deferral Election to defer a portion of his/her annual Compensation.

2.2 Termination of Participation. No further Employee Deferrals, Bank Deferrals or deferrals pursuant to Article VIII shall occur with respect to a Participant after the Participant’s employment with the Bank terminates. However, until the amounts in a Participant’s Account are fully paid out to the Participant and/or his/her Beneficiary, the Participant’s Account shall continue to be notionally invested as provided in Section 4.2, and the Participant (or his/her Beneficiary) shall continue to have the right to change such investments by written notice (which includes electronic notice and in the form prescribed by the Plan Administrator) to the Plan Administrator. Once a Participant’s Account has been fully paid out, such Participant shall cease to be a Participant in the Plan and neither the Participant nor his/her Beneficiary shall have any further rights hereunder.

2.3 Vesting. All benefits under the Plan are fully vested at all times subject only to Forfeiture for Cause as defined in Section 7.6. For all purposes of the Plan, earnings with respect to amounts in a Participant’s Account which were vested as of December 31, 2004 (and earnings on such earnings) shall be deemed to have been vested as of December 31, 2004 and all other earnings with respect to amounts in a Participant’s Account shall be deemed not to have been vested as of December 31, 2004.

Article III

Deferral Elections; Employee Deferrals; Bank Deferrals

3.1 Compensation Deferral Elections. The Plan Administrator shall provide each Participant with a form on which to make a Compensation Deferral Election within 10 days after such Participant becomes eligible to participate in the Plan and at least 30 days prior to the end of each calendar year. Each Participant shall execute and deliver the Deferral Election to the Plan Administrator no later than the last business day of each calendar year with respect to Compensation to be earned as defined in Section 1.7, which includes incentive compensation to be earned in the following calendar year and excludes any Deferred Incentive Award.

An executive or key employee who becomes eligible to participate during a calendar year shall have the option to execute a Compensation Deferral Election and deliver it to the Administrator within 30 days of the date he/she becomes eligible to participate in the Plan. Such election shall apply only to Compensation and awards under an incentive plan (excluding any Deferred Incentive Award) to be earned after the date of the delivery of the Compensation Deferral Election to the Administrator and the Bank shall defer such amounts on a prorated basis when applicable.

The Compensation Deferral Election will state the percentage of Compensation which the Participant elects to defer for the remainder of the first year of his/her eligibility or for the forthcoming calendar year, as the case may be; provided that different deferral percentages may apply to base salary and the portion of incentive compensation included in the definition of Compensation in Section 1.7. A Compensation Deferral Election shall be irrevocable for the calendar year (or portion thereof in the case of the first year of eligibility) for which the deferral is elected unless an amendment of the Thrift Plan requires a new election by a Participant, and such a new election is permissible under I.R.C. Section 409A and implementing regulations. If such an event occurs, the Plan Administrator will communicate in writing with the Participant to request a new Compensation Deferral Election. Notwithstanding an amendment of the Thrift Plan:

(a) (i) As to amounts earned in the first calendar year of participation, no modification of a Compensation Deferral Election may be made more than thirty (30) days after a Participant becomes eligible to participate in the Plan; and (ii) as to amounts earned in the second and subsequent calendar years of participation, no modification of a Compensation Deferral Election may be made after December 31 of the calendar year preceding the calendar year in which the amounts are earned; and

(b) as to amounts in a Participant’s Account which are not vested as of December 31, 2004, the last four sentences of Section 5.5 shall apply.

3.2 Employee Deferrals. Once the Participant has made the maximum amount of employee contributions allowable under the Thrift Plan in a calendar year, additional amounts shall be deferred under this Plan in accordance with the Participant’s Compensation Deferral Election. Amounts deferred under this Plan with respect to any calendar year may not exceed 80 percent of the Participant's Compensation (including amounts earned pursuant to a Bank incentive plan which are includable in the definition of Compensation) less the Participant’s contributions to the Thrift Plan. For this purpose, a Participant’s contributions to the Thrift Plan shall include any after‑tax contributions to the Thrift Plan by such Participant.

3.3 Bank Deferrals. For each Employee Deferral, the Bank shall allocate a matching Bank Deferral equal to 200 percent of the Employee Deferral; provided that, Bank Deferrals for each Participant

with respect to each calendar year shall not exceed the excess of (a) 3 percent of the Participant’s Compensation over (b) the Bank’s matching contribution to the Thrift Plan.

Article IV

Accounts and Investment Vehicles

4.1 Accounts. The total of the Employee and Bank Deferrals shall be credited monthly to the applicable Participant Account (to a Sub-Account Titled “Compensation Deferrals”) as the deferred amounts are earned and shall be recorded on the financial books and records of the Bank as a liability owed to the Participant and separate investment elections may be made as to separate sub-accounts. As set forth in Article VIII, any Deferred Incentive Award installments for which an election is made under Article VIII shall be credited to a separate sub-account of such Participant’s Account.

4.2 Notional Investments. Effective November 1, 2007, all Employee and Bank Deferrals credited to a Participant's Account will be assumed to be notionally invested in the investment funds selected by Participant from time to time from a list provided to the Participant by the Bank (such list is referred to as the “Eligible Investments”). Such Eligible Investments shall be substantially similar to the investment choices available under the Thrift Plan from time to time. Each Participant's notional share in the investment funds shall be represented by notional units in such funds. Each valuation day the number of new notional units credited to a Participant in the investment funds will be determined by dividing the total amount of such Participant’s Employee and Bank Deferrals notionally invested in the investment funds during the month by the unit value of the investment funds as of the most recent valuation date. The notional allocations of Employee and Bank Deferrals (as applicable) to the investment funds shall be as set forth in the investment election forms completed by each Participant and submitted to the Plan Administrator from time to time. Such election forms may be submitted in electronic form in accordance with instructions from the Plan Administrator or, at the option of the Participant in written form.

4.3 Records. The Plan Administrator shall maintain such records as it deems necessary to administer this Plan and shall direct the calculation of amounts in the Participants' Accounts. To this end, the Plan Administrator is authorized to use Bank employees, agents or contractors to calculate the benefits due hereunder.

Article V

Distribution of Benefits

5.1 Amount of Benefits. A Participant's Account shall be valued as of the last day of the month preceding each month with respect to which the Participant is entitled to receive a distribution hereunder, assuming no contributions were made since the last day of the preceding month. If a contribution was made since the last day of the preceding month, the amount of such contribution shall be added to the value determined under the preceding sentence. This Article V shall apply solely to distributions from a Participant’s Compensation Deferral Sub-Account. This Article shall not apply to distributions under Article VIII.

5.2 Events Which Trigger Payment of Amounts Vested as of 12/31/04. The amounts in a Participant's Account which are vested as of December 31, 2004, including all earnings thereon, shall become payable to him/her pursuant to Section 5.3 as of the earliest of the date of his/her termination of employment with the Bank, including termination due to death, his/her Disability, or his/her retirement or other Separation from Service as defined above. With respect to amounts in a Participant’s Account which are vested as of December 31, 2004, notwithstanding any deferral election previously made, a Participant may at any time submit a request, through the Plan Administrator, to the Human Resources Committee seeking a distribution of part or all of such amounts for reasons of severe financial hardship or other reasons as permitted under the provisions of the Thrift Plan in its form as of October 3, 2004. The Human Resources Committee may, in its absolute discretion, grant or refuse any such request. It is the intention of the Board that hardship and other withdrawals of amounts in a Participant’s Account which are vested as of December 31, 2004 shall be available for the same reasons as such withdrawals are available from the Thrift Plan (in its form as of October 3, 2004) and that the Participant shall provide such proof and documentation as is required for hardship and other withdrawals from the Thrift Plan.

5.3 Amounts Vested as of 12/31/04 – Form and Timing of Payment. When a Participant’s Account is payable pursuant to Section 5.2, it shall be paid in a lump sum within 90 days following the applicable payment event set forth in Section 5.2. Alternatively, if the Participant has so elected, the Participant’s Account shall be paid in from two to ten annual installments. In the case of installment payments, the first installment payment shall be made within 90 days of the applicable payment event set forth in Section 5.2 and each remaining annual installment shall be paid no later than March 31 of each succeeding year. The amount of the installment payment to be distributed in each calendar year shall be the amount calculated by dividing the value of the Participant’s Account as of the immediately preceding month-end by the number of remaining installment payments, including the one whose value is being calculated. The elections and any changes to an election which are permitted hereunder will become effective on the first January 1 which is at least twelve months after the date of the election. Failure to make an election shall result in a lump sum payment within 90 days of the triggering payment event.

5.4 Events Which Trigger Payment of Amounts Not Vested as of 12/31/04. The amount in a Participant’s Account which is not vested as of December 31, 2004, including all earnings thereon, shall become payable to him/her pursuant to Section 5.5 as of the earliest of the date of his/her termination of employment with the Bank (including retirement or other Separation from Service as defined above), his/her Disability or his/her death. With respect to amounts in a Participant’s Account which are not vested as of December 31, 2004, notwithstanding any deferral election previously made,in the event that a Participant suffers an Unforeseeable Emergency, the Participant may submit a request, through the Plan Administrator, to the Human Resources Committee seeking a distribution of part or all of the amount credited to such Participant's Account. The Human Resources Committee may, in its absolute discretion, grant or refuse any such request. The amount of a distribution that the Bank may make hereunder in

response to such a Participant request shall be limited to the amount needed to satisfy the Unforeseeable Emergency plus taxes reasonably anticipated as a result of the distribution. Distributions shall not be allowed to the extent that the Unforeseeable Emergency may be relieved through reimbursement or compensation by insurance or otherwise, or by liquidation of a Participant’s assets (to the extent such liquidation would not itself cause a severe financial hardship).

5.5 Amounts Not Vested as of 12/31/04 – Form of Payment. When a Participant’s Account is payable pursuant to Section 5.4, it shall be paid in a lump sum within 90 days following the applicable payment event set forth in Section 5.4. Alternatively, if the Participant has so elected, the Participant’s Account shall be paid in from two to ten annual installments. Failure to make an election at any time shall result in a lump sum payment. Any change in an installment payment election, from an installment payment election to a lump sum election or from a lump sum election to an installment payment election (“Revised Election”) will become effective on the first January 1 which is at least twelve months after the date of the election. In addition, with respect to any such Revised Election which changes the timing of any payment, each payment to be made to the Participant shall be deferred by a date which is at least five years after the date on which such payment would have been made; provided that, for this purpose, a series of installment payments shall be treated as the entitlement to a single payment on the date of the first payment. A Revised Election which changes an Existing Election from installment payments to a lump sum payment shall require that the date of such lump sum payment shall be a date that is at least five years from the date the initial installment payment would have been made. Notwithstanding the foregoing or any provision in this Plan, a Revised Election may not cause the impermissible acceleration of any payment, within the meaning of Internal Revenue Code Section 409A or its implementing regulations.

5.6 Amounts Not Vested as of 12/31/04– Timing and Calculation of Installment Payments. Installment payments under this Plan shall be made as follows: the first payment shall be made within 90 days of the payment event with each remaining annual installment paid no later than March 31 of each succeeding year. The amount of the installment payment to be distributed in each calendar year shall be the amount calculated by dividing the value of the Participant’s Account as of the immediately preceding month end by the number of remaining installment payments, including the one whose value is being calculated.

5.7 Amounts Not Vested as of 12/31/04 – Revision of Existing Payment Election Prior to 12/31/07. The Plan is hereby amended to permit each Participant, on or before December 31, 2007, to amend his/her current payment election as in effect on June 25, 2007, covering amounts not vested as of December 31, 2004. Such a revised payment election shall be referred to as a “Transition Election.” Provided that such Transition Election does not result in a payment in 2007, such Transition Election shall become effective upon receipt by the Plan Administrator and shall not be subject to the terms of Section 5.5. Any Transition Election shall be subject to the requirements of I.R.S. Notice 2006-79.

Additional Transition Election Prior to 12/31/08: Effective January 1, 2008, the Plan is hereby amended to permit Participant, on or before December 31, 2008, to amend his/her current payment election with respect to amounts not vested as of December 31, 2004. Such revised payment election shall be referred to as the 2008 Transition Election. Provided that such 2008 Transition Election does not result in a payment in 2008, such 2008 Transition Election shall become effective upon receipt by the Plan Administrator and shall not be subject to the terms of Section 5.5. Any 2008 Transition Election shall be subject to the requirements of I.R.S. Notice 2006-79, as modified by IRS Notice 2007-86.

5.8 Death Benefits. In the event of a Participant's death prior to the payment of all amounts in the Participant’s Account, the amount then held in the Participant's Account shall become payable to

his/her Beneficiary in the same manner as such amount would have been paid to the Participant had he/she not died.

5.9 Loans. No loans are available from the Plan.

Article VI

Administration of the Plan

6.1 Human Resources Committee. The Board has delegated to the Human Resources Committee authority over, and responsibility for, the interpretation and administration of the Plan; except that the power to determine eligibility for participation in the Plan pursuant to Section 2.1 is reserved to the Board. The Human Resources Committee shall interpret and construe the Plan and have the responsibility to ensure that its provisions are carried out. The Human Resources Committee shall exercise such power and responsibilities in its sole and absolute discretion. The Human Resources Committee shall designate the Plan Administrator.

6.2 Plan Administration. The Plan Administrator shall:

(a) act as the point of contact for submission of claims for benefits due under the Plan;

(b) calculate the benefits due under the Plan or arrange for the calculation of benefits;

(c) inform Participants of the terms of the Plan and respond to their questions regarding the Plan;

(d) review and process claims for the payment of benefits under the Plan;

(e) provide necessary reporting to Bank management, Participants, the Human Resources Committee, the Board, and others as necessary; and

(f) take such other action as is required to perform the tasks listed hereunder or otherwise administer the terms of the Plan. In fulfilling the responsibilities in this section, the Plan Administrator may use other Bank staff, other agents or engage contractors.

6.3 Claims Procedure. All claims for benefits shall be in writing and shall be filed with the Plan Administrator. If the Plan Administrator wholly or partially denies a Participant's or Beneficiary's claim for benefits, the Plan Administrator shall, within 90 days after the Plan's receipt of the claim, give the claimant written notice setting forth in understandable language:

(a) the specific reason(s) for the denial;

(b) specific reference to pertinent Plan provisions on which the denial is based;

(c) a description of any additional material or information which must be submitted to perfect the claim, and an explanation of why such material or information is necessary; and

(d) an explanation of the Plan's review procedure.

The claimant shall have 60 days after the day on which such written notice of denial is handed or mailed to him/her in which to apply (in person or by authorized representative) to the Human Resources Committee, in writing, for a full and fair review of the denial of this claim. In connection with such review, the claimant (or this representative) shall be afforded a reasonable opportunity to review pertinent documents and may submit issues and comments in writing.

The Human Resources Committee shall issue its decision on review promptly and within 60 days after the Plan's receipt of the request for review, unless special circumstances require an extension

to not later than 120 days after receipt of the request for review. (Written notice of any such extension shall be furnished to the claimant before the commencement of such extension.) The decision shall be in writing and shall set forth in understandable language specific reasons for the decision and specific references to pertinent Plan provisions on which the decision is based.

Article VII

General Provisions

7.1 Rights to Employment. The establishment of the Plan, and selection of an executive for inclusion as a Participant in the Plan, shall not be construed as conferring any legal rights upon any Participant or other person for the continuation of employment; nor shall it interfere with the rights of the Bank to discharge any Participant and to treat him/her without regard to the effect such treatment might have upon him/her as a Participant in the Plan.

7.2 Source of Funding – Participant as General Creditor. The Bank has not established any form of trust or funded account for the purpose of providing benefits under this Plan. In the event that the Bank establishes a rabbi trust or other similar arrangement, such arrangement shall preserve this Plan’s status under the Internal Revenue Code as an unfunded nonqualified deferred compensation plan and the assets of the Bank held pursuant to any such arrangement shall remain subject to the claims of the Bank's general creditors. Any Participant who may have or claim any interest in or right to any amount payable hereunder shall rely solely upon the unsecured promise of the Bank, as set forth herein, for the payment of the claim. Nothing herein contained should be construed to give to or vest in any Participant, now or at any time in the future, any right, title, interest or claim in or to any specific asset, fund, reserve, account or property of any kind whatever owned by the Bank, or in which the Bank may have any right, title or interest, now or at any time in the future. The Plan is not intended to be a qualified plan within the meaning of Section 401(a) of the Code and the Bank shall not be required to qualify the Plan under the Code.

7.3 Incapacity. In the event that the Human Resources Committee shall find that a Participant is unable to care for his/her affairs because of illness or accident, the Human Resources Committee may direct that any payment due him/her, unless claim shall have been made therefor by a duly appointed legal representative, be paid to his/her spouse, a child, a parent or other blood relative, or to a person with whom he/she resides, and any such payment so made shall be a complete discharge of the liabilities of the Plan therefor.

7.4 Reporting and Withholding of Taxes. The Bank shall file Form W-2 and other applicable tax documents as required under applicable federal and state law, including, without limitation, required annual federal tax filings of a Participant’s accrued benefits under the Plan. The Bank shall have the right to deduct from each payment to be made under the Plan any required withholding taxes and shall withhold or cause to be withheld from all payments or accruals of benefits under the Plan (if applicable), all federal, state or local taxes required to be withheld by law. The Participant shall be liable for the payment of all taxes on the benefits under the Plan that are the Participant's responsibility under the laws establishing such taxes.

7.5 Alienation of Benefits under the Plan. Benefits payable under this Plan shall not be subject in any manner to anticipation, alienation, sale, transfer, assignment, pledge, encumbrance or charge, whether voluntary or involuntary, including any such liability which is for alimony or other payments for the support of a spouse or former spouse, or for any other relative of the Participant, prior to actually being received by the person entitled to the benefits under the terms of the Plan, and any attempt to anticipate, alienate, sell, transfer, assign, pledge, encumber or charge the same shall be void; nor shall any such distribution or payment be in any way liable for or subject to the debts, contracts, liabilities, engagements or torts of any person entitled to such distribution or payment. If any Participant or Beneficiary is adjudicated bankrupt or purports to anticipate, alienate, sell, transfer, assign, pledge, encumber or charge any such distribution or payment voluntarily or involuntarily, the Bank, in its discretion, may hold or cause to be held or applied such distribution or payment or any part thereof to or for the benefit of such Participant or Beneficiary in such manner as the Bank shall direct.

7.6 Forfeiture for Cause. The Bank Deferrals and the earnings on the Bank Deferrals otherwise payable by the Plan may be subject to forfeiture for cause at any time. "Cause" shall mean:

(a) the perpetration by a Participant of a defalcation involving the Bank or any affiliate;

(b) willful, reckless or grossly negligent conduct of a Participant entailing a substantial violation of any material provision of the laws, rules, regulations or orders of any governmental agency applicable to the Bank or an affiliate;

(c) the repeated and deliberate failure by a Participant to comply with reasonable policies or directives of the Board of Directors; or

(d) the breach by a Participant of a noncompetitive covenant or agreement with the Bank or affiliate.

Whether the facts in any given case amount to "Cause" shall be determined by the Board of Directors.

7.7 Compliance with Laws. The provisions of the Plan shall be construed, administered and governed under the laws of the United States including, without limitation, Internal Revenue Code Section 409A and implementing regulations and, to the extent they defer to state law, the laws of the Commonwealth of Pennsylvania.

7.8 Construction. Whenever any words are used herein in the masculine gender, they shall be construed as though they were also used in the feminine gender in all cases where they would so apply, and whenever any words are used herein in the singular form, they shall be construed as though they were also used in the plural form in all cases where they would so apply. Titles of Articles and Sections hereof are for convenience of reference only and are not to be taken into account in construing the provisions of this Plan. In case any provision of the Plan shall be held illegal or invalid for any reason, said illegality or invalidity shall not affect the remaining parts of the Plan, but the Plan shall be construed and enforced as if said illegal and invalid provision had never been inserted herein.

7.9 Amendment and Termination. The Bank specifically reserves the right, in the sole and unfettered discretion of its Board, at any time, to amend, in whole or in part, any or all of the provisions of the Plan and to terminate the Plan in whole or in part; provided, however, that no such amendment or termination shall reduce or eliminate the rights of a Participant accrued hereunder to the date of such amendment or termination. Provided further, that no such termination shall result in an impermissible acceleration of any amount deferred under this Plan that would violate the provisions of Internal Revenue Code Section 409A(a)(3) or Treasury Regulation Section 1.409A-3(j) or any successor regulations.

7.10 Binding on Successors. The Plan shall be binding upon and inure to the benefit of the Bank and its successors and assigns. The Plan shall also be binding upon and inure to the benefit of any successor organization succeeding to substantially all of the assets and business of the Bank. Nothing in the Plan shall preclude the Bank from merging or consolidating into or with, or transferring all or substantially all of its assets to, another organization which assumes the Plan and all obligations of the Bank hereunder. The Bank agrees that it will make appropriate provision for the preservation of Participants' rights under the Plan in any agreement or plan which it may enter into to effect any merger, consolidation, reorganization or transfer of assets. Upon such a merger, consolidation, reorganization, or transfer of assets and assumption of Plan obligations of the Bank, the term "Bank" shall refer to such other organization and the Plan shall continue in full force and effect.

7.11 Permissible Payment Acceleration. In the event of an Internal Revenue Code Section 409A Plan failure that results in income inclusion to a Participant, payment of Participant’s benefits under this Plan shall be accelerated; provided that, the amount of the accelerated payment shall not exceed the amount required to be included in Participant’s income due to the Plan failure.

Article VIII

Amendment Effective March 26, 2015 Governing Deferrals of

Deferred Incentive Award Installments

8.1 Definitions Applicable to Article VIII. Terms defined in this Article shall have the meanings set forth herein and shall apply solely to the deferrals of performance-based Deferred Incentive Award installments. Other capitalized terms used in this Article shall have the meanings ascribed to them in the Plan.

8.2 Implementation of Deferrals of Deferred Incentive Award Installments.

(a) Employee Deferrals –Existing Participants. A Participant may elect to defer a specified percentage of each Deferred Incentive Award installment. Each Participant shall be provided with a Deferred Incentive Installment Election Form (“Deferred Incentive Election Form”) at least 30 days prior to each calendar year. Notwithstanding the foregoing, to the extent that Participant’s Deferred Incentive Award installments constitute “performance-based compensation” as defined by Treasury Regulation 1.409A-2(b) and the following requirements are met: (i) the Participant must be performing services for the Bank continuously from the beginning of the performance period (or date when the criteria are set) through the date of the election, and (ii) the election cannot apply to any portion of the award that is substantially certain to be paid on the date of the election, the Participant may execute and deliver a Deferred Incentive Election Form with respect to each Deferred Incentive Award installment after the beginning of the performance period for such installment, but no later than six months before the end of the performance period; all such elections shall be irrevocable for the performance period for which such deferral is elected. In no event may a Deferred Incentive Election Form be executed and delivered as to any portion of such award that is substantially certain to be paid.

(b) Deferrals by New Participants. If a Participant was not employed by the Bank on the first day of the performance period applicable to the Deferred Incentive Award installment, then for purposes of this Section the Participant is only eligible to defer a portion of his or her Deferred Incentive Award installments if he or she makes an initial deferral election within thirty (30) days after the date when he or she first becomes eligible to participate in a Deferred Incentive Award. Furthermore, a deferral election that is subject to this subsection (b) shall only apply to the portion of the Participant's Deferred Incentive Award installment that is earned after the date when the Participant's election is submitted to the administrator of the Plan. In all cases such elections shall be irrevocable for the performance period for which such deferral is elected.

(c) Accounts and Investment Vehicles. To the extent that a Participant has made such deferral election(s) as described in (a) or (b) of Section 8.2 as to any Deferred Incentive Award installment payable to the Participant, each such installment that is subject to a deferral election shall (instead of being paid to the Participant in accordance with the terms of the applicable incentive plan): (i) be credited to the Participant’s Account under the Plan (specifically into a sub-account titled “Deferred Incentive Sub-Account”); (ii) shall be invested pursuant to the Participant’s Deferred Incentive Sub-Account investment election form; and (iii) shall receive earnings on the same basis as other amounts in the Participant’s Account receive earnings credit under this Plan in accordance with the terms of Section 4.1 and 4.2. In the absence of a Participant Deferred Incentive Sub-Account investment election form, Sub-Account amounts shall be allocated to a notional money market investment. Deferred Incentive Award installments which the Participant defers under this Section 8.2 shall not be included in

the definition of Compensation under the Plan and such amounts shall not be subject to matching Bank Deferrals under the Plan.

8.3 Deferred Incentive Sub-Account Distribution Elections.

(a) Initial Distribution Elections

Amounts in the Deferred Incentive Sub-Account shall be payable to the Participant in accordance with the Participant’s executed distribution election form (referred to as the “Sub-Account Distribution Form”) as described herein. The balance in the Deferred Incentive Sub-Account shall be paid to the Participant either: (i) in a lump sum payment or (ii) annual installments over two to ten years, as elected by the Participant on his Sub-Account Distribution Form. If installment payments are elected such payments shall be calculated and paid as to the Sub-Account balance in the manner described in Section 5.6 of the Plan.

As elected by the Participant on his Sub-Account Distribution Form such distributions shall commence on: (i) a date following the Participant’s Separation from Service with the Bank, but no later than 90 days after the Participant’s Separation from Service or (ii) a date certain elected by the Participant.

(b) Subsequent Distribution Elections

A Participant’s Sub-Account Distribution Form shall be in writing and shall be subject to the following additional rules: any subsequent Sub-Account distribution election (i.e., any election following the Participant’s initial distribution election under Section 8.3(a) above) will become effective on the first January 1 which is at least 12 months after the date of such subsequent election.

In addition, with respect to any such subsequent distribution election which changes the timing of any payment, each payment to be made to the Participant shall be deferred by a date which is at least five years after the date on which such payment would have been made; provided that, for this purpose, a series of installment payments shall be treated as the entitlement to a single payment on the date of the first payment. A subsequent distribution election which changes an existing distribution election from installment payments to a lump sum payment shall require that the date of such lump sum payment shall be a date that is at least five years from the date the initial installment payment would have been made. Notwithstanding the foregoing or any provision in this Plan, a subsequent distribution election may not cause the impermissible acceleration of any payment, within the meaning of Internal Revenue Code Section 409A or its implementing regulations.

(c) Payment of Sub-Account Balance Following Participant’s Death. If a Participant dies prior to receiving the balance credited to his Sub-Account, the balance in his Sub-Account shall be paid to his/her Beneficiary at the same time and in the same manner as if the Participant had continued to live.

(d) Unforeseeable Emergency Distribution. The terms and limitations of Section 5.4 of the Plan regarding requests for distributions due to Unforeseeable Emergency shall apply as to the Participant’s Sub-Account balance as well. No loans from the Sub-Account shall be permitted.

8.4 Incorporation of Remaining Terms of the Supplemental Thrift Plan. Except as modified through Sections 8.1 through 8.4 or unless stated elsewhere in the Plan, the remaining terms and

conditions of this Plan shall apply to Article VIII including, without limitation, Articles VI and VII of the Plan.

EX-31.1

Exhibit 31.1

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Executive Officer

I, Winthrop Watson, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:     May 7, 2015/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive Officer

EX-31.2

Exhibit 31.2

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Financial Officer

I, David G. Paulson, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:     May 7, 2015/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Financial Officer

EX-31.3

Exhibit 31.3

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to Section 302

of the Sarbanes-Oxley Act of 2002

for the Chief Accounting Officer

I, Edward V. Weller, certify that:

1. I have reviewed this quarterly report on Form 10-Q for the Federal Home Loan Bank of Pittsburgh (the registrant);

2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report;

3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly present in all material respects the financial condition, results of operations and cash flows of the registrant as of, and for, the periods presented in this report;

4. The registrant's other certifying officers and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Exchange Act Rules 13a-15(e) and 15d-15(e)) and internal control over financial reporting (as defined in Exchange Act Rules 13a-15(f) and 15d-15(f)) for the registrant and we have:

a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant is made known to us, particularly during the period in which this report is being prepared;

b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles;

c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of the end of the period covered by this report based on such evaluation; and

d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter (the registrant's fourth fiscal quarter in the case of an annual report) that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and

5. The registrant's other certifying officers and I have disclosed, based on our most recent evaluation of internal control over financial reporting, to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing the equivalent functions):

a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize and report financial information; and

b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting.

Date:     May 7, 2015/s/ Edward V. Weller

Name:    Edward V. Weller

Title:    Chief Accounting Officer

EX-32.1

Exhibit 32.1

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002 for the Chief Executive Officer

I, Winthrop Watson, state and attest that:

1. I am the Chief Executive Officer of the Federal Home Loan Bank of Pittsburgh (the registrant).

2. I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that:

l this Form 10-Q of the registrant for the quarter ended March 31, 2015 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

l the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.

Date:     May 7, 2015/s/ Winthrop Watson

Name:    Winthrop Watson

Title:    President & Chief Executive Officer

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Pittsburgh and will be retained by the Federal Home Loan Bank of Pittsburgh and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.2

Exhibit 32.2

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002 for the Chief Financial Officer

I, David G. Paulson, state and attest that:

1. I am the Chief Financial Officer of the Federal Home Loan Bank of Pittsburgh (the registrant).

2. I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that:

l this Form 10-Q of the registrant for the quarter ended March 31, 2015 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

l the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.

Date:     May 7, 2015/s/ David G. Paulson

Name:    David G. Paulson

Title:    Chief Financial Officer

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Pittsburgh and will be retained by the Federal Home Loan Bank of Pittsburgh and furnished to the Securities and Exchange Commission or its staff upon request.

EX-32.3

Exhibit 32.3

In accordance with Exchange Act Rules 13a-14(f) and 15d-14(f), this certification does not relate to Interactive Data Files as defined in Rule 11 of Regulation S-T.

Certification Pursuant to 18 U.S.C. Section 1350,

as Adopted Pursuant to Section 906

of the Sarbanes-Oxley Act of 2002 for the Chief Accounting Officer

I, Edward V. Weller, state and attest that:

1. I am the Chief Accounting Officer of the Federal Home Loan Bank of Pittsburgh (the registrant).

2. I hereby certify, pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002, to the best of my knowledge, that:

l this Form 10-Q of the registrant for the quarter ended March 31, 2015 (the periodic report) containing financial statements fully complies with the requirements of Section 13(a) or 15(d) of the Securities Exchange Act of 1934 (15 U.S.C. 78m or 78o(d)); and

l the information contained in the periodic report fairly presents, in all material respects, the financial condition and results of operations of the registrant as of, and for, the periods presented.

Date:     May 7, 2015/s/ Edward V. Weller

Name:    Edward V. Weller

Title:    Chief Accounting Officer

A signed original of this written statement required by Section 906 has been provided to the Federal Home Loan Bank of Pittsburgh and will be retained by the Federal Home Loan Bank of Pittsburgh and furnished to the Securities and Exchange Commission or its staff upon request.

XML

Trading Securities (Details) (USD $)	Mar. 31, 2015	Dec. 31, 2014
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 295,855,000	$ 281,016,000
Deferred Compensation Liabilities	5,200,000	4,900,000
Mutual Funds [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	5,122,000	4,721,000
GSE and TVA obligations [Member]
Schedule of Trading Securities and Other Trading Assets [Line Items]
Trading securities	$ 290,733,000	$ 276,295,000

XML

Advances (Narrative) (Details) (USD $)	3 Months Ended
	Mar. 31, 2015	Dec. 31, 2014 Institutions
Federal Home Loan Bank Advances
Total Par Value	62,053,819,000	$ 63,125,956,000
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding	45,300,000,000	46,600,000,000
Number Of Top Advances Borrowers	5	5
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total	73.10%	73.80%
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent	3	3
Minimum
Federal Home Loan Bank Advances
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate	1 day
Interest rate of advances	0.00%
AHP subsidized loans, interest rate	0.00%
Maximum
Federal Home Loan Bank Advances
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate	30 years
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate	10 years
Interest rate of advances	7.40%
AHP subsidized loans, interest rate	5.50%
Federal Home Loan Bank, Advances, Convertible Option [Member]
Federal Home Loan Bank Advances
Total Par Value	1,900,000,000	$ 1,900,000,000

XML

Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Fair Value:
Less than 12 Months	$ 183,144	$ 189,034
Greater than 12 Months	349,641	360,833
Fair Value	532,785	549,867
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(1,130)	(1,345)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(21,235)	(23,359)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(22,365)	(24,704)
State or local agency obligations [Member]
Fair Value:
Less than 12 Months	3,375	3,361
Greater than 12 Months	117,792	116,488
Fair Value	121,167	119,849
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(40)	(54)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(14,088)	(15,391)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(14,128)	(15,445)
Other U.S. obligations single-family MBS
Fair Value:
Less than 12 Months	20,635
Greater than 12 Months	0
Fair Value	20,635
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(2)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	0
Total, Continuous Unrealized Loss Position, Accumulated Loss	(2)
MBS [Member]
Fair Value:
Less than 12 Months	179,769	185,673
Greater than 12 Months	231,849	244,345
Fair Value	411,618	430,018
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(1,090)	(1,291)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(7,147)	(7,968)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(8,237)	(9,259)
Single Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Less than 12 Months	0	0
Greater than 12 Months	10,681	11,058
Fair Value	10,681	11,058
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	0	0
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(81)	(118)
Total, Continuous Unrealized Loss Position, Accumulated Loss	(81)	(118)
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Fair Value:
Less than 12 Months	159,134	185,673
Greater than 12 Months	221,168	233,287
Fair Value	380,302	418,960
Unrealized Losses:
Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss	(1,088)	(1,291)
Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss	(7,066)	(7,850)
Total, Continuous Unrealized Loss Position, Accumulated Loss	$ (8,154)	$ (9,141)

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Derivatives and Hedging Activities (Offsetting Liabilities) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability	$ 440,336		$ 467,685
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(378,025)	[1],[2]	(408,721)	[1]
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment	62,311		58,964
Derivative liabilities	62,311		58,964
Derivative Liability, Fair Value, Amount Offset Against Collateral	62,311		58,964
Over the Counter [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability	225,678		283,979
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(163,367)		(225,015)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment	62,311		58,964
Derivative liabilities	62,311		58,964
Derivative Liability, Fair Value, Amount Offset Against Collateral	62,311		58,964
Exchange Cleared [Member]
Offsetting Liabilities [Line Items]
Derivative Liability, Fair Value, Gross Liability	214,658		183,706
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(214,658)		(183,706)
Derivative Laibility, Net Fair Value Amount, After Offsetting Adjustment	0		0
Derivative liabilities	$ 0		$ 0

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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Advances (Portfolio by Year of Contractual Maturity) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Federal Home Loan Bank, Advances, Maturity, Rolling Year, Par Value [Abstract]
Due in 1 year or less	$ 26,931,449	$ 29,380,685
Due after 1 year through 2 years	9,218,391	7,754,473
Due after 2 years through 3 years	14,652,926	12,764,348
Due after 3 years through 4 years	6,854,258	9,361,638
Due after 4 years through 5 years	3,314,508	3,373,989
Thereafter	1,082,287	490,823
Total Par Value	62,053,819	63,125,956
Discount on AHP advances	(52)	(66)
Deferred prepayment fees	(7,507)	(8,600)
Hedging adjustments	299,771	291,065
Total book value	$ 62,346,031	$ 63,408,355
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Rolling Year [Abstract]
Due in 1 year or less	0.44%	0.42%
Due after 1 year through 2 years	1.26%	1.22%
Due after 2 years through 3 years	1.03%	1.14%
Due after 3 years through 4 years	0.90%	0.82%
Due after 4 years through 5 years	0.80%	0.84%
Thereafter	2.65%	2.77%
Total par value, Weighted Average Interest Rate	0.81%	0.76%

XML

Capital (Mandatorily Redeemable Capital Stock) (Details) (USD $) In Thousands, except Per Share data, unless otherwise specified	3 Months Ended
	Mar. 31, 2015 Institutions	Mar. 31, 2014	Dec. 31, 2014
Capital [Abstract]
Balance, beginning of the period	$ 586	$ 40
Shares Reclassified to Mandatorily Redeemable Capital Stock Value	0	1,978
Net redemption/repurchase of mandatorily redeemable capital stock	(17)	(157)
Balance, end of the period	$ 569	$ 1,861
Financial Instruments Subject to Mandatory Redemption, Number of Institutions	2
Capital stock, Par value Per Share	$ 100		$ 100

XML

Available-for-Sale (AFS) Securities (Narrative) (Details) (USD $)	Mar. 31, 2015	Dec. 31, 2014	Mar. 31, 2014	Dec. 31, 2013
Schedule of Available-for-sale Securities [Line Items]
Net purchased discounts	$ 9,900,000	$ 9,500,000
Credit losses	283,916,000	290,935,000	308,200,000	314,224,000
SERP [Member]
Schedule of Available-for-sale Securities [Line Items]
Supplemental retirement obligation	7,100,000	7,000,000
Available-for-sale Securities | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Credit losses	218,500,000	222,500,000
Other Than Temporary Impairment Credit Losses Recognized In Earnings Interest Accretion Adjustment	$ 16,700,000	$ 11,700,000

XML

Consolidated Obligations (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of Short-term and Long-term Debt [Line Items]

Schedule of Interest Rate Payment Terms for Debt

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015			December 31, 2014
Par value of consolidated bonds:
Fixed-rate	$	37,868,671		$	36,296,100
Step-up	3,040,000			3,116,000
Floating-rate	4,175,000			4,190,000
Total par value	45,083,671			43,602,100
Bond premiums	142,176			147,824
Bond discounts	(10,754		)	(12,111		)
Hedging adjustments	26,249			(23,303		)
Total book value	$	45,241,342		$	43,714,510

Schedule of Maturities of Debt

The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2015 and December 31, 2014.

	March 31, 2015				December 31, 2014
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	15,415,510	0.82	%	$	15,033,450	1.00	%
Due after 1 year through 2 years	10,035,015		1.42		9,316,860		1.42
Due after 2 years through 3 years	5,996,640		1.66		5,346,515		1.64
Due after 3 years through 4 years	4,701,005		1.47		4,709,300		1.50
Due after 4 years through 5 years	3,336,885		1.77		2,911,350		1.72
Thereafter	5,303,650		2.44		5,959,265		2.35
Index amortizing notes	294,966		4.11		325,360		4.14
Total par value	$	45,083,671	1.42	%	$	43,602,100	1.48	%

Schedule of Long-term Debt by Call Feature

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Noncallable	$	31,145,671	$	30,388,100
Callable	13,938,000		13,214,000
Total par value	$	45,083,671	$	43,602,100

Schedule of Maturities of Long-term Debt by Contractual or Next Call Date

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2015 and December 31, 2014.

(in thousands) Year of Contractual Maturity or Next Call Date	March 31, 2015		December 31, 2014
Due in 1 year or less	$	29,238,510	$	28,232,450
Due after 1 year through 2 years	8,303,015		8,114,860
Due after 2 years through 3 years	3,576,640		3,551,515
Due after 3 years through 4 years	1,687,005		1,390,300
Due after 4 years through 5 years	984,885		1,028,350
Thereafter	998,650		959,265
Index amortizing notes	294,966		325,360
Total par value	$	45,083,671	$	43,602,100

Discount Notes

Schedule of Short-term and Long-term Debt [Line Items]

Schedule of Short-term Debt

The following table details the Bank’s consolidated obligation discount notes as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015			December 31, 2014
Book value	$	37,077,804		$	37,058,118
Par value	37,086,558			37,065,745
Weighted average interest rate (1)	0.11		%	0.10		%

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Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014	Mar. 31, 2014	Dec. 31, 2013
Capital [Abstract]
Due in 1 year or less	$ 0	$ 0
Due after 1 year through 2 years	0	0
Due after 2 years through 3 years	0	0
Due after 3 years through 4 years	70	0
Due after 4 years through 5 years	499	586
Total	$ 569	$ 586	$ 1,861	$ 40

XML

Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) (Consolidated Obligation Bonds, USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 45,083,671	$ 43,602,100
Non Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	31,145,671	30,388,100
Callable [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 13,938,000	$ 13,214,000

XML

Estimated Fair Values (Level 3 Reconciliation) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Net change in fair value on OTTI AFS in OCI	$ 2,061	$ 1,443
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-Sale Securities, Private Label Residential Mortgage Backed Securities [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at January 1	971,083	1,123,624
Accretion of credit losses in interest income	4,659	2,936
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss)	(15)	(30)
Net change in fair value on OTTI AFS in OCI	709	1,998
Unrealized gains on OTTI AFS in OCI	1,608	(684)
Purchases, issuances, sales, and settlements:
Settlements	(31,132)	(50,823)
Balance at September 30	946,912	1,077,021
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	4,659	2,936
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 | Available-for-Sale Securities, Home Equity Lines Of Credit [Member]
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward]
Balance at January 1	11,699	14,428
Accretion of credit losses in interest income	378	330
Fair Value, Measurement with Unobservable Inputs Reconciliation, Recurring Basis, Asset, Gain (Loss) Included in Other Comprehensive Income (Loss)	0	0
Net change in fair value on OTTI AFS in OCI	(3)	20
Unrealized gains on OTTI AFS in OCI	(253)	109
Purchases, issuances, sales, and settlements:
Settlements	(690)	(864)
Balance at September 30	11,131	14,023
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	$ 378	$ 330

XML

Advances (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Federal Home Loan Bank, Advances, Fixed Rate [Abstract]
Fixed rate – overnight	$ 1,774,797	$ 2,012,230
Due in 1 year or less	17,799,975	20,740,508
Thereafter	10,233,443	9,116,344
Total Fixed Rate	29,808,215	31,869,082
Federal Home Loan Bank, Advances, Floating Rate [Abstract]
Due in 1 year or less	7,356,677	6,627,947
Thereafter	24,888,927	24,628,927
Total Variable Rate	32,245,604	31,256,874
Total Par Value	$ 62,053,819	$ 63,125,956

XML

Capital (Capital Requirements) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Capital [Abstract]
Number of Finance Agency Regualtory Capital Requirements	3
Federal Home Loan Bank, Risk-Based Capital, Required	$ 825,495	$ 847,424
Federal Home Loan Bank, Risk-Based Capital, Actual	3,873,224	3,879,108
Regulatory Capital Ratio, Required	4.00%	4.00%
Federal Home Loan Bank, Regulatory Capital Ratio, Actual	4.40%	4.50%
Federal Home Loan Bank, Regulatory Capital, Required	3,498,522	3,427,083
Federal Home Loan Bank, Regulatory Capital, Actual	3,873,224	3,879,108
Leverage ratio - Required	5.00%	5.00%
Leverage ratio - Actual	6.60%	6.80%
Federal Home Loan Bank, Leverage Capital, Required	4,373,153	4,283,854
Federal Home Loan Bank, Leverage Capital, Actual	$ 5,809,836	$ 5,818,663

XML

Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) (USD $)	Mar. 31, 2015		Dec. 31, 2014		Mar. 31, 2014	Dec. 31, 2013
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Trading securities	$ 295,855,000		$ 281,016,000
AFS securities	8,431,371,000		8,408,835,000
Held-to-maturity Securities	3,079,267,000		3,246,788,000
Held to maturity securities - fair value	3,123,040,000		3,286,547,000
Derivative assets	52,054,000		36,217,000
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(83,206,000)	[1]	(75,555,000)	[1],[2]
Mandatorily redeemable capital stock	569,000		586,000		1,861,000	40,000
Derivative liabilities	62,311,000		58,964,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(378,025,000)	[1],[2]	(408,721,000)	[1]
Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	5,124,196,000		2,451,131,000
Interest-bearing deposits	0		0
Federal funds sold	0		0
Trading securities	5,122,000		4,721,000
AFS securities	1,998,000		1,998,000
Held to maturity securities - fair value	0		0
Advances	0		0
Accrued interest receivable	0		0
Derivative assets	0		0
Deposits	0		0
Mandatorily redeemable capital stock	576,000	[3]	705,000	[3]
Accrued interest payable	0		0
Derivative liabilities	0		0
Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	0		0
Interest-bearing deposits	8,089,000		6,782,000
Federal funds sold	4,914,986,000		4,584,981,000
Trading securities	290,733,000		276,295,000
AFS securities	7,471,330,000		7,424,055,000
Held to maturity securities - fair value	2,477,930,000		2,600,638,000
Advances	62,425,319,000		63,471,078,000
Accrued interest receivable	87,196,000		86,109,000
Derivative assets	135,260,000		111,772,000
Deposits	750,931,000		641,183,000
Mandatorily redeemable capital stock			0
Accrued interest payable	149,556,000	[3]	103,032,000	[3]
Derivative liabilities	440,336,000		467,685,000
Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	0		0
Interest-bearing deposits	0		0
Federal funds sold	0		0
Trading securities	0		0
AFS securities	958,043,000		982,782,000
Held to maturity securities - fair value	645,110,000		685,909,000
Advances	0		0
Accrued interest receivable	0		0
Derivative assets	0		0
Deposits	0
Mandatorily redeemable capital stock	0		0
Accrued interest payable	0		0
Derivative liabilities	0		0
Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	5,124,196,000		2,451,131,000
Interest-bearing deposits	8,089,000		6,782,000
Federal funds sold	4,914,986,000		4,584,981,000
Trading securities	295,855,000		281,016,000
AFS securities	8,431,371,000		8,408,835,000
Held to maturity securities - fair value	3,123,040,000		3,286,547,000
Advances	62,425,319,000		63,471,078,000
Accrued interest receivable	87,196,000		86,109,000
Derivative assets	52,054,000		36,217,000
Deposits	750,931,000		641,183,000
Mandatorily redeemable capital stock	576,000	[3]	705,000	[3]
Accrued interest payable	149,556,000	[3]	103,032,000	[3]
Derivative liabilities	62,311,000		58,964,000
Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Cash and due from banks	5,124,196,000		2,451,131,000
Interest-bearing deposits	8,089,000		6,782,000
Federal funds sold	4,915,000,000		4,585,000,000
Trading securities	295,855,000		281,016,000
AFS securities	8,431,371,000		8,408,835,000
Held-to-maturity Securities	3,079,267,000		3,246,788,000
Advances	62,346,031,000		63,408,355,000
Accrued interest receivable	87,196,000		86,109,000
Derivative assets	52,054,000		36,217,000
Deposits	750,927,000		641,180,000
Mandatorily redeemable capital stock	569,000	[3]	586,000	[3]
Accrued interest payable	149,563,000	[3]	103,151,000	[3]
Derivative liabilities	62,311,000		58,964,000
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	0		0
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	3,279,503,000		3,312,186,000
Mortgage loans held for portfolio, net | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	0		0
Mortgage loans held for portfolio, net | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	3,279,503,000		3,312,186,000
Mortgage loans held for portfolio, net | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	3,074,289,000		3,123,334,000
Banking on Business Loans | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	0		0
Banking on Business Loans | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	0		0
Banking on Business Loans | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	11,347,000		11,567,000
Banking on Business Loans | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	11,347,000		11,567,000
Banking on Business Loans | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
MPF & BOB Loans , Net of Allowance	11,347,000		11,567,000
Federal Home Loan Bank, Consolidated Obligations, Discount Notes [Member] | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	0		0
Federal Home Loan Bank, Consolidated Obligations, Discount Notes [Member] | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	37,079,968,000		37,059,347,000
Federal Home Loan Bank, Consolidated Obligations, Discount Notes [Member] | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	0		0
Federal Home Loan Bank, Consolidated Obligations, Discount Notes [Member] | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	37,079,968,000		37,059,347,000
Federal Home Loan Bank, Consolidated Obligations, Discount Notes [Member] | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Discount notes	37,077,804,000		37,058,118,000
Consolidated Obligation Bonds | Fair Value, Inputs, Level 1
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	0		0
Consolidated Obligation Bonds | Fair Value, Inputs, Level 2
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	45,470,892,000		43,881,951,000
Consolidated Obligation Bonds | Fair Value, Inputs, Level 3
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	0		0
Consolidated Obligation Bonds | Estimate of Fair Value, Fair Value Disclosure
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	45,470,892,000		43,881,951,000
Consolidated Obligation Bonds | Reported Value Measurement [Member]
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items]
Bonds	$ 45,241,342,000		$ 43,714,510,000

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

[3] The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

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Capital (Accumulated Other Comprehensive Income (Loss)) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014	Dec. 31, 2013	Dec. 31, 2014
Accumulated Other Comprehensive Income (Loss) [Line Items]
Net change in fair value of OTTI securities	$ 2,061	$ 1,443
Reclassification of net losses (gains) included in net income relating to hedging activities	(8)	0
Pension and post-retirement	82	39
Net Unrealized Gains(Losses) | Available-for-sale Securities
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI income (loss), Beginning of period	32,460	(32,481)
Unrealized gains (losses)	22,488	24,528
Total AOCI income (loss), End of period	54,948	(7,953)
Net Unrealized Gains(Losses) | Net Unrealized Gains on Hedging Activities[Member]
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI income (loss), Beginning of period	272		287
Reclassification of net losses (gains) included in net income relating to hedging activities	(8)
Total AOCI income (loss), End of period	264	287	287
Pension and Post Retirement Plans
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI income (loss), Beginning of period	(2,750)	(1,108)
Pension and post-retirement	82	39
Total AOCI income (loss), End of period	(2,668)	(1,069)
Total AOCI
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI income (loss), Beginning of period	124,433	44,340
Net unrealized gains (losses)	23,843	23,953
Net change in fair value of OTTI securities	706	2,018
Reclassification of net losses (gains) included in net income relating to hedging activities	(8)
Pension and post-retirement	82	39
Total AOCI income (loss), End of period	149,056	70,350
Held-to-maturity Securities | Noncredit OTTI Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI income (loss), Beginning of period			0	0
Total AOCI income (loss), End of period	0	0	0	0
Available-for-sale Securities | Noncredit OTTI Gains(Losses)
Accumulated Other Comprehensive Income (Loss) [Line Items]
Total AOCI income (loss), Beginning of period	94,451	77,642
Net unrealized gains (losses)	1,355	(575)
Net change in fair value of OTTI securities	706	2,018
Total AOCI income (loss), End of period	$ 96,512	$ 79,085

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Estimated Fair Values (Valuation Techniques) (Details)	Mar. 31, 2015 vendor
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items]
Fair Value Measurements, Valuation Techniques, Number of Third Party Vendor Prices Received	4

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Capital (Capital Concentrations) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Capital [Line Items]
NumberOfSubclassesOfCapitalStock	2
Capital stock	$ 3,063,747		$ 3,040,976
Capital Stock Ownership By Third Party
Capital [Line Items]
Concentration Risk Benchmark, Percent	10.00%
Capital Stock Ownership By Third Party | PNC Bank N.A.
Capital [Line Items]
Capital Stock Members	926,305	[1]	876,305
Concentration Risk Benchmark, Percent	30.20%	[1]	28.80%	[1]
Capital Stock Ownership By Third Party | Santander Bank N.A.
Capital [Line Items]
Capital Stock Members	433,306		424,955
Concentration Risk Benchmark, Percent	14.10%		14.00%
Capital Stock Ownership By Third Party | Chase Bank USA, N.A.
Capital [Line Items]
Capital Stock Members	366,117		362,050
Concentration Risk Benchmark, Percent	11.90%		11.90%
Subclass B1 [Member]
Capital [Line Items]
Capital stock	319,200		290,400
Subclass B2 [Member]
Capital [Line Items]
Capital stock	$ 2,744,000		$ 2,751,000

[1] For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA.

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Consolidated Obligations (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Federal Home Loan Bank, Consolidated Obligations, Bonds	$ 45,241,342	$ 43,714,510
Consolidated Obligation Bonds
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	45,083,671	43,602,100
Bond premiums	142,176	147,824
Bond discounts	(10,754)	(12,111)
Hedging adjustments	26,249	(23,303)
Federal Home Loan Bank, Consolidated Obligations, Bonds	45,241,342	43,714,510
Consolidated Obligation Bonds | Fixed Interest Rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	37,868,671	36,296,100
Consolidated Obligation Bonds | Step Up [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	3,040,000	3,116,000
Consolidated Obligation Bonds | Floating Interest Rate [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	4,175,000	4,190,000
FHLBanks [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Par value of consolidated bonds	$ 812,200,000	$ 847,200,000

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Trading Securities (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of Trading Securities and Other Trading Assets [Line Items]

Schedule of Trading Securities

The following table presents trading securities as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Non-MBS:
Mutual funds	$	5,122	$	4,721
GSE and Tennessee Valley Authority (TVA) obligations	290,733		276,295
Total	$	295,855	$	281,016

Categories of Investments, Marketable Securities, Trading Securities [Member]

Schedule of Trading Securities and Other Trading Assets [Line Items]

Net Gains (Losses) on Trading Securities

The following table presents net gains on trading securities for the first quarter of 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015		2014
Net unrealized gains on trading securities held at period-end	$	6,777	$	9,706
Net realized gains on securities sold/matured during the period	—		86
Net gains on trading securities	$	6,777	$	9,792

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Held-to-Maturity (HTM) Securities (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 3,079,267	$ 3,246,788
Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	195,553	197,453
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,883,714	3,049,335
Fixed Income Interest Rate [Member] | Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	42,553	44,453
Fixed Income Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,063,616	1,114,059
Variable Income Interest Rate [Member] | Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	153,000	153,000
Variable Income Interest Rate [Member] | MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 1,820,098	$ 1,935,276

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Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) (USD $)	Mar. 31, 2015		Dec. 31, 2014
Reconciliation Table of AFS AOCI [Line Items]
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss Before Adjustment, Net of Tax, Available-for-sale, Debt Securities	$ (157,000)		$ (863,000)
Unrealized Gains (Losses) on Previously Other than Temporary Impaired Available For Sale Securities	96,669,000		95,314,000
Net noncredit portion of OTTI gains on AFS securities in AOCI	157,000	[1]	863,000	[1]
Accumulated Other-than-Temporary Impairment [Member]
Reconciliation Table of AFS AOCI [Line Items]
Net noncredit portion of OTTI gains on AFS securities in AOCI	$ 96,512,000		$ 94,451,000

[1] Represents the non-credit portion of an OTTI recognized during the life of the security.

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Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Short-term Debt [Line Items]
Consolidated Obligations, Discount Notes	$ 37,077,804		$ 37,058,118
Discount Notes
Short-term Debt [Line Items]
Par value	$ 37,086,558		$ 37,065,745
Weighted average interest rate	0.11%	[1]	0.10%

[1] Represents an implied rate.

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Commitments and Contingencies (Tables)

3 Months Ended

Mar. 31, 2015

Commitments and Contingencies Disclosure [Abstract]

Off-Balance Sheet Commitments

The following table presents the Bank's various off-balance sheet commitments which are described in detail below.

(in thousands)	March 31, 2015						December 31, 2014
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (3)	$	20,379,054	$	—	$	20,379,054	$	19,942,125
Commitments to fund additional advances and BOB loans	29,290		—		29,290		21,124
Commitments to fund or purchase mortgage loans	21,726		—		21,726		18,308
Unsettled consolidated obligation bonds, at par (2)	460,865		—		460,865		95,530
Unsettled consolidated obligation discount notes, at par	500,000		—		500,000		500,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $122.3 million and $146.8 million at March 31, 2015 and December 31, 2014, respectively.

⁽²⁾ Includes $415.9 million and $83.1 million of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2015 and December 31, 2014, respectively.

⁽³⁾ $5.2 billion of these letters of credit have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of 5 years.

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Other-Than-Temporary Impairment (Rollforward) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015		Mar. 31, 2014
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward]
Beginning balance	$ 290,935		$ 314,224
Securities sold and matured during the period	0		(76)
Increases in cash flows expected to be collected, recognized over the remaining life of the securities(2)	(7,019)	[1]	(5,948)
Ending balance	$ 283,916		$ 308,200

[1] Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period.

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Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) (USD $)	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	$ 32,842,000	$ 84,669,000
Gains/(Losses) on Hedged Item	(32,257,000)	(84,157,000)
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	585,000	512,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	11,189,000	(8,497,000)	[1]
amortization and accretion of hedged items	2,000,000	3,500,000
Advances [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(10,013,000)	48,010,000
Gains/(Losses) on Hedged Item	10,175,000	(47,263,000)
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	162,000	747,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	(46,994,000)	(60,390,000)
Federal Home Loan Bank, Consolidated Obligations, Bonds [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	54,590,000	45,796,000
Gains/(Losses) on Hedged Item	(53,895,000)	(45,655,000)
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	695,000	141,000
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	61,615,000	54,437,000
Available-for-sale Securities
Derivative Instruments, Gain (Loss) [Line Items]
Gains/(Losses) on Derivative	(11,735,000)	(9,137,000)
Gains/(Losses) on Hedged Item	11,463,000	8,761,000
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net	(272,000)	(376,000)
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income	$ (3,432,000)	$ (2,544,000)

[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. These amounts do not include $2.0 million and $3.5 million for the three months ended March 31, 2015 and 2014, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

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Allowance for Credit Losses (Credit Quality Indicators) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	$ 56,571	[1]	$ 70,042	[1]
Past due 60-89 days	13,637	[1]	17,948	[1]
Past due 90 days or more	40,411	[1]	49,015	[1]
Total past due loans	110,619	[1]	137,005	[1]
Total current loans	2,999,371	[1]	3,023,385	[1]
Total recorded investment	3,109,990	[1]	3,160,390	[1]
In process of foreclosures, included above (2)	25,729	[2]	29,370	[2]
Serious delinquency rate (3)	1.30%	[3]	1.60%	[3]
Past due 90 days or more still accruing interest	6,176		7,024
Loans on nonaccrual status (4)	38,222	[4]	46,105	[4]
Conventional MPF Loan [Member]
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	42,201	[1]	50,680	[1]
Past due 60-89 days	10,255	[1]	11,841	[1]
Past due 90 days or more	34,088	[1]	41,983	[1]
Total past due loans	86,544	[1]	104,504	[1]
Total current loans	2,728,541	[1]	2,753,466	[1]
Total recorded investment	2,815,085	[1]	2,857,970	[1]
In process of foreclosures, included above (2)	22,827	[2]	26,981	[2]
Serious delinquency rate (3)	1.20%	[3]	1.50%	[3]
Past due 90 days or more still accruing interest	0		0
Loans on nonaccrual status (4)	38,075	[4]	45,900	[4]
Government-Insured Mortgage Loans [Member]
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	14,370	[1]	19,238	[1]
Past due 60-89 days	3,382	[1]	6,034	[1]
Past due 90 days or more	6,176	[1]	7,024	[1]
Total past due loans	23,928	[1]	32,296	[1]
Total current loans	257,853	[1]	256,606	[1]
Total recorded investment	281,781	[1]	288,902	[1]
In process of foreclosures, included above (2)	2,902	[2]	2,389	[2]
Serious delinquency rate (3)	2.20%	[3]	2.40%	[3]
Past due 90 days or more still accruing interest	6,176		7,024
Loans on nonaccrual status (4)	0	[4]	0	[4]
Banking on Business Loans
Financing Receivable, Recorded Investment [Line Items]
Past due 30-59 days	0	[1]	124	[1]
Past due 60-89 days	0	[1]	73	[1]
Past due 90 days or more	147	[1]	8	[1]
Total past due loans	147	[1]	205	[1]
Total current loans	12,977	[1]	13,313	[1]
Total recorded investment	13,124	[1]	13,518	[1]
In process of foreclosures, included above (2)	0	[2]	0	[2]
Serious delinquency rate (3)	1.10%	[3]	0.10%	[3]
Past due 90 days or more still accruing interest	0		0
Loans on nonaccrual status (4)	$ 147	[4]	$ 205	[4]

[1] The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance.

[2] Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

[3] Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class.

[4] Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest.

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Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	$ 3,079,267		$ 3,246,788
Gross Unrealized Holding Gains	66,138		64,463
Gross Unrealized Holding Losses	(22,365)		(24,704)
Fair Value	3,123,040		3,286,547
GSE securities [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	12,174		13,041
Gross Unrealized Holding Gains	281		382
Gross Unrealized Holding Losses	0		0
Fair Value	12,455		13,423
State or local agency obligations [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	183,379		184,412
Gross Unrealized Holding Gains	1,645		1,314
Gross Unrealized Holding Losses	(14,128)		(15,445)
Fair Value	170,896		170,281
Total non-MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	195,553		197,453
Gross Unrealized Holding Gains	1,926		1,696
Gross Unrealized Holding Losses	(14,128)		(15,445)
Fair Value	183,351		183,704
Other U.S. obligations single-family MBS
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	1,052,741		1,122,537
Gross Unrealized Holding Gains	6,710		8,604
Gross Unrealized Holding Losses	(2)		0
Fair Value	1,059,449		1,131,141
MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	2,883,714		3,049,335
Gross Unrealized Holding Gains	64,212		62,767
Gross Unrealized Holding Losses	(8,237)		(9,259)
Fair Value	2,939,689		3,102,843
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	649,699		691,544
Gross Unrealized Holding Gains	3,565		3,506
Gross Unrealized Holding Losses	(8,154)		(9,141)
Fair Value	645,110		685,909
Multi-Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	795,954		818,037
Gross Unrealized Holding Gains	46,785	[1]	43,431	[1]
Gross Unrealized Holding Losses	0		0	[1]
Fair Value	842,739	[1]	861,468
Single Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Schedule of Held-to-maturity Securities [Line Items]
Amortized Cost	385,320	[1]	417,217	[1]
Gross Unrealized Holding Gains	7,152	[1]	7,226	[1]
Gross Unrealized Holding Losses	(81)		(118)	[1]
Fair Value	$ 392,391	[1]	$ 424,325	[1]

[1] {F|ahBzfndlYmZpbGluZ3MtaHJkcmoLEgZYTUxEb2MiXlhCUkxEb2NHZW5JbmZvOjhjYzkwNGVjNjZjYTQ5MDBhMGRkNmUxNGVjODgwNjgzfFRleHRTZWxlY3Rpb246MEIzODUxMzlGODU3RDBFRjZBMTcyOTU0Rjc3RUZFMjYM}

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Background Information

3 Months Ended

Mar. 31, 2015

Nature of Operations [Abstract]

Background Information

Background Information

The Bank, a federally chartered corporation, is one of 12 district Federal Home Loan Banks (FHLBanks). The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock.

All members must purchase stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 12 - Transactions with Related Parties for additional information.

The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to provide effective supervision, regulation and housing mission oversight of the FHLBanks to promote their safety and soundness, support housing finance and affordable housing, and support a stable and liquid mortgage market. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits.

As provided by the Federal Home Loan Bank Act (FHLBank Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the MPF Program and purchase certain investments. See Note 10 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare and issue the combined quarterly and annual financial reports of all 12 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement.

The accounting and financial reporting policies of the Bank conform to U.S. Generally Accepted Accounting Principles (GAAP). Preparation of the unaudited financial statements in conformity with GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities, as well as the disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses. Actual results could differ from those estimates. In addition, from time to time certain amounts in the prior period may be reclassified to conform to the current presentation. To the extent that any reclassifications were made, the reclassifications did not have a material impact on the Bank's financial statements. In the opinion of management, all normal recurring adjustments have been included for a fair statement of this interim financial information. These unaudited financial statements should be read in conjunction with the audited financial statements for the year ended December 31, 2014 included in the Bank's 2014 Form 10-K.

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Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) (Conventional MPF Loan [Member], USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Conventional MPF Loan [Member]
Recorded Investment
With no related allowance	$ 34,445	$ 31,749
With a related allowance	28,716	36,395
Total recorded investment	63,161	68,144
Unpaid Principal Balance
With no related allowance	34,116	31,448
With a related allowance	28,485	36,175
Total Unpaid Principal Balance	62,601	67,623
Related Allowance for Credit Losses	$ 5,362	$ 6,034

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Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Fair Value:
Less than 12 Months	$ 1,158,728		$ 1,878,058
Greater than 12 Months	552,481		796,869
Fair Value	1,711,209		2,674,927
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(2,246)		(4,692)
UnrealizedLossPositiongreaterthan12Months	(3,303)		(8,665)
Unrealized Losses (1)	(5,549)	[1]	(13,357)	[1]
Total non-MBS
Fair Value:
Less than 12 Months	942,536		1,784,778
Greater than 12 Months	327,411		334,076
Fair Value	1,269,947		2,118,854
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(2,085)		(4,394)
UnrealizedLossPositiongreaterthan12Months	(414)		(1,491)
Unrealized Losses (1)	(2,499)	[1]	(5,885)	[1]
GSE and TVA obligations [Member]
Fair Value:
Less than 12 Months	880,445		1,783,202
Greater than 12 Months	323,516		322,691
Fair Value	1,203,961		2,105,893
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(1,034)		(4,380)
UnrealizedLossPositiongreaterthan12Months	(309)		(1,121)
Unrealized Losses (1)	(1,343)	[1]	(5,501)	[1]
State or local agency obligations [Member]
Fair Value:
Less than 12 Months	62,091		1,576
Greater than 12 Months	3,895		11,385
Fair Value	65,986		12,961
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(1,051)		(14)
UnrealizedLossPositiongreaterthan12Months	(105)		(370)
Unrealized Losses (1)	(1,156)	[1]	(384)	[1]
Other U.S. obligations residential MBS
Fair Value:
Less than 12 Months	59,138
Greater than 12 Months	0
Fair Value	59,138
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(22)
UnrealizedLossPositiongreaterthan12Months	0
Unrealized Losses (1)	(22)	[1]
Total MBS [Member]
Fair Value:
Less than 12 Months	216,192		93,280
Greater than 12 Months	225,070		462,793
Fair Value	441,262		556,073
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(161)		(298)
UnrealizedLossPositiongreaterthan12Months	(2,889)		(7,174)
Unrealized Losses (1)	(3,050)	[1]	(7,472)	[1]
Private label MBS [Member]
Fair Value:
Less than 12 Months	1,451
Greater than 12 Months	17,962
Fair Value	19,413
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(3)
UnrealizedLossPositiongreaterthan12Months	(460)
Unrealized Losses (1)	(463)	[1]
Asset Backed Securities, Backed By Home Equity Loans [Member] [Domain]
Fair Value:
Less than 12 Months	1,451
Greater than 12 Months	0
Fair Value	1,451
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(3)
UnrealizedLossPositiongreaterthan12Months	0
Unrealized Losses (1)	(3)	[1]
Single Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Less than 12 Months	155,603		19,405
Greater than 12 Months	207,108		228,257
Fair Value	362,711
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	(136)		(3)
UnrealizedLossPositiongreaterthan12Months	(2,429)		(4,123)
Unrealized Losses (1)	(2,565)	[1]
Private label residential MBS | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Fair Value			247,662
Unrealized Losses:
Unrealized Losses (1)			(4,126)	[1]
Private label residential MBS | Private label MBS [Member]
Fair Value:
Less than 12 Months	0		58,553
Greater than 12 Months	17,962		49,383
Fair Value	17,962		107,936
Unrealized Losses:
UnrealizedLossPositionLessThan12Months	0		(191)
UnrealizedLossPositiongreaterthan12Months	(460)		(962)
Unrealized Losses (1)	(460)	[1]	(1,153)	[1]
Multi-Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member]
Fair Value:
Less than 12 Months			15,322
Greater than 12 Months			185,153
Fair Value			200,475
Unrealized Losses:
UnrealizedLossPositionLessThan12Months			(104)
UnrealizedLossPositiongreaterthan12Months			(2,089)
Unrealized Losses (1)			$ (2,193)	[1]

[1] Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 3.

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Advances (Tables)

3 Months Ended

Mar. 31, 2015

Advances [Abstract]

Schedule of Advances Classified by Contractual Maturity Date

The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015					December 31, 2014
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	26,931,449		0.44	%	$	29,380,685		0.42	%
Due after 1 year through 2 years	9,218,391			1.26		7,754,473			1.22
Due after 2 years through 3 years	14,652,926			1.03		12,764,348			1.14
Due after 3 years through 4 years	6,854,258			0.90		9,361,638			0.82
Due after 4 years through 5 years	3,314,508			0.80		3,373,989			0.84
Thereafter	1,082,287			2.65		490,823			2.77
Total par value	62,053,819			0.81	%	63,125,956			0.76	%
Discount on AHP advances	(52		)			(66		)
Deferred prepayment fees	(7,507		)			(8,600		)
Hedging adjustments	299,771					291,065
Total book value	$	62,346,031				$	63,408,355

Schedule of Advances Classified by Contractual Maturity Date or Next Call Date or Next Convertible Date

The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of March 31, 2015 and December 31, 2014.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	March 31, 2015		December 31, 2014		March 31, 2015		December 31, 2014
Due in 1 year or less	$	26,931,449	$	29,380,685	$	28,700,449	$	31,164,685
Due after 1 year through 2 years	9,218,391		7,754,473		8,075,891		6,846,973
Due after 2 years through 3 years	14,652,926		12,764,348		14,164,926		12,179,348
Due after 3 years through 4 years	6,854,258		9,361,638		6,741,258		9,095,638
Due after 4 years through 5 years	3,314,508		3,373,989		3,309,008		3,368,489
Thereafter	1,082,287		490,823		1,062,287		470,823
Total par value	$	62,053,819	$	63,125,956	$	62,053,819	$	63,125,956

Schedule of Advances Classified by Contractual Interest Payment Terms

The following table details interest rate payment terms for advances as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Fixed-rate – overnight	$	1,774,797	$	2,012,230
Fixed-rate – term:
Due in 1 year or less	17,799,975		20,740,508
Thereafter	10,233,443		9,116,344
Total fixed-rate	29,808,215		31,869,082
Variable-rate:
Due in 1 year or less	7,356,677		6,627,947
Thereafter	24,888,927		24,628,927
Total variable-rate	32,245,604		31,256,874
Total par value	$	62,053,819	$	63,125,956

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Other-Than-Temporary Impairment (Tables)

3 Months Ended

Mar. 31, 2015

Other Than Temporary Impairment [Abstract]

Schedule of Other Than Temporarily Impaired Charges of Securities

The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2015 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost (1)		Fair Value
Private label residential MBS:
Prime	$	486,233	$	394,492	$	445,194
Alt-A	576,153		453,620		497,048
Subprime	2,092		1,253		1,437
HELOCs	12,430		8,933		11,131
Total OTTI securities	1,076,908		858,298		954,810
Private label MBS with no OTTI	3,539		3,539		3,233
Total AFS private label MBS	$	1,080,447	$	861,837	$	958,043

Notes:

⁽¹⁾ Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings.

Other than Temporary Impairment, Credit Losses Recognized in Earnings

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three months ended March 31, 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015			2014
Beginning balance	$	290,935		$	314,224
Reductions:
Securities sold and matured during the period (1)	—			(76		)
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(7,019		)	(5,948		)
Ending balance	$	283,916		$	308,200

Notes:

⁽¹⁾ Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period.

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Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Advances [Abstract]
Due in 1 year or less	$ 26,931,449	$ 29,380,685
Due after 1 year through 2 years	9,218,391	7,754,473
Due after 2 years through 3 years	14,652,926	12,764,348
Due after 3 years through 4 years	6,854,258	9,361,638
Due after 4 years through 5 years	3,314,508	3,373,989
Thereafter	1,082,287	490,823
Due in 1 year or less	28,700,449	31,164,685
Due after 1 year through 2 years	8,075,891	6,846,973
Due after 2 years through 3 years	14,164,926	12,179,348
Due after 3 years through 4 years	6,741,258	9,095,638
Due after 4 years through 5 years	3,309,008	3,368,489
Thereafter	1,062,287	470,823
Total Par Value	$ 62,053,819	$ 63,125,956

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Available-for-Sale (AFS) Securities (Redemption Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Amortized Cost:
Amortized Cost	$ 8,279,911	[1]	$ 8,281,924	[1]
Fair Value:
Fair Value	8,431,371		8,408,835
Total non-MBS
Amortized Cost:
Due in one year or less	201,990		301,985
Due after one year through five years	2,213,742		2,058,695
Due after five years through ten years	708,646		662,805
Due in more than ten years	369,493		298,667
Amortized Cost	3,493,871	[1]	3,322,152	[1]
Fair Value:
Due in one year or less	202,044		302,087
Due after one year through five years	2,213,999		2,054,517
Due after five years through ten years	730,343		676,064
Due in more than ten years	371,253		302,017
Fair Value	3,517,639		3,334,685
MBS [Member]
Amortized Cost:
Amortized Cost	4,786,040	[1]	4,959,772	[1]
Fair Value:
Fair Value	$ 4,913,732		$ 5,074,150

[1] Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments.

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Mortgage Loans Held for Portfolio (Tables)

3 Months Ended

Mar. 31, 2015

Mortgage Loans on Real Estate [Abstract]

Schedule of Mortgage Loans Held for Portfolio

The following table presents balances as of March 31, 2015 and December 31, 2014 for mortgage loans held for portfolio.

(in thousands)	March 31, 2015			December 31, 2014
Fixed-rate long-term single-family mortgages (1)	$	2,607,236		$	2,640,633
Fixed-rate medium-term single-family mortgages (1)	400,714			417,830
Total par value	3,007,950			3,058,463
Premiums	50,680			51,214
Discounts	(4,599		)	(4,872		)
Hedging adjustments	26,824			25,789
Total mortgage loans held for portfolio	$	3,080,855		$	3,130,594

Note:

⁽¹⁾ Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less.

Mortgage Loans Held for Portfolio by Collateral or Guarantee Type

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Conventional loans	$	2,736,342	$	2,779,962
Government-guaranteed/insured loans	271,608		278,501
Total par value	$	3,007,950	$	3,058,463

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Allowance for Credit Losses (Tables)

3 Months Ended

Mar. 31, 2015

Financing Receivable, Allowance for Credit Losses [Line Items]

Past Due Financing Receivables

Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans.

(in thousands)	March 31, 2015
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured			BOB Loans			Total
Past due 30-59 days	$	42,201		$	14,370		$	—		$	56,571
Past due 60-89 days	10,255			3,382			—			13,637
Past due 90 days or more	34,088			6,176			147			40,411
Total past due loans	$	86,544		$	23,928		$	147		$	110,619
Total current loans	2,728,541			257,853			12,977			2,999,371
Total loans	$	2,815,085		$	281,781		$	13,124		$	3,109,990
Other delinquency statistics:
In process of foreclosures, included above (2)	$	22,827		$	2,902		$	—		$	25,729
Serious delinquency rate (3)	1.2		%	2.2		%	1.1		%	1.3		%
Past due 90 days or more still accruing interest	$	—		$	6,176		$	—		$	6,176
Loans on nonaccrual status (4)	$	38,075		$	—		$	147		$	38,222

(in thousands)	December 31, 2014
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured			BOB Loans			Total
Past due 30-59 days	$	50,680		$	19,238		$	124		$	70,042
Past due 60-89 days	11,841			6,034			73			17,948
Past due 90 days or more	41,983			7,024			8			49,015
Total past due loans	$	104,504		$	32,296		$	205		$	137,005
Total current loans	2,753,466			256,606			13,313			3,023,385
Total loans	$	2,857,970		$	288,902		$	13,518		$	3,160,390
Other delinquency statistics:
In process of foreclosures, included above (2)	$	26,981		$	2,389		$	—		$	29,370
Serious delinquency rate (3)	1.5		%	2.4		%	0.1		%	1.6		%
Past due 90 days or more still accruing interest	$	—		$	7,024		$	—		$	7,024
Loans on nonaccrual status (4)	$	45,900		$	—		$	205		$	46,105

Notes:

⁽¹⁾ The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance.

⁽²⁾ Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

⁽³⁾ Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class.

⁽⁴⁾ Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest.

Individually Evaluated Impared Loan Statistic By Product Level

Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below.

	March 31, 2015
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	34,445	$	34,116	$	—
With a related allowance:
Conventional MPF loans	28,716		28,485		5,362
Total:
Conventional MPF loans	$	63,161	$	62,601	$	5,362

	December 31, 2014
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	31,749	$	31,448	$	—
With a related allowance:
Conventional MPF loans	36,395		36,175		6,034
Total:
Conventional MPF loans	$	68,144	$	67,623	$	6,034

Impaired Financing Receivables

The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became impaired.

	Three months ended March 31, 2015				Three months ended March 31, 2014
(in thousands)	Average Recorded Investment(1)		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	63,923	$	423	$	79,993	$	322

Mortgage loans held for portfolio, net

Financing Receivable, Allowance for Credit Losses [Line Items]

Allowance for Credit Losses on Financing Receivables

Rollforward of Allowance for Credit Losses.Mortgage Loans - Conventional MPF.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, beginning of period	$	7,260		$	11,359
(Charge-offs) Recoveries, net (1)	(102		)	—
Provision (benefit) for credit losses	(592		)	(4,041		)
Balance, March 31	$	6,566		$	7,318

Allowance for Credit Losses and Recorded Investment By Impairment Methodology

(in thousands)	March 31, 2015		December 31, 2014
Ending balance, individually evaluated for impairment	$	5,362	$	6,034
Ending balance, collectively evaluated for impairment	1,204		1,226
Total allowance for credit losses	$	6,566	$	7,260
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	63,161	$	68,144
Collectively evaluated for impairment	2,751,924		2,789,826
Total recorded investment	$	2,815,085	$	2,857,970

Banking on Business Loans

Financing Receivable, Allowance for Credit Losses [Line Items]

Allowance for Credit Losses on Financing Receivables

Rollforward of Allowance for Credit Losses.BOB Loans.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, Beginning of period	$	1,840		$	2,231
(Charge-offs) Recoveries, net	(284		)	(200		)
Provision for credit losses	104			111
Balance, March 31	$	1,660		$	2,142

Allowance for Credit Losses and Recorded Investment By Impairment Methodology

(in thousands)	March 31, 2015		December 31, 2014
Ending balance, individually evaluated for impairment	$	—	$	—
Ending balance, collectively evaluated for impairment	1,660		1,840
Total allowance for credit losses	$	1,660	$	1,840
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	—	$	—
Collectively evaluated for impairment	13,124		13,518
Total recorded investment	$	13,124	$	13,518

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Statements of Changes in Capital (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	$ 4,002,956	$ 3,692,202
Issuance of capital stock	609,893	349,394
Repurchase/redemption of capital stock	(587,122)	(628,203)
Net shares reclassified to mandatorily redeemable capital stock	0	(1,978)
Comprehensive Income	95,743	105,899
Cash dividends	(99,759)	(16,789)
Total capital, ending balance	4,021,711	3,500,525
Capital Stock - Putable
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	3,040,976	2,962,143
Balance, shares beginning balance	30,410	29,622
Issuance of capital stock	609,893	349,394
Issuance of capital stock, shares	6,099	3,494
Repurchase/redemption of capital stock	(587,122)	(628,203)
Repurchase/redemption of capital stock, shares	(5,871)	(6,282)
Net shares reclassified to mandatorily redeemable capital stock		(1,978)
Net shares reclassified to mandatorily redeemable capital stock, shares		(20)
Total capital, ending balance	3,063,747	2,681,356
Balance, shares ending balance	30,638	26,814
Retained Earnings, Unrestricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	726,309	625,636
Comprehensive Income	56,896	63,911
Cash dividends	(99,759)	(16,789)
Total capital, ending balance	683,446	672,758
Retained Earnings, Restricted
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	111,238	60,083
Comprehensive Income	14,224	15,978
Total capital, ending balance	125,462	76,061
Retained Earnings Total
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	837,547	685,719
Comprehensive Income	71,120	79,889
Cash dividends	(99,759)	(16,789)
Total capital, ending balance	808,908	748,819
Accumulated Other Comprehensive Income (Loss)
Increase (Decrease) in Stockholders' Equity [Roll Forward]
Total capital, beginning balance	124,433	44,340
Comprehensive Income	24,623	26,010
Total capital, ending balance	$ 149,056	$ 70,350

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Derivatives and Hedging Activities (Tables)

3 Months Ended

Mar. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of Derivative Instruments in Statement of Financial Position, Fair Value

The following tables summarize the notional and fair value of derivative instruments as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	35,828,625	$	104,126		$	375,909
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	8,650,294	$	26,281		$	64,427
Interest rate swaptions	25,000		83			—
Interest rate caps	675,000		4,137			—
Mortgage delivery commitments	21,726		633			—
Total derivatives not in hedge accounting relationships	$	9,372,020	$	31,134		$	64,427
Total derivatives before netting and collateral adjustments	$	45,200,645	$	135,260		$	440,336
Netting adjustments and cash collateral(1)			(83,206		)	(378,025		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	52,054		$	62,311

	December 31, 2014
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	32,196,669	$	84,205		$	414,760
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	11,937,989	$	21,396		$	52,925
Interest rate swaptions	25,000		1,312			—
Interest rate caps	675,000		4,425			—
Mortgage delivery commitments	18,308		434			—
Total derivatives not in hedge accounting relationships	$	12,656,297	$	27,567		$	52,925
Total derivatives before netting and collateral adjustments	$	44,852,966	$	111,772		$	467,685
Netting adjustments and cash collateral(1)			(75,555		)	(408,721		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	36,217		$	58,964

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

Derivative Instruments, Gain (Loss)

The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statements of Income.

	Three months ended March 31,
(in thousands)	2015			2014
Derivatives designated as hedging instruments:
Interest rate swaps	$	585		$	512
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(15,850	)	$	(15,773	)
Interest rate swaptions	139			(48		)
Interest rate caps	(288		)	(1,554		)
Net interest settlements	5,692			6,411
Mortgage delivery commitments	2,143			1,246
Other	7			7
Total net (losses) related to derivatives not designated as hedging instruments	$	(8,157	)	$	(9,711	)
Net (losses) on derivatives and hedging activities	$	(7,572	)	$	(9,199	)

Schedule Of Derivative Instruments By Type Gain Loss In Statement Of Financial Performance

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 three months ended March 31, 2015 and 2014.

(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 March 31, 2015
Hedged item type:
Advances	$	(10,013	)	$	10,175		$	162		$	(46,994	)
Consolidated obligations – bonds	54,590			(53,895		)	695			61,615
AFS securities	(11,735		)	11,463			(272		)	(3,432		)
Total	$	32,842		$	(32,257	)	$	585		$	11,189

Three months ended March 31, 2014
Hedged item type:
Advances	$	48,010		$	(47,263	)	$	747		$	(60,390	)
Consolidated obligations – bonds	45,796			(45,655		)	141			54,437
AFS securities	(9,137		)	8,761			(376		)	(2,544		)
Total	$	84,669		$	(84,157	)	$	512		$	(8,497	)

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. These amounts do not include $2.0 million and $3.5 million for the three months ended March 31, 2015 and 2014, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

Offsetting Assets

The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)		March 31, 2015			December 31, 2014
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	101,392		$	102,570
Cleared derivatives		33,235			8,768
Total gross recognized amount		134,627			111,338
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(99,445		)	(96,286		)
Cleared derivatives		16,239			20,731
Total gross amounts of netting adjustments and cash collateral		(83,206		)	(75,555		)
Net amounts after netting adjustments:
Bilateral derivatives		1,947			6,284
Cleared derivatives		49,474			29,499
Total net amounts after netting adjustments		51,421			35,783
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		633			434
Cleared derivatives		—			—
Derivative instruments not meeting netting requirements		633			434
Total derivative assets
Bilateral derivatives		2,580			6,718
Cleared derivatives		49,474			29,499
Total derivative assets as reported in the Statement of Condition		52,054			36,217
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		(471		)	(636		)
Cleared derivatives		—			—
Non-cash Collateral received or pledged - Can be sold or repledged		(471		)	(636		)
Net unsecured amount:
Bilateral derivatives		2,109			6,082
Cleared derivatives		49,474			29,499
Total net unsecured amount		$	51,583		$	35,581

Offsetting Liabilities

	Derivative Liabilities
(in thousands)		March 31, 2015			December 31, 2014
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	225,678		$	283,979
Cleared derivatives		214,658			183,706
Total gross recognized amount		440,336			467,685
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(163,367		)	(225,015		)
Cleared derivatives		(214,658		)	(183,706		)
Total gross amounts of netting adjustments and cash collateral		(378,025		)	(408,721		)
Net amounts after netting adjustments:
Bilateral derivatives		62,311			58,964
Cleared derivatives		—			—
Total net amounts after offsetting adjustments		62,311			58,964
Total derivative liabilities
Bilateral derivatives		62,311			58,964
Cleared derivatives		—			—
Total derivative liabilities as reported in the Statement of Condition		62,311			58,964
Net unsecured amount:
Bilateral derivatives		62,311			58,964
Net unsecured amount		$	62,311		$	58,964

Notes:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

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Transactions with Related Parties (Statement of Income Effects) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015		Mar. 31, 2014
Related Party Transaction [Line Items]
Interest income on advances (1)	$ 73,741		$ 59,973
Interest Income on MPF	30,756		33,364
Letter of credit fees	566		449
Prepayment Fees on Advances, Net	1,068		3,091
Principal Owner [Member]
Related Party Transaction [Line Items]
Interest income on advances (1)	39,053	[1]	32,803	[1]
Interest Income on MPF	17,623		21,306
Prepayment Fees on Advances, Net	0		3,090
Standby Letters of Credit | Principal Owner [Member]
Related Party Transaction [Line Items]
Letter of credit fees	$ 3,028		$ 1,882

[1] For the three months ended March 31, 2015, balances include contractual interest income of $72.8 million, net interest settlements on derivatives in fair value hedge relationships of $(33.4) million and total amortization of basis adjustments of $(0.4) million. For the three months ended March 31, 2014, balances include contractual interest income of $83.6 million, net interest settlements on derivatives in fair value hedge relationships of $(48.7) million and total amortization of basis adjustments of $(2.1) million.

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Trading Securities (Net Gains (Losses) on Trading Securities) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Trading Securities [Abstract]
Net unrealized gains on trading securities held at period-end	$ 6,777	$ 9,706
Net realized gains on securities sold/matured during the period	0	86
Net gains on trading securities	$ 6,777	$ 9,792

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Other-Than-Temporary Impairment (Narrative) (Details)	Mar. 31, 2015
Minimum
Other than Temporary Impairment, Disclosure [Line Items]
Assumed Current to Trough Home Price Change Rate	(3.00%)
Projected House Price Change Rate	1.00%
Maximum
Other than Temporary Impairment, Disclosure [Line Items]
Assumed Current to Trough Home Price Change Rate	8.00%
Projected House Price Change Rate	5.00%

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Consolidated Obligations (Contractual Maturity Terms) (Details) (Consolidated Obligation Bonds, USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Consolidated Obligation Bonds
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 15,415,510	$ 15,033,450
Due in 1 year or less, Weighted Average Interest Rate	0.82%	1.00%
Due after 1 year through 2 years	10,035,015	9,316,860
Due after 1 year through 2 years, Weighted Average Interest Rate	1.42%	1.42%
Due after 2 years through 3 years	5,996,640	5,346,515
Due after 2 years through 3 years, Weighted Average Interest Rate	1.66%	1.64%
Due after 3 years through 4 years	4,701,005	4,709,300
Due after 3 years through 4 years, Weighted Average Interest Rate	1.47%	1.50%
Due after 4 years through 5 years	3,336,885	2,911,350
Due after 4 years through 5 years, Weighted Average Interest Rate	1.77%	1.72%
Thereafter	5,303,650	5,959,265
Thereafter, Weighted Average Interest Rate	2.44%	2.35%
Index amortizing notes	294,966	325,360
Index amortizing notes, Weighted Average Interest Rate	4.11%	4.14%
Par value of consolidated bonds	$ 45,083,671	$ 43,602,100
Par value of consolidated obligation bonds, Weighted Average Interest Rate	1.42%	1.48%

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Statements of Income (USD $) In Thousands, except Per Share data, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Interest income:
Advances	$ 73,741	$ 59,973
Prepayment fees on advances, net	1,068	3,091
Interest-bearing deposits	79	83
Securities purchased under agreements to resell	161	13
Federal funds sold	1,379	705
Trading securities	1,997	1,838
Available-for-sale (AFS) securities	37,233	32,884
Held-to-maturity (HTM) securities	16,703	19,970
Mortgage loans held for portfolio	30,756	33,364
Total interest income	163,117	151,921
Interest expense:
Consolidated obligations - discount notes	9,102	6,036
Consolidated obligations - bonds	78,423	83,525
Mandatorily redeemable capital stock	1	14
Deposits	55	55
Other borrowings	4	3
Total interest expense	87,585	89,633
Net interest income	75,532	62,288
Provision (benefit) for credit losses	(461)	(3,873)
Net interest income after provision (benefit) for credit losses	75,993	66,161
Other noninterest income (loss):
Net gains (losses) on trading securities (Note 2)	6,777	9,792
Net gains on derivatives and hedging activities (Note 9)	(7,572)	(9,199)
Gains on litigation settlements, net	15,263	36,610
Standby letters of credit fees	5,949	4,022
Other, net	566	449
Total other noninterest income	20,983	41,674
Noninterest Expense [Abstract]
Compensation and benefits	10,321	10,822
Other operating	5,266	6,104
Finance Agency	1,380	1,249
Office of Finance	987	893
Total other expense	17,954	19,068
Income before assessments	79,022	88,767
AHP assessment	7,902	8,878
Net Income	$ 71,120	$ 79,889
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock)	29,367	29,072
Basic and diluted earnings per share	$ 2.42	$ 2.75
Dividends per share	$ 3.40	$ 0.58

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Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 8,279,911	[1]	$ 8,281,924	[1]
Total non-MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	3,493,871	[1]	3,322,152	[1]
MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	4,786,040	[1]	4,959,772	[1]
Fixed Interest Rate [Member] | Total non-MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	3,174,124		2,902,430
Fixed Interest Rate [Member] | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,698,292		2,002,208
Adjustable Interest Rate [Member] | Total non-MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	319,747		419,722
Adjustable Interest Rate [Member] | MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 3,087,748		$ 2,957,564

[1] Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments.

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Statements of Cash Flows (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
OPERATING ACTIVITIES
Net Income	$ 71,120	$ 79,889
Adjustments to reconcile net income to net cash provided by(used in) operating activities:
Depreciation and amortization	(20,148)	(13,480)
Net change in derivative and hedging activities	(12,477)	(15,998)
Other adjustments	(461)	(3,874)
Net change in:
Trading securities	(14,839)	(30,147)
Accrued interest receivable	(1,081)	12,731
Other assets	1,063	949
Accrued interest payable	46,410	46,185
Other liabilities	1,180	2,516
Net cash provided by operating activities	70,767	78,771
Net change in:
Interest-bearing deposits (including $(1,307) and $2,336 to/from other FHLBanks for mortgage loan program)	36,895	(4,398)
Federal funds sold	(330,000)	45,000
AFS securities:
Proceeds	578,529	565,159
Purchases	(499,868)	(701,512)
HTM securities:
Proceeds from long-term maturities	167,323	173,892
Advances:
Proceeds	128,836,510	140,789,202
Made	(127,764,258)	(136,655,622)
Mortgage loans held for portfolio:
Proceeds	109,399	104,145
Purchases	(71,230)	(54,609)
Proceeds from sale of foreclosed assets	3,155	4,132
Premises, software and equipment [Abstract]
Purchases	(704)	(83)
Net cash provided by investing activities	1,065,751	4,265,306
Net change in:
Deposits and pass-through reserves	109,889	100,584
Net payments for derivative contracts with financing element	(7,857)	(7,989)
Net proceeds from issuance of consolidated obligations:
Discount notes	38,654,859	20,904,544
Bonds	5,919,557	3,291,720
Payments for maturing and retiring consolidated obligations
Discount notes	(38,637,702)	(27,199,729)
Bonds	(4,425,194)	(3,117,510)
Proceeds from issuance of capital stock	609,893	349,394
Payments for repurchase/redemption of mandatorily redeemable capital stock	(17)	(157)
Payments for repurchase/redemption of capital stock	(587,122)	(628,203)
Cash dividends paid	(99,759)	(16,789)
Net cash provided by (used in) financing activities	1,536,547	(6,324,135)
Net increase (decrease) in cash and due from banks	2,673,065	(1,980,058)
Cash and due from banks at beginning of the period	2,451,131	3,121,345
Cash and due from banks at end of the period	5,124,196	1,141,287
Supplemental disclosures:
Interest paid	53,255	54,438
AHP payments	1,900	1,348
Transfers of mortgage loans to real estate owned	$ 1,491	$ 3,508

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Mortgage Loans Held for Portfolio (Collateral or Guarantee Type) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 3,007,950	$ 3,058,463
Conventional Mortgage Loan [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	2,736,342	2,779,962
Government Mortgage Loans [Member]
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 271,608	$ 278,501

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Transactions with Related Parties (Tables)

3 Months Ended

Mar. 31, 2015

Related Party Transaction [Line Items]

Related Party Transactions, by Balance Sheet Grouping

The following table includes significant outstanding related party member balances.

(in thousands)	March 31, 2015		December 31, 2014
Investments	$	155,995	$	157,025
Advances	40,468,917		38,765,267
Letters of credit (1)	9,520,383		9,608,983
MPF loans	1,261,559		1,326,807
Deposits	6,887		13,678
Capital stock	1,793,565		1,714,432

Related Party Transactions, Income Statement

The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to Federal funds sold, interest income on investments, and interest expense on deposits were immaterial for the periods presented.

	Three months ended March 31,
(in thousands)	2015		2014
Interest income on advances (1)	$	39,053	$	32,803
Interest income on MPF loans	17,623		21,306
Letter of credit fees	3,028		1,882
Prepayment fees on advances	—		3,090

Note:

⁽¹⁾ For the three months ended March 31, 2015, balances include contractual interest income of $72.8 million, net interest settlements on derivatives in fair value hedge relationships of $(33.4) million and total amortization of basis adjustments of $(0.4) million. For the three months ended March 31, 2014, balances include contractual interest income of $83.6 million, net interest settlements on derivatives in fair value hedge relationships of $(48.7) million and total amortization of basis adjustments of $(2.1) million.

Schedule of Related Party Transactions, Mortgage Loans

The following table includes the MPF activity of the related party members.

	Three months ended March 31,
(in thousands)	2015		2014
Total MPF loan volume purchased	$	1,407	$	889

FHLBank of Chicago [Member]

Related Party Transaction [Line Items]

Schedule of Related Party Transactions, Mortgage Loans

The following table summarizes the effect of the MPF activities with FHLBank of Chicago.

	Three months ended March 31,
(in thousands)	2015		2014
Servicing fee expense	$	268	$	237

(in thousands)	March 31, 2015		December 31, 2014
Interest-bearing deposits maintained with FHLBank of Chicago	$	8,089	$	6,782

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Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) (USD $)	Mar. 31, 2015		Dec. 31, 2014
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	$ 45,200,645,000		$ 44,852,966,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	135,260,000		111,772,000
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	440,336,000		467,685,000
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(83,206,000)	[1]	(75,555,000)	[1],[2]
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(378,025,000)	[1],[2]	(408,721,000)	[1]
Derivative assets	52,054,000		36,217,000
Derivative liabilities	62,311,000		58,964,000
Cash Collateral received	11,900,000		11,800,000
Cash Collateral posted	306,700,000		345,000,000
Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	35,828,625,000		32,196,669,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	104,126,000		84,205,000
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	375,909,000		414,760,000
Not Designated as Hedging Instrument [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	9,372,020,000		12,656,297,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	31,134,000		27,567,000
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	64,427,000		52,925,000
Not Designated as Hedging Instrument [Member] | Interest Rate Swap [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	8,650,294,000		11,937,989,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	26,281,000		21,396,000
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	64,427,000		52,925,000
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	25,000,000		25,000,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	83,000		1,312,000
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	0		0
Not Designated as Hedging Instrument [Member] | Interest Rate Caps or Floors [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	675,000,000		675,000,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	4,137,000		4,425,000
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	0		0
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member]
Derivatives, Fair Value [Line Items]
Total derivatives before netting and collateral adjustments: Notional Amount of Derivatives	21,726,000		18,308,000
Derivative Asset, Fair Value, Gross Asset Including Not Subject to Master Netting Arrangement	633,000		434,000
Derivative Liability, Fair Value, Gross Liability Including Not Subject to Master Netting Arrangement	$ 0		$ 0

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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Estimated Fair Values

3 Months Ended

Mar. 31, 2015

Fair Value Disclosures [Abstract]

Estimated Fair Values

Estimated Fair Values

Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. These estimates are based on recent market data and other pertinent information available to the Bank at March 31, 2015 and December 31, 2014. Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values.

The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2015 and December 31, 2014 are presented in the table below.

Fair Value Summary Table
	March 31, 2015
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	5,124,196	$	5,124,196	$	—	$	—	$	—		$	5,124,196
Interest-bearing deposits	8,089		—		8,089		—		—			8,089
Federal funds sold	4,915,000		—		4,914,986		—		—			4,914,986
Trading securities	295,855		5,122		290,733		—		—			295,855
AFS securities	8,431,371		1,998		7,471,330		958,043		—			8,431,371
HTM securities	3,079,267		—		2,477,930		645,110		—			3,123,040
Advances	62,346,031		—		62,425,319		—		—			62,425,319
Mortgage loans held for portfolio, net	3,074,289		—		3,279,503		—		—			3,279,503
BOB loans, net	11,347		—		—		11,347		—			11,347
Accrued interest receivable	87,196		—		87,196		—		—			87,196
Derivative assets	52,054		—		135,260		—		(83,206		)	52,054
Liabilities:
Deposits	$	750,927	$	—	$	750,931	$	—	$	—		$	750,931
Discount notes	37,077,804		—		37,079,968		—		—			37,079,968
Bonds	45,241,342		—		45,470,892		—		—			45,470,892
Mandatorily redeemable capital stock (1)	569		576		—		—		—			576
Accrued interest payable (1)	149,563		—		149,556		—		—			149,556
Derivative liabilities	62,311		—		440,336		—		(378,025		)	62,311

	December 31, 2014
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	2,451,131	$	2,451,131	$	—	$	—	$	—		$	2,451,131
Interest-bearing deposits	6,782		—		6,782		—		—			6,782
Federal funds sold	4,585,000		—		4,584,981		—		—			4,584,981
Trading securities	281,016		4,721		276,295		—		—			281,016
AFS securities	8,408,835		1,998		7,424,055		982,782		—			8,408,835
HTM securities	3,246,788		—		2,600,638		685,909		—			3,286,547
Advances	63,408,355		—		63,471,078		—		—			63,471,078
Mortgage loans held for portfolio, net	3,123,334		—		3,312,186		—		—			3,312,186
BOB loans, net	11,567		—		—		11,567		—			11,567
Accrued interest receivable	86,109		—		86,109		—		—			86,109
Derivative assets	36,217		—		111,772		—		(75,555		)	36,217
Liabilities:
Deposits	$	641,180	$	—	$	641,183	$	—	$	—		$	641,183
Discount notes	37,058,118		—		37,059,347		—		—			37,059,347
Bonds	43,714,510		—		43,881,951		—		—			43,881,951
Mandatorily redeemable capital stock (1)	586		705		—		—		—			705
Accrued interest payable (1)	103,151		—		103,032		—		—			103,032
Derivative liabilities	58,964		—		467,685		—		(408,721		)	58,964

Notes:

⁽¹⁾ The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item.

⁽²⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

Fair Value Hierarchy.The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value on the Statement of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

Level 3 Inputs - Unobservable inputs for the asset or liability.

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during the three months ended March 31, 2015 and 2014.

Summary of Valuation Methodologies and Primary Inputs

Cash and Due from Banks. The fair values equal the carrying values.

Interest Bearing Deposits. The fair value is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for interest-bearing deposits with similar terms.

Federal Funds Sold. The fair value of Federal funds sold is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for Federal funds with similar terms.

Investment Securities – non-MBS. The Bank uses the income approach to determine the estimated fair value of non-MBS investment securities. The significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves used by the Bank and the related instrument types they measure are as follows:

• Treasury curve: U.S. Treasury obligations

• LIBOR Swap curve: certificates of deposit

• CO curve: Government-sponsored enterprises, state and local agency, and other U.S. obligations

Investment Securities – MBS.  To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

During the year, the Bank conducts reviews of the four pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures for agency and private label MBS. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes.

The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.

The Bank also reviewed the final fair value estimates of its private label MBS holdings as of March 31, 2015 for reasonableness using an implied yield test. On certain securities, the Bank calculated an implied yield using the estimated fair value derived from the process described above and the security's projected cash flows from the Bank's OTTI process and compared such yield to the market yield to dealer sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary.

As of March 31, 2015, four vendor prices were received for a majority of the Bank's MBS holdings, and the final prices for a majority of those securities were computed by averaging the four prices. Based on the Bank's reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank's additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices), and further that the fair value measurements are classified appropriately in the fair value hierarchy. Based on the current lack of significant market activity for private label residential MBS, the Bank believes that as of March 31, 2015, private label residential MBS inputs should be classified as Level 3.

Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices.

Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment.

Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market.

Accrued Interest Receivable and Payable. The fair values approximate the carrying values.

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks.

The Bank is subject to credit risk on bilateral derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its bilateral derivative transactions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset; if negative, a liability.

The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows:

Interest-rate related:

• Discount rate assumption. Overnight Index Swap (OIS) curve.

• Forward interest rate assumption. LIBOR Swap Curve.

• Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.

Mortgage delivery commitments:

• To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement.

BOB Loans. The fair value approximates the carrying value.

Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms.

Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. The OF constructs an internal curve, referred to as the CO curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity.

Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally its par value plus estimated dividends at the time of reclassification and any subsequently estimated dividend. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure.

Commitments. For fixed-rate loan commitments, fair value considers the difference between current levels of interest rates and the committed rates. The Bank issues standby letters of credit for a fee. The unamortized fee is the letter of credit's carrying value and represents its fair value. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2015 and December 31, 2014.

Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time.

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 Statements of Condition at March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA obligations	$	—	$	290,733	$	—	$	—		$	290,733
Mutual funds	5,122		—		—		—			5,122
Total trading securities	$	5,122	$	290,733	$	—	$	—		$	295,855
AFS securities:
GSE and TVA obligations	$	—	$	3,388,639	$	—	$	—		$	3,388,639
State or local agency obligations	—		127,002		—		—			127,002
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations single family MBS	—		316,071		—		—			316,071
GSE single-family MBS	—		2,753,192		—		—			2,753,192
GSE multifamily MBS	—		886,426		—		—			886,426
Private label MBS:
Private label residential MBS	—		—		946,912		—			946,912
HELOCs	—		—		11,131		—			11,131
Total AFS securities	$	1,998	$	7,471,330	$	958,043	$	—		$	8,431,371
Derivative assets:
Interest rate related	$	—	$	134,627	$	—	$	(83,206	)	$	51,421
Mortgage delivery commitments	—		633		—		—			633
Total derivative assets	$	—	$	135,260	$	—	$	(83,206	)	$	52,054
Total assets at fair value	$	7,120	$	7,897,323	$	958,043	$	(83,206	)	$	8,779,280
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	440,336	$	—	$	(378,025	)	$	62,311
Total derivative liabilities (2)	$	—	$	440,336	$	—	$	(378,025	)	$	62,311

	December 31, 2014
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA obligations	$	—	$	276,295	$	—	$	—		$	276,295
Mutual funds	4,721		—		—		—			4,721
Total trading securities	$	4,721	$	276,295	$	—	$	—		$	281,016
AFS securities:
GSE and TVA obligations	$	—	$	3,233,703	$	—	$	—		3,233,703
State or local agency obligations	—		98,984		—		—			98,984
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations single family MBS	—		329,379		—		—			329,379
GSE single-family MBS	—		2,882,162		—		—			2,882,162
GSE multifamily MBS	—		879,827		—		—			879,827
Private label MBS:
Private label residential MBS	—		—		971,083		—			971,083
HELOCs	—		—		11,699		—			11,699
Total AFS securities	$	1,998	$	7,424,055	$	982,782	$	—		$	8,408,835
Derivative assets:
Interest rate related	$	—	$	111,338	$	—	$	(75,555	)	$	35,783
Mortgage delivery commitments	—		434		—		—			434
Total derivative assets	$	—	$	111,772	$	—	$	(75,555	)	$	36,217
Total assets at fair value	$	6,719	$	7,812,122	$	982,782	$	(75,555	)	$	8,726,068
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	467,685	$	—	$	(408,721	)	$	58,964
Total derivative liabilities (2)	$	—	$	467,685	$	—	$	(408,721	)	$	58,964

Notes:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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

There were no transfers between Levels 1 or 2 during the first three months of 2015 or 2014.

Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. 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 three months ended March 31, 2015 and 2014. 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. There were no Level 3 transfers during the first three months of 2015 or 2014.

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2015			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2015
Balance at January 1	$	971,083		$	11,699
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	4,659			378
Net unrealized (losses) on AFS in OCI	(15		)	—
Net change in fair value on OTTI AFS in OCI	709			(3		)
Unrealized gains (losses) on OTTI AFS in OCI	1,608			(253		)
Purchases, issuances, sales, and settlements:
Settlements	(31,132		)	(690		)
Balance at March 31	$	946,912		$	11,131
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2015	$	4,659		$	378

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2014			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2014
Balance at January 1	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	2,936			330
Net unrealized (losses) on AFS in OCI	(30		)	—
Net change in fair value on OTTI AFS in OCI	1,998			20
Unrealized gains (losses) on OTTI AFS in OCI	(684		)	109
Purchases, issuances, sales, and settlements:
Settlements	(50,823		)	(864		)
Balance at March 31	$	1,077,021		$	14,023
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2014	$	2,936		$	330

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Estimated Fair Values (Tables)

3 Months Ended

Mar. 31, 2015

Fair Value Disclosures [Abstract]

Fair Value, by Balance Sheet Grouping

The carrying value and estimated fair value of the Bank’s financial instruments at March 31, 2015 and December 31, 2014 are presented in the table below.

Fair Value Summary Table
	March 31, 2015
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	5,124,196	$	5,124,196	$	—	$	—	$	—		$	5,124,196
Interest-bearing deposits	8,089		—		8,089		—		—			8,089
Federal funds sold	4,915,000		—		4,914,986		—		—			4,914,986
Trading securities	295,855		5,122		290,733		—		—			295,855
AFS securities	8,431,371		1,998		7,471,330		958,043		—			8,431,371
HTM securities	3,079,267		—		2,477,930		645,110		—			3,123,040
Advances	62,346,031		—		62,425,319		—		—			62,425,319
Mortgage loans held for portfolio, net	3,074,289		—		3,279,503		—		—			3,279,503
BOB loans, net	11,347		—		—		11,347		—			11,347
Accrued interest receivable	87,196		—		87,196		—		—			87,196
Derivative assets	52,054		—		135,260		—		(83,206		)	52,054
Liabilities:
Deposits	$	750,927	$	—	$	750,931	$	—	$	—		$	750,931
Discount notes	37,077,804		—		37,079,968		—		—			37,079,968
Bonds	45,241,342		—		45,470,892		—		—			45,470,892
Mandatorily redeemable capital stock (1)	569		576		—		—		—			576
Accrued interest payable (1)	149,563		—		149,556		—		—			149,556
Derivative liabilities	62,311		—		440,336		—		(378,025		)	62,311

	December 31, 2014
(in thousands)	Carrying Value		Level 1		Level 2		Level 3		Netting Adjust. (2)			Estimated Fair Value
Assets:
Cash and due from banks	$	2,451,131	$	2,451,131	$	—	$	—	$	—		$	2,451,131
Interest-bearing deposits	6,782		—		6,782		—		—			6,782
Federal funds sold	4,585,000		—		4,584,981		—		—			4,584,981
Trading securities	281,016		4,721		276,295		—		—			281,016
AFS securities	8,408,835		1,998		7,424,055		982,782		—			8,408,835
HTM securities	3,246,788		—		2,600,638		685,909		—			3,286,547
Advances	63,408,355		—		63,471,078		—		—			63,471,078
Mortgage loans held for portfolio, net	3,123,334		—		3,312,186		—		—			3,312,186
BOB loans, net	11,567		—		—		11,567		—			11,567
Accrued interest receivable	86,109		—		86,109		—		—			86,109
Derivative assets	36,217		—		111,772		—		(75,555		)	36,217
Liabilities:
Deposits	$	641,180	$	—	$	641,183	$	—	$	—		$	641,183
Discount notes	37,058,118		—		37,059,347		—		—			37,059,347
Bonds	43,714,510		—		43,881,951		—		—			43,881,951
Mandatorily redeemable capital stock (1)	586		705		—		—		—			705
Accrued interest payable (1)	103,151		—		103,032		—		—			103,032
Derivative liabilities	58,964		—		467,685		—		(408,721		)	58,964

Schedule of Fair Value, Assets and Liabilities Measured on 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 Statements of Condition at March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA obligations	$	—	$	290,733	$	—	$	—		$	290,733
Mutual funds	5,122		—		—		—			5,122
Total trading securities	$	5,122	$	290,733	$	—	$	—		$	295,855
AFS securities:
GSE and TVA obligations	$	—	$	3,388,639	$	—	$	—		$	3,388,639
State or local agency obligations	—		127,002		—		—			127,002
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations single family MBS	—		316,071		—		—			316,071
GSE single-family MBS	—		2,753,192		—		—			2,753,192
GSE multifamily MBS	—		886,426		—		—			886,426
Private label MBS:
Private label residential MBS	—		—		946,912		—			946,912
HELOCs	—		—		11,131		—			11,131
Total AFS securities	$	1,998	$	7,471,330	$	958,043	$	—		$	8,431,371
Derivative assets:
Interest rate related	$	—	$	134,627	$	—	$	(83,206	)	$	51,421
Mortgage delivery commitments	—		633		—		—			633
Total derivative assets	$	—	$	135,260	$	—	$	(83,206	)	$	52,054
Total assets at fair value	$	7,120	$	7,897,323	$	958,043	$	(83,206	)	$	8,779,280
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	440,336	$	—	$	(378,025	)	$	62,311
Total derivative liabilities (2)	$	—	$	440,336	$	—	$	(378,025	)	$	62,311

	December 31, 2014
(in thousands)	Level 1		Level 2		Level 3		Netting Adjustment(1)			Total
Assets:
Trading securities:
GSE and TVA obligations	$	—	$	276,295	$	—	$	—		$	276,295
Mutual funds	4,721		—		—		—			4,721
Total trading securities	$	4,721	$	276,295	$	—	$	—		$	281,016
AFS securities:
GSE and TVA obligations	$	—	$	3,233,703	$	—	$	—		3,233,703
State or local agency obligations	—		98,984		—		—			98,984
Mutual funds	1,998		—		—		—			1,998
Other U.S. obligations single family MBS	—		329,379		—		—			329,379
GSE single-family MBS	—		2,882,162		—		—			2,882,162
GSE multifamily MBS	—		879,827		—		—			879,827
Private label MBS:
Private label residential MBS	—		—		971,083		—			971,083
HELOCs	—		—		11,699		—			11,699
Total AFS securities	$	1,998	$	7,424,055	$	982,782	$	—		$	8,408,835
Derivative assets:
Interest rate related	$	—	$	111,338	$	—	$	(75,555	)	$	35,783
Mortgage delivery commitments	—		434		—		—			434
Total derivative assets	$	—	$	111,772	$	—	$	(75,555	)	$	36,217
Total assets at fair value	$	6,719	$	7,812,122	$	982,782	$	(75,555	)	$	8,726,068
Liabilities:
Derivative liabilities:
Interest rate related	$	—	$	467,685	$	—	$	(408,721	)	$	58,964
Total derivative liabilities (2)	$	—	$	467,685	$	—	$	(408,721	)	$	58,964

Notes:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

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

Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation

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 three months ended March 31, 2015 and 2014. 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. There were no Level 3 transfers during the first three months of 2015 or 2014.

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2015			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2015
Balance at January 1	$	971,083		$	11,699
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	4,659			378
Net unrealized (losses) on AFS in OCI	(15		)	—
Net change in fair value on OTTI AFS in OCI	709			(3		)
Unrealized gains (losses) on OTTI AFS in OCI	1,608			(253		)
Purchases, issuances, sales, and settlements:
Settlements	(31,132		)	(690		)
Balance at March 31	$	946,912		$	11,131
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2015	$	4,659		$	378

(in thousands)	AFS Private Label MBS-Residential Three Months Ended March 31, 2014			AFS Private Label MBS- HELOCs Three Months Ended March 31, 2014
Balance at January 1	$	1,123,624		$	14,428
Total gains (losses) (realized/unrealized) included in:
Accretion of credit losses in interest income	2,936			330
Net unrealized (losses) on AFS in OCI	(30		)	—
Net change in fair value on OTTI AFS in OCI	1,998			20
Unrealized gains (losses) on OTTI AFS in OCI	(684		)	109
Purchases, issuances, sales, and settlements:
Settlements	(50,823		)	(864		)
Balance at March 31	$	1,077,021		$	14,023
Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at March 31, 2014	$	2,936		$	330

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Significant Accounting Policies (Policies)

3 Months Ended

Mar. 31, 2015

Impairment of Investments, Policy

A significant input to the projection of cash flows expected to be collected is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. During the first quarter of 2015, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 8.0% over the 12 month period beginning January 1, 2015. For the vast majority of markets the short-term forecast has changes from 1.0% to 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

Finance, Loan and Lease Receivables, Held-for-investment, Allowance and Nonperforming Loans, Allowance Policy

The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans.

Credit Products. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral and lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with theFHLBankAct and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank’s respective credit risk from credit products.

Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2015, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit.

The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At March 31, 2015, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2015 and December 31, 2014, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products.

MortgageLoans- Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans.

Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans.

The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses.

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE, if any, are incurred by the Bank.

Loans and Leases Receivable, Mortgage and Mortgage-Backed Securities, Valuation, Policy

Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. Given the credit deterioration experienced by PMI companies, estimated future claim payments from these companies have been reduced and factored into estimated loan losses. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank.

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually

Derivatives, Policy

The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For bilateral derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives.

For cleared derivatives, the Clearing Houses are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin and the clearing agent notifies the FHLBank of the required initial and variationmargin. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House.

Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 13 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions.

Fair Value Measurement, Policy

Fair Value Hierarchy.The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value on the Statement of Condition. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability.

The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels:

Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date.

Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means.

Level 3 Inputs - Unobservable inputs for the asset or liability.

The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur.

Fair Value of Financial Instruments, Policy

The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above.

Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices.

Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment.

Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market.

Accrued Interest Receivable and Payable. The fair values approximate the carrying values.

Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks.

The Bank is subject to credit risk on bilateral derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its bilateral derivative transactions. In addition, the Bank has entered into bilateral security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank's credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements.

The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset; if negative, a liability.

The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows:

Interest-rate related:

• Discount rate assumption. Overnight Index Swap (OIS) curve.

• Forward interest rate assumption. LIBOR Swap Curve.

• Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options.

Mortgage delivery commitments:

• To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement.

BOB Loans. The fair value approximates the carrying value.

Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms.

Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. The OF constructs an internal curve, referred to as the CO curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity.

Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally its par value plus estimated dividends at the time of reclassification and any subsequently estimated dividend. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System's cooperative structure.

Commitments. For fixed-rate loan commitments, fair value considers the difference between current levels of interest rates and the committed rates. The Bank issues standby letters of credit for a fee. The unamortized fee is the letter of credit's carrying value and represents its fair value. The fair value of the Bank's commitments to extend credit for advances and letters of credit was immaterial at March 31, 2015 and December 31, 2014.

Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time.

To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information as applicable such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank.

Fair Value Transfer, Policy

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.

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Derivatives and Hedging Activities (Narrative) (Details) (USD $) In Millions, unless otherwise specified	Mar. 31, 2015
Derivative Instruments and Hedging Activities Disclosure [Abstract]
Derivative, Net Liability Position, Aggregate Fair Value	$ 133.7
Collateral Already Posted, Aggregate Fair Value	75.9
Additional Collateral, Aggregate Fair Value	$ 33.4

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Statement of Cash Flows (Parenthetical) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Increase (Decrease) in Deposits with Other Federal Home Loan Banks	$ (1,307)	$ 2,336

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Statements of Comprehensive Income (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Net Income	$ 71,120	$ 79,889
Net unrealized gains (losses) on AFS securities:
Net unrealized gains on AFS	22,488	24,528
Net change in fair value of OTTI securities	2,061	1,443
Reclassification of net losses (gains) included in net income relating to hedging activities	(8)	0
Pension and post-retirement benefits	82	39
Total other comprehensive income	24,623	26,010
Total Comprehensive Income	$ 95,743	$ 105,899

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Allowance for Credit Losses

3 Months Ended

Mar. 31, 2015

Allowance for Credit Losses [Abstract]

Allowance for Credit Losses

Allowance for Credit Losses

The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans.

Credit Products. The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This generally provides for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral and lending policies to limit risk of loss while balancing each borrower's need for a reliable source of funding. In addition, the Bank lends to its members in accordance with theFHLBankAct and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to protect its security interest. Management of the Bank believes that these policies effectively manage the Bank’s respective credit risk from credit products.

Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, notwithstanding financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be entitled to priority under otherwise applicable law and are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest.

Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At March 31, 2015, the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit.

The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At March 31, 2015, the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs).

Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at March 31, 2015 and December 31, 2014, the Bank has not recorded any allowance for credit losses for off-balance sheet credit products.

MortgageLoans- Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans.

Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans.

The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses.

For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed upon amount, referred to as the first loss account (FLA). The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE, if any, are incurred by the Bank. At March 31, 2015 and December 31, 2014, the MPF exposure under the FLA was $22.9 million and $23.1 million, respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $0.8 million during each of the first quarters of 2015 and 2014.

Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. Given the credit deterioration experienced by PMI companies, estimated future claim payments from these companies have been reduced and factored into estimated loan losses. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank.

Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions required by AB 2012-02 as described in Note 1 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which are comprised primarily of MPF loans that are 180 days or more delinquent and other loans where the borrower has filed for bankruptcy.

The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs and recovery through PMI. The estimated fair value is determined based on a value provided by a third party's retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. During 2014, the resulting loss was reduced by available CE. Beginning January 1, 2015, the Bank adopted the charge-off provisions of AB 2012-02. As a result, the estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established, if required.

Rollforward of Allowance for Credit Losses.Mortgage Loans - Conventional MPF.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, beginning of period	$	7,260		$	11,359
(Charge-offs) Recoveries, net (1)	(102		)	—
Provision (benefit) for credit losses	(592		)	(4,041		)
Balance, March 31	$	6,566		$	7,318

Notes:

⁽¹⁾ Net charge-offs that the Bank does not expect to recover through CE receivable.

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. Mortgage Loans - Conventional MPF.

(in thousands)	March 31, 2015		December 31, 2014
Ending balance, individually evaluated for impairment	$	5,362	$	6,034
Ending balance, collectively evaluated for impairment	1,204		1,226
Total allowance for credit losses	$	6,566	$	7,260
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	63,161	$	68,144
Collectively evaluated for impairment	2,751,924		2,789,826
Total recorded investment	$	2,815,085	$	2,857,970

BOB Loans. Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancement requirements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets.

Rollforward of Allowance for Credit Losses.BOB Loans.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, Beginning of period	$	1,840		$	2,231
(Charge-offs) Recoveries, net	(284		)	(200		)
Provision for credit losses	104			111
Balance, March 31	$	1,660		$	2,142

Allowances for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans.

(in thousands)	March 31, 2015		December 31, 2014
Ending balance, individually evaluated for impairment	$	—	$	—
Ending balance, collectively evaluated for impairment	1,660		1,840
Total allowance for credit losses	$	1,660	$	1,840
Recorded investment balance, end of period:
Individually evaluated for impairment, with or without a related allowance	$	—	$	—
Collectively evaluated for impairment	13,124		13,518
Total recorded investment	$	13,124	$	13,518

Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans.

(in thousands)	March 31, 2015
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured			BOB Loans			Total
Past due 30-59 days	$	42,201		$	14,370		$	—		$	56,571
Past due 60-89 days	10,255			3,382			—			13,637
Past due 90 days or more	34,088			6,176			147			40,411
Total past due loans	$	86,544		$	23,928		$	147		$	110,619
Total current loans	2,728,541			257,853			12,977			2,999,371
Total loans	$	2,815,085		$	281,781		$	13,124		$	3,109,990
Other delinquency statistics:
In process of foreclosures, included above (2)	$	22,827		$	2,902		$	—		$	25,729
Serious delinquency rate (3)	1.2		%	2.2		%	1.1		%	1.3		%
Past due 90 days or more still accruing interest	$	—		$	6,176		$	—		$	6,176
Loans on nonaccrual status (4)	$	38,075		$	—		$	147		$	38,222

(in thousands)	December 31, 2014
Recorded investment: (1)	Conventional MPF Loans			Government-Guaranteed or Insured			BOB Loans			Total
Past due 30-59 days	$	50,680		$	19,238		$	124		$	70,042
Past due 60-89 days	11,841			6,034			73			17,948
Past due 90 days or more	41,983			7,024			8			49,015
Total past due loans	$	104,504		$	32,296		$	205		$	137,005
Total current loans	2,753,466			256,606			13,313			3,023,385
Total loans	$	2,857,970		$	288,902		$	13,518		$	3,160,390
Other delinquency statistics:
In process of foreclosures, included above (2)	$	26,981		$	2,389		$	—		$	29,370
Serious delinquency rate (3)	1.5		%	2.4		%	0.1		%	1.6		%
Past due 90 days or more still accruing interest	$	—		$	7,024		$	—		$	7,024
Loans on nonaccrual status (4)	$	45,900		$	—		$	205		$	46,105

Notes:

⁽¹⁾ The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance.

⁽²⁾ Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status.

⁽³⁾ Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class.

⁽⁴⁾ Generally represents mortgage loans with contractual principal or interest payments 90 days or more past due and not accruing interest.

Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below.

	March 31, 2015
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	34,445	$	34,116	$	—
With a related allowance:
Conventional MPF loans	28,716		28,485		5,362
Total:
Conventional MPF loans	$	63,161	$	62,601	$	5,362

	December 31, 2014
(in thousands)	Recorded Investment		Unpaid Principal Balance		Related Allowance for Credit Losses
With no related allowance:
Conventional MPF loans	$	31,749	$	31,448	$	—
With a related allowance:
Conventional MPF loans	36,395		36,175		6,034
Total:
Conventional MPF loans	$	68,144	$	67,623	$	6,034

The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became impaired.

	Three months ended March 31, 2015				Three months ended March 31, 2014
(in thousands)	Average Recorded Investment(1)		Interest Income Recognized		Average Recorded Investment		Interest Income Recognized
Conventional MPF loans	$	63,923	$	423	$	79,993	$	322

Notes:

⁽¹⁾ Includes gross charge-offs.

Beginning January 1, 2014, with the adoption of AB 2012-02, the Bank now considers all loans that are 180 days or more delinquent or where the borrower has filed for bankruptcy to be individually impaired loans.

TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that would not have been considered had it not been for economic or legal reasons related to the debtor's financial difficulties. 

Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharges the borrower’s obligation, and the borrower does not reaffirm the debt.As of March 31, 2015 and December 31, 2014, the recorded investment in mortgage loans classified as TDRs was $16.0 million and $16.8 million, respectively. The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows.

BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for up to a one-year period. The credit loss is measured by factoring expected shortfalls incurred as of the reporting date. BOB loan TDRs are not material to the Bank’s financial condition, results of operations, or cash flows.

Real Estate Owned (REO). The Bank had $6.3 million and $6.9 million of REO reported in Other assets on the Statement of Condition at March 31, 2015 and December 31, 2014, respectively.

Purchases, Sales and Reclassifications. During the three months ended March 31, 2015 and 2014, there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale.

XML

Document and Entity Information	3 Months Ended
	Mar. 31, 2015	Apr. 30, 2015
Entity Information [Line Items]
Entity Registrant Name	Federal Home Loan Bank of Pittsburgh
Entity Central Index Key	0001330399
Current Fiscal Year End Date	--12-31
Entity Filer Category	Non-accelerated Filer
Document Type	10-Q
Document Period End Date	Mar. 31, 2015
Document Fiscal Year Focus	2015
Document Fiscal Period Focus	Q1
Amendment Flag	false
Entity Common Stock, Shares Outstanding		32,506,813

XML

Derivatives and Hedging Activities

3 Months Ended

Mar. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Derivatives and Hedging Activities

Derivatives and Hedging Activities

Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and funding sources that finance these assets. The goal of the Bank's interest rate risk management strategy is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets and funding sources. For additional information on the Bank's derivative transactions, see Note 11 to the audited financial statements in the Bank's 2014 Form 10-K.

Derivative transactions may be executed either with a counterparty (referred to as bilateral derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the derivative transaction is novated and the executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. For bilateral derivatives, the Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations.

Financial Statement Effect and Additional Financial Information. The following tables summarize the notional and fair value of derivative instruments as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	35,828,625	$	104,126		$	375,909
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	8,650,294	$	26,281		$	64,427
Interest rate swaptions	25,000		83			—
Interest rate caps	675,000		4,137			—
Mortgage delivery commitments	21,726		633			—
Total derivatives not in hedge accounting relationships	$	9,372,020	$	31,134		$	64,427
Total derivatives before netting and collateral adjustments	$	45,200,645	$	135,260		$	440,336
Netting adjustments and cash collateral(1)			(83,206		)	(378,025		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	52,054		$	62,311

	December 31, 2014
(in thousands)	Notional Amount of Derivatives		Derivative Assets			Derivative Liabilities
Derivatives in hedge accounting relationships:
Interest rate swaps	$	32,196,669	$	84,205		$	414,760
Derivatives not in hedge accounting relationships:
Interest rate swaps	$	11,937,989	$	21,396		$	52,925
Interest rate swaptions	25,000		1,312			—
Interest rate caps	675,000		4,425			—
Mortgage delivery commitments	18,308		434			—
Total derivatives not in hedge accounting relationships	$	12,656,297	$	27,567		$	52,925
Total derivatives before netting and collateral adjustments	$	44,852,966	$	111,772		$	467,685
Netting adjustments and cash collateral(1)			(75,555		)	(408,721		)
Derivative assets and derivative liabilities as reported on the Statement of   Condition			$	36,217		$	58,964

Note:

⁽¹⁾ Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statements of Income.

	Three months ended March 31,
(in thousands)	2015			2014
Derivatives designated as hedging instruments:
Interest rate swaps	$	585		$	512
Derivatives not designated as hedging instruments:
Economic hedges:
Interest rate swaps	$	(15,850	)	$	(15,773	)
Interest rate swaptions	139			(48		)
Interest rate caps	(288		)	(1,554		)
Net interest settlements	5,692			6,411
Mortgage delivery commitments	2,143			1,246
Other	7			7
Total net (losses) related to derivatives not designated as hedging instruments	$	(8,157	)	$	(9,711	)
Net (losses) on derivatives and hedging activities	$	(7,572	)	$	(9,199	)

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 three months ended March 31, 2015 and 2014.

(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 March 31, 2015
Hedged item type:
Advances	$	(10,013	)	$	10,175		$	162		$	(46,994	)
Consolidated obligations – bonds	54,590			(53,895		)	695			61,615
AFS securities	(11,735		)	11,463			(272		)	(3,432		)
Total	$	32,842		$	(32,257	)	$	585		$	11,189

Three months ended March 31, 2014
Hedged item type:
Advances	$	48,010		$	(47,263	)	$	747		$	(60,390	)
Consolidated obligations – bonds	45,796			(45,655		)	141			54,437
AFS securities	(9,137		)	8,761			(376		)	(2,544		)
Total	$	84,669		$	(84,157	)	$	512		$	(8,497	)

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. These amounts do not include $2.0 million and $3.5 million for the three months ended March 31, 2015 and 2014, respectively, of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships.

The Bank had no active cash flow hedging relationships during the first three months of 2015 or 2014.

Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For bilateral derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all bilateral derivatives.

For cleared derivatives, the Clearing Houses are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin and the clearing agent notifies the FHLBank of the required initial and variationmargin. The requirement that the Bank post initial and variation margin through the clearing agent, on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House.

Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 13 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk.

Generally, the Bank’s ISDA agreements for bilateral derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank's credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on bilateral derivative instruments in net liability positions. The aggregate fair value of all bilateral derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at March 31, 2015 was $133.7 million, for which the Bank has posted cash collateral with a fair value of approximately $75.9 million. If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $33.4 million of collateral to its derivative counterparties at March 31, 2015.

For cleared derivatives, the Clearing House determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. The Bank was not required to post additional initial margin by its clearing agents at March 31, 2015.

Offsetting of Derivative Assets and Derivative Liabilities. The Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty when it has met the netting requirements. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties.

	Derivative Assets
(in thousands)		March 31, 2015			December 31, 2014
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	101,392		$	102,570
Cleared derivatives		33,235			8,768
Total gross recognized amount		134,627			111,338
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(99,445		)	(96,286		)
Cleared derivatives		16,239			20,731
Total gross amounts of netting adjustments and cash collateral		(83,206		)	(75,555		)
Net amounts after netting adjustments:
Bilateral derivatives		1,947			6,284
Cleared derivatives		49,474			29,499
Total net amounts after netting adjustments		51,421			35,783
Derivative instruments not meeting netting requirements: (1)
Bilateral derivatives		633			434
Cleared derivatives		—			—
Derivative instruments not meeting netting requirements		633			434
Total derivative assets
Bilateral derivatives		2,580			6,718
Cleared derivatives		49,474			29,499
Total derivative assets as reported in the Statement of Condition		52,054			36,217
Non-cash collateral received or pledged not offset:
Can be sold or repledged
Bilateral derivatives		(471		)	(636		)
Cleared derivatives		—			—
Non-cash Collateral received or pledged - Can be sold or repledged		(471		)	(636		)
Net unsecured amount:
Bilateral derivatives		2,109			6,082
Cleared derivatives		49,474			29,499
Total net unsecured amount		$	51,583		$	35,581

	Derivative Liabilities
(in thousands)		March 31, 2015			December 31, 2014
Derivative instruments meeting netting requirements:
Gross recognized amount:
Bilateral derivatives		$	225,678		$	283,979
Cleared derivatives		214,658			183,706
Total gross recognized amount		440,336			467,685
Gross amounts of netting adjustments and cash collateral:
Bilateral derivatives		(163,367		)	(225,015		)
Cleared derivatives		(214,658		)	(183,706		)
Total gross amounts of netting adjustments and cash collateral		(378,025		)	(408,721		)
Net amounts after netting adjustments:
Bilateral derivatives		62,311			58,964
Cleared derivatives		—			—
Total net amounts after offsetting adjustments		62,311			58,964
Total derivative liabilities
Bilateral derivatives		62,311			58,964
Cleared derivatives		—			—
Total derivative liabilities as reported in the Statement of Condition		62,311			58,964
Net unsecured amount:
Bilateral derivatives		62,311			58,964
Net unsecured amount		$	62,311		$	58,964

Notes:

⁽¹⁾ Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

XML

Capital (Dividends and Retained Earnings) (Details) (USD $) In Thousands, unless otherwise specified	1 Months Ended	3 Months Ended	1 Months Ended
	Feb. 28, 2015	Mar. 31, 2015	Apr. 30, 2015	Dec. 31, 2014
Capital [Line Items]
Capital stock		$ 3,063,747		$ 3,040,976
Joint Capital Enhancement Agreement Percentage		20.00%
Percent of Average Balance of Outstanding Consolidated Obligations Required per the Joint Capital Enhancement Agreement For Each Previous Quarter		1.00%
Retained Earnings (Accumulated Deficit)		808,908		837,547
Unrestricted		683,446		726,309
Restricted		125,462		111,238
Dividends, Per Share, Cash, Annualized Rate	4.00%
Special Dividends	2.50%
Subclass B1 [Member]
Capital [Line Items]
Capital stock		319,200		290,400
Subclass B1 [Member] | Dividend Paid [Member]
Capital [Line Items]
Dividends, Per Share, Cash, Annualized Rate			3.00%
Subclass B2 [Member]
Capital [Line Items]
Capital stock		$ 2,744,000		$ 2,751,000
Subclass B2 [Member] | Dividend Paid [Member]
Capital [Line Items]
Dividends, Per Share, Cash, Annualized Rate			5.00%

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Commitments and Contingencies (Details) (USD $)	3 Months Ended
	Mar. 31, 2015		Dec. 31, 2014
Loss Contingencies [Line Items]
Other Liabilities - Standby Letter of Credit Fees	$ 96,833,000		$ 41,614,000
Maximum Commitment Period	45 days
Standby Letters of Credit Issuance Commitments [Member]
Loss Contingencies [Line Items]
Off-balance Sheet Risks, Total Liability	122,300,000		146,800,000
Open RepoPlus Advance Product
Loss Contingencies [Line Items]
Open Repo Plus Product Outstanding	7,700,000,000		7,400,000,000
Minimum
Loss Contingencies [Line Items]
Standby Letters Of Credit, Original Terms	less than one month
Maximum
Loss Contingencies [Line Items]
Letter of Credit Renewal Period	5 years
Standby Letters Of Credit, Original Terms	5 years
Standby Letters of Credit
Loss Contingencies [Line Items]
Off-balance Sheet Risks, Expiring Within One Year	20,379,054,000	[1],[2]
Off-balance Sheet Risks, Expiring After One Year	0
Off-balance Sheet Risks, Total Liability	20,379,054,000	[2]	19,942,125,000
Off-balance Sheet Risks, with annual renewal option	5,200,000,000
Other Liabilities - Standby Letter of Credit Fees	4,300,000		4,800,000
Commitments to fund additional advances and BOB loans
Loss Contingencies [Line Items]
Off-balance Sheet Risks, Expiring Within One Year	29,290,000
Off-balance Sheet Risks, Expiring After One Year	0
Off-balance Sheet Risks, Total Liability	29,290,000		21,124,000
Unsettled consolidated obligation bonds, at par (2)
Loss Contingencies [Line Items]
Off-balance Sheet Risks, Expiring Within One Year	460,865,000	[3]
Off-balance Sheet Risks, Expiring After One Year	0
Off-balance Sheet Risks, Total Liability	460,865,000	[3]	95,530,000
Unsettled consolidated obligation bonds, at par (2) | Interest Rate Swap [Member]
Loss Contingencies [Line Items]
Off-balance Sheet Risks, Total Liability	415,900,000		83,100,000
Unsettled consolidated obligation discount notes, at par
Loss Contingencies [Line Items]
Off-balance Sheet Risks, Expiring Within One Year	500,000,000
Off-balance Sheet Risks, Expiring After One Year	0
Off-balance Sheet Risks, Total Liability	500,000,000		500,000,000
Mortgages [Member] | Commitments to fund or purchase mortgage loans
Loss Contingencies [Line Items]
Off-balance Sheet Risks, Expiring Within One Year	21,726,000
Off-balance Sheet Risks, Expiring After One Year	0
Off-balance Sheet Risks, Total Liability	$ 21,726,000		$ 18,308,000

[1] ) $5.2 billion of these letters of credit have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of 5 years.

[2] Excludes approved requests to issue future standby letters of credit of $122.3 million and $146.8 million at March 31, 2015 and December 31, 2014, respectively.

[3] Includes $415.9 million and $83.1 million of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2015 and December 31, 2014, respectively.

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Statements of Condition (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
ASSETS
Cash and due from banks	$ 5,124,196	$ 2,451,131
Interest-bearing deposits	8,089	6,782
Federal funds sold	4,915,000	4,585,000
Investment securities
Trading securities (Note 2)	295,855	281,016
AFS securities at fair value (Note 3)	8,431,371	8,408,835
HTM securities; fair value of $3,123,040 and $3,286,547 respectively (Note 4)	3,079,267	3,246,788
Total investment securities	11,806,493	11,936,639
Advances, net (Note 6)	62,346,031	63,408,355
Mortgage loans held for portfolio (Note 7), net of allowance for credit losses of $6,566 and $7,260 respectively (Note 8)	3,074,289	3,123,334
Banking on Business (BOB) loans, net of allowance for credit losses of $1,660 and $1,840, respectively (Note 8)	11,347	11,567
Accrued interest receivable	87,196	86,109
Property, software and equipment, net	10,175	10,446
Derivative assets (Note 9)	52,054	36,217
Other assets	28,189	21,496
Total assets	87,463,059	85,677,076
Deposits
Interest-bearing	716,982	601,454
Noninterest-bearing	33,945	39,726
Total Deposits	750,927	641,180
Consolidated obligations, net: (Note 10)
Discount notes	37,077,804	37,058,118
Bonds	45,241,342	43,714,510
Total consolidated Obligations, net	82,319,146	80,772,628
Mandatory redeemable capital stock (Note 11)	569	586
Accrued interest payable	149,563	103,151
AHP payable	61,999	55,997
Derivative liabilities (Note 9)	62,311	58,964
Other liabilities	96,833	41,614
Total liabilities	83,441,348	81,674,120
Commitments and Contingencies ( Note 14)
Capital (Note 11)
Capital stock - putable ($100 par value) issued and outstanding 30,638 and 30,410 shares	3,063,747	3,040,976
Retained earnings:
Unrestricted	683,446	726,309
Restricted	125,462	111,238
Total retained earnings	808,908	837,547
Accumulated other comprehensive income (AOCI)	149,056	124,433
Total capital	4,021,711	4,002,956
Total liabilities and capital	$ 87,463,059	$ 85,677,076

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Available-for-Sale (AFS) Securities

3 Months Ended

Mar. 31, 2015

Available-for-sale Securities [Abstract]

Available-for-Sale (AFS) Securities

Available-for-Sale (AFS) Securities

The following tables present AFS securities as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	3,365,599		—			24,383		(1,343		)	3,388,639
State or local agency obligations	126,279		—			1,879		(1,156		)	127,002
Total non-MBS	$	3,493,871	$	—		$	26,267	$	(2,499	)	$	3,517,639
MBS:
Other U.S. obligations single family MBS	$	315,614	$	—		$	479	$	(22	)	$	316,071
GSE single-family MBS	2,739,973		—			15,784		(2,565		)	2,753,192
GSE multifamily MBS	868,616		—			17,810		—			886,426
Private label MBS:
Private label residential MBS	852,904		(154		)	94,468		(306		)	946,912
HELOCs	8,933		(3		)	2,201		—			11,131
Total private label MBS	861,837		(157		)	96,669		(306		)	958,043
Total MBS	$	4,786,040	$	(157	)	$	130,742	$	(2,893	)	$	4,913,732
Total AFS securities	$	8,279,911	$	(157	)	$	157,009	$	(5,392	)	$	8,431,371

	December 31, 2014
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	3,221,543		—			17,661		(5,501		)	3,233,703
State or local agency obligations	98,616		—			752		(384		)	98,984
Total non-MBS	$	3,322,152	$	—		$	18,418	$	(5,885	)	$	3,334,685
MBS:
Other U.S. obligations single family MBS	$	328,787	$	—		$	592	$	—		$	329,379
GSE single-family MBS	2,869,855		—			16,433		(4,126		)	2,882,162
GSE multifamily MBS	872,509		—			9,511		(2,193		)	879,827
Private label MBS:
Private label residential MBS	879,376		(863		)	92,860		(290		)	971,083
HELOCs	9,245		—			2,454		—			11,699
Total private label MBS	888,621		(863		)	95,314		(290		)	982,782
Total MBS	$	4,959,772	$	(863	)	$	121,850	$	(6,609	)	$	5,074,150
Total AFS securities	$	8,281,924	$	(863	)	$	140,268	$	(12,494	)	$	8,408,835

Notes:

⁽¹⁾ Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments.

⁽²⁾ Represents the non-credit portion of an OTTI recognized during the life of the security.

The Bank has established a Rabbi trust to secure a portion of the benefits under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds as disclosed above. These obligations were $7.1 million and $7.0 million at March 31, 2015 and December 31, 2014, respectively, and are included in Other liabilities in the Statement of Condition.

As of March 31, 2015, the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.9 million, credit losses of $218.5 million and OTTI-related accretion adjustments of $16.7 million. As of December 31, 2014, these amounts were $9.5 million, $222.5 million and $11.7 million, respectively.

The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015			December 31, 2014
Non-credit portion of OTTI losses	$	(157	)	$	(863	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	96,669			95,314
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	96,512		$	94,451

The following tables summarize the AFS securities with unrealized losses as of March 31, 2015 and December 31, 2014. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2015
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	880,445	$	(1,034	)	$	323,516	$	(309	)	$	1,203,961	$	(1,343	)
State or local agency obligations	62,091		(1,051		)	3,895		(105		)	65,986		(1,156		)
Total non-MBS	$	942,536	$	(2,085	)	$	327,411	$	(414	)	$	1,269,947	$	(2,499	)
MBS:
Other U.S. obligations single family MBS	$	59,138	$	(22	)	$	—	$	—		$	59,138	$	(22	)
GSE single-family MBS	155,603		(136		)	207,108		(2,429		)	362,711		(2,565		)
Private label:
Private label residential MBS	—		—			17,962		(460		)	17,962		(460		)
HELOCs	1,451		(3		)	—		—			1,451		(3		)
Total private label MBS	1,451		(3		)	17,962		(460		)	19,413		(463		)
Total MBS	$	216,192	$	(161	)	$	225,070	$	(2,889	)	$	441,262	$	(3,050	)
Total	$	1,158,728	$	(2,246	)	$	552,481	$	(3,303	)	$	1,711,209	$	(5,549	)

	December 31, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	1,783,202	$	(4,380	)	$	322,691	$	(1,121	)	$	2,105,893	$	(5,501	)
State or local agency obligations	1,576		(14		)	11,385		(370		)	12,961		(384		)
Total non-MBS	$	1,784,778	$	(4,394	)	$	334,076	$	(1,491	)	$	2,118,854	$	(5,885	)
MBS:
GSE single-family MBS	$	19,405	$	(3	)	$	228,257	$	(4,123	)	$	247,662	$	(4,126	)
GSE multifamily MBS	15,322		(104		)	185,153		(2,089		)	200,475		(2,193		)
Private label residential MBS	58,553		(191		)	49,383		(962		)	107,936		(1,153		)
Total MBS	$	93,280	$	(298	)	$	462,793	$	(7,174	)	$	556,073	$	(7,472	)
Total	$	1,878,058	$	(4,692	)	$	796,869	$	(8,665	)	$	2,674,927	$	(13,357	)

Note:

⁽¹⁾ Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 3.

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2015				December 31, 2014
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	201,990	$	202,044	$	301,985	$	302,087
Due after one year through five years	2,213,742		2,213,999		2,058,695		2,054,517
Due after five years through ten years	708,646		730,343		662,805		676,064
Due in more than ten years	369,493		371,253		298,667		302,017
AFS securities excluding MBS	3,493,871		3,517,639		3,322,152		3,334,685
MBS	4,786,040		4,913,732		4,959,772		5,074,150
Total AFS securities	$	8,279,911	$	8,431,371	$	8,281,924	$	8,408,835

Interest Rate Payment Terms.  The following table details interest payment terms at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	3,174,124	$	2,902,430
Variable-rate	319,747		419,722
Total non-MBS	$	3,493,871	$	3,322,152
Amortized cost of AFS MBS:
Fixed-rate	$	1,698,292	$	2,002,208
Variable-rate	3,087,748		2,957,564
Total MBS	$	4,786,040	$	4,959,772
Total amortized cost of AFS securities	$	8,279,911	$	8,281,924

Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate.

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Trading Securities

3 Months Ended

Mar. 31, 2015

Trading Securities [Abstract]

Trading Securities

Trading Securities

The following table presents trading securities as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Non-MBS:
Mutual funds	$	5,122	$	4,721
GSE and Tennessee Valley Authority (TVA) obligations	290,733		276,295
Total	$	295,855	$	281,016

The mutual funds are held in a Rabbi trust to generate returns that seek to offset changes in liabilities related to market risk of certain deferred compensation agreements. These deferred compensation liabilities were $5.2 million and $4.9 million at March 31, 2015 and December 31, 2014, respectively, and are included in Other liabilities in the Statement of Condition.

The following table presents net gains on trading securities for the first quarter of 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015		2014
Net unrealized gains on trading securities held at period-end	$	6,777	$	9,706
Net realized gains on securities sold/matured during the period	—		86
Net gains on trading securities	$	6,777	$	9,792

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Commitments and Contingencies

3 Months Ended

Mar. 31, 2015

Commitments and Contingencies Disclosure [Abstract]

Commitments and Contingencies

Commitments and Contingencies

The following table presents the Bank's various off-balance sheet commitments which are described in detail below.

(in thousands)	March 31, 2015						December 31, 2014
Notional amount	Expiration Date Within One Year		Expiration Date After One Year		Total		Total
Standby letters of credit outstanding (1) (3)	$	20,379,054	$	—	$	20,379,054	$	19,942,125
Commitments to fund additional advances and BOB loans	29,290		—		29,290		21,124
Commitments to fund or purchase mortgage loans	21,726		—		21,726		18,308
Unsettled consolidated obligation bonds, at par (2)	460,865		—		460,865		95,530
Unsettled consolidated obligation discount notes, at par	500,000		—		500,000		500,000

Notes:

⁽¹⁾ Excludes approved requests to issue future standby letters of credit of $122.3 million and $146.8 million at March 31, 2015 and December 31, 2014, respectively.

⁽²⁾ Includes $415.9 million and $83.1 million of consolidated obligation bonds which were hedged with associated interest rate swaps at March 31, 2015 and December 31, 2014, respectively.

⁽³⁾ $5.2 billion of these letters of credit have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of 5 years.

Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized advance. The original terms of these standby letters of credit, including related commitments, range from less than one month to 5 years.

Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $4.3 million and $4.8 million as of March 31, 2015 and December 31, 2014, respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit.

Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in other liabilities on the Statements of Condition.

The Bank does not have any legally binding or unconditional unused lines of credit for advances at March 31, 2015 and December 31, 2014. However, within the Bank's Open RepoPlus advance product, there were conditional lines of credit outstanding at March 31, 2015 and December 31, 2014 of $7.7 billion and $7.4 billion, respectively.

Commitments to Fund or Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program. These delivery commitments are generally for periods not to exceed 45 days. Such commitments are recorded as derivatives.

Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 9 - Derivatives and Hedging Activities for additional information about the Bank's pledged collateral and other credit-risk-related contingent features.

Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank's financial condition, results of operations or cash flows.

Notes 6, 9, 10, 11, and 12 also discuss other commitments and contingencies.

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Consolidated Obligations

3 Months Ended

Mar. 31, 2015

Debt Disclosure [Abstract]

Consolidated Obligations

Consolidated Obligations

Consolidated obligations consist of consolidated bonds and discount notes. The Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other eleven FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank.

Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required to make such payments on behalf of another FHLBank, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. However, if the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amount of the 12 FHLBanks’ outstanding consolidated obligations were$812.2 billionand$847.2 billion atMarch 31, 2015andDecember 31, 2014, respectively.

Additional detailed information regarding consolidated obligations including general terms and interest rate payment terms can be found in Note 14 to the audited financial statements in the Bank's 2014 Form 10-K.

The following table details interest rate payment terms for the Bank's consolidated obligation bonds as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015			December 31, 2014
Par value of consolidated bonds:
Fixed-rate	$	37,868,671		$	36,296,100
Step-up	3,040,000			3,116,000
Floating-rate	4,175,000			4,190,000
Total par value	45,083,671			43,602,100
Bond premiums	142,176			147,824
Bond discounts	(10,754		)	(12,111		)
Hedging adjustments	26,249			(23,303		)
Total book value	$	45,241,342		$	43,714,510

Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of March 31, 2015 and December 31, 2014.

	March 31, 2015				December 31, 2014
(dollars in thousands) Year of Contractual Maturity	Amount		Weighted Average Interest Rate		Amount		Weighted Average Interest Rate
Due in 1 year or less	$	15,415,510	0.82	%	$	15,033,450	1.00	%
Due after 1 year through 2 years	10,035,015		1.42		9,316,860		1.42
Due after 2 years through 3 years	5,996,640		1.66		5,346,515		1.64
Due after 3 years through 4 years	4,701,005		1.47		4,709,300		1.50
Due after 4 years through 5 years	3,336,885		1.77		2,911,350		1.72
Thereafter	5,303,650		2.44		5,959,265		2.35
Index amortizing notes	294,966		4.11		325,360		4.14
Total par value	$	45,083,671	1.42	%	$	43,602,100	1.48	%

The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Noncallable	$	31,145,671	$	30,388,100
Callable	13,938,000		13,214,000
Total par value	$	45,083,671	$	43,602,100

The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of March 31, 2015 and December 31, 2014.

(in thousands) Year of Contractual Maturity or Next Call Date	March 31, 2015		December 31, 2014
Due in 1 year or less	$	29,238,510	$	28,232,450
Due after 1 year through 2 years	8,303,015		8,114,860
Due after 2 years through 3 years	3,576,640		3,551,515
Due after 3 years through 4 years	1,687,005		1,390,300
Due after 4 years through 5 years	984,885		1,028,350
Thereafter	998,650		959,265
Index amortizing notes	294,966		325,360
Total par value	$	45,083,671	$	43,602,100

Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015			December 31, 2014
Book value	$	37,077,804		$	37,058,118
Par value	37,086,558			37,065,745
Weighted average interest rate (1)	0.11		%	0.10		%

Note:

⁽¹⁾ Represents an implied rate.

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Transactions with Related Parties (Transactions with Other FHLBanks) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014	Dec. 31, 2014
Related Party Transaction [Line Items]
Total MPF Loan Volume Purchased	$ 71,230	$ 54,609
Principal Owner [Member]
Related Party Transaction [Line Items]
Total MPF Loan Volume Purchased	1,407	889
FHLBank of Chicago [Member]
Related Party Transaction [Line Items]
Servicing fee expense	268	237
Interest-bearing deposits maintained with FHLBank of Chicago	$ 8,089		$ 6,782

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Advances

3 Months Ended

Mar. 31, 2015

Advances [Abstract]

Advances

Advances

General Terms. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from one day to 30 years. Variable-rate advances generally have maturities ranging from less than 30 days to 10 years, where the interest rates reset periodically at a fixed spread to LIBOR or other specified indices.

At March 31, 2015 and December 31, 2014, the Bank had advances outstanding, including AHP advances, with interest rates ranging from zero to 7.40%. AHP subsidized loans have interest rates ranging from zero to 5.50%.

The following table details the Bank’s advances portfolio by year of contractual maturity as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015					December 31, 2014
Year of Contractual Maturity	Amount			Weighted Average Interest Rate		Amount			Weighted Average Interest Rate
Due in 1 year or less	$	26,931,449		0.44	%	$	29,380,685		0.42	%
Due after 1 year through 2 years	9,218,391			1.26		7,754,473			1.22
Due after 2 years through 3 years	14,652,926			1.03		12,764,348			1.14
Due after 3 years through 4 years	6,854,258			0.90		9,361,638			0.82
Due after 4 years through 5 years	3,314,508			0.80		3,373,989			0.84
Thereafter	1,082,287			2.65		490,823			2.77
Total par value	62,053,819			0.81	%	63,125,956			0.76	%
Discount on AHP advances	(52		)			(66		)
Deferred prepayment fees	(7,507		)			(8,600		)
Hedging adjustments	299,771					291,065
Total book value	$	62,346,031				$	63,408,355

The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. Variable to fixed-rate convertible advances have a defined lockout period during which the interest rates adjust based on a spread to LIBOR. At the end of the lockout period, these advances may convert to fixed-rate advances. The fixed rates on the converted advances are determined at origination. Both at March 31, 2015 and December 31, 2014, the Bank had convertible advances outstanding of $1.9 billion.

The Bank offers certain advances to members that provide a member the right, based upon predetermined option exercise dates, to call the advance prior to maturity without incurring prepayment or termination fees (returnable advances). If the call option is exercised, replacement funding may be available. At March 31, 2015 and December 31, 2014, the Bank did not have any outstanding returnable advances. At March 31, 2015 and December 31, 2014, the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative.

The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of March 31, 2015 and December 31, 2014.

	Year of Contractual Maturity or Next Call Date				Year of Contractual Maturity or Next Convertible Date
(in thousands)	March 31, 2015		December 31, 2014		March 31, 2015		December 31, 2014
Due in 1 year or less	$	26,931,449	$	29,380,685	$	28,700,449	$	31,164,685
Due after 1 year through 2 years	9,218,391		7,754,473		8,075,891		6,846,973
Due after 2 years through 3 years	14,652,926		12,764,348		14,164,926		12,179,348
Due after 3 years through 4 years	6,854,258		9,361,638		6,741,258		9,095,638
Due after 4 years through 5 years	3,314,508		3,373,989		3,309,008		3,368,489
Thereafter	1,082,287		490,823		1,062,287		470,823
Total par value	$	62,053,819	$	63,125,956	$	62,053,819	$	63,125,956

Interest Rate Payment Terms.  The following table details interest rate payment terms for advances as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Fixed-rate – overnight	$	1,774,797	$	2,012,230
Fixed-rate – term:
Due in 1 year or less	17,799,975		20,740,508
Thereafter	10,233,443		9,116,344
Total fixed-rate	29,808,215		31,869,082
Variable-rate:
Due in 1 year or less	7,356,677		6,627,947
Thereafter	24,888,927		24,628,927
Total variable-rate	32,245,604		31,256,874
Total par value	$	62,053,819	$	63,125,956

Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of March 31, 2015, the Bank had advances of $45.3 billion outstanding to its five largest borrowers, which represented 73.1% of total advances outstanding. Of these five, three had outstanding advance balances that were each in excess of 10% of the total portfolio at March 31, 2015.

As of December 31, 2014, the Bank had advances of $46.6 billion outstanding to its five largest borrowers, which represented 73.8% of total advances outstanding. Of these five, three had outstanding advance balances in excess of 10% of the total portfolio at December 31, 2014.

See Note 8 for information related to the Bank's allowance for credit losses.

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Allowance for Credit Losses (Allowance for Credit Losses) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015		Mar. 31, 2014		Dec. 31, 2014
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance					$ 7,260
Ending Balance	6,566				7,260
Total recorded investment	3,109,990	[1]			3,160,390	[1]
Conventional MPF Loan [Member]
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance	7,260		11,359
(Charge-offs) Recoveries, net	(102)	[2]	0	[2]
Provision (benefit) for credit losses	(592)		(4,041)
Ending Balance	6,566		7,318
Ending balance, individually evaluated for impairment	5,362				6,034
Ending balance, collectively evaluated for impairment	1,204				1,226
Individually evaluated for impairment, with or without a related allowance	63,161				68,144
Collectively evaluated for impairment	2,751,924				2,789,826
Total recorded investment	2,815,085	[1]			2,857,970	[1]
Banking on Business Loans
Allowance for Loan and Lease Losses [Roll Forward]
Beginning Balance	1,840		2,231
(Charge-offs) Recoveries, net	(284)	[2]	(200)	[2]
Provision (benefit) for credit losses	104		111
Ending Balance	1,660		2,142
Ending balance, individually evaluated for impairment	0				0
Ending balance, collectively evaluated for impairment	1,660				1,840
Individually evaluated for impairment, with or without a related allowance	0				0
Collectively evaluated for impairment	13,124				13,518
Total recorded investment	$ 13,124	[1]			$ 13,518	[1]

[1] The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance.

[2] Net charge-offs that the Bank does not expect to recover through CE receivable.

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Held-to-Maturity (HTM) Securities

3 Months Ended

Mar. 31, 2015

Held-to-maturity Securities [Abstract]

Held-to-Maturity (HTM) Securities

Held-to-Maturity (HTM) Securities

The following tables present HTM securities as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	12,174	$	281	$	—		$	12,455
State or local agency obligations	183,379		1,645		(14,128		)	170,896
Total non-MBS	$	195,553	$	1,926	$	(14,128	)	$	183,351
MBS:
Other U.S. obligations single-family MBS	$	1,052,741	$	6,710	$	(2	)	$	1,059,449
GSE single-family MBS	385,320		7,152		(81		)	392,391
GSE multifamily MBS	795,954		46,785		—			842,739
Private label residential MBS	649,699		3,565		(8,154		)	645,110
Total MBS	$	2,883,714	$	64,212	$	(8,237	)	$	2,939,689
Total HTM securities	$	3,079,267	$	66,138	$	(22,365	)	$	3,123,040

	December 31, 2014
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	13,041	$	382	$	—		$	13,423
State or local agency obligations	184,412		1,314		(15,445		)	170,281
Total non-MBS	$	197,453	$	1,696	$	(15,445	)	$	183,704
MBS:
Other U.S. obligations single-family MBS	$	1,122,537	$	8,604	$	—		$	1,131,141
GSE single-family MBS	417,217		7,226		(118		)	424,325
GSE multifamily MBS	818,037		43,431		—			861,468
Private label residential MBS	691,544		3,506		(9,141		)	685,909
Total MBS	$	3,049,335	$	62,767	$	(9,259	)	$	3,102,843
Total HTM securities	$	3,246,788	$	64,463	$	(24,704	)	$	3,286,547

The following tables summarize the HTM securities with unrealized losses as of March 31, 2015 and December 31, 2014. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2015
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	3,375	$	(40	)	$	117,792	$	(14,088	)	$	121,167	$	(14,128	)
MBS:
Other U.S. obligations single family MBS	$	20,635	$	(2	)	$	—	$	—		$	20,635	$	(2	)
GSE single-family MBS	—		—			10,681		(81		)	10,681		(81		)
Private label residential MBS	159,134		(1,088		)	221,168		(7,066		)	380,302		(8,154		)
Total MBS	$	179,769	$	(1,090	)	$	231,849	$	(7,147	)	$	411,618	$	(8,237	)
Total	$	183,144	$	(1,130	)	$	349,641	$	(21,235	)	$	532,785	$	(22,365	)

	December 31, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	3,361	$	(54	)	$	116,488	$	(15,391	)	$	119,849	$	(15,445	)
MBS:
GSE single-family MBS	$	—	$	—		$	11,058	$	(118	)	$	11,058	$	(118	)
Private label residential MBS	185,673		(1,291		)	233,287		(7,850		)	418,960		(9,141		)
Total MBS	$	185,673	$	(1,291	)	$	244,345	$	(7,968	)	$	430,018	$	(9,259	)
Total	$	189,034	$	(1,345	)	$	360,833	$	(23,359	)	$	549,867	$	(24,704	)

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2015				December 31, 2014
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	12,174	$	12,455	$	13,042	$	13,423
Due after one year through five years	3,415		3,375		3,415		3,361
Due after five years through ten years	21,807		22,301		21,807		22,263
Due after ten years	158,157		145,220		159,189		144,657
HTM securities excluding MBS	195,553		183,351		197,453		183,704
MBS	2,883,714		2,939,689		3,049,335		3,102,843
Total HTM securities	$	3,079,267	$	3,123,040	$	3,246,788	$	3,286,547

Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	42,553	$	44,453
Variable-rate	153,000		153,000
Total non-MBS	$	195,553	$	197,453
Amortized cost of HTM MBS:
Fixed-rate	$	1,063,616	$	1,114,059
Variable-rate	1,820,098		1,935,276
Total MBS	$	2,883,714	$	3,049,335
Total HTM securities	$	3,079,267	$	3,246,788

Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate.

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Other-Than-Temporary Impairment

3 Months Ended

Mar. 31, 2015

Other Than Temporary Impairment [Abstract]

Other-Than-Temporary Impairment

Other-Than-Temporary Impairment (OTTI)

The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. The Bank assesses whether there is OTTI by performing an analysis to determine if any securities will incur a credit loss, which could be up to the difference between the security's amortized cost basis and its fair value, and records any difference in its Statement of Income. For information on the Bank’s accounting for OTTI, see Note 1 - Summary of Significant Accounting Policies to the audited financial statements in the Bank's 2014 Form 10-K. For information about how the Bank projects cash flows expected to be collected, see Note 7 - Other-than-Temporary ImpairmentAnalysis to the audited financial statements in the Bank’s 2014 Form 10-K.

A significant input to the projection of cash flows expected to be collected is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. During the first quarter of 2015, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages ranging from (3.0)% to 8.0% over the 12 month period beginning January 1, 2015. For the vast majority of markets the short-term forecast has changes from 1.0% to 5.0%. Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data.

All of the Bank's other-than-temporarily impaired securities were classified as AFS at March 31, 2015. The "Total OTTI securities" balances below summarize the Bank’s securities as of March 31, 2015 for which an OTTI has been recognized during the life of the security. The "Private label MBS with no OTTI" balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio.

	OTTI Recognized During the Life of the Security
(in thousands)	Unpaid Principal Balance		Amortized Cost (1)		Fair Value
Private label residential MBS:
Prime	$	486,233	$	394,492	$	445,194
Alt-A	576,153		453,620		497,048
Subprime	2,092		1,253		1,437
HELOCs	12,430		8,933		11,131
Total OTTI securities	1,076,908		858,298		954,810
Private label MBS with no OTTI	3,539		3,539		3,233
Total AFS private label MBS	$	1,080,447	$	861,837	$	958,043

Notes:

⁽¹⁾ Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings.

The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for the three months ended March 31, 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015			2014
Beginning balance	$	290,935		$	314,224
Reductions:
Securities sold and matured during the period (1)	—			(76		)
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities)	(7,019		)	(5,948		)
Ending balance	$	283,916		$	308,200

Notes:

⁽¹⁾ Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period.

All Other AFS and HTM Investments. At March 31, 2015, the Bank held certain securities in an unrealized loss position. These unrealized losses were considered to be temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions based on the creditworthiness of the underlying creditor, guarantor, or implicit government support, and the Bank neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell any such security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at March 31, 2015.

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Mortgage Loans Held for Portfolio

3 Months Ended

Mar. 31, 2015

Mortgage Loans on Real Estate [Abstract]

Mortgage Loans Held for Portfolio

Mortgage Loans Held for Portfolio

Under the MPF Program, the Bank invests in mortgage loans, which it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 12 for further information regarding transactions with related parties.

The following table presents balances as of March 31, 2015 and December 31, 2014 for mortgage loans held for portfolio.

(in thousands)	March 31, 2015			December 31, 2014
Fixed-rate long-term single-family mortgages (1)	$	2,607,236		$	2,640,633
Fixed-rate medium-term single-family mortgages (1)	400,714			417,830
Total par value	3,007,950			3,058,463
Premiums	50,680			51,214
Discounts	(4,599		)	(4,872		)
Hedging adjustments	26,824			25,789
Total mortgage loans held for portfolio	$	3,080,855		$	3,130,594

Note:

⁽¹⁾ Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less.

The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Conventional loans	$	2,736,342	$	2,779,962
Government-guaranteed/insured loans	271,608		278,501
Total par value	$	3,007,950	$	3,058,463

See Note 8 - Allowance for Credit Losses for information related to the Bank's credit risk on mortgage loans and allowance for credit losses.

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Allowance for Credit Losses (Narrative) (Details) (USD $) In Millions, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014	Dec. 31, 2014
Financing Receivable, Allowance for Credit Losses [Line Items]
Maximum Exposure Under First Loss Account	$ 22.9		$ 23.1
Credit Enhancement Fees	0.8	0.8
REO	6.3		6.9
TDR	$ 16.0		$ 16.8

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Transactions with Related Parties (Narrative) (Details) (USD $)	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Related Party Transaction [Line Items]
Net gains (losses) on derivatives and hedging activities	$ (7,572,000)	$ (9,199,000)
Principal Owner [Member]
Related Party Transaction [Line Items]
Contractual interest income	72,800,000	83,600,000
Net gains (losses) on derivatives and hedging activities	(33,400,000)	(48,700,000)
Amortization of basis adjustments	$ (400,000)	$ (2,100,000)

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Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) (USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015	Mar. 31, 2014
Derivative Instruments, Gain (Loss) [Line Items]
Net Fair Value Hedge Ineffectiveness	$ 585	$ 512
Net gains (losses) related to derivatives not designated as hedging instruments	(8,157)	(9,711)
Net gains (losses) on derivatives and hedging activities	(7,572)	(9,199)
Interest Rate Swap [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net Fair Value Hedge Ineffectiveness	585	512
Net gains (losses) related to derivatives not designated as hedging instruments	(15,850)	(15,773)
Interest Rate Swaption [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	139	(48)
Interest Rate Caps or Floors [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	(288)	(1,554)
Net Interest Settlements [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	5,692	6,411
Intermediary Transactions Other Contract [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	7	7
Mortgages [Member] | Forward Contracts [Member]
Derivative Instruments, Gain (Loss) [Line Items]
Net gains (losses) related to derivatives not designated as hedging instruments	$ 2,143	$ 1,246

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Allowance for Credit Losses (TDR Modifications) (Details) (Conventional MPF Loan [Member], USD $) In Thousands, unless otherwise specified	3 Months Ended
	Mar. 31, 2015		Mar. 31, 2014
Conventional MPF Loan [Member]
Financing Receivable, Modifications [Line Items]
Average Recorded Investment	$ 63,923	[1]	$ 79,993	[1]
Interest Income Recognized	$ 423		$ 322

[1] Includes gross charge-offs.

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Capital (Tables)

3 Months Ended

Mar. 31, 2015

Capital [Abstract]

Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations

The following table demonstrates the Bank’s compliance with its regulatory capital requirements at March 31, 2015 and December 31, 2014.

	March 31, 2015						December 31, 2014
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	825,495		$	3,873,224		$	847,424		$	3,879,108
Total capital-to-asset ratio	4.0		%	4.4		%	4.0		%	4.5		%
Total regulatory capital	3,498,522			3,873,224			3,427,083			3,879,108
Leverage ratio	5.0		%	6.6		%	5.0		%	6.8		%
Leverage capital	4,373,153			5,809,836			4,283,854			5,818,663

Schedule of Concentration in Capital Stock Held

(dollars in thousands)	March 31, 2015
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	926,305	30.2	%
Santander Bank, N.A., Wilmington, DE	433,306		14.1
Chase Bank USA, N.A.,Wilmington, DE	366,117		11.9

(dollars in thousands)	December 31, 2014
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	876,305	28.8	%
Santander Bank, N.A., Wilmington, DE	424,955		14.0
Chase Bank USA, N.A.,Wilmington, DE	362,050		11.9

Note:

⁽¹⁾ For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA.

Schedule of Mandatorily Redeemable Capital Stock

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, beginning of the period	$	586		$	40
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	—			1,978
Net redemption/repurchase of mandatorily redeemable capital stock	(17		)	(157		)
Balance, end of period	$	569		$	1,861

Schedule of Mandatorily Redeemable Capital Stock by Maturity Date

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	70		—
Due after 4 years through 5 years	499		586
Total	$	569	$	586

Schedule of Accumulated Other Comprehensive Income (Loss)

The following table summarizes the changes in AOCI for March 31, 2015 and 2014 respectively.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2013	$	(32,481	)	$	77,642		$	—	$	287		$	(1,108	)	$	44,340
Other comprehensive income (loss) before   reclassification:
Net unrealized gains (losses)	24,528			(575		)	—		—			—			23,953
Net change in fair value of OTTI securities	—			2,018			—		—			—			2,018
Reclassifications from OCI to net income:
Pension and post-retirement	—			—			—		—			39			39
March 31, 2014	$	(7,953	)	$	79,085		$	—	$	287		$	(1,069	)	$	70,350
December 31, 2014	$	32,460		$	94,451		$	—	$	272		$	(2,750	)	$	124,433
Other comprehensive income (loss) before   reclassification:
Net unrealized gains	22,488			1,355			—		—			—			23,843
Net change in fair value of OTTI securities	—			706			—		—			—			706
Reclassifications from OCI to net income:
Amortization on hedging activities	—			—			—		(8		)	—			(8		)
Pension and post-retirement	—			—			—		—			82			82
March 31, 2015	$	54,948		$	96,512		$	—	$	264		$	(2,668	)	$	149,056

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Other-Than-Temporary Impairment (OTTI Securities) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015
Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
AFS Securities-Unpaid Principal Balance	$ 1,080,447
AFS Securities-Amortized Cost	861,837	[1]
AFS Securities-Fair Value	958,043
Available-for-sale Securities | Private label MBS [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	1,076,908
Private label MBS with no OTTI-Unpaid Principal Balance	3,539
OTTI Securities-Amortized Cost	858,298	[1]
Private label MBS with no OTTI - Amortized Cost	3,539	[1]
OTTI Securities-Fair Value	954,810
Private label MBS with no OTTI-Fair Value	3,233
Available-for-sale Securities | HELOCs [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	12,430
OTTI Securities-Amortized Cost	8,933	[1]
OTTI Securities-Fair Value	11,131
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Private label MBS [Member] | Prime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	486,233
OTTI Securities-Amortized Cost	394,492	[1]
OTTI Securities-Fair Value	445,194
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Private label MBS [Member] | Alt-A [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	576,153
OTTI Securities-Amortized Cost	453,620	[1]
OTTI Securities-Fair Value	497,048
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities | Private label MBS [Member] | Subprime [Member]
Other than Temporary Impairment, Disclosure [Line Items]
OTTI Securities-Unpaid Principal Balance	2,092
OTTI Securities-Amortized Cost	1,253	[1]
OTTI Securities-Fair Value	$ 1,437

[1] Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings.

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Transactions with Related Parties

3 Months Ended

Mar. 31, 2015

Related Party Transactions [Abstract]

Transactions with Related Parties

Transactions with Related Parties

The following table includes significant outstanding related party member balances.

(in thousands)	March 31, 2015		December 31, 2014
Investments	$	155,995	$	157,025
Advances	40,468,917		38,765,267
Letters of credit (1)	9,520,383		9,608,983
MPF loans	1,261,559		1,326,807
Deposits	6,887		13,678
Capital stock	1,793,565		1,714,432

Note:

⁽¹⁾ Letters of credit are off-balance sheet commitments.

The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to Federal funds sold, interest income on investments, and interest expense on deposits were immaterial for the periods presented.

	Three months ended March 31,
(in thousands)	2015		2014
Interest income on advances (1)	$	39,053	$	32,803
Interest income on MPF loans	17,623		21,306
Letter of credit fees	3,028		1,882
Prepayment fees on advances	—		3,090

Note:

⁽¹⁾ For the three months ended March 31, 2015, balances include contractual interest income of $72.8 million, net interest settlements on derivatives in fair value hedge relationships of $(33.4) million and total amortization of basis adjustments of $(0.4) million. For the three months ended March 31, 2014, balances include contractual interest income of $83.6 million, net interest settlements on derivatives in fair value hedge relationships of $(48.7) million and total amortization of basis adjustments of $(2.1) million.

The following table includes the MPF activity of the related party members.

	Three months ended March 31,
(in thousands)	2015		2014
Total MPF loan volume purchased	$	1,407	$	889

The following table summarizes the effect of the MPF activities with FHLBank of Chicago.

	Three months ended March 31,
(in thousands)	2015		2014
Servicing fee expense	$	268	$	237

(in thousands)	March 31, 2015		December 31, 2014
Interest-bearing deposits maintained with FHLBank of Chicago	$	8,089	$	6,782

From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. During the three months ended March 31, 2015 and 2014, there was no borrowing or lending activity between the Bank and other FHLBanks.

Subject to mutually agreed upon terms, on occasion, an FHLBank may transfer its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During the three months ended March 31, 2015 and 2014, there were no transfers of debt between the Bank and another FHLBank.

From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during the three months ended March 31, 2015 and 2014.

Additional discussions regarding related party transactions can be found in Note 19 to the audited financial statements in the Bank's 2014 Form 10-K.

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Available-for-Sale (AFS) Securities (Tables) (Available-for-sale Securities)

3 Months Ended

Mar. 31, 2015

Available-for-sale Securities

Schedule of Available-for-sale Securities [Line Items]

Schedule of Available-for-sale Securities Reconciliation

The following tables present AFS securities as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	3,365,599		—			24,383		(1,343		)	3,388,639
State or local agency obligations	126,279		—			1,879		(1,156		)	127,002
Total non-MBS	$	3,493,871	$	—		$	26,267	$	(2,499	)	$	3,517,639
MBS:
Other U.S. obligations single family MBS	$	315,614	$	—		$	479	$	(22	)	$	316,071
GSE single-family MBS	2,739,973		—			15,784		(2,565		)	2,753,192
GSE multifamily MBS	868,616		—			17,810		—			886,426
Private label MBS:
Private label residential MBS	852,904		(154		)	94,468		(306		)	946,912
HELOCs	8,933		(3		)	2,201		—			11,131
Total private label MBS	861,837		(157		)	96,669		(306		)	958,043
Total MBS	$	4,786,040	$	(157	)	$	130,742	$	(2,893	)	$	4,913,732
Total AFS securities	$	8,279,911	$	(157	)	$	157,009	$	(5,392	)	$	8,431,371

	December 31, 2014
(in thousands)	Amortized Cost (1)		OTTI Recognized in AOCI (2)			Gross Unrealized Gains		Gross Unrealized Losses			Fair Value
Non-MBS:
Mutual funds	$	1,993	$	—		$	5	$	—		$	1,998
GSE and TVA obligations	3,221,543		—			17,661		(5,501		)	3,233,703
State or local agency obligations	98,616		—			752		(384		)	98,984
Total non-MBS	$	3,322,152	$	—		$	18,418	$	(5,885	)	$	3,334,685
MBS:
Other U.S. obligations single family MBS	$	328,787	$	—		$	592	$	—		$	329,379
GSE single-family MBS	2,869,855		—			16,433		(4,126		)	2,882,162
GSE multifamily MBS	872,509		—			9,511		(2,193		)	879,827
Private label MBS:
Private label residential MBS	879,376		(863		)	92,860		(290		)	971,083
HELOCs	9,245		—			2,454		—			11,699
Total private label MBS	888,621		(863		)	95,314		(290		)	982,782
Total MBS	$	4,959,772	$	(863	)	$	121,850	$	(6,609	)	$	5,074,150
Total AFS securities	$	8,281,924	$	(863	)	$	140,268	$	(12,494	)	$	8,408,835

Notes:

⁽¹⁾ Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments.

⁽²⁾ Represents the non-credit portion of an OTTI recognized during the life of the security.

Reconciliation of OTTI on Investments Recognized in AOCI

The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015			December 31, 2014
Non-credit portion of OTTI losses	$	(157	)	$	(863	)
Net unrealized gains on OTTI securities since their last OTTI credit charge	96,669			95,314
Net non-credit portion of OTTI gains on AFS securities in AOCI	$	96,512		$	94,451

Schedule of Unrealized Loss on Investments

The following tables summarize the AFS securities with unrealized losses as of March 31, 2015 and December 31, 2014. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2015
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	880,445	$	(1,034	)	$	323,516	$	(309	)	$	1,203,961	$	(1,343	)
State or local agency obligations	62,091		(1,051		)	3,895		(105		)	65,986		(1,156		)
Total non-MBS	$	942,536	$	(2,085	)	$	327,411	$	(414	)	$	1,269,947	$	(2,499	)
MBS:
Other U.S. obligations single family MBS	$	59,138	$	(22	)	$	—	$	—		$	59,138	$	(22	)
GSE single-family MBS	155,603		(136		)	207,108		(2,429		)	362,711		(2,565		)
Private label:
Private label residential MBS	—		—			17,962		(460		)	17,962		(460		)
HELOCs	1,451		(3		)	—		—			1,451		(3		)
Total private label MBS	1,451		(3		)	17,962		(460		)	19,413		(463		)
Total MBS	$	216,192	$	(161	)	$	225,070	$	(2,889	)	$	441,262	$	(3,050	)
Total	$	1,158,728	$	(2,246	)	$	552,481	$	(3,303	)	$	1,711,209	$	(5,549	)

	December 31, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses (1)
Non-MBS:
GSE and TVA obligations	$	1,783,202	$	(4,380	)	$	322,691	$	(1,121	)	$	2,105,893	$	(5,501	)
State or local agency obligations	1,576		(14		)	11,385		(370		)	12,961		(384		)
Total non-MBS	$	1,784,778	$	(4,394	)	$	334,076	$	(1,491	)	$	2,118,854	$	(5,885	)
MBS:
GSE single-family MBS	$	19,405	$	(3	)	$	228,257	$	(4,123	)	$	247,662	$	(4,126	)
GSE multifamily MBS	15,322		(104		)	185,153		(2,089		)	200,475		(2,193		)
Private label residential MBS	58,553		(191		)	49,383		(962		)	107,936		(1,153		)
Total MBS	$	93,280	$	(298	)	$	462,793	$	(7,174	)	$	556,073	$	(7,472	)
Total	$	1,878,058	$	(4,692	)	$	796,869	$	(8,665	)	$	2,674,927	$	(13,357	)

Note:

⁽¹⁾ Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 3.

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of March 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2015				December 31, 2014
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Due in one year or less	$	201,990	$	202,044	$	301,985	$	302,087
Due after one year through five years	2,213,742		2,213,999		2,058,695		2,054,517
Due after five years through ten years	708,646		730,343		662,805		676,064
Due in more than ten years	369,493		371,253		298,667		302,017
AFS securities excluding MBS	3,493,871		3,517,639		3,322,152		3,334,685
MBS	4,786,040		4,913,732		4,959,772		5,074,150
Total AFS securities	$	8,279,911	$	8,431,371	$	8,281,924	$	8,408,835

Schedule of Interest Rate Payment Terms For Investments

The following table details interest payment terms at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Amortized cost of AFS securities other than MBS:
Fixed-rate	$	3,174,124	$	2,902,430
Variable-rate	319,747		419,722
Total non-MBS	$	3,493,871	$	3,322,152
Amortized cost of AFS MBS:
Fixed-rate	$	1,698,292	$	2,002,208
Variable-rate	3,087,748		2,957,564
Total MBS	$	4,786,040	$	4,959,772
Total amortized cost of AFS securities	$	8,279,911	$	8,281,924

Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate.

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Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Amortized Cost:
Amortized Cost	$ 3,079,267	$ 3,246,788
Fair Value:
Fair Value	3,123,040	3,286,547
Total non-MBS
Amortized Cost:
Due in one year or less	12,174	13,042
Due after one year through five years	3,415	3,415
Due after five years through ten years	21,807	21,807
Due after ten years	158,157	159,189
Amortized Cost	195,553	197,453
Fair Value:
Due in one year or less	12,455	13,423
Due after one year through five years	3,375	3,361
Due after five years through ten years	22,301	22,263
Due after ten years	145,220	144,657
Fair Value	183,351	183,704
MBS [Member]
Amortized Cost:
Amortized Cost	2,883,714	3,049,335
Fair Value:
Fair Value	$ 2,939,689	$ 3,102,843

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Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) (USD $)	Mar. 31, 2015		Dec. 31, 2014
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	$ 8,279,911,000	[1]	$ 8,281,924,000	[1]
OTTI Recognized in AOCI (2)	(157,000)	[2]	(863,000)	[2]
Gross Unrealized Gains	157,009,000		140,268,000
Gross Unrealized Losses	(5,392,000)		(12,494,000)
Fair Value	8,431,371,000		8,408,835,000
Other Than Mortgage Backed Securities [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	3,493,871,000	[1]	3,322,152,000	[1]
OTTI Recognized in AOCI (2)	0	[2]	0	[2]
Gross Unrealized Gains	26,267,000		18,418,000
Gross Unrealized Losses	(2,499,000)		(5,885,000)
Fair Value	3,517,639,000		3,334,685,000
Mutual Funds [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	1,993,000	[1]	1,993,000	[1]
OTTI Recognized in AOCI (2)	0	[2]	0	[2]
Gross Unrealized Gains	5,000		5,000
Gross Unrealized Losses	0		0
Fair Value	1,998,000		1,998,000
GSE and TVA obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	3,365,599,000	[1]	3,221,543,000	[1]
OTTI Recognized in AOCI (2)	0	[2]	0	[2]
Gross Unrealized Gains	24,383,000		17,661,000
Gross Unrealized Losses	(1,343,000)		(5,501,000)
Fair Value	3,388,639,000		3,233,703,000
State or local agency obligations [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	126,279,000	[1]	98,616,000	[1]
OTTI Recognized in AOCI (2)	0	[2]	0	[2]
Gross Unrealized Gains	1,879,000		752,000
Gross Unrealized Losses	(1,156,000)		(384,000)
Fair Value	127,002,000		98,984,000
Total MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	4,786,040,000	[1]	4,959,772,000	[1]
OTTI Recognized in AOCI (2)	(157,000)	[2]	(863,000)	[2]
Gross Unrealized Gains	130,742,000		121,850,000
Gross Unrealized Losses	(2,893,000)		(6,609,000)
Fair Value	4,913,732,000		5,074,150,000
Other U.S. obligations single family MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	315,614,000	[1]	328,787,000	[1]
OTTI Recognized in AOCI (2)	0	[2]	0	[2]
Gross Unrealized Gains	479,000		592,000
Gross Unrealized Losses	(22,000)		0
Fair Value	316,071,000		329,379,000
Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	861,837,000	[1]	888,621,000	[1]
OTTI Recognized in AOCI (2)	(157,000)	[2]	(863,000)	[2]
Gross Unrealized Gains	96,669,000		95,314,000
Gross Unrealized Losses	(306,000)		(290,000)
Fair Value	958,043,000		982,782,000
HELOCs
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	8,933,000	[1]	9,245,000	[1]
OTTI Recognized in AOCI (2)	(3,000)	[2]	0	[2]
Gross Unrealized Gains	2,201,000		2,454,000
Gross Unrealized Losses	0		0
Fair Value	11,131,000		11,699,000
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	852,904,000	[1]	879,376,000	[1]
OTTI Recognized in AOCI (2)	(154,000)	[2]	(863,000)	[2]
Gross Unrealized Gains	94,468,000		92,860,000
Gross Unrealized Losses	(306,000)		(290,000)
Fair Value	946,912,000		971,083,000
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | GSE single-family MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	2,739,973,000	[1]	2,869,855,000	[1]
OTTI Recognized in AOCI (2)	0	[2]	0	[2]
Gross Unrealized Gains	15,784,000		16,433,000
Gross Unrealized Losses	(2,565,000)		(4,126,000)
Fair Value	2,753,192,000		2,882,162,000
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | GSE multifamily MBS
Schedule of Available-for-sale Securities [Line Items]
Amortized Cost	868,616,000	[1]	872,509,000	[1]
OTTI Recognized in AOCI (2)	0	[2]	0	[2]
Gross Unrealized Gains	17,810,000		9,511,000
Gross Unrealized Losses	0		(2,193,000)
Fair Value	$ 886,426,000		$ 879,827,000

[1] Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments.

[2] Represents the non-credit portion of an OTTI recognized during the life of the security.

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Statement of Condition (Parenthetical) (USD $) In Thousands, except Per Share data, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
ASSETS
Held to maturity securities - fair value	$ 3,123,040	$ 3,286,547
Allowance for Credit losses, Mortgage Loans	6,566	7,260
Allowance for Credit Losses, BOB loans	$ 1,660	$ 1,840
Stockholders' Equity Attributable to Parent [Abstract]
Capital Stock, Par value Per Share	$ 100	$ 100
Capital Stock, Shares, Issued and Outstanding	30,638	30,410

XML

Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) (USD $)	Mar. 31, 2015		Dec. 31, 2014
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	$ 295,855,000		$ 281,016,000
AFS securities	8,431,371,000		8,408,835,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(378,025,000)	[1],[2]	(408,721,000)	[1]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(83,206,000)	[1]	(75,555,000)	[1],[2]
Derivative assets	52,054,000		36,217,000
Total Derivative liabilities	62,311,000		58,964,000
Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	5,122,000		4,721,000
AFS securities	1,998,000		1,998,000
Derivative assets	0		0
Total Derivative liabilities	0		0
Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	290,733,000		276,295,000
AFS securities	7,471,330,000		7,424,055,000
Derivative assets	135,260,000		111,772,000
Total Derivative liabilities	440,336,000		467,685,000
Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
AFS securities	958,043,000		982,782,000
Derivative assets	0		0
Total Derivative liabilities	0		0
Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(378,025,000)	[2],[3]	(408,721,000)
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(83,206,000)	[2]	(75,555,000)	[2]
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	5,122,000		4,721,000
AFS securities	1,998,000		1,998,000
Derivative assets	0		0
Total assets at fair value	7,120,000		6,719,000
Total Derivative liabilities	0	[3]	0
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	290,733,000		276,295,000
AFS securities	7,471,330,000		7,424,055,000
Derivative assets	135,260,000		111,772,000
Total assets at fair value	7,897,323,000		7,812,122,000
Total Derivative liabilities	440,336,000	[3]	467,685,000
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
AFS securities	958,043,000		982,782,000
Derivative assets	0		0
Total assets at fair value	958,043,000		982,782,000
Total Derivative liabilities	0	[3]	0
Interest Rate Swap [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(378,025,000)		(408,721,000)
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	(83,206,000)		(75,555,000)
Interest Rate Swap [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	134,627,000		111,338,000
Total Derivative liabilities	440,336,000		467,685,000
GSE and TVA obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	290,733,000		276,295,000
AFS securities	3,388,639,000		3,233,703,000
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0.000000
AFS securities	0		0
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	290,733,000		276,295,000
AFS securities	3,388,639,000		3,233,703,000
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
AFS securities	0		0
Mutual Funds [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	5,122,000		4,721,000
AFS securities	1,998,000		1,998,000
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	5,122,000		4,721,000
AFS securities	1,998,000		1,998,000
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
AFS securities	0		0
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	0		0
AFS securities	0		0
State or local agency obligations [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	127,002,000		98,984,000
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	127,002,000		98,984,000
State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
Other U.S. obligations single-family MBS
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	316,071,000		329,379,000
Other U.S. obligations single-family MBS | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
Other U.S. obligations single-family MBS | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	316,071,000		329,379,000
Other U.S. obligations single-family MBS | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
Private label MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	958,043,000		982,782,000
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
HELOCs [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	11,131,000		11,699,000
Mortgages [Member] | Forward Contracts [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative Asset, Fair Value, Gross Liability and Obligation to Return Cash, Offset	0	[2]	0	[2]
Mortgages [Member] | Forward Contracts [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	633,000		434,000
Residential Mortgage Backed Securities [Member] | Private label MBS [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	946,912,000		971,083,000
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	946,912,000		971,083,000
Multi-Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	886,426,000		879,827,000
Single Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0
Single Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	2,753,192,000		2,882,162,000
Single Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	0		0
Estimate of Fair Value Measurement [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	295,855,000		281,016,000
AFS securities	8,431,371,000		8,408,835,000
Derivative assets	52,054,000		36,217,000
Total Derivative liabilities	62,311,000		58,964,000
Estimate of Fair Value Measurement [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	295,855,000		281,016,000
AFS securities	8,431,371,000		8,408,835,000
Derivative assets	52,054,000		36,217,000
Total assets at fair value	8,779,280,000		8,726,068,000
Total Derivative liabilities	62,311,000	[3]	58,964,000
Estimate of Fair Value Measurement [Member] | Interest Rate Swap [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	51,421,000		35,783,000
Total Derivative liabilities	62,311,000		58,964,000
Estimate of Fair Value Measurement [Member] | GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	290,733,000		276,295,000
AFS securities	3,388,639,000		3,233,703,000
Estimate of Fair Value Measurement [Member] | Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Trading securities	5,122,000		4,721,000
AFS securities	1,998,000		1,998,000
Estimate of Fair Value Measurement [Member] | State or local agency obligations [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	127,002,000		98,984,000
Estimate of Fair Value Measurement [Member] | Other U.S. obligations single-family MBS | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	316,071,000		329,379,000
Estimate of Fair Value Measurement [Member] | HELOCs [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	11,131,000		11,699,000
Estimate of Fair Value Measurement [Member] | Mortgages [Member] | Forward Contracts [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
Derivative assets	633,000		434,000
Estimate of Fair Value Measurement [Member] | Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	946,912,000		971,083,000
Estimate of Fair Value Measurement [Member] | Multi-Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	886,426,000		879,827,000
Estimate of Fair Value Measurement [Member] | Single Family Mortgage Backed Securities [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Fair Value, Measurements, Recurring [Member]
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]
AFS securities	$ 2,753,192,000		$ 2,882,162,000

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

[3] Derivative liabilities represent the total liabilities at fair value.

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Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

3 Months Ended

Mar. 31, 2015

Accounting Adjustments [Abstract]

Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations

Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. In April 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02 or Advisory Bulletin), which is applicable to Fannie Mae, Freddie Mac and the FHLBanks. The Advisory Bulletin establishes guidelines for adverse classification of various assets, primarily MPF loans at the Bank. Among other requirements, this Advisory Bulletin requires that the Bank classify the portion of an outstanding single-family loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any credit enhancements, as a “loss” no later than when the loan becomes 180 days delinquent, except in certain specified circumstances (such as those involving properly secured loans with an LTV ratio equal to or less than 60%). The Bank implemented these classification provisions effective January 1, 2014. During the first quarter 2014, the Bank incorporated estimates of fair values on loans as applicable under the Advisory Bulletin in its calculation of the required “loss” on MPF loans. This change in the Bank's accounting estimate resulted in an immaterial benefit to the Bank's Allowance for Loan Losses at March 31, 2014. See Note 8 - Allowance for Credit Losses for more information.

The Advisory Bulletin also requires the Bank to charge-off the portion of the loan classified as a “loss.” The Advisory Bulletin specifies that, if the Bank subsequently receives full or partial payment of a previously charged-off loan, it may report a recovery of the amount charged-off either through loss reserves or as a reduction in foreclosed property expenses. As required, the Bank adopted the charge-off provisions of the Advisory Bulletin on January 1, 2015. Upon adoption of the charge-off provisions, the Bank’s allowance for loan losses on the impacted loans was eliminated and the corresponding recorded investment in the loans was reduced by the amount charged-off, unless it is expected to be recovered through credit enhancement (CE), for which the Bank recognizes a CE fee receivable. Under the Bank’s past accounting practices and upon adoption of the Advisory Bulletin, the ultimate amount of losses realized on the Bank’s loan portfolio will be the same over time; however, the timing of when the Bank recognizes the losses in its financial statements will differ. The adoption of the charge-off provisions of the Advisory Bulletin did not have a material impact on the Bank’s financial condition or results of operations.

Reclassification of Residential Real Estate Collateralized Consumer Mortgage Loans upon Foreclosure. In January 2014, the FASB issued guidance clarifying when a loan should be de-recognized and the related real estate property recognized. This guidance allows the Bank to recognize properties as real estate owned once the borrower has voluntarily conveyed its interest in the property to the Bank through a deed in lieu of foreclosure or similar agreement. This guidance was effective for the Bank beginning January 1, 2015 and did not impact the Bank's financial condition or results of operations.

Revenue from Contracts with Customers. In May 2014, the FASB issued revised guidance for revenue recognition. This guidance will increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. The guidance will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition. This guidance, which will be effective for the Bank beginning January 1, 2017, is not expected to materially impact the Bank's financial condition or results of operations.

Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures.In June 2014, the FASB issued guidance amending the accounting for certain repurchase agreements, including repurchase-to-maturity transactions and repurchase financing transactions. This guidance was effective for the Bank beginning January 1, 2015 and did not have a material impact on the Bank's financial condition or results of operations. The guidance will also require expanded disclosures for transactions accounted for as secured borrowings and sales that will be effective beginning with the Bank's second quarter 2015 financial statements.

Classification of Certain Government Insured Residential Mortgage Loans upon Foreclosure. In August 2014, the FASB issued guidance to limit diversity in practice for classification of certain mortgage loans backed by a government guarantee upon foreclosure. Upon foreclosure, the mortgage loan should be de-recognized and a separate other receivable recognized for the amount of the loan balance expected to be recovered from the guarantor. This guidance was effective for the Bank beginning January 1, 2015 and did not impact the Bank's financial condition or results of operations.

Going Concern. In August 2014, the FASB issued guidance which requires all entities to perform an interim and annual assessment of their ability to continue as a going concern for one year from the date of issuance of their respective financial statements. The guidance also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern. The Bank's initial quarterly assessment will be required to be completed on its December 31, 2016 financial statements.

Extraordinary Items. In January 2015, the FASB issued guidance which eliminates the concept of extraordinary items. As a result, preparers and auditors no longer need to determine whether an event is extraordinary. However, the guidance continues to require separate presentation on the Statement of Income for items that are both unusual and infrequent. This guidance is effective for the Bank beginning January 1, 2016 and will not impact the Bank’s results of operations.

Consolidation. In February 2015, the FASB issued amendments to its existing consolidation guidance which may impact the Bank’s evaluation of which entities are considered to be VIEs and if the Bank is required to consolidate a VIE. The Bank is currently evaluating the impact of this updated guidance, which is effective for the Bank beginning January 1, 2016.

Simplifying the Presentation of Debt Issuance Costs. In April 2015, the FASB issued guidance which requires the Bank to present debt issuance costs as a direct deduction from the related debt on the statement of condition, consistent with debt discounts. This guidance is effective for the Bank beginning January 1, 2016 and will be applied retrospectively. This guidance will result in a reclassification of debt issuance costs from Other Assets to Consolidated Obligations in the Bank's Statement of Condition, which is not expected to be material.

Cloud Computing Arrangements. In April 2015, the FASB issued guidance which clarifies circumstances under which a cloud computing arrangement should be accounted for as a license of internal-use software as opposed to a service contract. The Bank is currently evaluating the impact of this guidance, which is effective for the Bank beginning January 1, 2016 and may be applied prospectively.

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Mortgage Loans Held for Portfolio (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 3,007,950		$ 3,058,463
Premiums	50,680		51,214
Discounts	(4,599)		(4,872)
Hedging adjustments	26,824		25,789
Total mortgage loans held for portfolio	3,080,855		3,130,594
Fixed-rate long-term single-family mortgages (1)
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	2,607,236	[1]	2,640,633	[1]
Fixed-rate medium-term single-family mortgages (1)
Mortgage Loans on Real Estate [Line Items]
Par value of mortgage loans held for portfolio	$ 400,714	[1]	$ 417,830	[1]

[1] Note:(1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less.

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Transactions with Related Parties (By Balance Sheet Grouping) (Details) (USD $) In Thousands, unless otherwise specified	Mar. 31, 2015		Dec. 31, 2014
Related Party Transaction [Line Items]
Federal funds sold	$ 4,915,000		$ 4,585,000
Investments	11,806,493		11,936,639
Advances	62,346,031		63,408,355
MPF loans	3,007,950		3,058,463
Capital stock	3,063,747		3,040,976
Principal Owner [Member]
Related Party Transaction [Line Items]
Investments	155,995		157,025
Advances	40,468,917		38,765,267
Letters of credit	9,520,383	[1]	9,608,983
MPF loans	1,261,559		1,326,807
Deposits	6,887		13,678
Capital stock	$ 1,793,565		$ 1,714,432

[1] Letters of credit are off-balance sheet commitments.

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Derivatives and Hedging Activities (Offsetting Assets) (Details) (USD $)	Mar. 31, 2015		Dec. 31, 2014
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset	$ 134,627,000		$ 111,338,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(83,206,000)	[1]	(75,555,000)	[1],[2]
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment	51,421,000		35,783,000
Derivative Asset, Not Subject to Master Netting Arrangement	633,000	[3]	434,000	[3]
Derivative assets	52,054,000		36,217,000
Derivative, Collateral, Obligation to Return Securities that can be sold or repledged	(471,000)		(636,000)
Derivative Asset, Fair Value, Amount Offset Against Collateral	51,583,000		35,581,000
Over the Counter [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset	101,392,000		102,570,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	(99,445,000)		(96,286,000)
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment	1,947,000		6,284,000
Derivative Asset, Not Subject to Master Netting Arrangement	633,000		434,000
Derivative assets	2,580,000		6,718,000
Derivative, Collateral, Obligation to Return Securities that can be sold or repledged	(471,000)		(636,000)
Derivative Asset, Fair Value, Amount Offset Against Collateral	2,109,000		6,082,000
Exchange Cleared [Member]
Offsetting Assets [Line Items]
Derivative Asset, Fair Value, Gross Asset	33,235,000		8,768,000
Derivative Liability, Fair Value, Gross Asset and Right to Reclaim Cash, Offset	16,239,000		20,731,000
Derivative Asset, Net Fair Value Amount, After Offsetting Adjustment	49,474,000		29,499,000
Derivative Asset, Not Subject to Master Netting Arrangement	0		0
Derivative assets	49,474,000		29,499,000
Derivative, Collateral, Obligation to Return Securities that can be sold or repledged	0		0
Derivative Asset, Fair Value, Amount Offset Against Collateral	$ 49,474,000		$ 29,499,000

[1] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $306.7 million and $345.0 million at March 31, 2015 and December 31, 2014. Cash collateral received was $11.9 million and $11.8 million at March 31, 2015 and December 31, 2014.

[2] Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties.

[3] Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest-rate futures or forwards).

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Held-to-Maturity (HTM) Securities (Tables)

3 Months Ended

Mar. 31, 2015

Schedule of Held-to-maturity Securities [Line Items]

Held-to-maturity Securities

The following tables present HTM securities as of March 31, 2015 and December 31, 2014.

	March 31, 2015
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	12,174	$	281	$	—		$	12,455
State or local agency obligations	183,379		1,645		(14,128		)	170,896
Total non-MBS	$	195,553	$	1,926	$	(14,128	)	$	183,351
MBS:
Other U.S. obligations single-family MBS	$	1,052,741	$	6,710	$	(2	)	$	1,059,449
GSE single-family MBS	385,320		7,152		(81		)	392,391
GSE multifamily MBS	795,954		46,785		—			842,739
Private label residential MBS	649,699		3,565		(8,154		)	645,110
Total MBS	$	2,883,714	$	64,212	$	(8,237	)	$	2,939,689
Total HTM securities	$	3,079,267	$	66,138	$	(22,365	)	$	3,123,040

	December 31, 2014
(in thousands)	Amortized Cost		Gross Unrealized Holding Gains		Gross Unrealized Holding Losses			Fair Value
Non-MBS:
GSE securities	$	13,041	$	382	$	—		$	13,423
State or local agency obligations	184,412		1,314		(15,445		)	170,281
Total non-MBS	$	197,453	$	1,696	$	(15,445	)	$	183,704
MBS:
Other U.S. obligations single-family MBS	$	1,122,537	$	8,604	$	—		$	1,131,141
GSE single-family MBS	417,217		7,226		(118		)	424,325
GSE multifamily MBS	818,037		43,431		—			861,468
Private label residential MBS	691,544		3,506		(9,141		)	685,909
Total MBS	$	3,049,335	$	62,767	$	(9,259	)	$	3,102,843
Total HTM securities	$	3,246,788	$	64,463	$	(24,704	)	$	3,286,547

Held-to-maturity Securities

Schedule of Held-to-maturity Securities [Line Items]

Schedule of Unrealized Loss on Investments

The following tables summarize the HTM securities with unrealized losses as of March 31, 2015 and December 31, 2014. The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position.

	March 31, 2015
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	3,375	$	(40	)	$	117,792	$	(14,088	)	$	121,167	$	(14,128	)
MBS:
Other U.S. obligations single family MBS	$	20,635	$	(2	)	$	—	$	—		$	20,635	$	(2	)
GSE single-family MBS	—		—			10,681		(81		)	10,681		(81		)
Private label residential MBS	159,134		(1,088		)	221,168		(7,066		)	380,302		(8,154		)
Total MBS	$	179,769	$	(1,090	)	$	231,849	$	(7,147	)	$	411,618	$	(8,237	)
Total	$	183,144	$	(1,130	)	$	349,641	$	(21,235	)	$	532,785	$	(22,365	)

	December 31, 2014
	Less than 12 Months					Greater than 12 Months					Total
(in thousands)	Fair Value		Unrealized Losses			Fair Value		Unrealized Losses			Fair Value		Unrealized Losses
Non-MBS:
State or local agency obligations	$	3,361	$	(54	)	$	116,488	$	(15,391	)	$	119,849	$	(15,445	)
MBS:
GSE single-family MBS	$	—	$	—		$	11,058	$	(118	)	$	11,058	$	(118	)
Private label residential MBS	185,673		(1,291		)	233,287		(7,850		)	418,960		(9,141		)
Total MBS	$	185,673	$	(1,291	)	$	244,345	$	(7,968	)	$	430,018	$	(9,259	)
Total	$	189,034	$	(1,345	)	$	360,833	$	(23,359	)	$	549,867	$	(24,704	)

Investments Classified by Contractual Maturity Date

Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of March 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees.

(in thousands)	March 31, 2015				December 31, 2014
Year of Maturity	Amortized Cost		Fair Value		Amortized Cost		Fair Value
Non-MBS:
Due in one year or less	$	12,174	$	12,455	$	13,042	$	13,423
Due after one year through five years	3,415		3,375		3,415		3,361
Due after five years through ten years	21,807		22,301		21,807		22,263
Due after ten years	158,157		145,220		159,189		144,657
HTM securities excluding MBS	195,553		183,351		197,453		183,704
MBS	2,883,714		2,939,689		3,049,335		3,102,843
Total HTM securities	$	3,079,267	$	3,123,040	$	3,246,788	$	3,286,547

Schedule of Interest Rate Payment Terms For Investments

Interest Rate Payment Terms. The following table details interest rate payment terms at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Amortized cost of HTM securities other than MBS:
Fixed-rate	$	42,553	$	44,453
Variable-rate	153,000		153,000
Total non-MBS	$	195,553	$	197,453
Amortized cost of HTM MBS:
Fixed-rate	$	1,063,616	$	1,114,059
Variable-rate	1,820,098		1,935,276
Total MBS	$	2,883,714	$	3,049,335
Total HTM securities	$	3,079,267	$	3,246,788

Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument would include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may have a provision within the structure that permits the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is then considered to be variable-rate.

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Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) (Consolidated Obligation Bonds, USD $) In Thousands, unless otherwise specified	Mar. 31, 2015	Dec. 31, 2014
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	$ 15,415,510	$ 15,033,450
Due after 1 year through 2 years	10,035,015	9,316,860
Due after 2 years through 3 years	5,996,640	5,346,515
Due after 3 years through 4 years	4,701,005	4,709,300
Due after 4 years through 5 years	3,336,885	2,911,350
Thereafter	5,303,650	5,959,265
Index amortizing notes	294,966	325,360
Par value of consolidated bonds	45,083,671	43,602,100
Earlier of Contractual Maturity or Next Call Date [Member]
Schedule of Short-term and Long-term Debt [Line Items]
Due in 1 year or less	29,238,510	28,232,450
Due after 1 year through 2 years	8,303,015	8,114,860
Due after 2 years through 3 years	3,576,640	3,551,515
Due after 3 years through 4 years	1,687,005	1,390,300
Due after 4 years through 5 years	984,885	1,028,350
Thereafter	998,650	959,265
Index amortizing notes	$ 294,966	$ 325,360

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Background Information (Details)	Mar. 31, 2015 Banks
Nature of Operations [Line Items]
Number of Federal Home Loan Banks	12
Minimum
Nature of Operations [Line Items]
Related Party Transaction, Definition Of Related Party, Capital Stock, Percent	10.00%

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Capital

3 Months Ended

Mar. 31, 2015

Capital [Abstract]

Capital

Capital

The Bank is subject to three capital requirements under its current Capital Plan structure and the Finance Agency rules and regulations: (1) risk-based capital; (2) total regulatory capital; and (3) leverage capital. Regulatory capital does not include AOCI but does include mandatorily redeemable capital stock. See details regarding these requirements and the Bank’s Capital Plan in Note 16 to the audited financial statements in the Bank’s 2014 Form 10-K. At March 31, 2015, the Bank was in compliance with all regulatory capital requirements.

The Bank has two subclasses of capital stock: B1 membership stock and B2 activity. Subclass B1 membership stock totaled $319.2 million and $290.4 million at March 31, 2015 and December 31, 2014, respectively. Subclass B2 activity stock was $2.744 billion and $2.751 billion at March 31, 2015 and December 31, 2014, respectively.

The following table demonstrates the Bank’s compliance with its regulatory capital requirements at March 31, 2015 and December 31, 2014.

	March 31, 2015						December 31, 2014
(dollars in thousands)	Required			Actual			Required			Actual
Regulatory capital requirements:
Risk-based capital	$	825,495		$	3,873,224		$	847,424		$	3,879,108
Total capital-to-asset ratio	4.0		%	4.4		%	4.0		%	4.5		%
Total regulatory capital	3,498,522			3,873,224			3,427,083			3,879,108
Leverage ratio	5.0		%	6.6		%	5.0		%	6.8		%
Leverage capital	4,373,153			5,809,836			4,283,854			5,818,663

The decline in ratios from December 31, 2014 to March 31, 2015 is primarily due to the increase in total assets. When the Finance Agency implemented the prompt corrective action provisions of the Housing and Economic Recovery Act of 2008 (Housing Act), it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On March 23, 2015, the Bank received final notification from the Finance Agency that it was considered "adequately capitalized" for the quarter ended December 31, 2014. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended March 31, 2015.

Capital Concentrations. The following tables present member holdings of 10% or more of the Bank’s total capital stock, including mandatorily redeemable capital stock, outstanding as of March 31, 2015 and December 31, 2014.

(dollars in thousands)	March 31, 2015
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	926,305	30.2	%
Santander Bank, N.A., Wilmington, DE	433,306		14.1
Chase Bank USA, N.A.,Wilmington, DE	366,117		11.9

(dollars in thousands)	December 31, 2014
Member (1)	Capital Stock		% of Total
PNC Bank, N.A., Wilmington, DE	$	876,305	28.8	%
Santander Bank, N.A., Wilmington, DE	424,955		14.0
Chase Bank USA, N.A.,Wilmington, DE	362,050		11.9

Note:

⁽¹⁾ For Bank membership purposes, the principal place of business for PNC Bank, N.A. is Pittsburgh, PA.

Mandatorily Redeemable Capital Stock. Each FHLBank is a cooperative whose member financial institutions and former members own all of the relevant FHLBank's issued and outstanding capital stock. Shares cannot be purchased or sold except between an FHLBank and its members at the shares' $100 per share par value, as mandated by each FHLBank's capital plan.

At March 31, 2015 and December 31, 2014, the Bank had $569 thousand and $586 thousand, respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. Estimated dividends on mandatorily redeemable capital stock which were recorded as interest expense were immaterial during March 31, 2015 and March 31, 2014.

The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during the three months ended March 31, 2015 and 2014.

	Three months ended March 31,
(in thousands)	2015			2014
Balance, beginning of the period	$	586		$	40
Capital stock subject to mandatory redemption reclassified from capital stock:
Due to withdrawals (includes mergers)	—			1,978
Net redemption/repurchase of mandatorily redeemable capital stock	(17		)	(157		)
Balance, end of period	$	569		$	1,861

As of March 31, 2015, the total mandatorily redeemable capital stock reflected the balance for two institutions, one of which was merged out of district and is considered to be a nonmember. The other institution has notified the Bank of its intention to voluntary redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed.

The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at March 31, 2015 and December 31, 2014.

(in thousands)	March 31, 2015		December 31, 2014
Due in 1 year or less	$	—	$	—
Due after 1 year through 2 years	—		—
Due after 2 years through 3 years	—		—
Due after 3 years through 4 years	70		—
Due after 4 years through 5 years	499		586
Total	$	569	$	586

The year of redemption in the table above is the end of the five-year redemption period for the mandatorily redeemable capital stock. Under the Finance Agency regulations and the terms of the Bank's Capital Plan, capital stock supporting advances and other activity with the Bank (e.g., letters of credit, mortgage loans, etc.) is not redeemable prior to the payoff or maturity of the associated advance or other activity, which may extend beyond five years.

Dividends and Retained Earnings. Each FHLBank is required to contribute 20% of its net income each quarter to a restricted retained earnings (RRE) account until the balance of that account equals at least 1% of that FHLBank's average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At March 31, 2015, retained earnings were $808.9 million, including $683.4 million of unrestricted retained earnings and $125.5 million of RRE.

The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with

consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of the Bank’s retained earnings. The Bank’s retained earnings policy and capital adequacy metric utilize this guidance.

Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. In February 2015, the Bank paid a quarterly dividend equal to an annual yield of 4.0%. This dividend was based on average member capital for the fourth quarter 2014. In addition, the Bank paid a special dividend of 2.5%. The special dividend was based on average member capital stock for the full year of 2014. In April 2015, the Bank paid quarterly dividends equal to an annual yield of 5.0% and 3.0% on activity stock and membership stock, respectively. These dividends were based on stockholders' average balances for the previous quarter.

The following table summarizes the changes in AOCI for March 31, 2015 and 2014 respectively.

(in thousands)	Net Unrealized Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on AFS			Non-credit OTTI Gains(Losses) on HTM		Net Unrealized Gains (Losses) on Hedging Activities			Pension and Post-Retirement Plans			Total
December 31, 2013	$	(32,481	)	$	77,642		$	—	$	287		$	(1,108	)	$	44,340
Other comprehensive income (loss) before   reclassification:
Net unrealized gains (losses)	24,528			(575		)	—		—			—			23,953
Net change in fair value of OTTI securities	—			2,018			—		—			—			2,018
Reclassifications from OCI to net income:
Pension and post-retirement	—			—			—		—			39			39
March 31, 2014	$	(7,953	)	$	79,085		$	—	$	287		$	(1,069	)	$	70,350
December 31, 2014	$	32,460		$	94,451		$	—	$	272		$	(2,750	)	$	124,433
Other comprehensive income (loss) before   reclassification:
Net unrealized gains	22,488			1,355			—		—			—			23,843
Net change in fair value of OTTI securities	—			706			—		—			—			706
Reclassifications from OCI to net income:
Amortization on hedging activities	—			—			—		(8		)	—			(8		)
Pension and post-retirement	—			—			—		—			82			82
March 31, 2015	$	54,948		$	96,512		$	—	$	264		$	(2,668	)	$	149,056